Form NPORT-P Global Macro Portfolio For: Apr 30

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June 28, 2022 8:11 AM EDT
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    NPORT-P
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          0000918706
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      Global Macro Portfolio
      811-08342
      0000918706
      XY6HWOQF1NBIQHYB7D92
      TWO INTERNATIONAL PLACE
      BOSTON
      
      02110
      617-482-8260
      Global Macro Portfolio
      S000005247
      XY6HWOQF1NBIQHYB7D92
      2022-10-31
      2022-04-30
      N
    
    
      2205930390.21
      77354309.71
      2128576080.50
      0.00000000
      15702649.17000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      11011715.00000000
      0.00000000
      0.00000000
      28805856.21000000
      
        
          AUD
          
          
        
        
          CAD
          
          
        
        
          CLP
          
          
        
        
          CNY
          
          
        
        
          COP
          
          
        
        
          CZK
          
          
        
        
          EGP
          
          
        
        
          EUR
          
          
        
        
          IDR
          
          
        
        
          ILS
          
          
        
        
          ISK
          
          
        
        
          KRW
          
          
        
        
          MXN
          
          
        
        
          MYR
          
          
        
        
          NZD
          
          
        
        
          PHP
          
          
        
        
          PLN
          
          
        
        
          RSD
          
          
        
        
          THB
          
          
        
        
          TWD
          
          
        
        
          UAH
          
          
        
        
          UGX
          
          
        
        
          USD
          
          
        
        
          UZS
          
          
        
        
          ZAR
          
          
        
        
          ZMW
          
          
        
      
      
      
      N
      
        
          
        
        
          
            
            
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
    
    
      
        Vietnam Dairy Products JSC
        N/A
        Vietnam Dairy Products JSC
        000000000
        
          
        
        90281.00000000
        NS
        
        291071.73000000
        0.013674480920
        Long
        EC
        CORP
        VN
        N
        
        2
        
          N
          N
          N
        
      
      
        IRSA PROPIEDADES COM
        549300WDBPUOVK4S9722
        IRSA Propiedades Comerciales SA
        000000000
        
          
        
        914000.00000000
        PA
        USD
        900728.72000000
        0.042316021882
        Long
        DBT
        CORP
        AR
        Y
        
        2
        
          2023-03-23
          Fixed
          8.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BEV41M4D5 IRS COP R V 00MDTF DTF RATE 90D NONCOMPOUNDING / Short: BEV41M4D5 IRS COP P F  3.54000 CCP CME
        000000000
        
          
        
        7936810000.00000000
        OU
        Notional Amount
        
        283758.01000000
        0.013330884087
        N/A
        DIR
        
        CO
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2025-05-14
            0.00000000
            COP
            0.00000000
            COP
            7936810000.00000000
            COP
            283758.01000000
          
        
        
          N
          N
          N
        
      
      
        EXPORT-IMPORT BK INDIA
        335800OFZ8YEIVN1QI11
        Export-Import Bank of India
        30216KAE2
        
          
        
        2980000.00000000
        PA
        USD
        2684117.74000000
        0.126099215554
        Long
        DBT
        NUSS
        IN
        Y
        
        2
        
          2030-01-15
          Fixed
          3.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PURCHASED USD / SOLD CNH
        000000000
        
          
        
        1.00000000
        NC
        
        1117471.00000000
        0.052498522849
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            172580000.00000000
            CNY
            27069461.76000000
            USD
            2022-05-18
            1117471.00000000
          
        
        
          N
          N
          N
        
      
      
        COOF 1989537006
        N/A
        COOF 1989537006
        000000000
        
          
        
        640273.97000000
        PA
        USD
        42083.19000000
        0.001977058296
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2028-03-15
          Fixed
          3.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31358R6U2
        
          
        
        5086.59000000
        PA
        USD
        5118.53000000
        0.000240467326
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-01-25
          Fixed
          6.67500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BEV4XYEW1 IRS TWD R V 03MCPTW 1 CCPNDF / Short: BEV4XYEW1 IRS TWD P F   .88000 2 CCPNDF
        000000000
        
          
        
        640495868.00000000
        OU
        Notional Amount
        
        765896.21000000
        0.035981622504
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2026-11-02
            0.00000000
            TWD
            0.00000000
            TWD
            640495868.00000000
            TWD
            765896.21000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1499018.47000000
        -0.07042353260
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            34161152.01000000
            USD
            30900000.00000000
            EUR
            2022-06-15
            -1499018.47000000
          
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED HUF / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -204061.15000000
        -0.00958674448
        N/A
        DFE
        
        HU
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            3343982.07000000
            EUR
            1193300000.00000000
            HUF
            2022-05-11
            -204061.15000000
          
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED PLN / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -22939.20000000
        -0.00107767818
        N/A
        DFE
        
        PL
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            1112315.20000000
            EUR
            5100000.00000000
            PLN
            2022-05-05
            -22939.20000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD BRL
        000000000
        
          
        
        1.00000000
        NC
        
        274.35000000
        0.000012888898
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            100000.00000000
            BRL
            20501.09000000
            USD
            2022-05-03
            274.35000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128MAE88
        
          
        
        3888039.00000000
        PA
        USD
        4256349.63000000
        0.199962297283
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-04-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SEV4W1XT0 IRS KRW R F  1.75300 2 CCPNDF / Short: SEV4W1XT0 IRS KRW P V 03MKSDA 1 CCPNDF
        000000000
        
          
        
        154705500000.00000000
        OU
        Notional Amount
        
        -1607902.55000000
        -0.07553888088
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2023-10-05
            0.00000000
            KRW
            0.00000000
            KRW
            154705500000.00000000
            KRW
            -1607902.55000000
          
        
        
          N
          N
          N
        
      
      
        COOF 9663935001
        N/A
        COOF 9663935001
        000000000
        
          
        
        2777668.33000000
        PA
        USD
        170589.90000000
        0.008014273089
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-09-15
          Fixed
          1.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BEV4KDSJ5 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4KDSJ5 IRS COP P F  4.48000 2 CCPNDFOIS
        000000000
        
          
        
        25188600000.00000000
        OU
        Notional Amount
        
        910908.36000000
        0.042794258957
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2026-03-31
            0.00000000
            COP
            0.00000000
            COP
            25188600000.00000000
            COP
            910908.36000000
          
        
        
          N
          N
          N
        
      
      
        State of Qatar
        52990074F6OJOAXK4P65
        Qatar Government International Bond
        000000000
        
          
        
        -13807000.00000000
        PA
        USD
        -14872969.44000000
        -0.69872858086
        Short
        DBT
        NUSS
        QA
        Y
        
        2
        
          2049-03-14
          Fixed
          4.81700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BEV4YJK48 IRS COP R V 03MCOOVI 1 CCPNDF / Short: BEV4YJK48 IRS COP P F  6.05200 2 CCPNDF
        000000000
        
          
        
        48548000000.00000000
        OU
        Notional Amount
        
        1016690.54000000
        0.047763880714
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2025-11-26
            0.00000000
            COP
            0.00000000
            COP
            48548000000.00000000
            COP
            1016690.54000000
          
        
        
          N
          N
          N
        
      
      
        INDONESIA GOVERNMENT
        529900FWX0GRR7WG5W79
        Indonesia Treasury Bond
        000000000
        
          
        
        166778000000.00000000
        PA
        
        11687944.32000000
        0.549096855267
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2035-06-15
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED CLP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -87966.99000000
        -0.00413266835
        N/A
        DFE
        
        CL
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            1696604.83000000
            USD
            1383700000.00000000
            CLP
            2022-06-15
            -87966.99000000
          
        
        
          N
          N
          N
        
      
      
        COOF 1847217009
        N/A
        COOF 1847217009
        000000000
        
          
        
        1641425.36000000
        PA
        USD
        160645.75000000
        0.007547099277
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-02-15
          Fixed
          2.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 2014207006
        N/A
        COOF 2014207006
        000000000
        
          
        
        189982.95000000
        PA
        USD
        15181.07000000
        0.000713203072
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-02-15
          Fixed
          2.16000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 1311887002
        N/A
        COOF 1311887002
        000000000
        
          
        
        1698504.73000000
        PA
        USD
        92595.37000000
        0.004350108546
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-12-15
          Fixed
          1.66000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TIMES CHINA HLDG LTD
        2549000KTINB9ZPZP710
        Times China Holdings Ltd
        000000000
        
          
        
        3999000.00000000
        PA
        USD
        2119470.00000000
        0.099572198495
        Long
        DBT
        CORP
        KY
        
        Y
        
        2
        
          2024-06-04
          Fixed
          5.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 1425577001
        N/A
        COOF 1425577001
        000000000
        
          
        
        2632938.69000000
        PA
        USD
        169883.77000000
        0.007981099268
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-01-15
          Fixed
          1.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BEV4MA091 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4MA091 IRS COP P F  4.54500 2 CCPNDFOIS
        000000000
        
          
        
        6681800000.00000000
        OU
        Notional Amount
        
        219202.55000000
        0.010298083869
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2025-11-26
            0.00000000
            COP
            0.00000000
            COP
            6681800000.00000000
            COP
            219202.55000000
          
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PURCHASED EUR / SOLD HUF
        000000000
        
          
        
        1.00000000
        NC
        N/A
        1384.24000000
        0.000065031267
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            31073576.00000000
            HUF
            83353.75000000
            EUR
            2022-05-11
            1384.24000000
          
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        EURO-BUND FUTURE JUN22
        000000000
        
          
        
        -436.00000000
        NC
        
        6203597.49000000
        0.291443540441
        N/A
        DIR
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Short
            
              
                EUX 10 Year Euro BUND Future
                RXM2 COMDTY
              
            
            2022-06-08
            -72845704.50000000
            EUR
            6203597.49000000
          
        
        
          N
          N
          N
        
      
      
        KIDO Group Corp
        N/A
        KIDO Group Corp
        000000000
        
          
        
        10295.00000000
        NS
        
        23193.92000000
        0.001089644866
        Long
        EC
        CORP
        VN
        N
        
        2
        
          N
          N
          N
        
      
      
        DOMINICAN REPUBLIC
        254900EHU7Q8FGVPI369
        Dominican Republic International Bond
        000000000
        
          
        
        474470000.00000000
        PA
        
        7813856.73000000
        0.367093138064
        Long
        DBT
        NUSS
        DO
        Y
        
        2
        
          2027-02-12
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lebanese Republic
        529900QPC4K9S1KHL354
        Lebanon Government International Bond
        000000000
        
          
        
        194000.00000000
        PA
        USD
        23522.50000000
        0.001105081477
        Long
        DBT
        NUSS
        LB
        Y
        
        2
        
          2027-11-29
          None
          0.00000000
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Capital Securities Limited
        K9WDOH4D2PYBSLSOB484
        BB CTRY GARDEN HOLD. CO REPO
        000000000
        
          
        
        1729838.75000000
        PA
        USD
        1729838.75000000
        0.081267414674
        Long
        RA
        CORP
        US
        N
        
        2
        
          Repurchase
          
            
              
            
          
          N
          -1.50000000
          2022-09-29
          
            
              1729838.75000000
              USD
              1722198.63000000
              USD
              
            
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31396QCX5
        
          
        
        1675562.92000000
        PA
        USD
        1759516.92000000
        0.082661688070
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2039-07-25
          Variable
          5.83200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SEV4W1ZU5 IRS KRW R F  1.76500 2 CCPNDF / Short: SEV4W1ZU5 IRS KRW P V 03MKSDA 1 CCPNDF
        000000000
        
          
        
        67516400000.00000000
        OU
        Notional Amount
        
        -695365.16000000
        -0.03266809048
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2023-10-05
            0.00000000
            KRW
            0.00000000
            KRW
            67516400000.00000000
            KRW
            -695365.16000000
          
        
        
          N
          N
          N
        
      
      
        FREEPORT INDONESIA PT
        549300T4HTQHRKLNE619
        Freeport Indonesia PT
        000000000
        
          
        
        1896000.00000000
        PA
        USD
        1843860.00000000
        0.086624105987
        Long
        DBT
        CORP
        ID
        Y
        
        2
        
          2032-04-14
          Fixed
          5.31500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9667855009
        N/A
        COOF 9667855009
        000000000
        
          
        
        1499641.45000000
        PA
        USD
        159273.66000000
        0.007482638814
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-10-15
          Fixed
          2.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PURCHASED PLN / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -7647.47000000
        -0.00035927632
        N/A
        DFE
        
        PL
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            4292038.95000000
            EUR
            20037577.00000000
            PLN
            2022-05-05
            -7647.47000000
          
        
        
          N
          N
          N
        
      
      
        OMAN GOV INTERNTL BOND
        549300SZ20F0QTKNQC75
        Oman Government International Bond
        000000000
        
          
        
        670000.00000000
        PA
        USD
        646717.50000000
        0.030382634941
        Long
        DBT
        NUSS
        OM
        Y
        
        2
        
          2051-01-25
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Titan Cement International SA
        213800H2CDP9I374WH83
        Titan Cement International SA
        000000000
        
          
        
        3203.00000000
        NS
        
        44875.18000000
        0.002108225325
        Long
        EC
        CORP
        BE
        
        N
        
        2
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SEV537G81 IRS CNY R F  2.26000 2 CCPNDF / Short: SEV537G81 IRS CNY P V 00MCNRR 1 CCPNDF
        000000000
        
          
        
        58497168.00000000
        OU
        Notional Amount
        
        -81991.95000000
        -0.00385196238
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-02-08
            0.00000000
            CNY
            0.00000000
            CNY
            58497168.00000000
            CNY
            -81991.95000000
          
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED USD / SOLD AED
        000000000
        
          
        
        1.00000000
        NC
        
        -1016.43000000
        -0.00004775164
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            6100000.00000000
            AED
            1660315.73000000
            USD
            2023-02-10
            -1016.43000000
          
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        PURCHASED EUR / SOLD HUF
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -1571.67000000
        -0.00007383668
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            102817494.00000000
            HUF
            268892.27000000
            EUR
            2022-06-02
            -1571.67000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD PHP
        000000000
        
          
        
        1.00000000
        NC
        
        8282.66000000
        0.000389117404
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            646468000.00000000
            PHP
            12324944.71000000
            USD
            2022-05-27
            8282.66000000
          
        
        
          N
          N
          N
        
      
      
        YPF SOCIEDAD ANONIMA
        5493003N7447U18U5U53
        YPF SA
        000000000
        
          
        
        992000.00000000
        PA
        USD
        719324.00000000
        0.033793671111
        Long
        DBT
        CORP
        AR
        Y
        
        2
        
          2027-07-21
          Fixed
          6.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        PURCHASED IDR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -66791.57000000
        -0.00313785213
        N/A
        DFE
        
        ID
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            3646569.82000000
            USD
            52287800000.00000000
            IDR
            2022-06-21
            -66791.57000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31388SAM7
        
          
        
        1837398.66000000
        PA
        USD
        2001485.25000000
        0.094029302891
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-07-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9576235005
        N/A
        COOF 9576235005
        000000000
        
          
        
        1053862.50000000
        PA
        USD
        129732.56000000
        0.006094804935
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-09-15
          Fixed
          3.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BEV4XUPT4 IRS EUR R V 12MCPTFE 1 CCPINFLATIONZERO / Short: BEV4XUPT4 IRS EUR P F  2.20083 2 CCPINFLATIONZERO
        000000000
        
          
        
        5900000.00000000
        OU
        Notional Amount
        
        911183.00000000
        0.042807161479
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on European Union Consumer Price Index (cpi)
            
            2036-10-15
            0.00000000
            EUR
            0.00000000
            EUR
            5900000.00000000
            EUR
            911183.00000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: BEV55AHZ1 TRS COP R F   .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV55AHZ1 TRS COP P V 00MDTF DTF RATE 90D NON COMPOUNDING
        000000000
        
          
        
        30981600000.00000000
        OU
        Notional Amount
        
        -29815.29000000
        -0.00140071526
        N/A
        DIR
        
        CO
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            
              
                TITULOS DE TESORERIA
                TITULOS DE TESORERIA
                
                  
                
              
            
            Y
            equity-performance leg
            
              
                
              
            
            2022-05-23
            0.00000000
            COP
            0.00000000
            COP
            30981600000.00000000
            COP
            -29815.29000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BEV4JN6U4 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4JN6U4 IRS COP P F  3.89000 2 CCPNDFOIS
        000000000
        
          
        
        7412000000.00000000
        OU
        Notional Amount
        
        283335.59000000
        0.013311038895
        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
            283335.59000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BEV55R2H0 IRS CZK R V 06MPRIBO 1 CCPVANILLA / Short: BEV55R2H0 IRS CZK P F  5.60000 2 CCPVANILLA
        000000000
        
          
        
        218926283.00000000
        OU
        Notional Amount
        
        18147.46000000
        0.000852563371
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-03-28
            0.00000000
            CZK
            0.00000000
            CZK
            218926283.00000000
            CZK
            18147.46000000
          
        
        
          N
          N
          N
        
      
      
        COOF 9635435007
        N/A
        COOF 9635435007
        000000000
        
          
        
        2219437.84000000
        PA
        USD
        304251.52000000
        0.014293664332
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-09-15
          Fixed
          3.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31335PJJ5
        
          
        
        7040.87000000
        PA
        USD
        7528.71000000
        0.000353697012
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-10-17
          Fixed
          8.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9632135005
        N/A
        COOF 9632135005
        000000000
        
          
        
        3535733.32000000
        PA
        USD
        246002.41000000
        0.011557134943
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-09-15
          Fixed
          2.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED KES / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -37998.57000000
        -0.00178516381
        N/A
        DFE
        
        KE
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            2160385.63000000
            USD
            246500000.00000000
            KES
            2022-05-20
            -37998.57000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        PURCHASED CZK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -18179.01000000
        -0.00085404558
        N/A
        DFE
        
        CZ
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            2915376.54000000
            EUR
            71801730.00000000
            CZK
            2022-06-14
            -18179.01000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: B92RGWUN2 CDS USD R V 03MEVENT 1 CCPSOVEREIGN / Short: B92RGWUN2 CDS USD P F  1.00000 2 CCPSOVEREIGN
        000000000
        
          
        
        37080000.00000000
        OU
        Notional Amount
        USD
        2500857.26000000
        0.117489681619
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Republic of South Africa
                Republic of South Africa
                
                  
                  
                
              
            
            Y
            buy protection
            
            2027-06-20
            2302793.15000000
            USD
            0.00000000
            USD
            37080000.00000000
            USD
            198064.11000000
          
        
        
          N
          N
          N
        
      
      
        XP Inc
        5493008KDA8NBZRJST80
        XP Inc
        000000000
        
          
        
        53300.00000000
        NS
        USD
        1311713.00000000
        0.061623965993
        Long
        EC
        CORP
        KY
        
        N
        
        1
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED RUB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        74752.55000000
        0.003511857090
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            982452.82000000
            USD
            76083717.00000000
            RUB
            2022-05-11
            74752.55000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BEV4YGYN7 IRS COP R V 03MCOOVI 1 CCPNDF / Short: BEV4YGYN7 IRS COP P F  6.12000 2 CCPNDF
        000000000
        
          
        
        12137000000.00000000
        OU
        Notional Amount
        
        247687.71000000
        0.011636309938
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2025-11-26
            0.00000000
            COP
            0.00000000
            COP
            12137000000.00000000
            COP
            247687.71000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF SRI LANKA
        254900HXCCIOHM74FA02
        Sri Lanka Government International Bond
        000000000
        
          
        
        1000000.00000000
        PA
        USD
        446250.00000000
        0.020964719282
        Long
        DBT
        NUSS
        LK
        Y
        
        2
        
          2025-11-03
          Fixed
          6.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        92728.33000000
        0.004356354975
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            33624471.00000000
            ZAR
            2210609.18000000
            USD
            2022-06-22
            92728.33000000
          
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        PURCHASED HUF / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        15000.10000000
        0.000704701144
        N/A
        DFE
        
        HU
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            1844089.62000000
            EUR
            707707749.00000000
            HUF
            2022-06-10
            15000.10000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED PEN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -59383.05000000
        -0.00278980162
        N/A
        DFE
        
        PE
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            3345977.24000000
            USD
            12671885.00000000
            PEN
            2022-06-10
            -59383.05000000
          
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        -26431.98000000
        -0.00124176815
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            23044407.00000000
            TRY
            1479023.58000000
            USD
            2022-06-15
            -26431.98000000
          
        
        
          N
          N
          N
        
      
      
        EGYPT TREASURY BILL
        529900GFIVH4086NMH82
        Egypt Treasury Bills
        000000000
        
          
        
        99350000.00000000
        PA
        
        4964334.72000000
        0.233223269089
        Long
        STIV
        NUSS
        EG
        N
        
        2
        
          2022-12-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MT LOGAN RE DIVERSIFED OPTI
        N/A
        MT LOGAN RE DIVERSIFED OPTI
        000000000
        
          
        
        4400.00000000
        NS
        USD
        4042607.36000000
        0.189920736074
        Long
        STIV
        CORP
        US
        N
        
        3
        
          N
          N
          N
        
      
      
        COOF 9032505005
        N/A
        COOF 9032505005
        000000000
        
          
        
        1305832.06000000
        PA
        USD
        137209.42000000
        0.006446066046
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-12-15
          Fixed
          2.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BEV56ME04 IRS EUR R V 12MESTR 1 CCPOIS / Short: BEV56ME04 IRS EUR P F   .98300 2 CCPOIS
        000000000
        
          
        
        13257000.00000000
        OU
        Notional Amount
        
        80589.90000000
        0.003786094410
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-04-13
            0.00000000
            EUR
            0.00000000
            EUR
            13257000.00000000
            EUR
            80589.90000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31381D3W3
        
          
        
        5727.71000000
        PA
        USD
        5872.70000000
        0.000275898054
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-08-15
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31406C7A0
        
          
        
        225005.85000000
        PA
        USD
        250708.64000000
        0.011778232514
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-07-01
          Floating
          6.33100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        116161.74000000
        0.005457251026
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            12841060.26000000
            NZD
            8406348.73000000
            USD
            2022-05-02
            116161.74000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        101435.70000000
        0.004765425155
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            46704738.00000000
            ZAR
            3052098.55000000
            USD
            2022-05-25
            101435.70000000
          
        
        
          N
          N
          N
        
      
      
        SUNAC CHINA HOLDINGS LTD
        549300OLARYHDXP3WK18
        Sunac China Holdings Ltd
        000000000
        
          
        
        2000000.00000000
        PA
        USD
        525000.00000000
        0.024664375626
        Long
        DBT
        CORP
        KY
        
        Y
        
        2
        
          2023-07-09
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31358TLW7
        
          
        
        12661.08000000
        PA
        USD
        12806.95000000
        0.000601667477
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-02-25
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED ZMW / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        99826.55000000
        0.004689827669
        N/A
        DFE
        
        ZM
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            643095.82000000
            USD
            13087000.00000000
            ZMW
            2022-08-25
            99826.55000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -141099.68000000
        -0.00662882953
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            4257972.45000000
            USD
            3894766.04000000
            EUR
            2022-06-15
            -141099.68000000
          
        
        
          N
          N
          N
        
      
      
        Spark New Zealand Ltd
        529900HUN51H3Y7QBB66
        Spark New Zealand Ltd
        000000000
        
          
        
        -175400.00000000
        NS
        
        -554735.80000000
        -0.02606135646
        Short
        EC
        CORP
        NZ
        N
        
        2
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BEV4W31R5 IRS PLN R V 06MWIBOR 1 CCPVANILLA / Short: BEV4W31R5 IRS PLN P F  2.32000 2 CCPVANILLA
        000000000
        
          
        
        13850000.00000000
        OU
        Notional Amount
        
        786750.94000000
        0.036961372779
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2031-10-05
            0.00000000
            PLN
            0.00000000
            PLN
            13850000.00000000
            PLN
            786750.94000000
          
        
        
          N
          N
          N
        
      
      
        UGANDA T-BILL
        549300NF1DEFHG8XLQ11
        Republic of Uganda Treasury Bills
        000000000
        
          
        
        28620100000.00000000
        PA
        
        8007441.47000000
        0.376187703289
        Long
        STIV
        NUSS
        UG
        N
        
        2
        
          2022-06-16
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        217912.60000000
        0.010237482324
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            4491938.89000000
            EUR
            4966013.18000000
            USD
            2022-06-15
            217912.60000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD IDR
        000000000
        
          
        
        1.00000000
        NC
        
        54424.10000000
        0.002556831324
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            53101800000.00000000
            IDR
            3689931.21000000
            USD
            2022-06-21
            54424.10000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ET6N1
        
          
        
        177769.32000000
        PA
        USD
        193798.59000000
        0.009104611847
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2037-12-01
          Fixed
          8.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD ILS
        000000000
        
          
        
        1.00000000
        NC
        
        762703.31000000
        0.035831620818
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            50037040.00000000
            ILS
            15820988.40000000
            USD
            2022-08-03
            762703.31000000
          
        
        
          N
          N
          N
        
      
      
        COOF 9482625003
        N/A
        COOF 9482625003
        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
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        PURCHASED USD / SOLD PEN
        000000000
        
          
        
        1.00000000
        NC
        
        89625.46000000
        0.004210582878
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            15825477.00000000
            PEN
            4201082.29000000
            USD
            2022-05-27
            89625.46000000
          
        
        
          N
          N
          N
        
      
      
        COOF 9334725007
        N/A
        COOF 9334725007
        000000000
        
          
        
        1434315.25000000
        PA
        USD
        131127.61000000
        0.006160344053
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-07-15
          Fixed
          2.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SEV51YUK1 IRS CAD R F  2.18700 2 CCPVANILLA / Short: SEV51YUK1 IRS CAD P V 03MCDOR 1 CCPVANILLA
        000000000
        
          
        
        91320000.00000000
        OU
        Notional Amount
        
        -905579.63000000
        -0.04254391648
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-01-18
            0.00000000
            CAD
            0.00000000
            CAD
            91320000.00000000
            CAD
            -905579.63000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED RUB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        31163.66000000
        0.001464061364
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            346017.55000000
            USD
            27144535.00000000
            RUB
            2022-05-11
            31163.66000000
          
        
        
          N
          N
          N
        
      
      
        Lebanese Republic
        529900QPC4K9S1KHL354
        Lebanon Government International Bond
        000000000
        
          
        
        453000.00000000
        PA
        USD
        54477.78000000
        0.002559353198
        Long
        DBT
        NUSS
        LB
        Y
        
        2
        
          2030-02-26
          None
          0.00000000
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED BRL / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -23696.43000000
        -0.00111325266
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            804903.72000000
            USD
            3900000.00000000
            BRL
            2022-06-02
            -23696.43000000
          
        
        
          N
          N
          N
        
      
      
        MEXICAN UDIBONOS
        254900EGTWEU67VP6075
        Mexican Udibonos
        000000000
        
          
        
        546741404.04000000
        PA
        
        24200404.06000000
        1.136929249637
        Long
        DBT
        NUSS
        MX
        N
        
        2
        
          2031-11-27
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        State Street Bank & Trust Co.
        571474TGEMMWANRLN572
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        25938.25000000
        0.001218572840
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              State Street Bank & Trust Co.
              571474TGEMMWANRLN572
            
            781733.22000000
            EUR
            850723.37000000
            USD
            2022-05-06
            25938.25000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        49548.08000000
        0.002327757060
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            28336413.00000000
            ZAR
            1842067.09000000
            USD
            2022-05-13
            49548.08000000
          
        
        
          N
          N
          N
        
      
      
        Meridian Energy Ltd
        254900IFKXIGNCY3A092
        Meridian Energy Ltd
        000000000
        
          
        
        -115500.00000000
        NS
        
        -350548.98000000
        -0.01646870803
        Short
        EC
        CORP
        NZ
        N
        
        2
        
          N
          N
          N
        
      
      
        THAILAND GOVERNMENT BOND
        254900PHJ6MSKT6C7026
        Thailand Government Bond
        000000000
        
          
        
        2575236664.00000000
        PA
        
        77200123.65000000
        3.626843520287
        Long
        DBT
        NUSS
        TH
        Y
        
        2
        
          2028-03-12
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pampa Energia SA
        254900QNIK0CVURGML24
        Pampa Energia SA
        697660207
        
          
        
        62700.00000000
        NS
        USD
        1352439.00000000
        0.063537263825
        Long
        EC
        CORP
        AR
        N
        
        1
        
          N
          N
          N
        
      
      
        ARAB REPUBLIC OF EGYPT
        529900GFIVH4086NMH82
        Egypt Government International Bond
        000000000
        
          
        
        2618000.00000000
        PA
        USD
        2024119.79000000
        0.095092668218
        Long
        DBT
        NUSS
        EG
        Y
        
        2
        
          2032-01-15
          Fixed
          7.05300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BEV4KHAJ5 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4KHAJ5 IRS COP P F  4.56250 2 CCPNDFOIS
        000000000
        
          
        
        26964400000.00000000
        OU
        Notional Amount
        
        958573.52000000
        0.045033556882
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2026-04-06
            0.00000000
            COP
            0.00000000
            COP
            26964400000.00000000
            COP
            958573.52000000
          
        
        
          N
          N
          N
        
      
      
        COOF 1792627005
        N/A
        COOF 1792627005
        000000000
        
          
        
        586373.75000000
        PA
        USD
        85492.27000000
        0.004016406591
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-04-15
          Fixed
          3.66000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        391168.99000000
        0.018377026481
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            13797790.49000000
            NZD
            9299020.90000000
            USD
            2022-05-02
            391168.99000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -202985.63000000
        -0.00953621680
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            6125507.77000000
            USD
            5603000.00000000
            EUR
            2022-06-15
            -202985.63000000
          
        
        
          N
          N
          N
        
      
      
        COOF 1126547003
        N/A
        COOF 1126547003
        000000000
        
          
        
        1469352.97000000
        PA
        USD
        92734.96000000
        0.004356666451
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-01-15
          Fixed
          1.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SEV4ZV679 IRS USD R F  2.98000 2 CCPINFLATIONZERO / Short: SEV4ZV679 IRS USD P V 12MUSCPI 1 CCPINFLATIONZERO
        000000000
        
          
        
        8640000.00000000
        OU
        Notional Amount
        USD
        -476668.63000000
        -0.02239377931
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            Inflation based on US CPI Urban Consumers NSA
            2026-12-02
            0.00000000
            USD
            0.00000000
            USD
            8640000.00000000
            USD
            -476668.63000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -76168.69000000
        -0.00357838701
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            1367200.58000000
            USD
            1825000.00000000
            AUD
            2022-07-11
            -76168.69000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-HQA4
        35565RBD4
        
          
        
        2088700.00000000
        PA
        USD
        2161889.30000000
        0.101565047160
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-09-25
          Floating
          5.91800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Unilever Indonesia Tbk PT
        549300MUHUFNRRI19O72
        Unilever Indonesia Tbk PT
        000000000
        
          
        
        662300.00000000
        NS
        
        177273.72000000
        0.008328277369
        Long
        EC
        CORP
        ID
        N
        
        2
        
          N
          N
          N
        
      
      
        COSTA RICA GOVERNMENT
        549300S1EK2VN6XVJP58
        Costa Rica Government International Bond
        000000000
        
          
        
        684200000.00000000
        PA
        
        1182943.64000000
        0.055574411966
        Long
        DBT
        NUSS
        CR
        Y
        
        2
        
          2026-09-30
          Fixed
          9.66000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31359A2R9
        
          
        
        5814.68000000
        PA
        USD
        5907.59000000
        0.000277537178
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-07-25
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD PHP
        000000000
        
          
        
        1.00000000
        NC
        
        287903.10000000
        0.013525619433
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            1144000000.00000000
            PHP
            22083663.11000000
            USD
            2022-05-27
            287903.10000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31358RAL7
        
          
        
        1971.30000000
        PA
        USD
        1973.57000000
        0.000092717851
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-10-25
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31389AZU0
        
          
        
        552024.70000000
        PA
        USD
        566436.16000000
        0.026611036607
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-03-01
          Floating
          3.27700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        549300BI6Y5SI6BYPB26
        Morgan Stanley Institutional Liquidity Funds - Government Portfolio
        61747C707
        
          
        
        170940.00000000
        NS
        USD
        170940.00000000
        0.008030720704
        Long
        STIV
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        INVERSIONES ATLANTIDA SA
        N/A
        Inversiones Atlantida SA
        000000000
        
          
        
        2945000.00000000
        PA
        USD
        2890061.03000000
        0.135774382530
        Long
        DBT
        CORP
        HN
        Y
        
        2
        
          2026-05-19
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9600905006
        N/A
        COOF 9600905006
        000000000
        
          
        
        540453.46000000
        PA
        USD
        77275.26000000
        0.003630373408
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-08-15
          Fixed
          3.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED USD / SOLD THB
        000000000
        
          
        
        1.00000000
        NC
        
        -93426.75000000
        -0.00438916658
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            637383000.00000000
            THB
            18527309.91000000
            USD
            2022-06-15
            -93426.75000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202BLD5
        
          
        
        8778.86000000
        PA
        USD
        8951.55000000
        0.000420541698
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2023-06-20
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 1691217001
        N/A
        COOF 1691217001
        000000000
        
          
        
        1584412.25000000
        PA
        USD
        179230.22000000
        0.008420193275
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-02-15
          Fixed
          2.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31335PJM8
        
          
        
        158639.86000000
        PA
        USD
        159019.33000000
        0.007470690451
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-02-17
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED EUR / SOLD HUF
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -26084.20000000
        -0.00122542953
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            1162226424.00000000
            HUF
            3043850.83000000
            EUR
            2022-05-11
            -26084.20000000
          
        
        
          N
          N
          N
        
      
      
        COOF 8557585005
        N/A
        COOF 8557585005
        000000000
        
          
        
        417327.79000000
        PA
        USD
        67647.52000000
        0.003178064463
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-06-15
          Fixed
          3.78000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BEV56ME38 IRS EUR R V 12MESTR 1 CCPOIS / Short: BEV56ME38 IRS EUR P F  1.19300 2 CCPOIS
        000000000
        
          
        
        3112000.00000000
        OU
        Notional Amount
        
        62762.19000000
        0.002948552817
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-04-13
            0.00000000
            EUR
            0.00000000
            EUR
            3112000.00000000
            EUR
            62762.19000000
          
        
        
          N
          N
          N
        
      
      
        StoneCo Ltd
        549300O1A9LEF0XZCR35
        StoneCo Ltd
        000000000
        
          
        
        60400.00000000
        NS
        USD
        568968.00000000
        0.026729981850
        Long
        EC
        CORP
        KY
        
        N
        
        1
        
          N
          N
          N
        
      
      
        BRASKEM AMERICA FINANCE
        254900QMQAJ26H49CL75
        Braskem America Finance Co
        000000000
        
          
        
        1279000.00000000
        PA
        USD
        1275105.45000000
        0.059904151967
        Long
        DBT
        CORP
        US
        
        Y
        
        2
        
          2041-07-22
          Fixed
          7.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BEV4SFXN7 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4SFXN7 IRS COP P F  4.80500 2 CCPNDFOIS
        000000000
        
          
        
        15492290000.00000000
        OU
        Notional Amount
        
        474903.67000000
        0.022310861911
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2025-11-26
            0.00000000
            COP
            0.00000000
            COP
            15492290000.00000000
            COP
            474903.67000000
          
        
        
          N
          N
          N
        
      
      
        COOF 2199827010
        N/A
        COOF 2199827010
        000000000
        
          
        
        632551.36000000
        PA
        USD
        76470.94000000
        0.003592586645
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-03-15
          Fixed
          3.21000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9726965008
        N/A
        COOF 9726965008
        000000000
        
          
        
        562410.80000000
        PA
        USD
        57096.41000000
        0.002682375815
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-04-15
          Fixed
          2.66000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        PURCHASED PLN / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -35782.18000000
        -0.00168103833
        N/A
        DFE
        
        PL
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            3495137.40000000
            EUR
            16186205.00000000
            PLN
            2022-05-05
            -35782.18000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: B92RJ1RH4 CDS USD R V 03MEVENT 1 CCPSOVEREIGN / Short: B92RJ1RH4 CDS USD P F  1.00000 2 CCPSOVEREIGN
        000000000
        
          
        
        10151000.00000000
        OU
        Notional Amount
        USD
        -185580.48000000
        -0.00871852698
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                SAUDI INTERNATIONAL BOND
                SAUDI INTERNATIONAL BOND
                
                  
                
              
            
            Y
            buy protection
            
            2027-06-20
            0.00000000
            USD
            -211307.51000000
            USD
            10151000.00000000
            USD
            25727.03000000
          
        
        
          N
          N
          N
        
      
      
        INDONESIA GOVERNMENT
        529900FWX0GRR7WG5W79
        Indonesia Treasury Bond
        000000000
        
          
        
        101409000000.00000000
        PA
        
        6977333.73000000
        0.327793485697
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2030-09-15
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9748825002
        N/A
        COOF 9748825002
        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
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        699.41000000
        0.000032858116
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            6000000.00000000
            TRY
            392670.16000000
            USD
            2022-06-15
            699.41000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31283HHD0
        
          
        
        19787.13000000
        PA
        USD
        20853.92000000
        0.000979712221
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-06-01
          Fixed
          9.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PETRA DIAMONDS US TREAS
        635400LZYOO6WHAO2H58
        Petra Diamonds US Treasury PLC
        000000000
        
          
        
        4842863.39000000
        PA
        USD
        5133435.19000000
        0.241167569110
        Long
        DBT
        CORP
        GB
        
        Y
        
        2
        
          2026-03-08
          Fixed
          10.50000000
          N
          N
          Y
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED USD / SOLD SAR
        000000000
        
          
        
        1.00000000
        NC
        
        2155.02000000
        0.000101242329
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            46808000.00000000
            SAR
            12458545.15000000
            USD
            2023-03-14
            2155.02000000
          
        
        
          N
          N
          N
        
      
      
        UGANDA T-BILL
        549300NF1DEFHG8XLQ11
        Republic of Uganda Treasury Bills
        000000000
        
          
        
        22454400000.00000000
        PA
        
        6297038.60000000
        0.295833381652
        Long
        STIV
        NUSS
        UG
        N
        
        2
        
          2022-06-03
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Credit Agricole CIB
        1VUV7VQFKUOQSJ21A208
        PURCHASED USD / SOLD AED
        000000000
        
          
        
        1.00000000
        NC
        
        -222682.89000000
        -0.01046158941
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Credit Agricole CIB
              1VUV7VQFKUOQSJ21A208
            
            300000000.00000000
            AED
            81481883.86000000
            USD
            2023-03-06
            -222682.89000000
          
        
        
          N
          N
          N
        
      
      
        Nomura Asset Management U.S.A., Inc.
        549300ZN36E1MEF7S595
        Long: BEV55MMR7 CDS USD R F  1.00000 2 SOVEREIGN / Short: BEV55MMR7 CDS USD P V 03MEVENT 1 SOVEREIGN
        000000000
        
          
        
        1500000.00000000
        OU
        Notional Amount
        USD
        -22226.92000000
        -0.00104421543
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Nomura Asset Management U.S.A., Inc.
              549300ZN36E1MEF7S595
            
            
              
                SOCIALIST REP OF VIETNAM
                SOCIALIST REP OF VIETNAM
                
                  
                
              
            
            Y
            
            sell protection
            2027-06-20
            0.00000000
            USD
            -10477.12000000
            USD
            1500000.00000000
            USD
            -11749.80000000
          
        
        
          N
          N
          N
        
      
      
        EDEN RE II LTD UNSECURED 144A
        549300LKX8PCP3SC3F42
        EDEN RE II LTD UNSECURED 144A
        000000000
        
          
        
        1050000.00000000
        NS
        USD
        894600.00000000
        0.042028096068
        Long
        STIV
        CORP
        US
        
        N
        
        3
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED USD / SOLD AED
        000000000
        
          
        
        1.00000000
        NC
        
        -378614.66000000
        -0.01778722703
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            510072400.00000000
            AED
            138538866.86000000
            USD
            2023-03-06
            -378614.66000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BEV4180U2 IRS COP R V 00MDTF DTF RATE 90D NONCOMPOUNDING / Short: BEV4180U2 IRS COP P F  3.85000 CCP CME
        000000000
        
          
        
        10940900000.00000000
        OU
        Notional Amount
        
        363820.31000000
        0.017092191974
        N/A
        DIR
        
        CO
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2025-05-06
            0.00000000
            COP
            0.00000000
            COP
            10940900000.00000000
            COP
            363820.31000000
          
        
        
          N
          N
          N
        
      
      
        ZAMBIA GOVERNMENT BOND
        213800DMLAZ6LGMMD849
        Zambia Government Bond
        000000000
        
          
        
        47920000.00000000
        PA
        
        1710553.20000000
        0.080361384104
        Long
        DBT
        NUSS
        ZM
        N
        
        2
        
          2029-02-21
          Fixed
          12.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of South Africa
        378900AAFB4F17004C49
        Republic of South Africa Government Bond
        000000000
        
          
        
        672387139.00000000
        PA
        
        46088907.90000000
        2.165245974631
        Long
        DBT
        NUSS
        ZA
        N
        
        2
        
          2026-12-21
          Fixed
          10.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9645535006
        N/A
        COOF 9645535006
        000000000
        
          
        
        1689077.08000000
        PA
        USD
        174060.38000000
        0.008177315417
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-09-15
          Fixed
          2.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -21818.77000000
        -0.00102504064
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            866211.98000000
            USD
            800317.81000000
            EUR
            2022-05-06
            -21818.77000000
          
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED EUR / SOLD PLN
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -29984.63000000
        -0.00140867081
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            15382548.00000000
            PLN
            3260948.87000000
            EUR
            2022-05-05
            -29984.63000000
          
        
        
          N
          N
          N
        
      
      
        COOF 2347087005
        N/A
        COOF 2347087005
        000000000
        
          
        
        297498.73000000
        PA
        USD
        41950.36000000
        0.001970817974
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-04-15
          Fixed
          3.66000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ZAMBIA GOVERNMENT BOND
        213800DMLAZ6LGMMD849
        Zambia Government Bond
        000000000
        
          
        
        20170000.00000000
        PA
        
        697073.89000000
        0.032748366214
        Long
        DBT
        NUSS
        ZM
        N
        
        2
        
          2031-06-28
          Fixed
          13.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9335025000
        N/A
        COOF 9335025000
        000000000
        
          
        
        2424860.03000000
        PA
        USD
        304337.75000000
        0.014297715397
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-09-15
          Fixed
          3.16000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JSW INFRASTRUCTURE
        3358003E3YFK92C9WX80
        JSW Infrastructure Ltd
        000000000
        
          
        
        3677000.00000000
        PA
        USD
        3310366.92000000
        0.155520253672
        Long
        DBT
        CORP
        IN
        Y
        
        2
        
          2029-01-21
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas SA
        R0MUWSFPU8MPRO8K5P83
        PURCHASED HUF / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -100967.25000000
        -0.00474341748
        N/A
        DFE
        
        HU
        N
        
        2
        
          
            
              BNP Paribas SA
              R0MUWSFPU8MPRO8K5P83
            
            4832342.38000000
            EUR
            1800917360.00000000
            HUF
            2022-06-01
            -100967.25000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202CLR2
        
          
        
        148164.45000000
        PA
        USD
        155363.75000000
        0.007298952169
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2025-12-20
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        PURCHASED USD / SOLD ILS
        000000000
        
          
        
        1.00000000
        NC
        
        363939.26000000
        0.017097780217
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            25018520.00000000
            ILS
            7881685.81000000
            USD
            2022-07-06
            363939.26000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BEV4LFY60 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4LFY60 IRS COP P F  4.05260 2 CCPNDFOIS
        000000000
        
          
        
        6280900000.00000000
        OU
        Notional Amount
        
        231645.56000000
        0.010882653531
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2025-11-26
            319189.10000000
            COP
            0.00000000
            COP
            6280900000.00000000
            COP
            231555.10000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED PHP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -480.92000000
        -0.00002259350
        N/A
        DFE
        
        PH
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            44046.44000000
            USD
            2274338.00000000
            PHP
            2022-05-03
            -480.92000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SEV51WZF1 IRS AUD R F  1.58250 2 CCPVANILLA / Short: SEV51WZF1 IRS AUD P V 06MBBSW 1 CCPVANILLA
        000000000
        
          
        
        166490000.00000000
        OU
        Notional Amount
        
        -2382455.00000000
        -0.11192717149
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-01-17
            0.00000000
            AUD
            0.00000000
            AUD
            166490000.00000000
            AUD
            -2382455.00000000
          
        
        
          N
          N
          N
        
      
      
        EDEN RE II LTD UNSECURED 144A
        N/A
        EDEN RE II LTD UNSECURED 144A
        000000000
        
          
        
        1100000.00000000
        NS
        USD
        1094500.00000000
        0.051419350711
        Long
        STIV
        CORP
        US
        
        N
        
        3
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD PHP
        000000000
        
          
        
        1.00000000
        NC
        
        -89.11000000
        -0.00000418636
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            2274338.00000000
            PHP
            43476.41000000
            USD
            2022-05-03
            -89.11000000
          
        
        
          N
          N
          N
        
      
      
        Piraeus Financial Holdings SA
        M6AD1Y1KW32H8THQ6F76
        Piraeus Financial Holdings SA
        000000000
        
          
        
        938200.00000000
        NS
        
        1354444.15000000
        0.063631465297
        Long
        EC
        CORP
        GR
        N
        
        2
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: BEV56EAN6 IRS CLP R V 06MCLICP CLICP+0BPS+1D COMPUNDING / Short: BEV56EAN6 IRS CLP P F  2.10000 CLF LEG 2.1 FIXED RATE
        000000000
        
          
        
        1333595340.00000000
        OU
        Notional Amount
        
        -31355.31000000
        -0.00147306503
        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
            -31355.31000000
          
        
        
          N
          N
          N
        
      
      
        CORURIPE NETHERLANDS BV
        724500EL5MDC9RD0FW48
        CORURIPE NETHERLANDS BV
        22088DAA8
        
          
        
        903000.00000000
        PA
        USD
        783352.50000000
        0.036801714872
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2027-02-10
          Fixed
          10.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9703695007
        N/A
        COOF 9703695007
        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
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BEV55MT41 IRS CZK R V 06MPRIBO 1 CCPVANILLA / Short: BEV55MT41 IRS CZK P F  5.42500 2 CCPVANILLA
        000000000
        
          
        
        195104808.00000000
        OU
        Notional Amount
        
        41724.69000000
        0.001960216051
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-03-25
            0.00000000
            CZK
            0.00000000
            CZK
            195104808.00000000
            CZK
            41724.69000000
          
        
        
          N
          N
          N
        
      
      
        COOF 9664715007
        N/A
        COOF 9664715007
        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 Board of Trade
        549300EX04Q2QBFQTQ27
        US LONG BOND(CBT) JUN22
        000000000
        
          
        
        -10.00000000
        NC
        USD
        9481.25000000
        0.000445426878
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                CBOT US Long Bond Future
                USM2 COMDTY
              
            
            2022-06-21
            -1416356.25000000
            USD
            9481.25000000
          
        
        
          N
          N
          N
        
      
      
        Auckland International Airport Ltd
        549300HFZIZDJWB7AK60
        Auckland International Airport Ltd
        000000000
        
          
        
        -112900.00000000
        NS
        
        -567097.08000000
        -0.02664208647
        Short
        EC
        CORP
        NZ
        N
        
        2
        
          N
          N
          N
        
      
      
        Morgan Stanley & Co. LLC
        549300BI6Y5SI6BYPB26
        Morgan Stanley Institutional Liquidity Funds - Government Portfolio
        61747C707
        
          
        
        251646472.88000000
        NS
        USD
        251646472.88000000
        11.82229168059
        Long
        STIV
        RF
        US
        N
        
        1
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PURCHASED HUF / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -364197.05000000
        -0.01710989113
        N/A
        DFE
        
        HU
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            7021491.53000000
            EUR
            2534283088.00000000
            HUF
            2022-05-23
            -364197.05000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: BEV3Y9W15 CDS USD R V 03MEVENT MOAGBN/XS0546428144 / Short: BEV3Y9W15 CDS USD P F  1.00000
        000000000
        
          
        
        5058000.00000000
        OU
        Notional Amount
        USD
        -44252.85000000
        -0.00207898840
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Emirate of Dubai Government International Bonds
                Emirate of Dubai Government International Bonds
                
                  
                
              
            
            Y
            buy protection
            
            2024-12-20
            44411.05000000
            USD
            0.00000000
            USD
            5058000.00000000
            USD
            -88663.90000000
          
        
        
          N
          N
          N
        
      
      
        Lebanese Republic
        529900QPC4K9S1KHL354
        Lebanon Government International Bond
        000000000
        
          
        
        750000.00000000
        PA
        USD
        90937.50000000
        0.004272222206
        Long
        DBT
        NUSS
        LB
        N
        
        2
        
          2022-05-27
          None
          0.00000000
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        KOREA TREASURY BOND
        549300O0QCVSQGPGDT58
        Korea Treasury Bond
        000000000
        
          
        
        31500000000.00000000
        PA
        
        24400070.54000000
        1.146309533567
        Long
        DBT
        NUSS
        KR
        N
        
        2
        
          2024-12-10
          Fixed
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BEV50FPZ6 IRS COP R V 03MCOOVI 1 CCPNDF / Short: BEV50FPZ6 IRS COP P F  6.00000 2 CCPNDF
        000000000
        
          
        
        17135000000.00000000
        OU
        Notional Amount
        
        365841.77000000
        0.017187159686
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2025-11-26
            0.00000000
            COP
            0.00000000
            COP
            17135000000.00000000
            COP
            365841.77000000
          
        
        
          N
          N
          N
        
      
      
        COOF 1814867009
        N/A
        COOF 1814867009
        000000000
        
          
        
        521726.33000000
        PA
        USD
        33563.82000000
        0.001576820312
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2028-03-15
          Fixed
          3.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 7774145004
        N/A
        COOF 7774145004
        000000000
        
          
        
        951369.99000000
        PA
        USD
        66169.73000000
        0.003108638239
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2039-07-15
          Fixed
          2.39000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: BEV55E321 TRS COP R F   .00000 NO INDEX+0BPS COLOMBIA TRA / Short: BEV55E321 TRS COP P V 00MDTF DTF RATE 90D NON COMPOUNDING
        000000000
        
          
        
        26644200000.00000000
        OU
        Notional Amount
        
        -29989.87000000
        -0.00140891698
        N/A
        DIR
        
        CO
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            
              
                TITULOS DE TESORERIA
                TITULOS DE TESORERIA
                
                  
                
              
            
            Y
            equity-performance leg
            
              
                
              
            
            2022-05-24
            0.00000000
            COP
            0.00000000
            COP
            26644200000.00000000
            COP
            -29989.87000000
          
        
        
          N
          N
          N
        
      
      
        COOF 2005677005
        N/A
        COOF 2005677005
        000000000
        
          
        
        416666.18000000
        PA
        USD
        43708.19000000
        0.002053400411
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-04-15
          Fixed
          2.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 1607627004
        N/A
        COOF 1607627004
        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
        Serbia Treasury Bonds
        000000000
        
          
        
        1139040000.00000000
        PA
        
        9095061.82000000
        0.427283849673
        Long
        DBT
        NUSS
        RS
        N
        
        2
        
          2032-08-20
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UGANDA T-BILL
        549300NF1DEFHG8XLQ11
        Republic of Uganda Treasury Bills
        000000000
        
          
        
        6727400000.00000000
        PA
        
        1879884.71000000
        0.088316538329
        Long
        STIV
        NUSS
        UG
        N
        
        2
        
          2022-06-23
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOVERNMENT OF UKRAINE
        6354001WLTJXOMEXPY07
        Ukraine Government Bond
        000000000
        
          
        
        3871788000.00000000
        PA
        
        64529800.00000000
        3.031594716823
        Long
        DBT
        NUSS
        UA
        N
        
        3
        
          2025-02-26
          Fixed
          15.84000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        PURCHASED CAD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        21897.48000000
        0.001028738422
        N/A
        DFE
        
        CA
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            6228379.07000000
            USD
            8030000.00000000
            CAD
            2022-06-10
            21897.48000000
          
        
        
          N
          N
          N
        
      
      
        COOF 9384175006
        N/A
        COOF 9384175006
        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
        Bulgarian Energy Holding EAD
        000000000
        
          
        
        180000.00000000
        PA
        
        152360.98000000
        0.007157882745
        Long
        DBT
        CORP
        BG
        Y
        
        2
        
          2028-07-22
          Fixed
          2.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 8430145005
        N/A
        COOF 8430145005
        000000000
        
          
        
        792945.42000000
        PA
        USD
        59629.94000000
        0.002801400454
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-06-15
          Fixed
          2.53000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALAM SUTERA REALTY TBK
        2549001ML992STTEP738
        Alam Sutera Realty Tbk PT
        000000000
        
          
        
        5025000.00000000
        PA
        USD
        3240219.55000000
        0.152224746847
        Long
        DBT
        CORP
        ID
        Y
        
        2
        
          2025-11-02
          Fixed
          8.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED PLN / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -145813.48000000
        -0.00685028274
        N/A
        DFE
        
        PL
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            7582113.61000000
            EUR
            34811000.00000000
            PLN
            2022-05-05
            -145813.48000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        351902.19000000
        0.016532281520
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            162028752.20000000
            ZAR
            10588384.39000000
            USD
            2022-05-25
            351902.19000000
          
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PURCHASED EUR / SOLD HUF
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -15221.02000000
        -0.00071507991
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            802955555.00000000
            HUF
            2097513.26000000
            EUR
            2022-06-01
            -15221.02000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31373HXY7
        
          
        
        196755.55000000
        PA
        USD
        206402.92000000
        0.009696760284
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-07-01
          Floating
          3.27200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31387CV57
        
          
        
        68779.63000000
        PA
        USD
        69725.85000000
        0.003275703914
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-05-01
          Floating
          2.31800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 8471595007
        N/A
        COOF 8471595007
        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
        COOF 9648365009
        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
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED THB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        80839.73000000
        0.003797831364
        N/A
        DFE
        
        TH
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            18529348.64000000
            USD
            637383000.00000000
            THB
            2022-05-09
            80839.73000000
          
        
        
          N
          N
          N
        
      
      
        Deutsche Bank AG
        7LTWFZYICNSX8D621K86
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -81566.84000000
        -0.00383199081
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Deutsche Bank AG
              7LTWFZYICNSX8D621K86
            
            2649675.12000000
            USD
            2434058.88000000
            EUR
            2022-05-06
            -81566.84000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        Long: BEV55U0X0 TRS COP R F   .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV55U0X0 TRS COP P V 00MDTF DTF RATE 90D NON COMPUNDING
        000000000
        
          
        
        33880700000.00000000
        OU
        Notional Amount
        
        107257.50000000
        0.005038931940
        N/A
        DIR
        
        CO
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            
              
                TITULOS DE TESORERIA
                TITULOS DE TESORERIA
                
                  
                
              
            
            Y
            equity-performance leg
            
              
                
              
            
            2022-05-30
            0.00000000
            COP
            0.00000000
            COP
            33880700000.00000000
            COP
            107257.50000000
          
        
        
          N
          N
          N
        
      
      
        Grupo Kaltex SA de CV
        4469000001BKEKA98385
        Grupo Kaltex SA de CV
        000000000
        
          
        
        1124000.00000000
        PA
        USD
        644147.54000000
        0.030261898829
        Long
        DBT
        CORP
        MX
        Y
        
        2
        
          2022-04-11
          Fixed
          8.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31359BMV6
        
          
        
        91881.81000000
        PA
        USD
        93568.33000000
        0.004395817976
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-07-25
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        PURCHASED EUR / SOLD PLN
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -15796.25000000
        -0.00074210408
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            15900000.00000000
            PLN
            3359510.75000000
            EUR
            2022-06-17
            -15796.25000000
          
        
        
          N
          N
          N
        
      
      
        COOF 9575225000
        N/A
        COOF 9575225000
        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
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: BEV56C7J3 IRS MYR R V 03MKLIBO 1 NDF / Short: BEV56C7J3 IRS MYR P F  3.61000 2 NDF
        000000000
        
          
        
        57400000.00000000
        OU
        Notional Amount
        
        209971.79000000
        0.009864424951
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-06-15
            0.00000000
            MYR
            0.00000000
            MYR
            57400000.00000000
            MYR
            209971.79000000
          
        
        
          N
          N
          N
        
      
      
        Republic of Iraq
        N/A
        Iraq International Bond
        000000000
        
          
        
        15100500.00000000
        PA
        USD
        14631025.46000000
        0.687362110005
        Long
        DBT
        NUSS
        IQ
        Y
        
        2
        
          2028-01-15
          Fixed
          5.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9631805003
        N/A
        COOF 9631805003
        000000000
        
          
        
        2097690.97000000
        PA
        USD
        191789.68000000
        0.009010233731
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-09-15
          Fixed
          2.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BEV55WEC7 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BEV55WEC7 IRS USD P F  2.55100 2 CCPVANILLA
        000000000
        
          
        
        8850000.00000000
        OU
        Notional Amount
        USD
        335609.70000000
        0.015766864199
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-03-30
            0.00000000
            USD
            0.00000000
            USD
            8850000.00000000
            USD
            335609.70000000
          
        
        
          N
          N
          N
        
      
      
        COOF 9682415004
        N/A
        COOF 9682415004
        000000000
        
          
        
        3465057.98000000
        PA
        USD
        308076.84000000
        0.014473376959
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-09-15
          Fixed
          2.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        PURCHASED CZK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -13051.64000000
        -0.00061316295
        N/A
        DFE
        
        CZ
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            1751254.59000000
            EUR
            43081038.00000000
            CZK
            2022-06-14
            -13051.64000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BEV4Y0R18 IRS COP R V 03MCOOVI 1 CCPNDF / Short: BEV4Y0R18 IRS COP P F  6.06000 2 CCPNDF
        000000000
        
          
        
        14897000000.00000000
        OU
        Notional Amount
        
        311036.04000000
        0.014612399474
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2025-11-26
            0.00000000
            COP
            0.00000000
            COP
            14897000000.00000000
            COP
            311036.04000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31368HEA7
        
          
        
        32522.41000000
        PA
        USD
        33267.84000000
        0.001562915242
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-11-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pagseguro Digital Ltd
        N/A
        Pagseguro Digital Ltd
        000000000
        
          
        
        43700.00000000
        NS
        USD
        642827.00000000
        0.030199860173
        Long
        EC
        CORP
        KY
        
        N
        
        1
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        3167.36000000
        0.000148801822
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            9305206.00000000
            TRY
            611062.11000000
            USD
            2022-06-15
            3167.36000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36203CKT8
        
          
        
        2789.46000000
        PA
        USD
        2822.03000000
        0.000132578300
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2023-11-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Zambia
        213800DMLAZ6LGMMD849
        Zambia Government International Bond
        000000000
        
          
        
        7546000.00000000
        PA
        USD
        5436591.16000000
        0.255409764762
        Long
        DBT
        NUSS
        ZM
        Y
        
        2
        
          2022-09-20
          Fixed
          5.37500000
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        EURO-BOBL FUTURE JUN22
        000000000
        
          
        
        -1.00000000
        NC
        
        -274.29000000
        -0.00001288607
        N/A
        DIR
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Short
            
              
                EUX 5 Year Euro BOBL Future
                OEM2 COMDTY
              
            
            2022-06-08
            -126920.00000000
            EUR
            -274.29000000
          
        
        
          N
          N
          N
        
      
      
        COOF 2235657005
        N/A
        COOF 2235657005
        000000000
        
          
        
        2020328.36000000
        PA
        USD
        143937.19000000
        0.006762135087
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-04-15
          Fixed
          2.16000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 2160437003
        N/A
        COOF 2160437003
        000000000
        
          
        
        433791.08000000
        PA
        USD
        28929.59000000
        0.001359105284
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2028-03-15
          Fixed
          3.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        10710.36000000
        0.000503170175
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            220777.83000000
            EUR
            244078.48000000
            USD
            2022-06-15
            10710.36000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF ARMENIA
        5299000H77JSW90G7935
        Republic of Armenia International Bond
        000000000
        
          
        
        2895000.00000000
        PA
        USD
        2164197.78000000
        0.101673499003
        Long
        DBT
        NUSS
        AM
        Y
        
        2
        
          2031-02-02
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Binh Minh Plastics JSC
        N/A
        Binh Minh Plastics JSC
        000000000
        
          
        
        14820.00000000
        NS
        
        39581.07000000
        0.001859509291
        Long
        EC
        CORP
        VN
        N
        
        2
        
          N
          N
          N
        
      
      
        AL Yah Satellite Communications Co-Pjsc-Yah Sat
        254900EPYJTFVMJEOA69
        AL Yah Satellite Communications Co-Pjsc-Yah Sat
        000000000
        
          
        
        5278406.00000000
        NS
        
        3814476.62000000
        0.179203207954
        Long
        EC
        CORP
        AE
        N
        
        2
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        1933428.35000000
        0.090832005851
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            419498131.00000000
            ZAR
            28376103.83000000
            USD
            2022-06-15
            1933428.35000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BEV5417H3 IRS NZD R V 03MNZDBB 1 CCPVANILLA / Short: BEV5417H3 IRS NZD P F  2.97500 2 CCPVANILLA
        000000000
        
          
        
        16865000.00000000
        OU
        Notional Amount
        
        837379.71000000
        0.039339900399
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-02-23
            0.00000000
            NZD
            0.00000000
            NZD
            16865000.00000000
            NZD
            837379.71000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BEV4K3JC2 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4K3JC2 IRS COP P F  4.82500 2 CCPNDFOIS
        000000000
        
          
        
        4923600000.00000000
        OU
        Notional Amount
        
        223483.55000000
        0.010499204235
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2028-03-26
            0.00000000
            COP
            0.00000000
            COP
            4923600000.00000000
            COP
            223483.55000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SEV4XZDQ2 IRS CNY R F  2.64000 2 CCPNDF / Short: SEV4XZDQ2 IRS CNY P V 00MCNRR 1 CCPNDF
        000000000
        
          
        
        44763787.00000000
        OU
        Notional Amount
        
        51777.71000000
        0.002432504549
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2026-11-01
            0.00000000
            CNY
            0.00000000
            CNY
            44763787.00000000
            CNY
            51777.71000000
          
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        PURCHASED CZK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -318.23000000
        -0.00001495037
        N/A
        DFE
        
        CZ
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            3456287.99000000
            EUR
            85845000.00000000
            CZK
            2022-06-30
            -318.23000000
          
        
        
          N
          N
          N
        
      
      
        Lebanese Republic
        529900QPC4K9S1KHL354
        Lebanon Government International Bond
        000000000
        
          
        
        1463000.00000000
        PA
        USD
        178339.70000000
        0.008378356857
        Long
        DBT
        NUSS
        LB
        Y
        
        2
        
          2035-11-02
          None
          0.00000000
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        GUARA NORTE SARL
        549300U2I4L03BBA3485
        Guara Norte Sarl
        000000000
        
          
        
        1130338.12000000
        PA
        USD
        997755.11000000
        0.046874298698
        Long
        DBT
        CORP
        LU
        
        Y
        
        2
        
          2034-06-15
          Fixed
          5.19800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF UZBEKISTAN
        213800L6VDKUM3TCM927
        Republic of Uzbekistan International Bond
        000000000
        
          
        
        16470000000.00000000
        PA
        
        1456976.89000000
        0.068448429132
        Long
        DBT
        NUSS
        UZ
        Y
        
        2
        
          2023-11-25
          Fixed
          14.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9561145010
        N/A
        COOF 9561145010
        000000000
        
          
        
        861481.00000000
        PA
        USD
        41142.92000000
        0.001932884634
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2027-07-15
          Fixed
          2.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        Long: BEV55C499 CDS USD R V 03MEVENT 1 SOVEREIGN / Short: BEV55C499 CDS USD P F  1.00000 2 SOVEREIGN
        000000000
        
          
        
        9820000.00000000
        OU
        Notional Amount
        USD
        492093.56000000
        0.023118438871
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                ROMANIA
                ROMANIA
                
                  
                
              
            
            Y
            buy protection
            
            2027-06-20
            406637.99000000
            USD
            0.00000000
            USD
            9820000.00000000
            USD
            85455.57000000
          
        
        
          N
          N
          N
        
      
      
        PETROTAL CORP
        21380047ER33PRH4XH56
        PetroTal Corp
        000000000
        
          
        
        720000.00000000
        PA
        USD
        748800.00000000
        0.035178446608
        Long
        DBT
        CORP
        CA
        
        Y
        
        2
        
          2024-02-16
          Fixed
          12.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        Long: BEV54ST15 CDS USD R V 03MEVENT 1 SOVEREIGN / Short: BEV54ST15 CDS USD P F  1.00000 2 SOVEREIGN
        000000000
        
          
        
        10160000.00000000
        OU
        Notional Amount
        USD
        -275180.25000000
        -0.01292790295
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            
              
                CZECH REPUBLIC
                CZECH REPUBLIC
                
                  
                
              
            
            Y
            buy protection
            
            2026-12-20
            0.00000000
            USD
            -180228.31000000
            USD
            10160000.00000000
            USD
            -94951.94000000
          
        
        
          N
          N
          N
        
      
      
        Reginn HF
        9676000V0KP4AUXNSZ66
        Reginn HF
        000000000
        
          
        
        1908490.00000000
        NS
        
        561264.06000000
        0.026368052574
        Long
        EC
        CORP
        IS
        N
        
        2
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31381D3R4
        
          
        
        530.08000000
        PA
        USD
        547.86000000
        0.000025738333
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-01-15
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED PEN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -85619.62000000
        -0.00402238946
        N/A
        DFE
        
        PE
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            2599965.32000000
            USD
            9700000.00000000
            PEN
            2022-06-15
            -85619.62000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: B91ZBVVV3 CDS USD R V 03MEVENT 1 CCPSOVEREIGN / Short: B91ZBVVV3 CDS USD P F  1.00000 2 CCPSOVEREIGN
        000000000
        
          
        
        0.00000000
        OU
        Notional Amount
        USD
        0.00000000
        0.000000
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Russian Foreign Bond - Eurobond
                Russian Foreign Bond - Eurobond
                
                  
                
              
            
            Y
            buy protection
            
            2026-12-20
            13973.22000000
            USD
            0.00000000
            USD
            0.00000000
            USD
            -13973.22000000
          
        
        
          N
          N
          N
        
      
      
        ZAMBIA GOVERNMENT BOND
        213800DMLAZ6LGMMD849
        Zambia Government Bond
        000000000
        
          
        
        15100000.00000000
        PA
        
        702829.11000000
        0.033018745086
        Long
        DBT
        NUSS
        ZM
        N
        
        2
        
          2027-02-16
          Fixed
          15.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD RUB
        000000000
        
          
        
        1.00000000
        NC
        
        -661875.12000000
        -0.03109473633
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            134896876.00000000
            RUB
            1212556.19000000
            USD
            2022-05-11
            -661875.12000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BEV4XYUE3 IRS TWD R V 03MCPTW 1 CCPNDF / Short: BEV4XYUE3 IRS TWD P F   .87000 2 CCPNDF
        000000000
        
          
        
        640495868.00000000
        OU
        Notional Amount
        
        775563.78000000
        0.036435802652
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2026-11-02
            0.00000000
            TWD
            0.00000000
            TWD
            640495868.00000000
            TWD
            775563.78000000
          
        
        
          N
          N
          N
        
      
      
        Mobile World Investment Corp
        254900ZRFNB8CRAHHO95
        Mobile World Investment Corp
        000000000
        
          
        
        541249.00000000
        NS
        
        3762804.25000000
        0.176775652252
        Long
        EC
        CORP
        VN
        N
        
        2
        
          N
          N
          N
        
      
      
        COOF 2371767008
        N/A
        COOF 2371767008
        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
        
      
      
        EGYPT TREASURY BILL
        529900GFIVH4086NMH82
        Egypt Treasury Bills
        000000000
        
          
        
        34675000.00000000
        PA
        
        1789841.92000000
        0.084086349386
        Long
        STIV
        NUSS
        EG
        N
        
        2
        
          2022-09-27
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WOW AIR EHF
        549300LW49V05P8Z2H93
        Wow Air hf
        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
        Long: BEV51GDU7 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BEV51GDU7 IRS USD P F  2.53700 2 CCPINFLATIONZERO
        000000000
        
          
        
        9950000.00000000
        OU
        Notional Amount
        USD
        776406.86000000
        0.036475410351
        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
            776406.86000000
          
        
        
          N
          N
          N
        
      
      
        COOF 2126017002
        N/A
        COOF 2126017002
        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
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31335PJK2
        
          
        
        50218.75000000
        PA
        USD
        52106.79000000
        0.002447964650
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-06-17
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: BEV55PMG4 CDS USD R F  1.00000 2 SOVEREIGN / Short: BEV55PMG4 CDS USD P V 03MEVENT 1 SOVEREIGN
        000000000
        
          
        
        16200000.00000000
        OU
        Notional Amount
        USD
        -240050.79000000
        -0.01127752924
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            
              
                SOCIALIST REP OF VIETNAM
                SOCIALIST REP OF VIETNAM
                
                  
                
              
            
            Y
            
            sell protection
            2027-06-20
            0.00000000
            USD
            -128379.91000000
            USD
            16200000.00000000
            USD
            -111670.88000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31359AMH9
        
          
        
        12061.77000000
        PA
        USD
        12246.90000000
        0.000575356460
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-06-25
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BEV4XUPL1 IRS EUR R V 12MCPTFE 1 CCPINFLATIONZERO / Short: BEV4XUPL1 IRS EUR P F  2.20000 2 CCPINFLATIONZERO
        000000000
        
          
        
        5900000.00000000
        OU
        Notional Amount
        
        912018.72000000
        0.042846423407
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on European Union Consumer Price Index (cpi)
            
            2036-10-15
            0.00000000
            EUR
            0.00000000
            EUR
            5900000.00000000
            EUR
            912018.72000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD IDR
        000000000
        
          
        
        1.00000000
        NC
        
        55248.99000000
        0.002595584461
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            53653860000.00000000
            IDR
            3728551.77000000
            USD
            2022-06-21
            55248.99000000
          
        
        
          N
          N
          N
        
      
      
        Allo Bank Indonesia Tbk PT
        N/A
        Allo Bank Indonesia Tbk PT
        000000000
        
          
        
        346000.00000000
        NS
        
        154817.52000000
        0.007273290413
        Long
        EC
        CORP
        ID
        N
        
        2
        
          N
          N
          N
        
      
      
        COOF 9447195010
        N/A
        COOF 9447195010
        000000000
        
          
        
        2436316.92000000
        PA
        USD
        277733.34000000
        0.013047846517
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-03-15
          Fixed
          3.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DOMINICAN REPUBLIC
        254900EHU7Q8FGVPI369
        Dominican Republic International Bond
        000000000
        
          
        
        96000000.00000000
        PA
        
        1582766.53000000
        0.074357996620
        Long
        DBT
        NUSS
        DO
        Y
        
        2
        
          2027-01-15
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 1728057006
        N/A
        COOF 1728057006
        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
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        445442.94000000
        0.020926803795
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            170199039.00000000
            ZAR
            11173781.45000000
            USD
            2022-06-15
            445442.94000000
          
        
        
          N
          N
          N
        
      
      
        YPF SOCIEDAD ANONIMA
        5493003N7447U18U5U53
        YPF SA
        000000000
        
          
        
        1523454.00000000
        PA
        USD
        1352591.02000000
        0.063544405689
        Long
        DBT
        CORP
        AR
        Y
        
        2
        
          2026-02-12
          Variable
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 1717067003
        N/A
        COOF 1717067003
        000000000
        
          
        
        429211.05000000
        PA
        USD
        44201.21000000
        0.002076562374
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-01-15
          Fixed
          2.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IVORY COAST
        254900ICW11T82O6H590
        Ivory Coast Government International Bond
        000000000
        
          
        
        3666000.00000000
        PA
        
        3261998.69000000
        0.153247925685
        Long
        DBT
        NUSS
        CI
        Y
        
        2
        
          2032-01-30
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        126889.41000000
        0.005961234421
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            46011706.00000000
            ZAR
            3024996.29000000
            USD
            2022-06-22
            126889.41000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31419AZP5
        
          
        
        28738.58000000
        PA
        USD
        29121.75000000
        0.001368132916
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-07-01
          Floating
          1.56900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31418MS37
        
          
        
        1394292.63000000
        PA
        USD
        1528575.35000000
        0.071812107821
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-10-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 1988577005
        N/A
        COOF 1988577005
        000000000
        
          
        
        1762204.84000000
        PA
        USD
        140620.56000000
        0.006606320595
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-02-15
          Fixed
          2.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31373UV20
        
          
        
        203727.59000000
        PA
        USD
        204826.79000000
        0.009622714070
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-07-01
          Floating
          1.46800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        PURCHASED EUR / SOLD PLN
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -13271.79000000
        -0.00062350555
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            4842622.00000000
            PLN
            1022955.88000000
            EUR
            2022-05-05
            -13271.79000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BEV54SG43 IRS USD R V 12MSOFR 1 CCPOIS / Short: BEV54SG43 IRS USD P F  1.43870 2 CCPOIS
        000000000
        
          
        
        9000000.00000000
        OU
        Notional Amount
        USD
        278337.60000000
        0.013076234509
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-09-09
            0.00000000
            USD
            0.00000000
            USD
            9000000.00000000
            USD
            278337.60000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BEV52RZ12 IRS TWD R V 03MCPTW 1 CCPNDF / Short: BEV52RZ12 IRS TWD P F   .95000 2 CCPNDF
        000000000
        
          
        
        644532208.00000000
        OU
        Notional Amount
        
        744675.18000000
        0.034984663542
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on US CPI Urban Consumers NSA
            
            2027-02-08
            0.00000000
            TWD
            0.00000000
            TWD
            644532208.00000000
            TWD
            744675.18000000
          
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED USD / SOLD BHD
        000000000
        
          
        
        1.00000000
        NC
        
        -1801.34000000
        -0.00008462652
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            6120833.00000000
            BHD
            16178853.97000000
            USD
            2023-03-16
            -1801.34000000
          
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED USD / SOLD OMR
        000000000
        
          
        
        1.00000000
        NC
        
        -271112.69000000
        -0.01273680994
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            7600000.00000000
            OMR
            19454754.90000000
            USD
            2023-03-29
            -271112.69000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BEV4WPG41 IRS PLN R V 06MWIBOR 1 CCPVANILLA / Short: BEV4WPG41 IRS PLN P F  2.48900 2 CCPVANILLA
        000000000
        
          
        
        82460000.00000000
        OU
        Notional Amount
        
        2805586.15000000
        0.131805772680
        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
            2805586.15000000
          
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PURCHASED EUR / SOLD PLN
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -29638.58000000
        -0.00139241346
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            11460326.00000000
            PLN
            2422557.73000000
            EUR
            2022-05-05
            -29638.58000000
          
        
        
          N
          N
          N
        
      
      
        ZAMBIA GOVERNMENT BOND
        213800DMLAZ6LGMMD849
        Zambia Government Bond
        000000000
        
          
        
        76230000.00000000
        PA
        
        2595500.29000000
        0.121935988747
        Long
        DBT
        NUSS
        ZM
        N
        
        2
        
          2031-12-27
          Fixed
          13.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOVERNMENT OF UKRAINE
        6354001WLTJXOMEXPY07
        Ukraine Government Bond
        000000000
        
          
        
        39841000.00000000
        PA
        
        807587.84000000
        0.037940285404
        Long
        DBT
        NUSS
        UA
        N
        
        3
        
          2023-08-23
          Fixed
          10.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -208447.44000000
        -0.00979281134
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            3745197.45000000
            USD
            5000000.00000000
            AUD
            2022-07-05
            -208447.44000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BEV534YN5 IRS COP R V 03MCPIBR 1 CCPNDFOIS / Short: BEV534YN5 IRS COP P F  7.03000 2 CCPNDFOIS
        000000000
        
          
        
        69340000000.00000000
        OU
        Notional Amount
        
        848749.28000000
        0.039874040104
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2025-11-26
            0.00000000
            COP
            0.00000000
            COP
            69340000000.00000000
            COP
            848749.28000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31335PL45
        
          
        
        437992.74000000
        PA
        USD
        465026.02000000
        0.021846812254
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-08-17
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -640371.67000000
        -0.03008450935
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            19324529.53000000
            USD
            17676141.00000000
            EUR
            2022-06-15
            -640371.67000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        Long: BEV5725C1 TRS COP R F   .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV5725C1 TRS COP P V 00MDTF STF RATE 90D NON COMPOUNDING
        000000000
        
          
        
        19540390000.00000000
        OU
        Notional Amount
        
        -78141.81000000
        -0.00367108372
        N/A
        DIR
        
        CO
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            
              
                TITULOS DE TESORERIA
                TITULOS DE TESORERIA
                
                  
                
              
            
            Y
            equity-performance leg
            
              
                
              
            
            2022-05-20
            0.00000000
            COP
            0.00000000
            COP
            19540390000.00000000
            COP
            -78141.81000000
          
        
        
          N
          N
          N
        
      
      
        BENIN INTL GOV BOND
        635400Q11P6AE5A5Y230
        Benin Government International Bond
        000000000
        
          
        
        11330000.00000000
        PA
        
        9879302.65000000
        0.464127298079
        Long
        DBT
        NUSS
        BJ
        Y
        
        2
        
          2052-01-19
          Fixed
          6.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BEV51HF25 IRS JPY R V 12MTONAR 1 CCPOIS / Short: BEV51HF25 IRS JPY P F   .56490 2 CCPOIS
        000000000
        
          
        
        752245983.00000000
        OU
        Notional Amount
        
        359394.75000000
        0.016884280214
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2052-01-11
            0.00000000
            JPY
            0.00000000
            JPY
            752245983.00000000
            JPY
            359394.75000000
          
        
        
          N
          N
          N
        
      
      
        Eimskipafelag Islands hf
        549300IUR8Q7Y44KBL02
        Eimskipafelag Islands Hf
        000000000
        
          
        
        345209.00000000
        NS
        
        1489843.11000000
        0.069992476362
        Long
        EC
        CORP
        IS
        N
        
        2
        
          N
          N
          N
        
      
      
        COOF 2299707006
        N/A
        COOF 2299707006
        000000000
        
          
        
        895581.36000000
        PA
        USD
        80154.75000000
        0.003765651166
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-04-15
          Fixed
          2.66000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Capital Securities Limited
        K9WDOH4D2PYBSLSOB484
        BB CTRY GARDEN HOLD. CO REPO
        000000000
        
          
        
        1587264.97000000
        PA
        USD
        1587264.97000000
        0.074569332265
        Long
        RA
        CORP
        US
        N
        
        2
        
          Repurchase
          
            
              
            
          
          N
          -1.50000000
          2023-01-24
          
            
              1587264.97000000
              USD
              1581048.18000000
              USD
              
            
          
        
        
          N
          N
          N
        
      
      
        YPF SOCIEDAD ANONIMA
        5493003N7447U18U5U53
        YPF SA
        984245AU4
        
          
        
        9378943.00000000
        PA
        USD
        8327047.65000000
        0.391202725910
        Long
        DBT
        CORP
        AR
        N
        
        2
        
          2026-02-12
          Variable
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED USD / SOLD THB
        000000000
        
          
        
        1.00000000
        NC
        
        1415689.44000000
        0.066508754512
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            2235887443.61000000
            THB
            66698708.43000000
            USD
            2022-05-09
            1415689.44000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: B92RG80J7 CDS USD R V 03MEVENT 1 CCPSOVEREIGN / Short: B92RG80J7 CDS USD P F   .25000 2 CCPSOVEREIGN
        000000000
        
          
        
        43749000.00000000
        OU
        Notional Amount
        USD
        -258098.10000000
        -0.01212538759
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                BUNDESREPUB. DEUTSCHLAND
                BUNDESREPUB. DEUTSCHLAND
                
                  
                
              
            
            Y
            buy protection
            
            2027-06-20
            0.00000000
            USD
            -240297.97000000
            USD
            43749000.00000000
            USD
            -17800.13000000
          
        
        
          N
          N
          N
        
      
      
        COOF 1212507009
        N/A
        COOF 1212507009
        000000000
        
          
        
        2832315.43000000
        PA
        USD
        382614.94000000
        0.017975159239
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-01-15
          Fixed
          3.66000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED COP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -84258.48000000
        -0.00395844342
        N/A
        DFE
        
        CO
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            2823179.49000000
            USD
            10910770000.00000000
            COP
            2022-06-10
            -84258.48000000
          
        
        
          N
          N
          N
        
      
      
        COOF 7760935004
        N/A
        COOF 7760935004
        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
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        PURCHASED CZK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -3501.04000000
        -0.00016447802
        N/A
        DFE
        
        CZ
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            3269633.10000000
            EUR
            80477474.00000000
            CZK
            2022-05-11
            -3501.04000000
          
        
        
          N
          N
          N
        
      
      
        Contact Energy Ltd
        549300FT5JOXS1PZ1I32
        Contact Energy Ltd
        000000000
        
          
        
        -73100.00000000
        NS
        
        -384038.82000000
        -0.01804205278
        Short
        EC
        CORP
        NZ
        N
        
        2
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        31392PAB1
        
          
        
        429920.90000000
        PA
        USD
        454921.57000000
        0.021372107587
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-06-15
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED PHP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        60646.51000000
        0.002849158672
        N/A
        DFE
        
        PH
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            22140215.48000000
            USD
            1158996000.00000000
            PHP
            2022-05-03
            60646.51000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        313399C47
        
          
        
        212270.53000000
        PA
        USD
        221343.50000000
        0.010398665193
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        805297.95000000
        0.037832706915
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            16600000.00000000
            EUR
            18351945.74000000
            USD
            2022-06-15
            805297.95000000
          
        
        
          N
          N
          N
        
      
      
        Zacapa, LLC
        N/A
        Zacapa, LLC 2022 Term Loan
        000000000
        
          
        
        1100000.00000000
        PA
        USD
        1093262.50000000
        0.051361213254
        Long
        LON
        CORP
        LU
        N
        
        2
        
          2029-03-22
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BEV55VQ44 IRS CZK R V 06MPRIBO 1 CCPVANILLA / Short: BEV55VQ44 IRS CZK P F  5.60000 2 CCPVANILLA
        000000000
        
          
        
        381749578.00000000
        OU
        Notional Amount
        
        35702.83000000
        0.001677310495
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-03-30
            0.00000000
            CZK
            0.00000000
            CZK
            381749578.00000000
            CZK
            35702.83000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF SURINAME INT
        254900SYU4G5JM13TN77
        Suriname Government International Bond
        000000000
        
          
        
        1385000.00000000
        PA
        USD
        1156475.00000000
        0.054330921529
        Long
        DBT
        NUSS
        SR
        Y
        
        2
        
          2023-12-30
          Fixed
          12.87500000
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED KES / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -39409.00000000
        -0.00185142548
        N/A
        DFE
        
        KE
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            2190117.96000000
            USD
            250659000.00000000
            KES
            2022-06-06
            -39409.00000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        1357203.77000000
        0.063761111591
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            272318462.00000000
            ZAR
            18522545.37000000
            USD
            2022-06-15
            1357203.77000000
          
        
        
          N
          N
          N
        
      
      
        COOF 9466195005
        N/A
        COOF 9466195005
        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
        
      
      
        DOMINICAN REPUBLIC
        254900EHU7Q8FGVPI369
        Dominican Republic International Bond
        25714PEN4
        
          
        
        2198000.00000000
        PA
        USD
        2002119.36000000
        0.094059093228
        Long
        DBT
        NUSS
        DO
        N
        
        2
        
          2033-02-22
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BEV4K7TH1 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4K7TH1 IRS COP P F  4.37500 2 CCPNDFOIS
        000000000
        
          
        
        41202000000.00000000
        OU
        Notional Amount
        
        1526753.75000000
        0.071726529485
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2026-03-30
            0.00000000
            COP
            0.00000000
            COP
            41202000000.00000000
            COP
            1526753.75000000
          
        
        
          N
          N
          N
        
      
      
        Bayan Resources Tbk PT
        254900UPPX8UP6LW9723
        Bayan Resources Tbk PT
        000000000
        
          
        
        65400.00000000
        NS
        
        191366.00000000
        0.008990329345
        Long
        EC
        CORP
        ID
        N
        
        2
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED USD / SOLD OMR
        000000000
        
          
        
        1.00000000
        NC
        
        -44038.79000000
        -0.00206893192
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            4000000.00000000
            OMR
            10343133.45000000
            USD
            2022-08-04
            -44038.79000000
          
        
        
          N
          N
          N
        
      
      
        COOF 9626165007
        N/A
        COOF 9626165007
        000000000
        
          
        
        2273963.35000000
        PA
        USD
        161522.52000000
        0.007588289724
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-08-15
          Fixed
          2.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31411VVG1
        
          
        
        20519.62000000
        PA
        USD
        22982.04000000
        0.001079690794
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-12-01
          Fixed
          10.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Arab Republic of Egypt
        529900GFIVH4086NMH82
        Egypt Government International Bond
        000000000
        
          
        
        6947000.00000000
        PA
        USD
        5100709.70000000
        0.239630133342
        Long
        DBT
        NUSS
        EG
        Y
        
        2
        
          2049-03-01
          Fixed
          8.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: BEV55U0C6 IRS CLP R V 06MCLICP CLICP+0BPS+1D COMPOUNDING / Short: BEV55U0C6 IRS CLP P F  2.06000 CLF LEG 2.06 FIXED RATE
        000000000
        
          
        
        1998461430.00000000
        OU
        Notional Amount
        
        -38203.71000000
        -0.00179480124
        N/A
        DIR
        
        CL
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-03-29
            0.00000000
            CLP
            0.00000000
            CLP
            1998461430.00000000
            CLP
            -38203.71000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        PURCHASED BRL / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -3725.02000000
        -0.00017500055
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            104858.73000000
            USD
            500000.00000000
            BRL
            2022-05-03
            -3725.02000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BEV4KQZQ2 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4KQZQ2 IRS COP P F  4.25000 2 CCPNDFOIS
        000000000
        
          
        
        13085100000.00000000
        OU
        Notional Amount
        
        461214.40000000
        0.021667743249
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2025-11-26
            0.00000000
            COP
            0.00000000
            COP
            13085100000.00000000
            COP
            461214.40000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: BEV56GJV4 IRS CLP R V 06MCLICP CLICP+0BPS+1D COMPOUNDING / Short: BEV56GJV4 IRS CLP P F  2.25000 CLF LEG 2.25 FIXED RATE
        000000000
        
          
        
        4064683520.00000000
        OU
        Notional Amount
        
        -163485.68000000
        -0.00768051851
        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
            -163485.68000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD BRL
        000000000
        
          
        
        1.00000000
        NC
        
        -3353.19000000
        -0.00015753207
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            1100000.00000000
            BRL
            219140.97000000
            USD
            2022-05-03
            -3353.19000000
          
        
        
          N
          N
          N
        
      
      
        COOF 1136997002
        N/A
        COOF 1136997002
        000000000
        
          
        
        1071231.36000000
        PA
        USD
        168751.98000000
        0.007927928042
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-06-15
          Fixed
          3.66000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRASKEM NETHERLANDS
        2549000TLMHFQ74DS330
        Braskem Netherlands Finance BV
        N15516AE2
        
          
        
        3939000.00000000
        PA
        USD
        3529028.88000000
        0.165792940751
        Long
        DBT
        CORP
        NL
        
        Y
        
        2
        
          2050-01-31
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF ECUADOR
        5299003Y2U5XK0A35H71
        Ecuador Government International Bond
        000000000
        
          
        
        1708687.50000000
        PA
        USD
        765101.91000000
        0.035944306478
        Long
        DBT
        NUSS
        EC
        Y
        
        2
        
          2040-07-31
          Variable
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALPHA HOLDING SA
        549300R872G37EN6NT94
        Alpha Holding SA de CV
        000000000
        
          
        
        1849000.00000000
        PA
        USD
        117892.24000000
        0.005538549506
        Long
        DBT
        CORP
        MX
        Y
        
        2
        
          2022-12-19
          None
          0.00000000
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        SERBIA TREASURY BONDS
        254900W94OCY91V32O78
        Serbia Treasury Bonds
        000000000
        
          
        
        4951760000.00000000
        PA
        
        44921883.71000000
        2.110419454654
        Long
        DBT
        NUSS
        RS
        N
        
        2
        
          2028-02-08
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 2259587002
        N/A
        COOF 2259587002
        000000000
        
          
        
        371751.14000000
        PA
        USD
        42657.60000000
        0.002004043942
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-04-15
          Fixed
          2.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IHS HOLDING LTD
        213800CLGMKL63VKTD94
        IHS Holding Ltd
        000000000
        
          
        
        1740000.00000000
        PA
        USD
        1661265.00000000
        0.078045836144
        Long
        DBT
        CORP
        KY
        
        Y
        
        2
        
          2026-11-29
          Fixed
          5.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        PURCHASED USD / SOLD IDR
        000000000
        
          
        
        1.00000000
        NC
        
        138613.52000000
        0.006512030331
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            108513628580.00000000
            IDR
            7567779.16000000
            USD
            2022-06-21
            138613.52000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BEV4WN9T9 IRS PLN R V 06MWIBOR 1 CCPVANILLA / Short: BEV4WN9T9 IRS PLN P F  2.49000 2 CCPVANILLA
        000000000
        
          
        
        26040000.00000000
        OU
        Notional Amount
        
        885251.30000000
        0.041588896357
        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
            885251.30000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36225A6T2
        
          
        
        3024.83000000
        PA
        USD
        3171.05000000
        0.000148975177
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2025-09-15
          Fixed
          9.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dominican Republic
        254900EHU7Q8FGVPI369
        Dominican Republic International Bond
        000000000
        
          
        
        6547000.00000000
        PA
        USD
        5913866.73000000
        0.277832057974
        Long
        DBT
        NUSS
        DO
        Y
        
        2
        
          2045-01-27
          Fixed
          6.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9637215004
        N/A
        COOF 9637215004
        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
        Ethiopia International Bond
        000000000
        
          
        
        6390000.00000000
        PA
        USD
        4438749.60000000
        0.208531404663
        Long
        DBT
        NUSS
        ET
        Y
        
        2
        
          2024-12-11
          Fixed
          6.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        a2 Milk Co Ltd/The
        529900PVC9CV0KFA2U62
        a2 Milk Co Ltd/The
        000000000
        
          
        
        -70300.00000000
        NS
        
        -222758.87000000
        -0.01046515894
        Short
        EC
        CORP
        NZ
        N
        
        2
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BEV55W149 IRS CZK R V 06MPRIBO 1 CCPVANILLA / Short: BEV55W149 IRS CZK P F  5.53725 2 CCPVANILLA
        000000000
        
          
        
        381749578.00000000
        OU
        Notional Amount
        
        54196.56000000
        0.002546141549
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-03-30
            0.00000000
            CZK
            0.00000000
            CZK
            381749578.00000000
            CZK
            54196.56000000
          
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -155.41000000
        -0.00000730112
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            6521.72000000
            USD
            6034.00000000
            EUR
            2022-05-06
            -155.41000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        PURCHASED CZK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -23424.73000000
        -0.00110048826
        N/A
        DFE
        
        CZ
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            3306053.10000000
            EUR
            81357702.00000000
            CZK
            2022-06-14
            -23424.73000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Government National Mortgage Association
        38373RUM9
        
          
        
        9400.59000000
        PA
        USD
        9566.58000000
        0.000449435662
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2023-10-26
          Fixed
          6.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31283H6C4
        
          
        
        510958.53000000
        PA
        USD
        559897.65000000
        0.026303858956
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-12-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: BEV0W5VX2 CDS USD R V 03MEVENT GLD QATAR CDS 20240920 / Short: BEV0W5VX2 CDS USD P F  1.00000 GLD QATAR CDS 20240920
        000000000
        
          
        
        3090000.00000000
        OU
        Notional Amount
        USD
        -44114.23000000
        -0.00207247607
        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
            -632.21000000
            USD
            3090000.00000000
            USD
            -43482.02000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31335PJY2
        
          
        
        456.30000000
        PA
        USD
        476.60000000
        0.000022390555
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-09-17
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PURCHASED PLN / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -6307.64000000
        -0.00029633143
        N/A
        DFE
        
        PL
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            3467200.29000000
            EUR
            16186205.00000000
            PLN
            2022-05-05
            -6307.64000000
          
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        PURCHASED EUR / SOLD PLN
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -78788.48000000
        -0.00370146412
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            32652404.00000000
            PLN
            6907637.83000000
            EUR
            2022-05-05
            -78788.48000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: BEV56HVX4 TRS COP R F   .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV56HVX4 TRS COP P V 00MDTF DTF RATE 90D NON COMPOUNDING
        000000000
        
          
        
        33804600000.00000000
        OU
        Notional Amount
        
        -196567.17000000
        -0.00923467907
        N/A
        DIR
        
        CO
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            
              
                TITULOS DE TESORERIA
                TITULOS DE TESORERIA
                
                  
                
              
            
            Y
            equity-performance leg
            
              
                
              
            
            2022-06-13
            0.00000000
            COP
            0.00000000
            COP
            33804600000.00000000
            COP
            -196567.17000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M8GT5
        
          
        
        665587.81000000
        PA
        USD
        720114.73000000
        0.033830819419
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-12-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Telkom Indonesia Persero Tbk PT
        529900M5SQZAOKV1PC81
        Telkom Indonesia Persero Tbk PT
        000000000
        
          
        
        2432100.00000000
        NS
        
        774284.84000000
        0.036375718354
        Long
        EC
        CORP
        ID
        N
        
        2
        
          N
          N
          N
        
      
      
        OPAP SA
        213800M4NRGFJCI34834
        OPAP SA
        000000000
        
          
        
        77900.00000000
        NS
        
        1154663.16000000
        0.054245801715
        Long
        EC
        CORP
        GR
        N
        
        2
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED USD / SOLD KES
        000000000
        
          
        
        1.00000000
        NC
        
        -22155.66000000
        -0.00104086765
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            138014000.00000000
            KES
            1166644.13000000
            USD
            2022-05-18
            -22155.66000000
          
        
        
          N
          N
          N
        
      
      
        COOF 2319337000
        N/A
        COOF 2319337000
        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
        COOF 9617315002
        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
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        312916XQ7
        
          
        
        5683.91000000
        PA
        USD
        5778.68000000
        0.000271481017
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-07-15
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mainfreight Ltd
        5493007BE0VNXX7RYQ88
        Mainfreight Ltd
        000000000
        
          
        
        -8000.00000000
        NS
        
        -418746.80000000
        -0.01967262546
        Short
        EC
        CORP
        NZ
        N
        
        2
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: BEV56N1C0 TRS COP R F   .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV56N1C0 TRS COP P V 00MDTF DTF RATE 90D NON COMPOUNDING
        000000000
        
          
        
        34691400000.00000000
        OU
        Notional Amount
        
        -96036.80000000
        -0.00451178611
        N/A
        DIR
        
        CO
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            
              
                TITULOS DE TESORERIA
                TITULOS DE TESORERIA
                
                  
                
              
            
            Y
            equity-performance leg
            
              
                
              
            
            2022-06-16
            0.00000000
            COP
            0.00000000
            COP
            34691400000.00000000
            COP
            -96036.80000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BEV4K5FN7 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4K5FN7 IRS COP P F  4.20000 2 CCPNDFOIS
        000000000
        
          
        
        8996000000.00000000
        OU
        Notional Amount
        
        320807.18000000
        0.015071445316
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2025-11-26
            0.00000000
            COP
            0.00000000
            COP
            8996000000.00000000
            COP
            320807.18000000
          
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PURCHASED HUF / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        22141.27000000
        0.001040191619
        N/A
        DFE
        
        HU
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            2003509.55000000
            EUR
            770994751.00000000
            HUF
            2022-06-10
            22141.27000000
          
        
        
          N
          N
          N
        
      
      
        Eik fasteignafelag hf
        2138005WRSDC4DI3BJ43
        Eik fasteignafelag hf
        000000000
        
          
        
        4818922.00000000
        NS
        
        584298.57000000
        0.027450208397
        Long
        EC
        CORP
        IS
        N
        
        2
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SEV4XUQD8 IRS EUR R F  2.29150 2 CCPINFLATIONZERO / Short: SEV4XUQD8 IRS EUR P V 12MCPTFE 1 CCPINFLATIONZERO
        000000000
        
          
        
        5900000.00000000
        OU
        Notional Amount
        
        -1204926.08000000
        -0.05660714179
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            Inflation based on European Union Consumer Price Index (cpi)
            2046-10-15
            0.00000000
            EUR
            0.00000000
            EUR
            5900000.00000000
            EUR
            -1204926.08000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3133T3WY0
        
          
        
        59187.75000000
        PA
        USD
        60210.37000000
        0.002828668918
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-01-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BEV4ZJ0W7 IRS PLN R V 06MWIBOR 1 CCPVANILLA / Short: BEV4ZJ0W7 IRS PLN P F  3.38930 2 CCPVANILLA
        000000000
        
          
        
        31600000.00000000
        OU
        Notional Amount
        
        840082.29000000
        0.039466866967
        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
            840082.29000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31335PJF3
        
          
        
        16248.03000000
        PA
        USD
        16633.19000000
        0.000781423325
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-12-17
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        PURCHASED USD / SOLD IDR
        000000000
        
          
        
        1.00000000
        NC
        
        14259.74000000
        0.000669919207
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            11163240831.00000000
            IDR
            778528.40000000
            USD
            2022-06-21
            14259.74000000
          
        
        
          N
          N
          N
        
      
      
        SHIMAO GROUP HOLDINGS LT
        254900WTJ6B5CU69ZD26
        Shimao Group Holdings Ltd
        000000000
        
          
        
        5100000.00000000
        PA
        USD
        1262250.00000000
        0.059300205971
        Long
        DBT
        CORP
        KY
        
        Y
        
        2
        
          2026-07-15
          Fixed
          5.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        PURCHASED EUR / SOLD HUF
        000000000
        
          
        
        1.00000000
        NC
        N/A
        5407.03000000
        0.000254020988
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            461486114.00000000
            HUF
            1220903.11000000
            EUR
            2022-05-23
            5407.03000000
          
        
        
          N
          N
          N
        
      
      
        PETROBRAS GLOBAL FINANCE
        549300FNENFFSMO3GT38
        Petrobras Global Finance BV
        71647NBD0
        
          
        
        479000.00000000
        PA
        USD
        452207.14000000
        0.021244584308
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2049-03-19
          Fixed
          6.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        PURCHASED PEN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -62570.59000000
        -0.00293955149
        N/A
        DFE
        
        PE
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            2625355.41000000
            USD
            9880000.00000000
            PEN
            2022-06-09
            -62570.59000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31381D2Y0
        
          
        
        699.18000000
        PA
        USD
        733.99000000
        0.000034482676
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-06-15
          Fixed
          9.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Sri Lanka
        254900HXCCIOHM74FA02
        Sri Lanka Government International Bond
        000000000
        
          
        
        3988000.00000000
        PA
        USD
        1714760.24000000
        0.080559029846
        Long
        DBT
        NUSS
        LK
        Y
        
        2
        
          2024-03-14
          Fixed
          6.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3137F4ZS4
        
          
        
        4992985.16000000
        PA
        USD
        908246.97000000
        0.042669227485
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-05-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 2006697002
        N/A
        COOF 2006697002
        000000000
        
          
        
        1326141.59000000
        PA
        USD
        90111.11000000
        0.004233398600
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2028-03-15
          Fixed
          3.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED BRL / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        158201.20000000
        0.007432254897
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            1237443.98000000
            USD
            6900000.00000000
            BRL
            2022-05-03
            158201.20000000
          
        
        
          N
          N
          N
        
      
      
        KWG GROUP HOLDINGS
        549300LK82ZOM9ZE7H90
        KWG Group Holdings Ltd
        000000000
        
          
        
        1571000.00000000
        PA
        USD
        739941.00000000
        0.034762252887
        Long
        DBT
        CORP
        KY
        
        Y
        
        2
        
          2023-09-01
          Fixed
          7.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ARAB REPUBLIC OF EGYPT
        529900GFIVH4086NMH82
        Egypt Government International Bond
        000000000
        
          
        
        2777000.00000000
        PA
        USD
        2045088.33000000
        0.096077765259
        Long
        DBT
        NUSS
        EG
        Y
        
        2
        
          2051-09-30
          Fixed
          8.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD RUB
        000000000
        
          
        
        1.00000000
        NC
        
        -1152401.74000000
        -0.05413956074
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            241685000.00000000
            RUB
            2177342.34000000
            USD
            2022-05-17
            -1152401.74000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        PURCHASED IDR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -84317.41000000
        -0.00396121194
        N/A
        DFE
        
        ID
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            4523939.37000000
            USD
            64847051680.00000000
            IDR
            2022-06-21
            -84317.41000000
          
        
        
          N
          N
          N
        
      
      
        Republic of South Africa
        378900AAFB4F17004C49
        Republic of South Africa Government Bond
        000000000
        
          
        
        323493733.00000000
        PA
        
        22173941.17000000
        1.041726503136
        Long
        DBT
        NUSS
        ZA
        N
        
        2
        
          2026-12-21
          Fixed
          10.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        PURCHASED HUF / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -364386.02000000
        -0.01711876889
        N/A
        DFE
        
        HU
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            7021670.51000000
            EUR
            2534283089.00000000
            HUF
            2022-05-23
            -364386.02000000
          
        
        
          N
          N
          N
        
      
      
        NEW ZEALAND GVT ILB
        549300237GPHG2AI7C34
        New Zealand Government Inflation Linked Bond
        000000000
        
          
        
        16454837.10000000
        PA
        
        12182113.00000000
        0.572312782784
        Long
        DBT
        NUSS
        NZ
        Y
        
        2
        
          2030-09-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9657845002
        N/A
        COOF 9657845002
        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
        COOF 1293627000
        000000000
        
          
        
        1434384.29000000
        PA
        USD
        111011.40000000
        0.005215289273
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-03-15
          Fixed
          2.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Unison Trust
        N/A
        Unison Trust 2021-1
        90919VAA0
        
          
        
        24317092.15000000
        PA
        USD
        22875477.66000000
        1.074684521242
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-04-25
          Variable
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BEV51HED2 IRS JPY R V 12MTONAR 1 CCPOIS / Short: BEV51HED2 IRS JPY P F   .56050 2 CCPOIS
        000000000
        
          
        
        790838922.00000000
        OU
        Notional Amount
        
        385094.53000000
        0.018091649790
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2052-01-11
            0.00000000
            JPY
            0.00000000
            JPY
            790838922.00000000
            JPY
            385094.53000000
          
        
        
          N
          N
          N
        
      
      
        LEBANESE REPUBLIC
        529900QPC4K9S1KHL354
        Lebanon Government International Bond
        000000000
        
          
        
        1595000.00000000
        PA
        USD
        169468.75000000
        0.007961601727
        Long
        DBT
        NUSS
        LB
        N
        
        2
        
          2033-05-17
          None
          0.00000000
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        Lebanese Republic
        529900QPC4K9S1KHL354
        Lebanon Government International Bond
        000000000
        
          
        
        2947000.00000000
        PA
        USD
        361007.50000000
        0.016960046826
        Long
        DBT
        NUSS
        LB
        Y
        
        2
        
          2025-06-12
          None
          0.00000000
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 8868325005
        N/A
        COOF 8868325005
        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
        PNMAC GMSR ISSUER TRUST 2018-GT1
        69354WAC0
        
          
        
        9000000.00000000
        PA
        USD
        8969343.30000000
        0.421377623387
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2023-02-25
          Floating
          3.51800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 2231267009
        N/A
        COOF 2231267009
        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
        
      
      
        Telecom Argentina SA
        549300MKPIRSJD8SB782
        Telecom Argentina SA
        879273209
        
          
        
        174000.00000000
        NS
        USD
        951780.00000000
        0.044714398922
        Long
        EC
        CORP
        AR
        N
        
        1
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED CZK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        95242.09000000
        0.004474450825
        N/A
        DFE
        
        CZ
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            1835865.28000000
            EUR
            47662000.00000000
            CZK
            2022-06-07
            95242.09000000
          
        
        
          N
          N
          N
        
      
      
        COOF 1553317009
        N/A
        COOF 1553317009
        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
        
      
      
        National Bank of Greece SA
        5UMCZOEYKCVFAW8ZLO05
        National Bank of Greece SA
        000000000
        
          
        
        226500.00000000
        NS
        
        898407.00000000
        0.042206948026
        Long
        EC
        CORP
        GR
        N
        
        2
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31374J7D7
        
          
        
        112152.66000000
        PA
        USD
        113081.88000000
        0.005312559933
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-05-01
          Floating
          1.62300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PURCHASED PLN / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -14574.78000000
        -0.00068471971
        N/A
        DFE
        
        PL
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            2145367.42000000
            EUR
            9968085.00000000
            PLN
            2022-05-05
            -14574.78000000
          
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED USD / SOLD OMR
        000000000
        
          
        
        1.00000000
        NC
        
        -63784.13000000
        -0.00299656331
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            5793450.00000000
            OMR
            14980606.62000000
            USD
            2022-08-04
            -63784.13000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED RUB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        425752.05000000
        0.020001730447
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            4664424.68000000
            USD
            363707404.00000000
            RUB
            2022-05-06
            425752.05000000
          
        
        
          N
          N
          N
        
      
      
        COOF 1963907001
        N/A
        COOF 1963907001
        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
        
      
      
        REPUBLIC OF SURINAME INT
        254900SYU4G5JM13TN77
        Suriname Government International Bond
        000000000
        
          
        
        44764000.00000000
        PA
        USD
        37377940.00000000
        1.756006766327
        Long
        DBT
        NUSS
        SR
        Y
        
        2
        
          2026-10-26
          Fixed
          9.25000000
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED USD / SOLD MXN
        000000000
        
          
        
        1.00000000
        NC
        
        175235.05000000
        0.008232501135
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            216259123.60000000
            MXN
            10766278.61000000
            USD
            2022-05-06
            175235.05000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 2YR NOTE (CBT) JUN22
        000000000
        
          
        
        -151.00000000
        NC
        USD
        588663.84000000
        0.027655287748
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                CBOT 2 Year US Treasury Note Future
                TUM2 COMDTY
              
            
            2022-06-30
            -32421351.34000000
            USD
            588663.84000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        Long: BEV2JCG49 CDS USD R V 03MEVENT BOA OMAN XS1575874471/6EA256 / Short: BEV2JCG49 CDS USD P F  1.00000 OMAN SULTANATE OF (GOVEMENT)
        000000000
        
          
        
        20851000.00000000
        OU
        Notional Amount
        USD
        -4567.41000000
        -0.00021457583
        N/A
        DCR
        
        OM
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            
              
                OMAN GOV INTERNTL BOND
                OMAN GOV INTERNTL BOND
                
                  
                
              
            
            Y
            buy protection
            
            2022-06-20
            28521.57000000
            USD
            0.00000000
            USD
            20851000.00000000
            USD
            -33088.98000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        Long: BEV57AA45 TRS COP R F   .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV57AA45 TRS COP P V 00MDTF DTF RATE 90D NON COMPOUNDING
        000000000
        
          
        
        50821100000.00000000
        OU
        Notional Amount
        
        25.68000000
        0.000001206440
        N/A
        DIR
        
        CO
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            
              
                TITULOS DE TESORERIA
                TITULOS DE TESORERIA
                
                  
                
              
            
            Y
            equity-performance leg
            
              
                
              
            
            2022-06-28
            0.00000000
            COP
            0.00000000
            COP
            50821100000.00000000
            COP
            25.68000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SEV51L9R8 IRS USD R F  2.89750 2 CCPINFLATIONZERO / Short: SEV51L9R8 IRS USD P V 12MUSCPI 1 CCPINFLATIONZERO
        000000000
        
          
        
        22010000.00000000
        OU
        Notional Amount
        USD
        -1084016.05000000
        -0.05092681722
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            Inflation Based on US CPI Urban Consumers NSA
            2027-01-11
            0.00000000
            USD
            0.00000000
            USD
            22010000.00000000
            USD
            -1084016.05000000
          
        
        
          N
          N
          N
        
      
      
        COOF 1856857004
        N/A
        COOF 1856857004
        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
        Freddie Mac Non Gold Pool
        31346AF83
        
          
        
        142387.89000000
        PA
        USD
        151375.90000000
        0.007111603920
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-06-01
          Floating
          4.38800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: B92RHB1Y5 CDS USD R V 03MEVENT 1 CCPSOVEREIGN / Short: B92RHB1Y5 CDS USD P F  1.00000 2 CCPSOVEREIGN
        000000000
        
          
        
        31631000.00000000
        OU
        Notional Amount
        USD
        6467626.63000000
        0.303847566889
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Republic of Turkey
                Republic of Turkey
                
                  
                  
                
              
            
            Y
            buy protection
            
            2027-06-20
            6344590.31000000
            USD
            0.00000000
            USD
            31631000.00000000
            USD
            123036.32000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        636400.16000000
        0.029897928752
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            148970000.00000000
            ZAR
            10026585.90000000
            USD
            2022-06-15
            636400.16000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31358S2U4
        
          
        
        88591.97000000
        PA
        USD
        94125.15000000
        0.004421977248
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-03-18
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF GEORGIA
        2138007T8RLEVDMLQ257
        Georgia Government International Bond
        000000000
        
          
        
        2541000.00000000
        PA
        USD
        2190113.01000000
        0.102890990369
        Long
        DBT
        NUSS
        GE
        Y
        
        2
        
          2026-04-22
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BEV4XYA62 IRS TWD R V 03MCPTW 1 CCPNDF / Short: BEV4XYA62 IRS TWD P F   .89000 2 CCPNDF
        000000000
        
          
        
        858264463.00000000
        OU
        Notional Amount
        
        1013346.37000000
        0.047606772399
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2026-11-02
            0.00000000
            TWD
            0.00000000
            TWD
            858264463.00000000
            TWD
            1013346.37000000
          
        
        
          N
          N
          N
        
      
      
        COOF 9668685008
        N/A
        COOF 9668685008
        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
        Fannie Mae Pool
        31374J6U0
        
          
        
        55955.88000000
        PA
        USD
        56453.00000000
        0.002652148566
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-11-01
          Floating
          1.82300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED USD / SOLD OMR
        000000000
        
          
        
        1.00000000
        NC
        
        -596335.07000000
        -0.02801568031
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            14400000.00000000
            OMR
            36781609.20000000
            USD
            2023-03-13
            -596335.07000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: B92RG9N19 CDS USD R V 03MEVENT 1 CCPSOVEREIGN / Short: B92RG9N19 CDS USD P F   .25000 2 CCPSOVEREIGN
        000000000
        
          
        
        44677000.00000000
        OU
        Notional Amount
        USD
        -39149.11000000
        -0.00183921591
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                FRANCE (GOVT OF)
                FRANCE (GOVT OF)
                
                  
                
              
            
            Y
            buy protection
            
            2027-06-20
            16495.97000000
            USD
            0.00000000
            USD
            44677000.00000000
            USD
            -55645.08000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SEV4XYES0 IRS CNY R F  2.63250 2 CCPNDF / Short: SEV4XYES0 IRS CNY P V 00MCNRR 1 CCPNDF
        000000000
        
          
        
        111909466.00000000
        OU
        Notional Amount
        
        123946.49000000
        0.005822976737
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2026-11-01
            0.00000000
            CNY
            0.00000000
            CNY
            111909466.00000000
            CNY
            123946.49000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        PURCHASED CZK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -21740.29000000
        -0.00102135367
        N/A
        DFE
        
        CZ
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            3025328.75000000
            EUR
            74442298.00000000
            CZK
            2022-06-14
            -21740.29000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BEV4XYK61 IRS TWD R V 03MCPTW 1 CCPNDF / Short: BEV4XYK61 IRS TWD P F   .87000 2 CCPNDF
        000000000
        
          
        
        320247934.00000000
        OU
        Notional Amount
        
        387781.89000000
        0.018217901326
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2026-11-02
            0.00000000
            TWD
            0.00000000
            TWD
            320247934.00000000
            TWD
            387781.89000000
          
        
        
          N
          N
          N
        
      
      
        SUSSEX CAPITAL LTD
        N/A
        SUSSEX CAPITAL LTD
        000000000
        
          
        
        816.90900000
        NS
        USD
        807922.76000000
        0.037956019867
        Long
        STIV
        CORP
        US
        N
        
        3
        
          N
          N
          N
        
      
      
        COOF 2237857010
        N/A
        COOF 2237857010
        000000000
        
          
        
        3464752.40000000
        PA
        USD
        187736.98000000
        0.008819838845
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-04-15
          Fixed
          1.66000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9642635006
        N/A
        COOF 9642635006
        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
        N/A
        Freddie Mac STACR REMIC Trust 2022-HQA1
        35564KTB5
        
          
        
        1478700.00000000
        PA
        USD
        1512862.85000000
        0.071073938294
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-03-25
          Floating
          3.78900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank Rakyat Indonesia Persero Tbk PT
        254900HB6S4B12GBNP64
        Bank Rakyat Indonesia Persero Tbk PT
        000000000
        
          
        
        3486600.00000000
        NS
        
        1161689.83000000
        0.054575913007
        Long
        EC
        CORP
        ID
        N
        
        2
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -174920.23000000
        -0.00821771096
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            4158271.50000000
            USD
            6170000.00000000
            NZD
            2022-05-02
            -174920.23000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -288866.82000000
        -0.01357089477
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            8524996.86000000
            USD
            1067352624.00000000
            JPY
            2022-06-15
            -288866.82000000
          
        
        
          N
          N
          N
        
      
      
        NATURA &CO LUX HLD SARL
        54930074AZRQQPMINM11
        Natura &Co Luxembourg Holdings Sarl
        63884WAA6
        
          
        
        1328000.00000000
        PA
        USD
        1291480.00000000
        0.060673424447
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2029-04-19
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EGYPT TREASURY BILL
        529900GFIVH4086NMH82
        Egypt Treasury Bills
        000000000
        
          
        
        69375000.00000000
        PA
        
        3590090.85000000
        0.168661617636
        Long
        STIV
        NUSS
        EG
        N
        
        2
        
          2022-09-20
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410GLW1
        
          
        
        648475.53000000
        PA
        USD
        686062.44000000
        0.032231050902
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-02-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        -263203.27000000
        -0.01236522727
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            53849904.00000000
            TRY
            3254727.90000000
            USD
            2022-06-15
            -263203.27000000
          
        
        
          N
          N
          N
        
      
      
        COOF 8187925002
        N/A
        COOF 8187925002
        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
        Ivory Coast Government International Bond
        000000000
        
          
        
        5615000.00000000
        PA
        
        4749498.90000000
        0.223130333160
        Long
        DBT
        NUSS
        CI
        Y
        
        2
        
          2048-03-22
          Fixed
          6.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        55634.71000000
        0.002613705495
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            3197375.00000000
            NZD
            2119859.63000000
            USD
            2022-05-02
            55634.71000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31359H6F6
        
          
        
        44122.34000000
        PA
        USD
        46135.15000000
        0.002167418417
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-07-25
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JSW STEEL LTD
        335800EK6HZSC4CVAJ09
        JSW Steel Ltd
        000000000
        
          
        
        1466000.00000000
        PA
        USD
        1257547.57000000
        0.059079286924
        Long
        DBT
        CORP
        IN
        Y
        
        2
        
          2032-04-05
          Fixed
          5.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF SRI LANKA
        254900HXCCIOHM74FA02
        Sri Lanka Government International Bond
        000000000
        
          
        
        200000.00000000
        PA
        USD
        85634.00000000
        0.004023065033
        Long
        DBT
        NUSS
        LK
        Y
        
        2
        
          2030-03-28
          Fixed
          7.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 2303637002
        N/A
        COOF 2303637002
        000000000
        
          
        
        334831.99000000
        PA
        USD
        47740.96000000
        0.002242858990
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-04-15
          Fixed
          3.66000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: BEV56Z4U0 TRS COP R F   .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV56Z4U0 TRS COP P V 00MDTF DTF RATE 90D NONCOMPOUNDING
        000000000
        
          
        
        31513000000.00000000
        OU
        Notional Amount
        
        -45868.22000000
        -0.00215487810
        N/A
        DIR
        
        CO
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            
              
                TITULOS DE TESORERIA
                TITULOS DE TESORERIA
                
                  
                
              
            
            Y
            equity-performance leg
            
              
                
              
            
            2022-06-24
            0.00000000
            COP
            0.00000000
            COP
            31513000000.00000000
            COP
            -45868.22000000
          
        
        
          N
          N
          N
        
      
      
        COOF 2373147003
        N/A
        COOF 2373147003
        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
        PURCHASED IDR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -36312.76000000
        -0.00170596486
        N/A
        DFE
        
        ID
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            1900833.37000000
            USD
            27234000000.00000000
            IDR
            2022-06-21
            -36312.76000000
          
        
        
          N
          N
          N
        
      
      
        COOF 9612025010
        N/A
        COOF 9612025010
        000000000
        
          
        
        521059.06000000
        PA
        USD
        60084.61000000
        0.002822760743
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-08-15
          Fixed
          2.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        Long: BEV57AA11 TRS COP R F   .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV57AA11 TRS COP P V 00MDTF DTF RATE 90D NON COMPOUNDING
        000000000
        
          
        
        41834000000.00000000
        OU
        Notional Amount
        
        -80486.59000000
        -0.00378124093
        N/A
        DIR
        
        CO
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            
              
                TITULOS DE TESORERIA
                TITULOS DE TESORERIA
                
                  
                
              
            
            Y
            equity-performance leg
            
              
                
              
            
            2022-05-26
            0.00000000
            COP
            0.00000000
            COP
            41834000000.00000000
            COP
            -80486.59000000
          
        
        
          N
          N
          N
        
      
      
        NATURA COSMETICOS SA
        N/A
        Natura Cosmeticos SA
        000000000
        
          
        
        4657000.00000000
        PA
        USD
        4182079.14000000
        0.196473087258
        Long
        DBT
        CORP
        BR
        Y
        
        2
        
          2028-05-03
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31335PJG1
        
          
        
        101267.51000000
        PA
        USD
        102608.51000000
        0.004820523491
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-08-17
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        Long: BEV555387 CDS USD R V 03MEVENT 1 SOVEREIGN / Short: BEV555387 CDS USD P F   .25000 2 SOVEREIGN
        000000000
        
          
        
        11000000.00000000
        OU
        Notional Amount
        USD
        -64533.04000000
        -0.00303174693
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                KINGDOM OF SWEDEN
                KINGDOM OF SWEDEN
                
                  
                
              
            
            Y
            buy protection
            
            2027-06-20
            0.00000000
            USD
            -35072.29000000
            USD
            11000000.00000000
            USD
            -29460.75000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31419AZL4
        
          
        
        1517105.48000000
        PA
        USD
        1660853.73000000
        0.078026514777
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-08-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD BRL
        000000000
        
          
        
        1.00000000
        NC
        
        -3173.25000000
        -0.00014907853
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            1700000.00000000
            BRL
            340681.36000000
            USD
            2022-05-03
            -3173.25000000
          
        
        
          N
          N
          N
        
      
      
        EGYPT TREASURY BILL
        529900GFIVH4086NMH82
        Egypt Treasury Bills
        000000000
        
          
        
        283475000.00000000
        PA
        
        14590734.52000000
        0.685469251189
        Long
        STIV
        NUSS
        EG
        N
        
        2
        
          2022-10-04
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lebanese Republic
        529900QPC4K9S1KHL354
        Lebanon Government International Bond
        000000000
        
          
        
        7625000.00000000
        PA
        USD
        905468.75000000
        0.042538707368
        Long
        DBT
        NUSS
        LB
        N
        
        2
        
          2023-05-26
          None
          0.00000000
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        FIN DEPT GOVT SHARJAH
        254900ZNL8O3F1CLJO24
        Finance Department Government of Sharjah
        000000000
        
          
        
        19846000.00000000
        PA
        USD
        14873346.55000000
        0.698746297407
        Long
        DBT
        NUSS
        AE
        Y
        
        2
        
          2050-07-28
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9631225006
        N/A
        COOF 9631225006
        000000000
        
          
        
        117370.59000000
        PA
        USD
        15708.60000000
        0.000737986306
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-04-15
          Fixed
          3.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        PURCHASED HUF / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -39558.82000000
        -0.00185846399
        N/A
        DFE
        
        HU
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            3664767.90000000
            EUR
            1379360000.00000000
            HUF
            2022-06-02
            -39558.82000000
          
        
        
          N
          N
          N
        
      
      
        COOF 2254917006
        N/A
        COOF 2254917006
        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
        Ginnie Mae II Pool
        36202DQC8
        
          
        
        190731.50000000
        PA
        USD
        206893.05000000
        0.009719786475
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2031-10-20
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LEBANESE REPUBLIC
        529900QPC4K9S1KHL354
        Lebanon Government International Bond
        000000000
        
          
        
        7663000.00000000
        PA
        USD
        934541.17000000
        0.043904522772
        Long
        DBT
        NUSS
        LB
        Y
        
        2
        
          2024-11-04
          None
          0.00000000
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: BEV2LJ6X8 CDS USD R V 03MEVENT BOA OMAN XOMR00000 / Short: BEV2LJ6X8 CDS USD P F  1.00000
        000000000
        
          
        
        16680000.00000000
        OU
        Notional Amount
        USD
        -13410.55000000
        -0.00063002446
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                iTraxx Europe Senior Financials S28
                2I667DBL7
              
            
            Y
            buy protection
            
            2022-12-20
            114681.80000000
            USD
            0.00000000
            USD
            16680000.00000000
            USD
            -128092.35000000
          
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        PURCHASED EUR / SOLD HUF
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -13089.48000000
        -0.00061494066
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            707707749.00000000
            HUF
            1845897.66000000
            EUR
            2022-06-10
            -13089.48000000
          
        
        
          N
          N
          N
        
      
      
        INDIAN RAILWAY FINANCE
        335800F2JHSOGXQEBY56
        Indian Railway Finance Corp Ltd
        45434M2H4
        
          
        
        8481000.00000000
        PA
        USD
        7476467.96000000
        0.351242693577
        Long
        DBT
        CORP
        IN
        Y
        
        2
        
          2032-01-21
          Fixed
          3.57000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 2363557004
        N/A
        COOF 2363557004
        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
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD JPY
        000000000
        
          
        
        1.00000000
        NC
        
        81706.16000000
        0.003838536040
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            301901352.00000000
            JPY
            2411300.65000000
            USD
            2022-06-15
            81706.16000000
          
        
        
          N
          N
          N
        
      
      
        ZAMBIA GOVERNMENT BOND
        213800DMLAZ6LGMMD849
        Zambia Government Bond
        000000000
        
          
        
        4600000.00000000
        PA
        
        166456.22000000
        0.007820073781
        Long
        DBT
        NUSS
        ZM
        N
        
        2
        
          2031-12-05
          Fixed
          14.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SBI Holdings Inc/Japan
        353800L6LMHYIPSMRQ17
        SBI Holdings Inc/Japan
        000000000
        
          
        
        8800.00000000
        NS
        
        196830.51000000
        0.009247050730
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Republic of Sri Lanka
        254900HXCCIOHM74FA02
        Sri Lanka Government International Bond
        000000000
        
          
        
        2838000.00000000
        PA
        USD
        1225675.44000000
        0.057581941807
        Long
        DBT
        NUSS
        LK
        Y
        
        2
        
          2027-05-11
          Fixed
          6.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        YPF SOCIEDAD ANONIMA
        5493003N7447U18U5U53
        YPF SA
        000000000
        
          
        
        528000.00000000
        PA
        USD
        431051.28000000
        0.020250687017
        Long
        DBT
        CORP
        AR
        Y
        
        2
        
          2025-07-28
          Fixed
          8.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        2999257.94000000
        0.140904427493
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            61825168.79000000
            EUR
            68350129.10000000
            USD
            2022-06-15
            2999257.94000000
          
        
        
          N
          N
          N
        
      
      
        BNP Paribas SA
        R0MUWSFPU8MPRO8K5P83
        PURCHASED EUR / SOLD HUF
        000000000
        
          
        
        1.00000000
        NC
        N/A
        11182.63000000
        0.000525357308
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              BNP Paribas SA
              R0MUWSFPU8MPRO8K5P83
            
            870402985.00000000
            HUF
            2299910.54000000
            EUR
            2022-06-01
            11182.63000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SEV52RYL9 IRS CNY R F  2.26000 2 CCPNDF / Short: SEV52RYL9 IRS CNY P V 00MCNRR 1 CCPNDF
        000000000
        
          
        
        162492133.00000000
        OU
        Notional Amount
        
        -230007.65000000
        -0.01080570490
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-02-07
            0.00000000
            CNY
            0.00000000
            CNY
            162492133.00000000
            CNY
            -230007.65000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BEV4XUPY3 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BEV4XUPY3 IRS USD P F  2.62250 2 CCPINFLATIONZERO
        000000000
        
          
        
        19000000.00000000
        OU
        Notional Amount
        USD
        1287126.12000000
        0.060468880196
        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
            1287126.12000000
          
        
        
          N
          N
          N
        
      
      
        ZAMBIA GOVERNMENT BOND
        213800DMLAZ6LGMMD849
        Zambia Government Bond
        000000000
        
          
        
        72160000.00000000
        PA
        
        2917006.98000000
        0.137040296878
        Long
        DBT
        NUSS
        ZM
        N
        
        2
        
          2026-12-27
          Fixed
          11.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PETROLEOS MEXICANOS
        549300CAZKPF4HKMPX17
        PETROLEOS MEXICANOS
        000000000
        
          
        
        10251000.00000000
        PA
        USD
        9892215.00000000
        0.464733917223
        Long
        LON
        CORP
        MX
        N
        
        2
        
          2024-06-28
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31335PLD5
        
          
        
        45579.68000000
        PA
        USD
        47588.09000000
        0.002235677194
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-06-17
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 2121127001
        N/A
        COOF 2121127001
        000000000
        
          
        
        1045310.05000000
        PA
        USD
        142203.34000000
        0.006680679225
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-04-15
          Fixed
          3.66000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALAM SUTERA REALTY TBK
        2549001ML992STTEP738
        Alam Sutera Realty Tbk PT
        000000000
        
          
        
        1675000.00000000
        PA
        USD
        1186905.00000000
        0.055760515720
        Long
        DBT
        CORP
        ID
        N
        
        2
        
          2024-05-02
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        The Ministry of Finance and Planning, Government of the United Republic of Tanzania
        N/A
        The Ministry of Finance and Planning, Government of the United Republic of Tanzania Term Loan
        000000000
        
          
        
        8448571.42000000
        PA
        USD
        8651438.52000000
        0.406442532134
        Long
        LON
        NUSS
        TZ
        N
        
        2
        
          2022-06-23
          Floating
          5.52600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31335PK95
        
          
        
        86009.23000000
        PA
        USD
        88696.77000000
        0.004166953242
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-09-17
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9650315004
        N/A
        COOF 9650315004
        000000000
        
          
        
        789425.53000000
        PA
        USD
        85219.27000000
        0.004003581116
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-09-15
          Fixed
          3.21000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        264663.44000000
        0.012433825712
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            113836864.00000000
            ZAR
            7433273.30000000
            USD
            2022-06-24
            264663.44000000
          
        
        
          N
          N
          N
        
      
      
        ICBC Standard Bank PLC
        F01VVKN4DRF2NWKGQ283
        PURCHASED UZS / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        25041.14000000
        0.001176426824
        N/A
        DFE
        
        UZ
        N
        
        2
        
          
            
              ICBC Standard Bank PLC
              F01VVKN4DRF2NWKGQ283
            
            1194568.05000000
            USD
            13647940000.00000000
            UZS
            2022-05-06
            25041.14000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: B95NC6713 CDS EUR R V 03MEVENT Z95NC6713_PRO CCPITRAXX / Short: B95NC6713 CDS EUR P F  5.00000 Z95NC6713_FEE CCPITRAXX
        000000000
        
          
        
        37095000.00000000
        OU
        Notional Amount
        
        -1151835.06000000
        -0.05411293824
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                iTraxx Europe Crossover S27
                2I667KJP4
              
            
            Y
            buy protection
            
            2027-06-20
            0.00000000
            EUR
            -2054663.20000000
            EUR
            37095000.00000000
            EUR
            1078458.72000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -367186.40000000
        -0.01725033008
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            13990972.86000000
            USD
            21102523.17000000
            NZD
            2022-05-02
            -367186.40000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: B92RJ7HN9 CDS USD R V 03MEVENT 1 CCPSOVEREIGN / Short: B92RJ7HN9 CDS USD P F  1.00000 2 CCPSOVEREIGN
        000000000
        
          
        
        10178000.00000000
        OU
        Notional Amount
        USD
        66751.70000000
        0.003135979052
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                HUNGARY
                HUNGARY
                
                  
                  
                
              
            
            Y
            buy protection
            
            2027-06-20
            31289.69000000
            USD
            0.00000000
            USD
            10178000.00000000
            USD
            35462.01000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BEV4XFFL5 IRS PLN R V 06MWIBOR 1 CCPVANILLA / Short: BEV4XFFL5 IRS PLN P F  2.73000 2 CCPVANILLA
        000000000
        
          
        
        21040000.00000000
        OU
        Notional Amount
        
        1076805.08000000
        0.050588047562
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2031-10-25
            0.00000000
            PLN
            0.00000000
            PLN
            21040000.00000000
            PLN
            1076805.08000000
          
        
        
          N
          N
          N
        
      
      
        Landsbankinn HF
        549300TLZPT6JELDWM92
        Landsbankinn HF
        000000000
        
          
        
        560000000.00000000
        PA
        
        4269014.08000000
        0.200557270144
        Long
        DBT
        CORP
        IS
        Y
        
        2
        
          2023-11-23
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED RUB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        183889.46000000
        0.008639083267
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            3145854.62000000
            USD
            241685000.00000000
            RUB
            2022-05-17
            183889.46000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        1202890.21000000
        0.056511497099
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            24795763.34000000
            EUR
            27412680.93000000
            USD
            2022-06-15
            1202890.21000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31374CLQ7
        
          
        
        2874295.07000000
        PA
        USD
        3177702.35000000
        0.149287703602
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-01-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -114445.03000000
        -0.00537660039
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            2720631.63000000
            USD
            4036844.91000000
            NZD
            2022-05-02
            -114445.03000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -204724.57000000
        -0.00961791179
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            6177984.01000000
            USD
            5651000.00000000
            EUR
            2022-06-15
            -204724.57000000
          
        
        
          N
          N
          N
        
      
      
        Bank Central Asia Tbk PT
        254900BR956G2OHVOM21
        Bank Central Asia Tbk PT
        000000000
        
          
        
        2864100.00000000
        NS
        
        1606392.36000000
        0.075467932516
        Long
        EC
        CORP
        ID
        N
        
        2
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        -495004.48000000
        -0.02325519320
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            108183461.22000000
            TRY
            6572454.17000000
            USD
            2022-06-15
            -495004.48000000
          
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        PURCHASED JPY / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1193950.77000000
        -0.05609152432
        N/A
        DFE
        
        JP
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            32064027.00000000
            USD
            4005284345.00000000
            JPY
            2022-05-13
            -1193950.77000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        1150471.94000000
        0.054048899193
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            23715239.94000000
            EUR
            26218120.28000000
            USD
            2022-06-15
            1150471.94000000
          
        
        
          N
          N
          N
        
      
      
        COOF 9027485007
        N/A
        COOF 9027485007
        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
        
      
      
        ZAMBIA GOVERNMENT BOND
        213800DMLAZ6LGMMD849
        Zambia Government Bond
        000000000
        
          
        
        26190000.00000000
        PA
        
        999268.67000000
        0.046945405388
        Long
        DBT
        NUSS
        ZM
        N
        
        2
        
          2028-03-22
          Fixed
          12.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED HUF / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -17279.72000000
        -0.00081179715
        N/A
        DFE
        
        HU
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            286486.74000000
            EUR
            102400000.00000000
            HUF
            2022-05-16
            -17279.72000000
          
        
        
          N
          N
          N
        
      
      
        Fletcher Building Ltd
        549300UPHQTT2LG75045
        Fletcher Building Ltd
        000000000
        
          
        
        -77200.00000000
        NS
        
        -307527.68000000
        -0.01444757755
        Short
        EC
        CORP
        NZ
        N
        
        2
        
          N
          N
          N
        
      
      
        IPOTEKA-BANK ATIB
        213800UWVX5JSNXJS434
        Ipoteka-Bank ATIB
        000000000
        
          
        
        833000.00000000
        PA
        USD
        756988.75000000
        0.035563152143
        Long
        DBT
        CORP
        UZ
        Y
        
        2
        
          2025-11-19
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        -153513.73000000
        -0.00721203866
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            53165007.66000000
            TRY
            3319674.21000000
            USD
            2022-06-15
            -153513.73000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BEV4XD7D7 IRS PLN R V 06MWIBOR 1 CCPVANILLA / Short: BEV4XD7D7 IRS PLN P F  2.67900 2 CCPVANILLA
        000000000
        
          
        
        30760000.00000000
        OU
        Notional Amount
        
        1597801.54000000
        0.075064337828
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2031-10-22
            0.00000000
            PLN
            0.00000000
            PLN
            30760000.00000000
            PLN
            1597801.54000000
          
        
        
          N
          N
          N
        
      
      
        Republic of Sri Lanka
        254900HXCCIOHM74FA02
        Sri Lanka Government International Bond
        000000000
        
          
        
        9809000.00000000
        PA
        USD
        4300559.87000000
        0.202039283885
        Long
        DBT
        NUSS
        LK
        Y
        
        2
        
          2026-07-18
          Fixed
          6.82500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED BRL / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -26611.68000000
        -0.00125021042
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            800574.77000000
            USD
            3900000.00000000
            BRL
            2022-07-05
            -26611.68000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31335PL78
        
          
        
        388784.80000000
        PA
        USD
        417816.66000000
        0.019628927705
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-02-17
          Fixed
          6.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31358Q5Q4
        
          
        
        9416.99000000
        PA
        USD
        9433.12000000
        0.000443165742
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-10-25
          Floating
          1.81800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: BEV56C8E3 IRS MYR R V 03MKLIBO 1 NDF / Short: BEV56C8E3 IRS MYR P F  3.61500 2 NDF
        000000000
        
          
        
        70000000.00000000
        OU
        Notional Amount
        
        252361.77000000
        0.011855896169
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-06-15
            0.00000000
            MYR
            0.00000000
            MYR
            70000000.00000000
            MYR
            252361.77000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        1145156.51000000
        0.053799181551
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            23605670.47000000
            EUR
            26096986.97000000
            USD
            2022-06-15
            1145156.51000000
          
        
        
          N
          N
          N
        
      
      
        UGANDA T-BILL
        549300NF1DEFHG8XLQ11
        Republic of Uganda Treasury Bills
        000000000
        
          
        
        27482600000.00000000
        PA
        
        7166077.90000000
        0.336660642090
        Long
        STIV
        NUSS
        UG
        N
        
        2
        
          2023-04-13
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fisher & Paykel Healthcare Corp Ltd
        N/A
        Fisher & Paykel Healthcare Corp Ltd
        000000000
        
          
        
        -54500.00000000
        NS
        
        -748945.59000000
        -0.03518528639
        Short
        EC
        CORP
        NZ
        N
        
        2
        
          N
          N
          N
        
      
      
        COOF 1651067010
        N/A
        COOF 1651067010
        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
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -100130.86000000
        -0.00470412408
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            3747419.53000000
            USD
            57824556.99000000
            ZAR
            2022-06-09
            -100130.86000000
          
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        -19509.80000000
        -0.00091656578
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            21741822.00000000
            TRY
            1441763.42000000
            USD
            2022-05-09
            -19509.80000000
          
        
        
          N
          N
          N
        
      
      
        COOF 8887125010
        N/A
        COOF 8887125010
        000000000
        
          
        
        678660.88000000
        PA
        USD
        39398.85000000
        0.001850948639
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2027-05-15
          Fixed
          3.78000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Taaleem Management Services Co SAE
        N/A
        Taaleem Management Services Co SAE
        000000000
        
          
        
        5694463.00000000
        NS
        
        1142605.55000000
        0.053679338054
        Long
        EC
        CORP
        EG
        N
        
        2
        
          N
          N
          N
        
      
      
        BRASKEM IDESA SAPI
        YH0V7ZHY352ITDGEYB83
        Braskem Idesa SAPI
        000000000
        
          
        
        3000000.00000000
        PA
        USD
        2697555.00000000
        0.126730494846
        Long
        DBT
        CORP
        MX
        Y
        
        2
        
          2032-02-20
          Fixed
          6.99000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PURCHASED CZK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        2450.44000000
        0.000115121090
        N/A
        DFE
        
        CZ
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            3912822.90000000
            EUR
            96572969.00000000
            CZK
            2022-05-18
            2450.44000000
          
        
        
          N
          N
          N
        
      
      
        EGYPT TREASURY BILL
        529900GFIVH4086NMH82
        Egypt Treasury Bills
        000000000
        
          
        
        126825000.00000000
        PA
        
        6596436.92000000
        0.309899043798
        Long
        DBT
        NUSS
        EG
        N
        
        2
        
          2022-09-06
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31335PKD6
        
          
        
        52323.98000000
        PA
        USD
        57219.68000000
        0.002688167010
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-03-17
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        PURCHASED EUR / SOLD HUF
        000000000
        
          
        
        1.00000000
        NC
        N/A
        6301.76000000
        0.000296055191
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            747228570.00000000
            HUF
            1970960.49000000
            EUR
            2022-06-02
            6301.76000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31390PTM9
        
          
        
        7783.32000000
        PA
        USD
        8254.09000000
        0.000387775192
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-07-01
          Floating
          7.72500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        425457.76000000
        0.019987904773
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            99592120.00000000
            ZAR
            6703154.64000000
            USD
            2022-06-15
            425457.76000000
          
        
        
          N
          N
          N
        
      
      
        Motor Oil Hellas Corinth Refineries SA
        213800U3Y9UL7Y4QVM11
        Motor Oil Hellas Corinth Refineries SA
        000000000
        
          
        
        38600.00000000
        NS
        
        610657.87000000
        0.028688562067
        Long
        EC
        CORP
        GR
        N
        
        2
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED USD / SOLD KES
        000000000
        
          
        
        1.00000000
        NC
        
        -8100.92000000
        -0.00038057930
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            125900000.00000000
            KES
            1077910.96000000
            USD
            2022-05-11
            -8100.92000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410KU69
        
          
        
        557767.42000000
        PA
        USD
        594999.48000000
        0.027952934614
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-04-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 2323427006
        N/A
        COOF 2323427006
        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
        Lebanon Government International Bond
        000000000
        
          
        
        448000.00000000
        PA
        USD
        54880.00000000
        0.002578249398
        Long
        DBT
        NUSS
        LB
        N
        
        2
        
          2020-06-19
          None
          0.00000000
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        ISLAMIC REP OF PAKISTAN
        529900LOP29R5WKHOD86
        Pakistan Government International Bond
        000000000
        
          
        
        3022000.00000000
        PA
        USD
        2172818.00000000
        0.102078474897
        Long
        DBT
        NUSS
        PK
        Y
        
        2
        
          2051-04-08
          Fixed
          8.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lebanese Republic
        529900QPC4K9S1KHL354
        Lebanon Government International Bond
        000000000
        
          
        
        8628000.00000000
        PA
        USD
        1024575.00000000
        0.048134290777
        Long
        DBT
        NUSS
        LB
        N
        
        2
        
          2029-05-25
          None
          0.00000000
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SEV56PQT1 IRS CLP R F  6.50750 2 CCPNDFCAMARAPROMEDIO / Short: SEV56PQT1 IRS CLP P V 06MCLICP 1 CCPNDFCAMARAPROMEDIO
        000000000
        
          
        
        3781960000.00000000
        OU
        Notional Amount
        
        68064.72000000
        0.003197664420
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-04-14
            0.00000000
            CLP
            0.00000000
            CLP
            3781960000.00000000
            CLP
            68064.72000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: BEV558340 TRS COP R F   .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV558340 TRS COP P V 00MDTF DTF RATE 90D NON COMPUNDING
        000000000
        
          
        
        28919600000.00000000
        OU
        Notional Amount
        
        -24484.48000000
        -0.00115027507
        N/A
        DIR
        
        CO
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            
              
                TITULOS DE TESORERIA
                TITULOS DE TESORERIA
                
                  
                
              
            
            Y
            equity-performance leg
            
              
                
              
            
            2022-05-19
            0.00000000
            COP
            0.00000000
            COP
            28919600000.00000000
            COP
            -24484.48000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2022-R02
        20754BAJ0
        
          
        
        2587680.00000000
        PA
        USD
        2468637.66000000
        0.115976012443
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-01-25
          Floating
          7.93900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SEV4XUPG2 IRS USD R F  2.75000 2 CCPINFLATIONZERO / Short: SEV4XUPG2 IRS USD P V 12MUSCPI 1 CCPINFLATIONZERO
        000000000
        
          
        
        28400000.00000000
        OU
        Notional Amount
        USD
        -1728845.74000000
        -0.08122076329
        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
            -1728845.74000000
          
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        PURCHASED KZT / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        6860.95000000
        0.000322325805
        N/A
        DFE
        
        KZ
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            965490.41000000
            USD
            447987552.00000000
            KZT
            2022-07-29
            6860.95000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Securities PLC
        K6Q0W1PS1L1O4IQL9C32
        BB QATAR (STATE OF) REPO
        000000000
        
          
        
        4337722.31000000
        PA
        USD
        4337722.31000000
        0.203785166512
        Long
        RA
        CORP
        US
        N
        
        2
        
          Repurchase
          
            
              
            
          
          N
          0.15000000
          2023-04-05
          
            
              4337722.31000000
              USD
              4338119.93000000
              USD
              CDS
            
          
        
        
          N
          N
          N
        
      
      
        MC BRAZIL DWNSTRM
        213800T2A7R9TYNXZI63
        MC Brazil Downstream Trading SARL
        55292WAA8
        
          
        
        3757000.00000000
        PA
        USD
        3274976.90000000
        0.153857638916
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2031-06-30
          Fixed
          7.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Charoen Pokphand Indonesia Tbk PT
        529900JL5SA37OU87X40
        Charoen Pokphand Indonesia Tbk PT
        000000000
        
          
        
        389000.00000000
        NS
        
        137906.95000000
        0.006478835840
        Long
        EC
        CORP
        ID
        N
        
        2
        
          N
          N
          N
        
      
      
        COOF 2137117003
        N/A
        COOF 2137117003
        000000000
        
          
        
        1005572.03000000
        PA
        USD
        81983.97000000
        0.003851587488
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-03-15
          Fixed
          2.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED USD / SOLD IDR
        000000000
        
          
        
        1.00000000
        NC
        
        208610.46000000
        0.009800469990
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            241297208210.00000000
            IDR
            16633156.97000000
            USD
            2022-08-23
            208610.46000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31359HG81
        
          
        
        42043.22000000
        PA
        USD
        42973.21000000
        0.002018871225
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-05-17
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9624165003
        N/A
        COOF 9624165003
        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
        
      
      
        Arion Banki HF
        RIL4VBPDB0M7Z3KXSF19
        Arion Banki HF
        000000000
        
          
        
        1520353.00000000
        NS
        
        1973930.77000000
        0.092734799948
        Long
        EC
        CORP
        IS
        Y
        
        2
        
          N
          N
          N
        
      
      
        ARAB REPUBLIC OF EGYPT
        529900GFIVH4086NMH82
        Egypt Government International Bond
        000000000
        
          
        
        1329000.00000000
        PA
        USD
        926621.33000000
        0.043532450565
        Long
        DBT
        NUSS
        EG
        Y
        
        2
        
          2059-11-20
          Fixed
          8.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Non Gold Pool
        31300LA96
        
          
        
        633467.24000000
        PA
        USD
        657458.70000000
        0.030887253973
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2036-02-01
          Floating
          2.41700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31359UNJ0
        
          
        
        144228.16000000
        PA
        USD
        152238.42000000
        0.007152124906
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-07-20
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UGANDA T-BILL
        549300NF1DEFHG8XLQ11
        Republic of Uganda Treasury Bills
        000000000
        
          
        
        2305600000.00000000
        PA
        
        646777.55000000
        0.030385456076
        Long
        STIV
        NUSS
        UG
        N
        
        2
        
          2022-05-19
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED EUR / SOLD PLN
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -77497.94000000
        -0.00364083486
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            10100000.00000000
            PLN
            2086305.72000000
            EUR
            2022-05-05
            -77497.94000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED GBP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -175798.92000000
        -0.00825899161
        N/A
        DFE
        
        GB
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            4828296.50000000
            USD
            3700000.00000000
            GBP
            2022-05-13
            -175798.92000000
          
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -119443.72000000
        -0.00561143766
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            4569446.91000000
            USD
            6892773.34000000
            NZD
            2022-05-05
            -119443.72000000
          
        
        
          N
          N
          N
        
      
      
        COOF 2309137006
        N/A
        COOF 2309137006
        000000000
        
          
        
        660482.85000000
        PA
        USD
        87083.17000000
        0.004091146696
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-04-15
          Fixed
          3.16000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DOMINICAN REPUBLIC
        254900EHU7Q8FGVPI369
        Dominican Republic International Bond
        000000000
        
          
        
        9148000.00000000
        PA
        USD
        7786533.81000000
        0.365809513755
        Long
        DBT
        NUSS
        DO
        Y
        
        2
        
          2049-06-05
          Fixed
          6.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LIBERTY LATIN AMERICA
        213800YWQHEAX7CAVO83
        Liberty Latin America Ltd
        53069QAB5
        
          
        
        3340000.00000000
        PA
        USD
        3045662.50000000
        0.143084502729
        Long
        DBT
        CORP
        BM
        
        N
        
        2
        
          2024-07-15
          Fixed
          2.00000000
          N
          N
          N
          N
          Y
          
            
              Liberty Latin America Ltd
              Liberty Latin America Ltd
              USD
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        PURCHASED EUR / SOLD HUF
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -38526.00000000
        -0.00180994235
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            2006301284.00000000
            HUF
            5249097.92000000
            EUR
            2022-05-23
            -38526.00000000
          
        
        
          N
          N
          N
        
      
      
        Transportadora de Gas del Sur SA
        5299002TRC7IFQYSW596
        Transportadora de Gas del Sur SA
        893870204
        
          
        
        110721.00000000
        NS
        USD
        709721.61000000
        0.033342553104
        Long
        EC
        CORP
        AR
        N
        
        1
        
          N
          N
          N
        
      
      
        Bank Mandiri Persero Tbk PT
        549300RSKQN4Z5ZSGH94
        Bank Mandiri Persero Tbk PT
        000000000
        
          
        
        1021800.00000000
        NS
        
        627420.66000000
        0.029476073970
        Long
        EC
        CORP
        ID
        N
        
        2
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SEV4XUQK2 IRS EUR R F  2.29000 2 CCPINFLATIONZERO / Short: SEV4XUQK2 IRS EUR P V 12MCPTFE 1 CCPINFLATIONZERO
        000000000
        
          
        
        5900000.00000000
        OU
        Notional Amount
        
        -1207685.90000000
        -0.05673679747
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            Inflation based on European Union Consumer Price Index (cpi)
            2046-10-15
            0.00000000
            EUR
            0.00000000
            EUR
            5900000.00000000
            EUR
            -1207685.90000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: BEV56PQW4 IRS CLP R V 06MCLICP CLICP+0BPS+1D COMPOUNDING / Short: BEV56PQW4 IRS CLP P F  2.00000 CLF LEG 2 FIXED RATE
        000000000
        
          
        
        3026235450.00000000
        OU
        Notional Amount
        
        -29550.44000000
        -0.00138827267
        N/A
        DIR
        
        CL
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-04-14
            0.00000000
            CLP
            0.00000000
            CLP
            3026235450.00000000
            CLP
            -29550.44000000
          
        
        
          N
          N
          N
        
      
      
        Islandsbanki HF
        549300PZMFIQR79Q0T97
        Islandsbanki HF
        000000000
        
          
        
        1010006.00000000
        NS
        
        964030.01000000
        0.045289901490
        Long
        EC
        CORP
        IS
        N
        
        2
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: BEV55WL21 TRS COP R F   .00000 NO INDEX+0BPS / Short: BEV55WL21 TRS COP P V 00MDTF DTF RATE 90D NON COMPUNDING
        000000000
        
          
        
        30981600000.00000000
        OU
        Notional Amount
        
        111370.95000000
        0.005232180847
        N/A
        DIR
        
        CO
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            
              
                TITULOS DE TESORERIA
                TITULOS DE TESORERIA
                
                  
                
              
            
            Y
            equity-performance leg
            
              
                
              
            
            2022-05-03
            0.00000000
            COP
            0.00000000
            COP
            30981600000.00000000
            COP
            111370.95000000
          
        
        
          N
          N
          N
        
      
      
        COOF 8133675004
        N/A
        COOF 8133675004
        000000000
        
          
        
        626981.88000000
        PA
        USD
        45491.22000000
        0.002137166738
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2041-02-15
          Fixed
          2.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED COP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -42120.81000000
        -0.00197882567
        N/A
        DFE
        
        CO
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            1968966.36000000
            USD
            7681430000.00000000
            COP
            2022-06-15
            -42120.81000000
          
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        PURCHASED EUR / SOLD PLN
        000000000
        
          
        
        1.00000000
        NC
        N/A
        8125.95000000
        0.000381755205
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            7640218.00000000
            PLN
            1641469.12000000
            EUR
            2022-05-05
            8125.95000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -90968.58000000
        -0.00427368233
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            2745163.31000000
            USD
            2511000.00000000
            EUR
            2022-06-15
            -90968.58000000
          
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PURCHASED EUR / SOLD HUF
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -19649.64000000
        -0.00092313543
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            997961804.00000000
            HUF
            2606223.48000000
            EUR
            2022-06-01
            -19649.64000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US ULTRA BOND CBT JUN22
        000000000
        
          
        
        -298.00000000
        NC
        USD
        4576583.30000000
        0.215006799236
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                CME Ultra Long Term US Treasury Bond Future
                WNM2 COMDTY
              
            
            2022-06-21
            -52386958.30000000
            USD
            4576583.30000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -56733.09000000
        -0.00266530712
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            1712037.33000000
            USD
            1566000.00000000
            EUR
            2022-06-15
            -56733.09000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF MOZAMBIQUE
        213800759WLKYIKPER73
        Mozambique International Bond
        000000000
        
          
        
        3462000.00000000
        PA
        USD
        3024576.30000000
        0.142093878048
        Long
        DBT
        NUSS
        MZ
        Y
        
        2
        
          2031-09-15
          Variable
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD IDR
        000000000
        
          
        
        1.00000000
        NC
        
        81781.59000000
        0.003842079724
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            75860241819.00000000
            IDR
            5275399.29000000
            USD
            2022-06-21
            81781.59000000
          
        
        
          N
          N
          N
        
      
      
        Arion Banki HF
        RIL4VBPDB0M7Z3KXSF19
        Arion Banki HF
        000000000
        
          
        
        1000000000.00000000
        PA
        
        7733466.01000000
        0.363316401083
        Long
        DBT
        CORP
        IS
        Y
        
        2
        
          2024-04-12
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC Bank USA N.A.
        1IE8VN30JCEQV1H4R804
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -12933.18000000
        -0.00060759773
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              HSBC Bank USA N.A.
              1IE8VN30JCEQV1H4R804
            
            416053.86000000
            USD
            382078.70000000
            EUR
            2022-05-06
            -12933.18000000
          
        
        
          N
          N
          N
        
      
      
        RELIANCE COMMUNICATION
        3358004XUDHE13A1HZ26
        Reliance Communications Ltd
        000000000
        
          
        
        1800000.00000000
        PA
        USD
        158400.00000000
        0.007441594474
        Long
        DBT
        CORP
        IN
        Y
        
        2
        
          2020-11-06
          None
          0.00000000
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        DUBAI ELECTRICITY AND WATER A
        213800K4OJF8DKATLT41
        DUBAI ELECTRICITY AND WATER A
        000000000
        
          
        
        983852.00000000
        NS
        
        758035.19000000
        0.035612313646
        Long
        EC
        CORP
        AE
        N
        
        1
        
          N
          N
          N
        
      
      
        LEBANESE REPUBLIC
        529900QPC4K9S1KHL354
        Lebanon Government International Bond
        000000000
        
          
        
        3446000.00000000
        PA
        USD
        417827.50000000
        0.019629436966
        Long
        DBT
        NUSS
        LB
        N
        
        2
        
          2024-12-03
          None
          0.00000000
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        Arab Republic of Egypt
        529900GFIVH4086NMH82
        Egypt Government International Bond
        000000000
        
          
        
        956000.00000000
        PA
        USD
        658661.06000000
        0.030943740561
        Long
        DBT
        NUSS
        EG
        Y
        
        2
        
          2048-02-21
          Fixed
          7.90300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SEV51X877 IRS NZD R F  2.69000 2 CCPVANILLA / Short: SEV51X877 IRS NZD P V 03MNZDBB 1 CCPVANILLA
        000000000
        
          
        
        91380000.00000000
        OU
        Notional Amount
        
        -893802.49000000
        -0.04199062923
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-01-18
            0.00000000
            NZD
            0.00000000
            NZD
            91380000.00000000
            NZD
            -893802.49000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED BRL / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        3045.34000000
        0.000143069351
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            334323.19000000
            USD
            1700000.00000000
            BRL
            2022-07-05
            3045.34000000
          
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED USD / SOLD KES
        000000000
        
          
        
        1.00000000
        NC
        
        -17168.85000000
        -0.00080658850
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            246500000.00000000
            KES
            2105218.21000000
            USD
            2022-05-20
            -17168.85000000
          
        
        
          N
          N
          N
        
      
      
        Coteccons Construction JSC
        N/A
        Coteccons Construction JSC
        000000000
        
          
        
        36000.00000000
        NS
        
        86693.98000000
        0.004072862642
        Long
        EC
        CORP
        VN
        N
        
        2
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: BEV56QHX0 TRS COP R F   .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV56QHX0 TRS COP P V 00MDTF DTF RATE 90D NON COMPOUNDING
        000000000
        
          
        
        34377000000.00000000
        OU
        Notional Amount
        
        -124123.73000000
        -0.00583130343
        N/A
        DIR
        
        CO
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            
              
                TITULOS DE TESORERIA
                TITULOS DE TESORERIA
                
                  
                
              
            
            Y
            equity-performance leg
            
              
                
              
            
            2022-06-17
            0.00000000
            COP
            0.00000000
            COP
            34377000000.00000000
            COP
            -124123.73000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BEV4JL8Z5 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4JL8Z5 IRS COP P F  3.76000 2 CCPNDFOIS
        000000000
        
          
        
        7412000000.00000000
        OU
        Notional Amount
        
        291309.76000000
        0.013685663513
        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
            291309.76000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF SRI LANKA
        254900HXCCIOHM74FA02
        Sri Lanka Government International Bond
        000000000
        
          
        
        1960000.00000000
        PA
        USD
        845602.80000000
        0.039726219219
        Long
        DBT
        NUSS
        LK
        Y
        
        2
        
          2024-06-28
          Fixed
          6.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: B92RGS2U6 CDS USD R V 03MEVENT 1 CCPSOVEREIGN / Short: B92RGS2U6 CDS USD P F  1.00000 2 CCPSOVEREIGN
        000000000
        
          
        
        6763000.00000000
        OU
        Notional Amount
        USD
        -123640.56000000
        -0.00580860421
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                State of Qatar
                State of Qatar
                
                  
                
              
            
            Y
            buy protection
            
            2027-06-20
            0.00000000
            USD
            -139999.46000000
            USD
            6763000.00000000
            USD
            16358.90000000
          
        
        
          N
          N
          N
        
      
      
        COOF 8264205003
        N/A
        COOF 8264205003
        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
        Freddie Mac Gold Pool
        31335PMR3
        
          
        
        362104.16000000
        PA
        USD
        386679.06000000
        0.018166090634
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-08-17
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED BRL / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        45143.42000000
        0.002120827177
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            790147.45000000
            USD
            4170000.00000000
            BRL
            2022-06-02
            45143.42000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        2741292.29000000
        0.128785262369
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            56507596.93000000
            EUR
            62471346.55000000
            USD
            2022-06-15
            2741292.29000000
          
        
        
          N
          N
          N
        
      
      
        Sunac China Holdings Ltd
        549300OLARYHDXP3WK18
        Sunac China Holdings Ltd
        000000000
        
          
        
        3270000.00000000
        PA
        USD
        809325.00000000
        0.038021896770
        Long
        DBT
        CORP
        KY
        
        Y
        
        2
        
          2023-04-19
          Fixed
          8.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 1908407001
        N/A
        COOF 1908407001
        000000000
        
          
        
        1597985.67000000
        PA
        USD
        120390.58000000
        0.005655920927
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-02-15
          Fixed
          2.16000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -2937685.67000000
        -0.13801177683
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            43115160.42000000
            USD
            637392974.00000000
            ZAR
            2022-06-15
            -2937685.67000000
          
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED PLN / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -29116.09000000
        -0.00136786701
        N/A
        DFE
        
        PL
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            1460310.29000000
            EUR
            6700000.00000000
            PLN
            2022-05-05
            -29116.09000000
          
        
        
          N
          N
          N
        
      
      
        RMOF SD 12/8/2017
        N/A
        RMOF SD 12/8/2017
        000000000
        
          
        
        21608137.48000000
        PA
        USD
        1498010.53000000
        0.070376179819
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2039-10-29
          Fixed
          2.33000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: B92XV2M23 CDS USD R V 03MEVENT 1 CCPSOVEREIGN / Short: B92XV2M23 CDS USD P F  1.00000 2 CCPSOVEREIGN
        000000000
        
          
        
        27066000.00000000
        OU
        Notional Amount
        USD
        3939473.89000000
        0.185075550086
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Republic of South Africa
                Republic of South Africa
                
                  
                  
                
              
            
            Y
            buy protection
            
            2031-06-20
            3772118.44000000
            USD
            0.00000000
            USD
            27066000.00000000
            USD
            167355.45000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: BEV55LM24 TRS COP R F   .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV55LM24 TRS COP P V 00MDTF DTF RATE 90D NON COMPOUNDING
        000000000
        
          
        
        12350600000.00000000
        OU
        Notional Amount
        
        5682.28000000
        0.000266952168
        N/A
        DIR
        
        CO
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            
              
                TITULOS DE TESORERIA
                TITULOS DE TESORERIA
                
                  
                
              
            
            Y
            equity-performance leg
            
              
                
              
            
            2022-05-26
            0.00000000
            COP
            0.00000000
            COP
            12350600000.00000000
            COP
            5682.28000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: B92XUQME5 CDS USD R V 03MEVENT 1 CCPSOVEREIGN / Short: B92XUQME5 CDS USD P F   .25000 2 CCPSOVEREIGN
        000000000
        
          
        
        9771000.00000000
        OU
        Notional Amount
        USD
        -37072.35000000
        -0.00174165022
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Republic of Finland
                Republic of Finland
                
                  
                  
                
              
            
            Y
            buy protection
            
            2027-06-20
            0.00000000
            USD
            -42689.89000000
            USD
            9771000.00000000
            USD
            5617.54000000
          
        
        
          N
          N
          N
        
      
      
        COOF 1738297001
        N/A
        COOF 1738297001
        000000000
        
          
        
        922171.34000000
        PA
        USD
        100593.21000000
        0.004725845175
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-02-15
          Fixed
          2.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF ECUADOR
        5299003Y2U5XK0A35H71
        Ecuador Government International Bond
        000000000
        
          
        
        1130012.00000000
        PA
        USD
        505987.39000000
        0.023771167713
        Long
        DBT
        NUSS
        EC
        Y
        
        2
        
          2040-07-31
          Variable
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INDONESIA GOVERNMENT
        529900FWX0GRR7WG5W79
        Indonesia Treasury Bond
        000000000
        
          
        
        193960000000.00000000
        PA
        
        12917733.32000000
        0.606872051149
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2031-02-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Dominican Republic
        254900EHU7Q8FGVPI369
        Dominican Republic International Bond
        000000000
        
          
        
        207000.00000000
        PA
        USD
        178777.84000000
        0.008398940570
        Long
        DBT
        NUSS
        DO
        Y
        
        2
        
          2048-02-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LEBANESE REPUBLIC
        529900QPC4K9S1KHL354
        Lebanon Government International Bond
        000000000
        
          
        
        4621000.00000000
        PA
        USD
        560296.25000000
        0.026322585090
        Long
        DBT
        NUSS
        LB
        Y
        
        2
        
          2031-11-20
          None
          0.00000000
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BEV4MD7M9 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4MD7M9 IRS COP P F  4.73000 2 CCPNDFOIS
        000000000
        
          
        
        3307500000.00000000
        OU
        Notional Amount
        
        103441.69000000
        0.004859666090
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2025-11-26
            0.00000000
            COP
            0.00000000
            COP
            3307500000.00000000
            COP
            103441.69000000
          
        
        
          N
          N
          N
        
      
      
        Lebanese Republic
        529900QPC4K9S1KHL354
        Lebanon Government International Bond
        000000000
        
          
        
        7602000.00000000
        PA
        USD
        940975.56000000
        0.044206808890
        Long
        DBT
        NUSS
        LB
        Y
        
        2
        
          2024-04-22
          None
          0.00000000
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9632055005
        N/A
        COOF 9632055005
        000000000
        
          
        
        1955440.13000000
        PA
        USD
        116990.44000000
        0.005496183156
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-09-15
          Fixed
          1.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 2237237001
        N/A
        COOF 2237237001
        000000000
        
          
        
        2469974.23000000
        PA
        USD
        209514.42000000
        0.009842937817
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-03-15
          Fixed
          2.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RIKISBREF
        254900IPCJWRC6XAJN15
        Iceland Rikisbref
        000000000
        
          
        
        3257985267.00000000
        PA
        
        27176270.63000000
        1.276734756110
        Long
        DBT
        NUSS
        IS
        N
        
        2
        
          2031-01-24
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United Tractors Tbk PT
        529900N9ELYOWQV4FW14
        United Tractors Tbk PT
        000000000
        
          
        
        84500.00000000
        NS
        
        176326.04000000
        0.008283755587
        Long
        EC
        CORP
        ID
        N
        
        2
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        PURCHASED EUR / SOLD HUF
        000000000
        
          
        
        1.00000000
        NC
        N/A
        5848.88000000
        0.000274778996
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            523459452.00000000
            HUF
            1384589.93000000
            EUR
            2022-05-23
            5848.88000000
          
        
        
          N
          N
          N
        
      
      
        COOF 1205867003
        N/A
        COOF 1205867003
        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
        
      
      
        SILKNET JSC
        635400QGWS2BG73SGG55
        Silknet JSC
        000000000
        
          
        
        1686000.00000000
        PA
        USD
        1648065.00000000
        0.077425703271
        Long
        DBT
        CORP
        GE
        Y
        
        2
        
          2027-01-31
          Fixed
          8.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31335PLG8
        
          
        
        300299.33000000
        PA
        USD
        315048.88000000
        0.014800921746
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-10-17
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF PHILIPPINES
        529900RAHBALMYIJ3T08
        Philippine Government International Bond
        718286BM8
        
          
        
        1524000000.00000000
        PA
        
        30283285.92000000
        1.422701598379
        Long
        DBT
        NUSS
        PH
        N
        
        2
        
          2036-01-14
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BEV51WQN4 IRS USD R V 12MSOFR 1 CCPOIS / Short: BEV51WQN4 IRS USD P F  1.32700 2 CCPOIS
        000000000
        
          
        
        25000000.00000000
        OU
        Notional Amount
        USD
        1579377.50000000
        0.074198780793
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-01-18
            0.00000000
            USD
            0.00000000
            USD
            25000000.00000000
            USD
            1579377.50000000
          
        
        
          N
          N
          N
        
      
      
        ICE Futures Europe
        549300UF4R84F48NCH34
        BRENT CRUDE FUTR JUL22
        000000000
        
          
        
        74.00000000
        NC
        USD
        478620.53000000
        0.022485479113
        N/A
        DCO
        
        GB
        N
        
        1
        
          
            
              ICE Futures Europe
              549300UF4R84F48NCH34
            
            Long
            
              
                ICE Brent Crude Oil Future
                CON2 COMDTY
              
            
            2022-05-31
            7449739.47000000
            USD
            478620.53000000
          
        
        
          N
          N
          N
        
      
      
        COOF 2033337005
        N/A
        COOF 2033337005
        000000000
        
          
        
        290999.69000000
        PA
        USD
        20913.97000000
        0.000982533356
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-02-15
          Fixed
          2.16000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SEPLAT ENERGY PL
        029200711C4S4CB2E982
        SEPLAT Energy PLC
        000000000
        
          
        
        3306000.00000000
        PA
        USD
        3152502.42000000
        0.148103816860
        Long
        DBT
        CORP
        NG
        Y
        
        2
        
          2026-04-01
          Fixed
          7.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31385W2S7
        
          
        
        57657.16000000
        PA
        USD
        62240.61000000
        0.002924049112
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-03-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NBK TIER 1 LTD
        5493000G4QCCEE8YHF19
        NBK Tier 1 Ltd
        000000000
        
          
        
        1765000.00000000
        PA
        USD
        1622899.85000000
        0.076243450486
        Long
        DBT
        CORP
        AE
        
        Y
        
        2
        
          2026-08-24
          Fixed
          3.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED KES / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -42595.16000000
        -0.00200111052
        N/A
        DFE
        
        KE
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            2190118.06000000
            USD
            250440000.00000000
            KES
            2022-06-08
            -42595.16000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SEV4XUQG1 IRS EUR R F  2.29150 2 CCPINFLATIONZERO / Short: SEV4XUQG1 IRS EUR P V 12MCPTFE 1 CCPINFLATIONZERO
        000000000
        
          
        
        5900000.00000000
        OU
        Notional Amount
        
        -1204926.08000000
        -0.05660714179
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            Inflation based on European Union Consumer Price Index (cpi)
            2046-10-15
            0.00000000
            EUR
            0.00000000
            EUR
            5900000.00000000
            EUR
            -1204926.08000000
          
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED EUR / SOLD PLN
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -2839.91000000
        -0.00013341829
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            4485667.00000000
            PLN
            956513.16000000
            EUR
            2022-05-05
            -2839.91000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138EKZC2
        
          
        
        818200.29000000
        PA
        USD
        876497.27000000
        0.041177634101
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2038-10-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED PEN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -58042.25000000
        -0.00272681115
        N/A
        DFE
        
        PE
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            2193940.04000000
            USD
            8240000.00000000
            PEN
            2022-06-15
            -58042.25000000
          
        
        
          N
          N
          N
        
      
      
        NEDER FINANCIERINGS-MAAT
        XTC5E2QFTEF0435JWL77
        Nederlandse Financierings-Maatschappij voor Ontwikkelingslanden NV
        000000000
        
          
        
        101000000000.00000000
        PA
        
        8948597.47000000
        0.420402989208
        Long
        DBT
        NUSS
        NL
        N
        
        2
        
          2022-12-08
          Fixed
          15.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        PURCHASED NOK / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -185225.68000000
        -0.00870185856
        N/A
        DFE
        
        NO
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            3692977.73000000
            USD
            32900000.00000000
            NOK
            2022-05-23
            -185225.68000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        912796U80
        
          
        
        26060000.00000000
        PA
        USD
        26059377.43000000
        1.224263378167
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-05-10
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        PURCHASED CZK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        553.07000000
        0.000025983097
        N/A
        DFE
        
        CZ
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            3455464.38000000
            EUR
            85845000.00000000
            CZK
            2022-06-30
            553.07000000
          
        
        
          N
          N
          N
        
      
      
        COOF 8544575003
        N/A
        COOF 8544575003
        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
        
      
      
        REPUBLIC OF ARMENIA
        5299000H77JSW90G7935
        Republic of Armenia International Bond
        000000000
        
          
        
        2355000.00000000
        PA
        USD
        1895775.00000000
        0.089063060388
        Long
        DBT
        NUSS
        AM
        Y
        
        2
        
          2029-09-26
          Fixed
          3.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        THAILAND GOVERNMENT BOND
        254900PHJ6MSKT6C7026
        Thailand Government Bond
        000000000
        
          
        
        112400000.00000000
        PA
        
        2710272.12000000
        0.127327942131
        Long
        DBT
        NUSS
        TH
        N
        
        2
        
          2046-06-17
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BEV4XUPP2 IRS EUR R V 12MCPTFE 1 CCPINFLATIONZERO / Short: BEV4XUPP2 IRS EUR P F  2.20000 2 CCPINFLATIONZERO
        000000000
        
          
        
        5900000.00000000
        OU
        Notional Amount
        
        912018.72000000
        0.042846423407
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on European Union Consumer Price Index (cpi)
            
            2036-10-15
            0.00000000
            EUR
            0.00000000
            EUR
            5900000.00000000
            EUR
            912018.72000000
          
        
        
          N
          N
          N
        
      
      
        COOF 9579435001
        N/A
        COOF 9579435001
        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
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        459894.96000000
        0.021605756271
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            9480039.46000000
            EUR
            10480552.40000000
            USD
            2022-06-15
            459894.96000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD PHP
        000000000
        
          
        
        1.00000000
        NC
        
        1479.00000000
        0.000069483069
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            953532000.00000000
            PHP
            18168397.39000000
            USD
            2022-05-27
            1479.00000000
          
        
        
          N
          N
          N
        
      
      
        COOF 8690125006
        N/A
        COOF 8690125006
        000000000
        
          
        
        800398.04000000
        PA
        USD
        117724.38000000
        0.005530663483
        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
        PNMAC GMSR ISSUER TRUST 2018-GT2
        69354WAD8
        
          
        
        8064000.00000000
        PA
        USD
        7995714.05000000
        0.375636751876
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-08-25
          Floating
          3.31800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ISLANDSBANKI
        549300PZMFIQR79Q0T97
        Islandsbanki HF
        000000000
        
          
        
        860000000.00000000
        PA
        
        6677441.82000000
        0.313704634810
        Long
        DBT
        CORP
        IS
        N
        
        2
        
          2023-10-26
          Fixed
          6.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416CBV7
        
          
        
        534112.37000000
        PA
        USD
        575641.61000000
        0.027043506467
        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
        Bank of Cyprus Holdings PLC
        000000000
        
          
        
        4401002.00000000
        NS
        
        4884367.34000000
        0.229466420521
        Long
        EC
        CORP
        IE
        
        N
        
        2
        
          N
          N
          N
        
      
      
        ARAB REPUBLIC OF EGYPT
        529900GFIVH4086NMH82
        Egypt Government International Bond
        000000000
        
          
        
        1083000.00000000
        PA
        USD
        801311.70000000
        0.037645433834
        Long
        DBT
        NUSS
        EG
        Y
        
        2
        
          2050-05-29
          Fixed
          8.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        75193.49000000
        0.003532572346
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            1550000.00000000
            EUR
            1713585.30000000
            USD
            2022-06-15
            75193.49000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SEV56GJY8 IRS CLP R F  6.35000 2 CCPNDFCAMARAPROMEDIO / Short: SEV56GJY8 IRS CLP P V 06MCLICP 1 CCPNDFCAMARAPROMEDIO
        000000000
        
          
        
        5021220000.00000000
        OU
        Notional Amount
        
        20561.59000000
        0.000965978627
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-04-11
            0.00000000
            CLP
            0.00000000
            CLP
            5021220000.00000000
            CLP
            20561.59000000
          
        
        
          N
          N
          N
        
      
      
        COOF 9667865001
        N/A
        COOF 9667865001
        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
        Freddie Mac Gold Pool
        31335PMQ5
        
          
        
        173357.11000000
        PA
        USD
        183048.87000000
        0.008599592548
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-03-25
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ISRAEL MAKAM BILL
        M8LYVLF5DOB9X0LZOW72
        Bank of Israel Bill - Makam
        000000000
        
          
        
        50035010.00000000
        PA
        
        15010503.00000000
        0.705189874936
        Long
        STIV
        NUSS
        IL
        N
        
        2
        
          2022-08-03
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9584325008
        N/A
        COOF 9584325008
        000000000
        
          
        
        2554486.69000000
        PA
        USD
        154878.47000000
        0.007276153829
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-08-15
          Fixed
          1.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -597434.86000000
        -0.02806734818
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            10723742.20000000
            USD
            14314526.98000000
            AUD
            2022-07-11
            -597434.86000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BEV55TVJ0 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BEV55TVJ0 IRS USD P F  2.55700 2 CCPVANILLA
        000000000
        
          
        
        13040000.00000000
        OU
        Notional Amount
        USD
        487519.96000000
        0.022903572226
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-03-29
            0.00000000
            USD
            0.00000000
            USD
            13040000.00000000
            USD
            487519.96000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        194225.47000000
        0.009124666568
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            4003664.40000000
            EUR
            4426206.74000000
            USD
            2022-06-15
            194225.47000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: BEV54EXJ2 TRS COP R F   .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV54EXJ2 TRS COP P V 00MDTF DTF RATE 90D NON COMPOUNDING
        000000000
        
          
        
        14897000000.00000000
        OU
        Notional Amount
        
        -48616.61000000
        -0.00228399682
        N/A
        DIR
        
        CO
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            
              
                TITULOS DE TESORERIA
                TITULOS DE TESORERIA
                
                  
                
              
            
            Y
            equity-performance leg
            
              
                
              
            
            2022-05-03
            0.00000000
            COP
            0.00000000
            COP
            14897000000.00000000
            COP
            -48616.61000000
          
        
        
          N
          N
          N
        
      
      
        SUSSEX CAPITAL LTD
        N/A
        SUSSEX CAPITAL LTD
        000000000
        
          
        
        5500.00000000
        NS
        USD
        4782138.35000000
        0.224663726789
        Long
        STIV
        CORP
        US
        N
        
        3
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31359R3U4
        
          
        
        91558.00000000
        PA
        USD
        97367.47000000
        0.004574300674
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2028-04-18
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M7PT7
        
          
        
        2632331.96000000
        PA
        USD
        2840801.73000000
        0.133460192286
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-05-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9630945008
        N/A
        COOF 9630945008
        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
        Long: BEV4JSWQ3 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4JSWQ3 IRS COP P F  4.07000 2 CCPNDFOIS
        000000000
        
          
        
        14824000000.00000000
        OU
        Notional Amount
        
        544588.36000000
        0.025584632139
        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
            544588.36000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410GVM2
        
          
        
        1354431.79000000
        PA
        USD
        1449065.06000000
        0.068076733233
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-11-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CFG Investments Limited
        549300C3OD89QRWQ1Y92
        CFG Investments Ltd
        12528GAE2
        
          
        
        3600000.00000000
        PA
        USD
        3499277.76000000
        0.164395240182
        Long
        ABS-O
        CORP
        US
        
        N
        
        2
        
          2032-05-20
          Fixed
          5.82000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        1394842.27000000
        0.065529359405
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            302640502.00000000
            ZAR
            20471505.53000000
            USD
            2022-06-15
            1394842.27000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        Long: BEV56N122 TRS COP R F   .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV56N122 TRS COP P V 00MDTF DTF RATE 90D NON COMPOUNDING
        000000000
        
          
        
        17189000000.00000000
        OU
        Notional Amount
        
        -43684.72000000
        -0.00205229779
        N/A
        DIR
        
        CO
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            
              
                TITULOS DE TESORERIA
                TITULOS DE TESORERIA
                
                  
                
              
            
            Y
            equity-performance leg
            
              
                
              
            
            2022-06-21
            0.00000000
            COP
            0.00000000
            COP
            17189000000.00000000
            COP
            -43684.72000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31359VU27
        
          
        
        151128.71000000
        PA
        USD
        155286.96000000
        0.007295344593
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-06-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INDIABULLS HOUSING FIN
        335800A2A3G53ZQZTQ21
        Indiabulls Housing Finance Ltd
        000000000
        
          
        
        2970000.00000000
        PA
        USD
        2314045.80000000
        0.108713323484
        Long
        DBT
        CORP
        IN
        Y
        
        2
        
          2026-09-28
          Fixed
          4.50000000
          N
          N
          N
          N
          N
          
            
              INDIABULLS HOUSING FIN
              INDIABULLS HOUSING FIN
              USD
              
                
              
            
          
          
            
          
          XXXX
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: BEV56Z3G2 IRS CLP R V 06MCLICP CLICP+0BPS+1D COMPOUNDING / Short: BEV56Z3G2 IRS CLP P F  1.85000 CLF LEG 1.85 FIXED
        000000000
        
          
        
        757813425.00000000
        OU
        Notional Amount
        
        7515.81000000
        0.000353090973
        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
            7515.81000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31363WDP7
        
          
        
        823.48000000
        PA
        USD
        878.74000000
        0.000041282997
        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
        Military Commercial Joint Stock Bank
        000000000
        
          
        
        662987.00000000
        NS
        
        920591.52000000
        0.043249171520
        Long
        EC
        CORP
        VN
        N
        
        2
        
          N
          N
          N
        
      
      
        EXPORT-IMPORT BK INDIA
        335800OFZ8YEIVN1QI11
        Export-Import Bank of India
        30216KAF9
        
          
        
        2400000.00000000
        PA
        USD
        1961952.67000000
        0.092172071647
        Long
        DBT
        NUSS
        IN
        Y
        
        2
        
          2031-01-13
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 1661267004
        N/A
        COOF 1661267004
        000000000
        
          
        
        1399779.35000000
        PA
        USD
        122337.77000000
        0.005747399452
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-04-15
          Fixed
          2.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD BRL
        000000000
        
          
        
        1.00000000
        NC
        
        127345.89000000
        0.005982679743
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            12300000.00000000
            BRL
            2615235.13000000
            USD
            2022-05-03
            127345.89000000
          
        
        
          N
          N
          N
        
      
      
        Nomura International PLC
        DGQCSV2PHVF7I2743539
        BB CORPORACION NAT DEL REPO
        000000000
        
          
        
        212328.00000000
        PA
        USD
        212328.00000000
        0.009975119139
        Long
        RA
        CORP
        US
        N
        
        2
        
          Repurchase
          
            
              
            
          
          N
          0.00000000
          2023-03-17
          
            
              212328.00000000
              USD
              212328.00000000
              USD
              CDS
            
          
        
        
          N
          N
          N
        
      
      
        ZAMBIA GOVERNMENT BOND
        213800DMLAZ6LGMMD849
        Zambia Government Bond
        000000000
        
          
        
        36470000.00000000
        PA
        
        1250265.24000000
        0.058737164786
        Long
        DBT
        NUSS
        ZM
        N
        
        2
        
          2031-09-20
          Fixed
          13.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BEV41GJ00 IRS COP R V 00MDTF DTF RATE 90D NONCOMPUNDING / Short: BEV41GJ00 IRS COP P F  3.49000 CCP CME
        000000000
        
          
        
        7936800000.00000000
        OU
        Notional Amount
        
        286420.22000000
        0.013455954082
        N/A
        DIR
        
        CO
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2025-05-13
            0.00000000
            COP
            0.00000000
            COP
            7936800000.00000000
            COP
            286420.22000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED PEN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -74998.48000000
        -0.00352341082
        N/A
        DFE
        
        PE
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            3452396.76000000
            USD
            13000000.00000000
            PEN
            2022-05-27
            -74998.48000000
          
        
        
          N
          N
          N
        
      
      
        RMOF SD 10/06/17
        N/A
        RMOF SD 10/06/17
        000000000
        
          
        
        11031664.53000000
        PA
        USD
        894764.67000000
        0.042035832225
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2036-03-19
          Fixed
          2.24000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Arab Republic of Egypt
        529900GFIVH4086NMH82
        Egypt Government International Bond
        000000000
        
          
        
        5322000.00000000
        PA
        USD
        4444955.69000000
        0.208822965301
        Long
        DBT
        NUSS
        EG
        Y
        
        2
        
          2028-02-21
          Fixed
          6.58800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        533165.48000000
        0.025047987942
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            10990400.52000000
            EUR
            12150315.30000000
            USD
            2022-06-15
            533165.48000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -23808.71000000
        -0.00111852755
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            542577.11000000
            USD
            490780.66000000
            EUR
            2022-06-15
            -23808.71000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BEV4K3J73 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4K3J73 IRS COP P F  4.81500 2 CCPNDFOIS
        000000000
        
          
        
        6893000000.00000000
        OU
        Notional Amount
        
        313712.66000000
        0.014738146447
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2028-03-26
            0.00000000
            COP
            0.00000000
            COP
            6893000000.00000000
            COP
            313712.66000000
          
        
        
          N
          N
          N
        
      
      
        Chandra Asri Petrochemical Tbk PT
        N/A
        Chandra Asri Petrochemical Tbk PT
        000000000
        
          
        
        381600.00000000
        NS
        
        264272.65000000
        0.012415466490
        Long
        EC
        CORP
        ID
        N
        
        2
        
          N
          N
          N
        
      
      
        HELLENIC REPUBLIC
        2138003EKTMKZ5598902
        Hellenic Republic Government Bond
        000000000
        
          
        
        11700000.00000000
        PA
        
        10701803.54000000
        0.502768195040
        Long
        DBT
        NUSS
        GR
        Y
        
        2
        
          2032-06-18
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED KES / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -26375.47000000
        -0.00123911333
        N/A
        DFE
        
        KE
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            1112387.35000000
            USD
            125900000.00000000
            KES
            2022-05-11
            -26375.47000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-DNA4
        35565XBD1
        
          
        
        4296459.00000000
        PA
        USD
        4510277.44000000
        0.211891765641
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2050-08-25
          Floating
          6.66800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        PURCHASED EUR / SOLD PLN
        000000000
        
          
        
        1.00000000
        NC
        N/A
        32982.45000000
        0.001549507687
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            23656302.00000000
            PLN
            5089872.45000000
            EUR
            2022-05-05
            32982.45000000
          
        
        
          N
          N
          N
        
      
      
        Hellenic Telecommunications Organization SA
        ELPUFM0XZRZO4LFXW404
        Hellenic Telecommunications Organization SA
        000000000
        
          
        
        112400.00000000
        NS
        
        2162357.24000000
        0.101587030870
        Long
        EC
        CORP
        GR
        N
        
        2
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED BRL / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        161198.26000000
        0.007573056066
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            1254673.66000000
            USD
            7000000.00000000
            BRL
            2022-05-03
            161198.26000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD PHP
        000000000
        
          
        
        1.00000000
        NC
        
        1784.72000000
        0.000083845722
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            139298633.00000000
            PHP
            2655735.40000000
            USD
            2022-05-27
            1784.72000000
          
        
        
          N
          N
          N
        
      
      
        Ryman Healthcare Ltd
        529900UR74KKRFG56I57
        Ryman Healthcare Ltd
        000000000
        
          
        
        -38300.00000000
        NS
        
        -226669.60000000
        -0.01064888410
        Short
        EC
        CORP
        NZ
        N
        
        2
        
          N
          N
          N
        
      
      
        GOVERNMENT OF UKRAINE
        6354001WLTJXOMEXPY07
        Ukraine Government Bond
        000000000
        
          
        
        693998000.00000000
        PA
        
        14067527.03000000
        0.660889087257
        Long
        DBT
        NUSS
        UA
        N
        
        3
        
          2023-11-22
          Fixed
          11.67000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UGANDA T-BILL
        549300NF1DEFHG8XLQ11
        Republic of Uganda Treasury Bills
        000000000
        
          
        
        29078200000.00000000
        PA
        
        7597409.20000000
        0.356924484381
        Long
        STIV
        NUSS
        UG
        N
        
        2
        
          2023-03-30
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IRSA Inversiones y Representaciones SA
        549300QJINFBX83IZ837
        IRSA Inversiones y Representaciones SA
        450047204
        
          
        
        69200.00000000
        NS
        USD
        312784.00000000
        0.014694518221
        Long
        EC
        CORP
        AR
        N
        
        1
        
          N
          N
          N
        
      
      
        INDONESIA GOVERNMENT
        529900FWX0GRR7WG5W79
        Indonesia Treasury Bond
        000000000
        
          
        
        2752000000.00000000
        PA
        
        194103.61000000
        0.009118941614
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2040-04-15
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JSC GEORGIA CAPITAL
        635400VNH3KVFQNWDH25
        Georgia Capital JSC
        000000000
        
          
        
        6762000.00000000
        PA
        USD
        6576045.00000000
        0.308941036228
        Long
        DBT
        CORP
        GE
        Y
        
        2
        
          2024-03-09
          Fixed
          6.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9679725002
        N/A
        COOF 9679725002
        000000000
        
          
        
        671654.07000000
        PA
        USD
        71277.17000000
        0.003348584560
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-09-15
          Fixed
          3.21000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        PURCHASED CZK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        13840.27000000
        0.000650212605
        N/A
        DFE
        
        CZ
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            265727.81000000
            EUR
            6900000.00000000
            CZK
            2022-06-07
            13840.27000000
          
        
        
          N
          N
          N
        
      
      
        Lebanese Republic
        529900QPC4K9S1KHL354
        Lebanon Government International Bond
        000000000
        
          
        
        3522000.00000000
        PA
        USD
        421583.40000000
        0.019805888258
        Long
        DBT
        NUSS
        LB
        Y
        
        2
        
          2028-11-03
          None
          0.00000000
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        KINGDOM OF BAHRAIN
        549300RODM1WN85LFQ95
        Bahrain Government International Bond
        000000000
        
          
        
        10100000.00000000
        PA
        USD
        9121239.30000000
        0.428513661482
        Long
        DBT
        NUSS
        BH
        Y
        
        2
        
          2032-09-16
          Fixed
          5.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LIMAK ISKENDERUN
        5299001DUZ9PI7TCRC47
        Limak Iskenderun Uluslararasi Liman Isletmeciligi AS
        000000000
        
          
        
        4390000.00000000
        PA
        USD
        4088846.00000000
        0.192093016428
        Long
        DBT
        CORP
        TR
        Y
        
        2
        
          2036-07-10
          Fixed
          9.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        Long: BEV56PN49 TRS COP R F   .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV56PN49 TRS COP P V 00MDTF DTF RATE 90D NON COMPOUNDING
        000000000
        
          
        
        13548460000.00000000
        OU
        Notional Amount
        
        -80664.34000000
        -0.00378959158
        N/A
        DIR
        
        CO
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            
              
                TITULOS DE TESORERIA
                TITULOS DE TESORERIA
                
                  
                
              
            
            Y
            equity-performance leg
            
              
                
              
            
            2022-05-05
            0.00000000
            COP
            0.00000000
            COP
            13548460000.00000000
            COP
            -80664.34000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31335PD69
        
          
        
        1433.08000000
        PA
        USD
        1444.85000000
        0.000067878710
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-10-25
          Fixed
          7.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31335PD51
        
          
        
        14164.78000000
        PA
        USD
        15246.16000000
        0.000716260984
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-05-17
          Fixed
          9.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9675505009
        N/A
        COOF 9675505009
        000000000
        
          
        
        1876207.40000000
        PA
        USD
        148447.47000000
        0.006974026973
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-09-15
          Fixed
          2.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -25767.02000000
        -0.00121052849
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            981805.54000000
            USD
            1480853.00000000
            NZD
            2022-05-02
            -25767.02000000
          
        
        
          N
          N
          N
        
      
      
        Eurobank Ergasias Services and Holdings SA
        JEUVK5RWVJEN8W0C9M24
        Eurobank Ergasias Services and Holdings SA
        000000000
        
          
        
        1087400.00000000
        NS
        
        1123876.02000000
        0.052799429172
        Long
        EC
        CORP
        GR
        N
        
        2
        
          N
          N
          N
        
      
      
        Lebanese Republic
        529900QPC4K9S1KHL354
        Lebanon Government International Bond
        000000000
        
          
        
        1505000.00000000
        PA
        USD
        184362.50000000
        0.008661306574
        Long
        DBT
        NUSS
        LB
        Y
        
        2
        
          2023-01-27
          None
          0.00000000
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        Vietnam Technological & Commercial Joint Stock Bank
        5493001XNKHV3FNIUD50
        Vietnam Technological & Commercial Joint Stock Bank
        000000000
        
          
        
        163200.00000000
        NS
        
        334594.29000000
        0.015719160478
        Long
        EC
        CORP
        VN
        N
        
        2
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD IDR
        000000000
        
          
        
        1.00000000
        NC
        
        252883.04000000
        0.011880385310
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            276464060024.00000000
            IDR
            19180434.55000000
            USD
            2022-06-21
            252883.04000000
          
        
        
          N
          N
          N
        
      
      
        ZAMBIA GOVERNMENT BOND
        213800DMLAZ6LGMMD849
        Zambia Government Bond
        000000000
        
          
        
        229105000.00000000
        PA
        
        10040562.11000000
        0.471703229308
        Long
        DBT
        NUSS
        ZM
        N
        
        2
        
          2026-01-25
          Fixed
          11.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD BRL
        000000000
        
          
        
        1.00000000
        NC
        
        135604.74000000
        0.006370678560
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            13700000.00000000
            BRL
            2906668.36000000
            USD
            2022-05-03
            135604.74000000
          
        
        
          N
          N
          N
        
      
      
        Hagar hf
        635400TICHH43JJTNP54
        Hagar hf
        000000000
        
          
        
        1391259.00000000
        NS
        
        856328.00000000
        0.040230086575
        Long
        EC
        CORP
        IS
        N
        
        2
        
          N
          N
          N
        
      
      
        Bank of Industry Limited
        N/A
        Bank of Industry Limited 3 Year Term Loan
        000000000
        
          
        
        13362604.00000000
        PA
        USD
        13362710.90000000
        0.627776992441
        Long
        LON
        CORP
        NG
        N
        
        2
        
          2023-12-14
          Floating
          6.80300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        Long: BEV55WAB3 CDS USD R V 03MEVENT 1 SOVEREIGN / Short: BEV55WAB3 CDS USD P F   .25000 2 SOVEREIGN
        000000000
        
          
        
        9749000.00000000
        OU
        Notional Amount
        USD
        -57193.78000000
        -0.00268695023
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                KINGDOM OF SWEDEN
                KINGDOM OF SWEDEN
                
                  
                
              
            
            Y
            buy protection
            
            2027-06-20
            0.00000000
            USD
            -50707.01000000
            USD
            9749000.00000000
            USD
            -6486.77000000
          
        
        
          N
          N
          N
        
      
      
        COOF 2093807006
        N/A
        COOF 2093807006
        000000000
        
          
        
        559244.96000000
        PA
        USD
        33338.34000000
        0.001566227315
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2028-03-15
          Fixed
          3.21000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: B91ZBY231 CDS USD R V 03MEVENT 2I65BZDL3 CCP ICE / Short: B91ZBY231 CDS USD P F  1.00000 CCP ICE
        000000000
        
          
        
        2820000.00000000
        OU
        Notional Amount
        USD
        173291.17000000
        0.008141178113
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                CDX.EM.S31
                2I65BZDL3
              
            
            Y
            buy protection
            
            2024-06-20
            185125.60000000
            USD
            0.00000000
            USD
            2820000.00000000
            USD
            -11834.43000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BEV4RUV49 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4RUV49 IRS COP P F  4.89500 2 CCPNDFOIS
        000000000
        
          
        
        14717700000.00000000
        OU
        Notional Amount
        
        440197.18000000
        0.020680359233
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2025-11-26
            0.00000000
            COP
            0.00000000
            COP
            14717700000.00000000
            COP
            440197.18000000
          
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED USD / SOLD BHD
        000000000
        
          
        
        1.00000000
        NC
        
        -64298.38000000
        -0.00302072266
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            4061000.00000000
            BHD
            10671214.39000000
            USD
            2023-03-15
            -64298.38000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3133T6UU3
        
          
        
        11910.78000000
        PA
        USD
        12240.81000000
        0.000575070353
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-02-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BEV53W091 IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BEV53W091 IRS EUR P F   .80620 2 CCPVANILLA
        000000000
        
          
        
        17800000.00000000
        OU
        Notional Amount
        
        1558510.26000000
        0.073218442802
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-02-22
            0.00000000
            EUR
            0.00000000
            EUR
            17800000.00000000
            EUR
            1558510.26000000
          
        
        
          N
          N
          N
        
      
      
        ZAMBIA GOVERNMENT BOND
        213800DMLAZ6LGMMD849
        Zambia Government Bond
        000000000
        
          
        
        8430000.00000000
        PA
        
        317632.23000000
        0.014922286917
        Long
        DBT
        NUSS
        ZM
        N
        
        2
        
          2028-05-31
          Fixed
          12.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED USD / SOLD KES
        000000000
        
          
        
        1.00000000
        NC
        
        -21546.67000000
        -0.00101225745
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            250440000.00000000
            KES
            2125976.23000000
            USD
            2022-06-08
            -21546.67000000
          
        
        
          N
          N
          N
        
      
      
        SOCIALIST REP OF VIETNAM
        5493008AE7RS4XK4BZ08
        Vietnam Government International Bond
        000000000
        
          
        
        21375000.00000000
        PA
        USD
        21936093.75000000
        1.030552487691
        Long
        DBT
        NUSS
        VN
        Y
        
        2
        
          2024-11-19
          Fixed
          4.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD CNH
        000000000
        
          
        
        1.00000000
        NC
        
        1701550.05000000
        0.079938418250
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            286000000.00000000
            CNY
            44612877.99000000
            USD
            2022-06-23
            1701550.05000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        PURCHASED PEN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -42400.83000000
        -0.00199198094
        N/A
        DFE
        
        PE
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            1779067.04000000
            USD
            6695163.00000000
            PEN
            2022-06-09
            -42400.83000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        PURCHASED CZK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -32517.59000000
        -0.00152766867
        N/A
        DFE
        
        CZ
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            11958213.03000000
            EUR
            295500000.00000000
            CZK
            2022-06-14
            -32517.59000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD PHP
        000000000
        
          
        
        1.00000000
        NC
        
        264845.50000000
        0.012442378847
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            1087800000.00000000
            PHP
            20989869.75000000
            USD
            2022-05-27
            264845.50000000
          
        
        
          N
          N
          N
        
      
      
        COOF 9632755003
        N/A
        COOF 9632755003
        000000000
        
          
        
        1741833.73000000
        PA
        USD
        99232.58000000
        0.004661923100
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-08-15
          Fixed
          1.66000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        196185.33000000
        0.009216740326
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            21687239.55000000
            NZD
            14197464.62000000
            USD
            2022-05-02
            196185.33000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: B95NC66Q9 CDS USD R V 03MEVENT 1 CCPCDX / Short: B95NC66Q9 CDS USD P F  1.00000 2 CCPCDX
        000000000
        
          
        
        76270000.00000000
        OU
        Notional Amount
        USD
        -584796.41000000
        -0.02747359680
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                CDX.NA.IG.S38
                2I65BYEA9
              
            
            Y
            buy protection
            
            2027-06-20
            0.00000000
            USD
            -971474.95000000
            USD
            76270000.00000000
            USD
            386678.54000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED CLP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -49857.27000000
        -0.00234228273
        N/A
        DFE
        
        CL
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            925282.00000000
            USD
            753013000.00000000
            CLP
            2022-06-15
            -49857.27000000
          
        
        
          N
          N
          N
        
      
      
        Infratil Ltd
        N/A
        Infratil Ltd
        000000000
        
          
        
        -67400.00000000
        NS
        
        -364744.51000000
        -0.01713561067
        Short
        EC
        CORP
        NZ
        N
        
        2
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BEV51PRN8 IRS USD R V 12MSOFR 1 CCPOIS / Short: BEV51PRN8 IRS USD P F  1.38900 2 CCPOIS
        000000000
        
          
        
        12500000.00000000
        OU
        Notional Amount
        USD
        753180.00000000
        0.035384217970
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-01-12
            0.00000000
            USD
            0.00000000
            USD
            12500000.00000000
            USD
            753180.00000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31402CVV1
        
          
        
        10360680.00000000
        PA
        USD
        11221468.61000000
        0.527181936920
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2034-03-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD KRW
        000000000
        
          
        
        1.00000000
        NC
        
        252158.43000000
        0.011846343304
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            14200400000.00000000
            KRW
            11493711.42000000
            USD
            2022-06-15
            252158.43000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED IDR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -285245.92000000
        -0.01340078574
        N/A
        DFE
        
        ID
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            21635064.10000000
            USD
            311844741769.00000000
            IDR
            2022-06-21
            -285245.92000000
          
        
        
          N
          N
          N
        
      
      
        BNP Paribas SA
        R0MUWSFPU8MPRO8K5P83
        PURCHASED USD / SOLD AED
        000000000
        
          
        
        1.00000000
        NC
        
        -56930.62000000
        -0.00267458704
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BNP Paribas SA
              R0MUWSFPU8MPRO8K5P83
            
            76129895.00000000
            AED
            20676936.34000000
            USD
            2023-03-06
            -56930.62000000
          
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        -12915.49000000
        -0.00060676666
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            11517604.00000000
            TRY
            739511.81000000
            USD
            2022-06-15
            -12915.49000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD PHP
        000000000
        
          
        
        1.00000000
        NC
        
        411230.36000000
        0.019319504891
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            1944762633.00000000
            PHP
            37663651.26000000
            USD
            2022-05-03
            411230.36000000
          
        
        
          N
          N
          N
        
      
      
        Lebanese Republic
        529900QPC4K9S1KHL354
        Lebanon Government International Bond
        000000000
        
          
        
        3382000.00000000
        PA
        USD
        418522.50000000
        0.019662087901
        Long
        DBT
        NUSS
        LB
        Y
        
        2
        
          2021-04-12
          None
          0.00000000
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        12640.67000000
        0.000593855682
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            490781.00000000
            EUR
            530450.14000000
            USD
            2022-05-06
            12640.67000000
          
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED THB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        60545.60000000
        0.002844417944
        N/A
        DFE
        
        TH
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            17219706.51000000
            USD
            591833823.00000000
            THB
            2022-05-09
            60545.60000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BEV4XFEX0 IRS PLN R V 06MWIBOR 1 CCPVANILLA / Short: BEV4XFEX0 IRS PLN P F  2.67000 2 CCPVANILLA
        000000000
        
          
        
        14140000.00000000
        OU
        Notional Amount
        
        737186.92000000
        0.034632866861
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2031-10-25
            0.00000000
            PLN
            0.00000000
            PLN
            14140000.00000000
            PLN
            737186.92000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: B95NHM0V4 CDS USD R V 03MEVENT 1 CCPCDX / Short: B95NHM0V4 CDS USD P F  5.00000 2 CCPCDX
        000000000
        
          
        
        187242000.00000000
        OU
        Notional Amount
        USD
        -2942214.06000000
        -0.13822451952
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                CDX.NA.HY.S38
                2I65BRYR5
              
            
            Y
            buy protection
            
            2027-06-20
            0.00000000
            USD
            -10448690.45000000
            USD
            187242000.00000000
            USD
            7506476.39000000
          
        
        
          N
          N
          N
        
      
      
        Bank Negara Indonesia Persero Tbk PT
        549300HZ8J3MLVXQ8F85
        Bank Negara Indonesia Persero Tbk PT
        000000000
        
          
        
        423700.00000000
        NS
        
        267630.11000000
        0.012573199165
        Long
        EC
        CORP
        ID
        N
        
        2
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        489148.14000000
        0.022980063737
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            100000000.00000000
            ZAR
            6792555.36000000
            USD
            2022-06-15
            489148.14000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        PURCHASED EUR / SOLD HUF
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -31187.28000000
        -0.00146517102
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            1549337523.00000000
            HUF
            4052180.73000000
            EUR
            2022-05-23
            -31187.28000000
          
        
        
          N
          N
          N
        
      
      
        TESNIK CUATRO LTD
        N/A
        TESNIK CUATRO LTD
        000000000
        
          
        
        409000.00000000
        NS
        USD
        288263.20000000
        0.013542536846
        Long
        EC
        CORP
        US
        N
        
        3
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1348631.51000000
        -0.06335838884
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            30733981.42000000
            USD
            27800000.00000000
            EUR
            2022-06-15
            -1348631.51000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        PURCHASED COP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -8679.08000000
        -0.00040774112
        N/A
        DFE
        
        CO
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            291581.67000000
            USD
            1127800000.00000000
            COP
            2022-06-15
            -8679.08000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        1434352.08000000
        0.067385520918
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            29567000.00000000
            EUR
            32687468.66000000
            USD
            2022-06-15
            1434352.08000000
          
        
        
          N
          N
          N
        
      
      
        COOF 1283797001
        N/A
        COOF 1283797001
        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
        Fannie Mae Pool
        31402DJ50
        
          
        
        230.68000000
        PA
        USD
        245.76000000
        0.000011545746
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-02-01
          Fixed
          9.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Vietnam Prosperity JSC Bank
        254900A0PM1YPJVDW880
        Vietnam Prosperity JSC Bank
        000000000
        
          
        
        420683.00000000
        NS
        
        719393.85000000
        0.033796952647
        Long
        EC
        CORP
        VN
        N
        
        2
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BEV4XZDV1 IRS TWD R V 03MCPTW 1 CCPNDF / Short: BEV4XZDV1 IRS TWD P F   .88200 2 CCPNDF
        000000000
        
          
        
        640495867.00000000
        OU
        Notional Amount
        
        763962.25000000
        0.035890765521
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2026-11-02
            0.00000000
            TWD
            0.00000000
            TWD
            640495867.00000000
            TWD
            763962.25000000
          
        
        
          N
          N
          N
        
      
      
        Arab Republic of Egypt
        529900GFIVH4086NMH82
        Egypt Government International Bond
        000000000
        
          
        
        21787000.00000000
        PA
        
        17383916.60000000
        0.816692283600
        Long
        DBT
        NUSS
        EG
        Y
        
        2
        
          2031-04-11
          Fixed
          6.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9662825001
        N/A
        COOF 9662825001
        000000000
        
          
        
        2019907.83000000
        PA
        USD
        263618.81000000
        0.012384749242
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-09-15
          Fixed
          3.21000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 2188787005
        N/A
        COOF 2188787005
        000000000
        
          
        
        219437.37000000
        PA
        USD
        24937.70000000
        0.001171567238
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-04-15
          Fixed
          2.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CROATIA
        74780000O00QGQ7CER13
        Croatia Government International Bond
        000000000
        
          
        
        21902000.00000000
        PA
        
        18236170.56000000
        0.856730972741
        Long
        DBT
        NUSS
        HR
        Y
        
        2
        
          2041-03-04
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 2254177009
        N/A
        COOF 2254177009
        000000000
        
          
        
        1485950.42000000
        PA
        USD
        145700.51000000
        0.006844975443
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-04-15
          Fixed
          2.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Sumitomo Mitsui Financial Group Inc
        35380028MYWPB6AUO129
        Sumitomo Mitsui Financial Group Inc
        000000000
        
          
        
        19500.00000000
        NS
        
        589171.74000000
        0.027679148769
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BEV4MD2U6 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4MD2U6 IRS COP P F  4.78000 2 CCPNDFOIS
        000000000
        
          
        
        13905100000.00000000
        OU
        Notional Amount
        
        429126.56000000
        0.020160264128
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2025-11-26
            0.00000000
            COP
            0.00000000
            COP
            13905100000.00000000
            COP
            429126.56000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SEV4XYK04 IRS CNY R F  2.63250 2 CCPNDF / Short: SEV4XYK04 IRS CNY P V 00MCNRR 1 CCPNDF
        000000000
        
          
        
        54356027.00000000
        OU
        Notional Amount
        
        60202.58000000
        0.002828302946
        N/A
        DIR
        
        GB
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2026-11-01
            0.00000000
            CNY
            0.00000000
            CNY
            54356027.00000000
            CNY
            60202.58000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SEV55TYK4 IRS CLP R F  6.48000 2 CCPNDFCAMARAPROMEDIO / Short: SEV55TYK4 IRS CLP P V 06MCLICP 1 CCPNDFCAMARAPROMEDIO
        000000000
        
          
        
        2491150000.00000000
        OU
        Notional Amount
        
        38201.28000000
        0.001794687084
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-03-29
            0.00000000
            CLP
            0.00000000
            CLP
            2491150000.00000000
            CLP
            38201.28000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD INR
        000000000
        
          
        
        1.00000000
        NC
        
        -11106.77000000
        -0.00052179342
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            268500000.00000000
            INR
            3474378.88000000
            USD
            2022-06-30
            -11106.77000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BEV506FA2 IRS COP R V 03MCOOVI 1 CCPNDF / Short: BEV506FA2 IRS COP P F  6.17500 2 CCPNDF
        000000000
        
          
        
        15707000000.00000000
        OU
        Notional Amount
        
        313755.06000000
        0.014740138389
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2025-11-26
            0.00000000
            COP
            0.00000000
            COP
            15707000000.00000000
            COP
            313755.06000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD PHP
        000000000
        
          
        
        1.00000000
        NC
        
        318.69000000
        0.000014971980
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            205464000.00000000
            PHP
            3914867.67000000
            USD
            2022-05-27
            318.69000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        PURCHASED IDR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -35410.84000000
        -0.00166359287
        N/A
        DFE
        
        ID
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            1899921.87000000
            USD
            27233860000.00000000
            IDR
            2022-06-21
            -35410.84000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD INR
        000000000
        
          
        
        1.00000000
        NC
        
        54702.23000000
        0.002569897806
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            435200000.00000000
            INR
            5747870.30000000
            USD
            2022-05-02
            54702.23000000
          
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED PLN / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -16837.85000000
        -0.00079103820
        N/A
        DFE
        
        PL
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            1149299.64000000
            EUR
            5300000.00000000
            PLN
            2022-05-05
            -16837.85000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 10YR NOTE (CBT)JUN22
        000000000
        
          
        
        -1590.00000000
        NC
        USD
        8649829.44000000
        0.406366937937
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                CBOT 10 Year US Treasury Note
                TYM2 COMDTY
              
            
            2022-06-21
            -198108266.94000000
            USD
            8649829.44000000
          
        
        
          N
          N
          N
        
      
      
        ARAGVI FINANCE INTL
        635400VKAYT1VT6VBF50
        Aragvi Finance International DAC
        000000000
        
          
        
        5849000.00000000
        PA
        USD
        4552569.15000000
        0.213878620158
        Long
        DBT
        CORP
        IE
        
        Y
        
        2
        
          2026-04-29
          Fixed
          8.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SEV55Y3J0 IRS USD R F  3.04250 2 CCPINFLATIONZERO / Short: SEV55Y3J0 IRS USD P V 12MUSCPI 1 CCPINFLATIONZERO
        000000000
        
          
        
        2161000.00000000
        OU
        Notional Amount
        USD
        -31980.62000000
        -0.00150244195
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            Inflation based on US CPI Urban Consumers NSA
            2032-03-31
            0.00000000
            USD
            0.00000000
            USD
            2161000.00000000
            USD
            -31980.62000000
          
        
        
          N
          N
          N
        
      
      
        Republic of Armenia
        5299000H77JSW90G7935
        Republic of Armenia International Bond
        000000000
        
          
        
        4124000.00000000
        PA
        USD
        4068532.20000000
        0.191138678916
        Long
        DBT
        NUSS
        AM
        Y
        
        2
        
          2025-03-26
          Fixed
          7.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas SA
        R0MUWSFPU8MPRO8K5P83
        PURCHASED EUR / SOLD HUF
        000000000
        
          
        
        1.00000000
        NC
        N/A
        12915.31000000
        0.000606758204
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              BNP Paribas SA
              R0MUWSFPU8MPRO8K5P83
            
            930514375.00000000
            HUF
            2459655.21000000
            EUR
            2022-06-01
            12915.31000000
          
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        365682.09000000
        0.017179657957
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            21102523.17000000
            NZD
            13989558.99000000
            USD
            2022-05-05
            365682.09000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BEV537GC2 IRS TWD R V 03MCPTW 1 CCPNDF / Short: BEV537GC2 IRS TWD P F  1.00000 2 CCPNDF
        000000000
        
          
        
        322266103.00000000
        OU
        Notional Amount
        
        346818.04000000
        0.016293429357
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-02-09
            0.00000000
            TWD
            0.00000000
            TWD
            322266103.00000000
            TWD
            346818.04000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        -237304.56000000
        -0.01114851201
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            49293800.00000000
            TRY
            2982983.36000000
            USD
            2022-06-15
            -237304.56000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31283HSP1
        
          
        
        658379.71000000
        PA
        USD
        719855.88000000
        0.033818658707
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-05-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2022-HQA1
        35564KUE7
        
          
        
        3696706.00000000
        PA
        USD
        3757222.19000000
        0.176513408396
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-03-25
          Floating
          7.28900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        184495.06000000
        0.008667534211
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            105512234.10000000
            ZAR
            6859040.83000000
            USD
            2022-05-13
            184495.06000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED BRL / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        43350.46000000
        0.002036594341
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            1464980.54000000
            USD
            7530000.00000000
            BRL
            2022-06-02
            43350.46000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SEV4XYA13 IRS CNY R F  2.63500 2 CCPNDF / Short: SEV4XYA13 IRS CNY P V 00MCNRR 1 CCPNDF
        000000000
        
          
        
        150310401.00000000
        OU
        Notional Amount
        
        168940.04000000
        0.007936763057
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2026-11-01
            0.00000000
            CNY
            0.00000000
            CNY
            150310401.00000000
            CNY
            168940.04000000
          
        
        
          N
          N
          N
        
      
      
        Elang Mahkota Teknologi Tbk PT
        254900EYBP9KM4RW7F31
        Elang Mahkota Teknologi Tbk PT
        000000000
        
          
        
        1163600.00000000
        NS
        
        239591.93000000
        0.011255972111
        Long
        EC
        CORP
        ID
        N
        
        2
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BEV4KPKY3 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4KPKY3 IRS COP P F  4.34380 2 CCPNDFOIS
        000000000
        
          
        
        7973800000.00000000
        OU
        Notional Amount
        
        274865.03000000
        0.012913093993
        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
            274865.03000000
          
        
        
          N
          N
          N
        
      
      
        HONDURAS GOVERNMENT
        5493002DW1JNBNG17615
        Honduras Government International Bond
        000000000
        
          
        
        2710000.00000000
        PA
        USD
        2369086.58000000
        0.111299126289
        Long
        DBT
        NUSS
        HN
        Y
        
        2
        
          2027-01-19
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BEV55W0P3 IRS CZK R V 06MPRIBO 1 CCPVANILLA / Short: BEV55W0P3 IRS CZK P F  5.56000 2 CCPVANILLA
        000000000
        
          
        
        311417945.00000000
        OU
        Notional Amount
        
        38742.26000000
        0.001820102196
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-03-30
            0.00000000
            CZK
            0.00000000
            CZK
            311417945.00000000
            CZK
            38742.26000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SEV4XZDB5 IRS CNY R F  2.64000 2 CCPNDF / Short: SEV4XZDB5 IRS CNY P V 00MCNRR 1 CCPNDF
        000000000
        
          
        
        63948266.00000000
        OU
        Notional Amount
        
        73968.15000000
        0.003475006163
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2026-11-01
            0.00000000
            CNY
            0.00000000
            CNY
            63948266.00000000
            CNY
            73968.15000000
          
        
        
          N
          N
          N
        
      
      
        COOF 9131835005
        N/A
        COOF 9131835005
        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
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1129641.70000000
        -0.05307029945
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            20368147.03000000
            USD
            27198000.00000000
            AUD
            2022-07-05
            -1129641.70000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31416BUU0
        
          
        
        741566.70000000
        PA
        USD
        824921.80000000
        0.038754630739
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-04-01
          Fixed
          8.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BEV55N8U4 IRS CZK R V 06MPRIBO 1 CCPVANILLA / Short: BEV55N8U4 IRS CZK P F  5.36000 2 CCPVANILLA
        000000000
        
          
        
        195104808.00000000
        OU
        Notional Amount
        
        51445.78000000
        0.002416910556
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-03-25
            0.00000000
            CZK
            0.00000000
            CZK
            195104808.00000000
            CZK
            51445.78000000
          
        
        
          N
          N
          N
        
      
      
        COOF 2287837002
        N/A
        COOF 2287837002
        000000000
        
          
        
        1357972.80000000
        PA
        USD
        138844.94000000
        0.006522902388
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-04-15
          Fixed
          2.66000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        1075512.15000000
        0.050527306017
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            37936778.13000000
            NZD
            25567491.62000000
            USD
            2022-05-02
            1075512.15000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SEV55TVF8 IRS USD R F  3.12550 2 CCPINFLATIONZERO / Short: SEV55TVF8 IRS USD P V 12MUSCPI 1 CCPINFLATIONZERO
        000000000
        
          
        
        10400000.00000000
        OU
        Notional Amount
        USD
        -70403.74000000
        -0.00330755102
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            Inflation based on US CPI Urban Consumers NSA
            2032-03-29
            0.00000000
            USD
            0.00000000
            USD
            10400000.00000000
            USD
            -70403.74000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF SOUTH AFRICA
        378900AAFB4F17004C49
        Republic of South Africa Government International Bond
        836205BE3
        
          
        
        6322000.00000000
        PA
        USD
        5935599.36000000
        0.278853051783
        Long
        DBT
        NUSS
        ZA
        N
        
        2
        
          2052-04-20
          Fixed
          7.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        000000000
        
          
        
        9940000.00000000
        PA
        
        8764150.32000000
        0.411737705797
        Long
        DBT
        NUSS
        RO
        Y
        
        2
        
          2049-04-03
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED RUB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        36611.47000000
        0.001719998187
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            403433.27000000
            USD
            31668624.00000000
            RUB
            2022-05-11
            36611.47000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        BEV4DS4M9 SYNTHCAP SWAPTIONS
        000000000
        
          
        
        304600000.00000000
        NC
        USD
        64383.30000000
        0.003024712181
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            Call
            Purchased
            
              
                USD - 10Y Constant Maturity Swap (CMS)
                USD - 10Y Constant Maturity Swap (CMS)
                
                  
                
              
            
            1.00000000
            1.09000000
            USD
            2023-01-04
            XXXX
            -362056.70000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD GBP
        000000000
        
          
        
        1.00000000
        NC
        
        347238.42000000
        0.016313178710
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            3700000.00000000
            GBP
            4999736.00000000
            USD
            2022-05-13
            347238.42000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SEV42TLC2 IRS COP R F  3.33500 CCP CME / Short: SEV42TLC2 IRS COP P V 00MCOOIS COOVIBR+0BPS CCP CME
        000000000
        
          
        
        59477600000.00000000
        OU
        Notional Amount
        
        -2253661.57000000
        -0.10587648666
        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
            -2253661.57000000
          
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PURCHASED HUF / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -133643.40000000
        -0.00627853527
        N/A
        DFE
        
        HU
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            4863278.78000000
            EUR
            1800917359.00000000
            HUF
            2022-06-01
            -133643.40000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Board of Trade
        549300EX04Q2QBFQTQ27
        US 5YR NOTE (CBT) JUN22
        000000000
        
          
        
        -1168.00000000
        NC
        USD
        4863628.61000000
        0.228492119899
        N/A
        DIR
        
        US
        N
        
        1
        
          
            
              Chicago Board of Trade
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                CBOT 5 Year US Treasury Note
                FVM2 COMDTY
              
            
            2022-06-30
            -136464378.61000000
            USD
            4863628.61000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31335PL86
        
          
        
        256343.59000000
        PA
        USD
        269581.47000000
        0.012664873596
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-06-17
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ODBRCHT OFFSHRE DRLL FIN
        549300L7LF2PIRAWID66
        Odebrecht Offshore Drilling Finance Ltd
        000000000
        
          
        
        1022388.52000000
        PA
        USD
        1012164.63000000
        0.047551254534
        Long
        DBT
        CORP
        KY
        
        Y
        
        2
        
          2022-12-01
          Fixed
          6.72000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -106918.90000000
        -0.00502302459
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            4090296.61000000
            USD
            6170000.00000000
            NZD
            2022-05-05
            -106918.90000000
          
        
        
          N
          N
          N
        
      
      
        WOW AIR HF ZCP
        N/A
        WOW AIR HF ZCP
        000000000
        
          
        
        3600000.00000000
        PA
        
        0.00000000
        0.000000
        Long
        DBT
        CORP
        IS
        N
        
        3
        
          2099-12-31
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 2266577008
        N/A
        COOF 2266577008
        000000000
        
          
        
        2613435.09000000
        PA
        USD
        188445.54000000
        0.008853126826
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-04-15
          Fixed
          2.16000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 2231357001
        N/A
        COOF 2231357001
        000000000
        
          
        
        1635299.90000000
        PA
        USD
        207972.57000000
        0.009770502069
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-04-15
          Fixed
          3.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        PURCHASED KZT / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        17338.87000000
        0.000814576005
        N/A
        DFE
        
        KZ
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            965490.41000000
            USD
            452815004.00000000
            KZT
            2022-07-29
            17338.87000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36202KPP4
        
          
        
        55455.59000000
        PA
        USD
        55341.25000000
        0.002599918814
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-10-20
          Floating
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: S92RGQH91 CDS USD R F  1.00000 2 CCPCORPORATE / Short: S92RGQH91 CDS USD P V 03MEVENT 1 CCPCORPORATE
        000000000
        
          
        
        37998000.00000000
        OU
        Notional Amount
        USD
        -5653035.04000000
        -0.26557824696
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Petroleos Mexicanos
                Petroleos Mexicanos
                
                  
                  
                
              
            
            Y
            
            sell protection
            2027-06-20
            0.00000000
            USD
            -4804845.54000000
            USD
            37998000.00000000
            USD
            -848189.50000000
          
        
        
          N
          N
          N
        
      
      
        COOF 9766785007
        N/A
        COOF 9766785007
        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
        Ginnie Mae II Pool
        36202BSS5
        
          
        
        6867.94000000
        PA
        USD
        7057.30000000
        0.000331550282
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2023-10-20
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BEV4S6X23 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4S6X23 IRS COP P F  4.78000 2 CCPNDFOIS
        000000000
        
          
        
        30984585075.00000000
        OU
        Notional Amount
        
        956218.11000000
        0.044922900278
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2025-11-26
            0.00000000
            COP
            0.00000000
            COP
            30984585075.00000000
            COP
            956218.11000000
          
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        912796U98
        
          
        
        150000000.00000000
        PA
        USD
        149988594.00000000
        7.046428613665
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-05-17
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government of The Republic of Kenya Acting through The National Treasury
        N/A
        Government of The Republic of Kenya Acting through The National Treasury 2019 1st Lien Term Loan
        000000000
        
          
        
        12190500.00000000
        PA
        USD
        12060988.13000000
        0.566622365086
        Long
        LON
        NUSS
        KE
        N
        
        2
        
          2025-06-29
          Floating
          6.61600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BEV56ABF0 IRS EUR R V 12MESTR 1 CCPOIS / Short: BEV56ABF0 IRS EUR P F   .98100 2 CCPOIS
        000000000
        
          
        
        3112000.00000000
        OU
        Notional Amount
        
        128137.33000000
        0.006019861407
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-04-07
            0.00000000
            EUR
            0.00000000
            EUR
            3112000.00000000
            EUR
            128137.33000000
          
        
        
          N
          N
          N
        
      
      
        COOF 1826907005
        N/A
        COOF 1826907005
        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
        
      
      
        FHLMC-GNMA
        S6XOOCT0IEG5ABCC6L87
        FHLMC-GNMA
        312913WW2
        
          
        
        1371.65000000
        PA
        USD
        1386.83000000
        0.000065152944
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-12-25
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 2148227007
        N/A
        COOF 2148227007
        000000000
        
          
        
        1139161.59000000
        PA
        USD
        60019.88000000
        0.002819719743
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2028-03-15
          Fixed
          2.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BEV51QXV1 IRS USD R V 12MSOFR 1 CCPOIS / Short: BEV51QXV1 IRS USD P F  1.38550 2 CCPOIS
        000000000
        
          
        
        12400000.00000000
        OU
        Notional Amount
        USD
        749501.88000000
        0.035211420764
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-01-13
            0.00000000
            USD
            0.00000000
            USD
            12400000.00000000
            USD
            749501.88000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        213903.58000000
        0.010049139514
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            4409299.03000000
            EUR
            4874651.60000000
            USD
            2022-06-15
            213903.58000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SEV4W1ZF8 IRS KRW R F  1.75390 2 CCPNDF / Short: SEV4W1ZF8 IRS KRW P V 03MKSDA 1 CCPNDF
        000000000
        
          
        
        106378100000.00000000
        OU
        Notional Amount
        
        -1104875.47000000
        -0.05190678783
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2023-10-05
            0.00000000
            KRW
            0.00000000
            KRW
            106378100000.00000000
            KRW
            -1104875.47000000
          
        
        
          N
          N
          N
        
      
      
        IRSA Inversiones y Representaciones SA
        549300QJINFBX83IZ837
        IRSA Inversiones y Representaciones SA
        000000000
        
          
        
        201760.00000000
        NS
        USD
        50692.20000000
        0.002381507546
        Long
        EC
        CORP
        AR
        N
        
        1
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SEV42S7Q9 IRS COP R F  3.25500 CCP CME / Short: SEV42S7Q9 IRS COP P V 00MCOOIS COOVIBR+0BPS CCP CME
        000000000
        
          
        
        44982400000.00000000
        OU
        Notional Amount
        
        -1726607.03000000
        -0.08111558923
        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
            -1726607.03000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31359XSV2
        
          
        
        34212.77000000
        PA
        USD
        35995.78000000
        0.001691073216
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-02-25
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31335PK53
        
          
        
        52403.62000000
        PA
        USD
        54911.91000000
        0.002579748523
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-04-17
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EUROHOLD BULGARIA
        74780000J0W85Y204X80
        Eurohold Bulgaria AD
        000000000
        
          
        
        4582000.00000000
        PA
        
        4822519.33000000
        0.226560815663
        Long
        DBT
        CORP
        BG
        Y
        
        2
        
          2022-12-07
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BEV55Y3F8 IRS USD R V 03MLIBOR 1 CCPVANILLA / Short: BEV55Y3F8 IRS USD P F  2.49100 2 CCPVANILLA
        000000000
        
          
        
        2706000.00000000
        OU
        Notional Amount
        USD
        116863.48000000
        0.005490218605
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-03-31
            0.00000000
            USD
            0.00000000
            USD
            2706000.00000000
            USD
            116863.48000000
          
        
        
          N
          N
          N
        
      
      
        COOF 9626555006
        N/A
        COOF 9626555006
        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
        
      
      
        ARAB REPUBLIC OF EGYPT
        529900GFIVH4086NMH82
        Egypt Government International Bond
        000000000
        
          
        
        20206000.00000000
        PA
        USD
        13575481.92000000
        0.637772924555
        Long
        DBT
        NUSS
        EG
        Y
        
        2
        
          2061-02-16
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD KRW
        000000000
        
          
        
        1.00000000
        NC
        
        307573.79000000
        0.014449743789
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            17142120000.00000000
            KRW
            13877899.30000000
            USD
            2022-06-15
            307573.79000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136B2XJ6
        
          
        
        838936.31000000
        PA
        USD
        154980.06000000
        0.007280926503
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-08-25
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2022-HQA1
        35564KTJ8
        
          
        
        2957300.00000000
        PA
        USD
        3021749.62000000
        0.141961081291
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2042-03-25
          Floating
          5.53900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9627715008
        N/A
        COOF 9627715008
        000000000
        
          
        
        518000.45000000
        PA
        USD
        22424.19000000
        0.001053483133
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2027-08-15
          Fixed
          2.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        PURCHASED CZK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        2632.05000000
        0.000123653085
        N/A
        DFE
        
        CZ
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            4160751.51000000
            EUR
            102576588.00000000
            CZK
            2022-05-11
            2632.05000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        1348631.51000000
        0.063358388847
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            27800000.00000000
            EUR
            30733981.42000000
            USD
            2022-06-15
            1348631.51000000
          
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        000000000
        
          
        
        5202000.00000000
        PA
        
        3729856.47000000
        0.175227773353
        Long
        DBT
        NUSS
        RO
        Y
        
        2
        
          2050-01-28
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eurex Deutschland
        529900LN3S50JPU47S06
        EURO-BUXL 30Y BND JUN22
        000000000
        
          
        
        -114.00000000
        NC
        
        3230606.05000000
        0.151773106895
        N/A
        DIR
        
        DE
        N
        
        1
        
          
            
              Eurex Deutschland
              529900LN3S50JPU47S06
            
            Short
            
              
                EUX 30 Year Euro BUXL Future
                UBM2 COMDTY
              
            
            2022-06-08
            -22554050.24000000
            EUR
            3230606.05000000
          
        
        
          N
          N
          N
        
      
      
        Bank Jago Tbk PT
        N/A
        Bank Jago Tbk PT
        000000000
        
          
        
        279300.00000000
        NS
        
        224343.38000000
        0.010539598845
        Long
        EC
        CORP
        ID
        N
        
        2
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SEV56Z3D9 IRS CLP R F  6.40000 2 CCPNDFCAMARAPROMEDIO / Short: SEV56Z3D9 IRS CLP P V 06MCLICP 1 CCPNDFCAMARAPROMEDIO
        000000000
        
          
        
        963000000.00000000
        OU
        Notional Amount
        
        8407.33000000
        0.000394974371
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-04-20
            0.00000000
            CLP
            0.00000000
            CLP
            963000000.00000000
            CLP
            8407.33000000
          
        
        
          N
          N
          N
        
      
      
        COOF 1693407003
        N/A
        COOF 1693407003
        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
        COOF 9643545005
        000000000
        
          
        
        813778.66000000
        PA
        USD
        95198.79000000
        0.004472416601
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-09-15
          Fixed
          3.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: BEV558316 TRS COP R F   .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV558316 TRS COP P V 00MDTF DTF RATE 90D NON COMPUNDING
        000000000
        
          
        
        11459000000.00000000
        OU
        Notional Amount
        
        -9701.65000000
        -0.00045578121
        N/A
        DIR
        
        CO
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            
              
                TITULOS DE TESORERIA
                TITULOS DE TESORERIA
                
                  
                
              
            
            Y
            equity-performance leg
            
              
                
              
            
            2022-05-19
            0.00000000
            COP
            0.00000000
            COP
            11459000000.00000000
            COP
            -9701.65000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Non Gold Pool
        3128HDZJ1
        
          
        
        7017.45000000
        PA
        USD
        7419.35000000
        0.000348559305
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2029-06-01
          Floating
          4.00500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Bank PLC
        G5GSEF7VJP5I7OUK5573
        Long: BEV4JRXD3 CDS USD R V 03MEVENT 1 SOVEREIGN / Short: BEV4JRXD3 CDS USD P F  1.00000 2 SOVEREIGN
        000000000
        
          
        
        14533000.00000000
        OU
        Notional Amount
        USD
        -102686.40000000
        -0.00482418274
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Barclays Bank PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                SAUDI INTERNATIONAL BOND
                SAUDI INTERNATIONAL BOND
                
                  
                
              
            
            Y
            buy protection
            
            2031-06-20
            244690.21000000
            USD
            0.00000000
            USD
            14533000.00000000
            USD
            -347376.61000000
          
        
        
          N
          N
          N
        
      
      
        COOF 2298157005
        N/A
        COOF 2298157005
        000000000
        
          
        
        3573556.56000000
        PA
        USD
        292640.08000000
        0.013748161631
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-04-15
          Fixed
          2.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: BEV3765R4 CDS USD R V 03MEVENT 8B9825AD0 / Short: BEV3765R4 CDS USD P F  1.00000
        000000000
        
          
        
        16600000.00000000
        OU
        Notional Amount
        USD
        1656271.97000000
        0.077811264778
        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
            1526190.15000000
            USD
            0.00000000
            USD
            16600000.00000000
            USD
            130081.82000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1414719.41000000
        -0.06646318273
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            19307494.56000000
            USD
            283858785.00000000
            ZAR
            2022-06-15
            -1414719.41000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136B1TS3
        
          
        
        5307728.81000000
        PA
        USD
        951320.16000000
        0.044692795748
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-04-25
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31359HWH3
        
          
        
        29651.22000000
        PA
        USD
        30413.37000000
        0.001428812917
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-04-25
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31402RDH9
        
          
        
        302898.72000000
        PA
        USD
        327798.98000000
        0.015399918424
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-04-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas SA
        R0MUWSFPU8MPRO8K5P83
        PURCHASED USD / SOLD OMR
        000000000
        
          
        
        1.00000000
        NC
        
        -235712.88000000
        -0.01107373526
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BNP Paribas SA
              R0MUWSFPU8MPRO8K5P83
            
            3310000.00000000
            OMR
            8357530.61000000
            USD
            2024-07-29
            -235712.88000000
          
        
        
          N
          N
          N
        
      
      
        Bank for Foreign Trade of Vietnam JSC
        2549004TS5QUBFGAWE51
        Bank for Foreign Trade of Vietnam JSC
        000000000
        
          
        
        84651.00000000
        NS
        
        297996.71000000
        0.013999814840
        Long
        EC
        CORP
        VN
        N
        
        2
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED OMR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        56203.00000000
        0.002640403625
        N/A
        DFE
        
        OM
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            16822951.89000000
            USD
            6500000.00000000
            OMR
            2022-08-04
            56203.00000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BEV56ABJ2 IRS EUR R V 12MESTR 1 CCPOIS / Short: BEV56ABJ2 IRS EUR P F   .78300 2 CCPOIS
        000000000
        
          
        
        13257000.00000000
        OU
        Notional Amount
        
        216079.79000000
        0.010151377344
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-04-07
            0.00000000
            EUR
            0.00000000
            EUR
            13257000.00000000
            EUR
            216079.79000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        119935.07000000
        0.005634521175
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            6892773.34000000
            NZD
            4569908.72000000
            USD
            2022-05-02
            119935.07000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED PEN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -18590.17000000
        -0.00087336178
        N/A
        DFE
        
        PE
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            927889.71000000
            USD
            3500000.00000000
            PEN
            2022-05-27
            -18590.17000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        PURCHASED CZK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -1611.16000000
        -0.00007569191
        N/A
        DFE
        
        CZ
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            5832252.84000000
            EUR
            143940000.00000000
            CZK
            2022-05-23
            -1611.16000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        329238.40000000
        0.015467542035
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            6786752.00000000
            EUR
            7503018.34000000
            USD
            2022-06-15
            329238.40000000
          
        
        
          N
          N
          N
        
      
      
        COOF 2329437010
        N/A
        COOF 2329437010
        000000000
        
          
        
        343090.34000000
        PA
        USD
        34893.75000000
        0.001639300108
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-04-15
          Fixed
          2.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: BEV57A9Y1 TRS COP R F   .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV57A9Y1 TRS COP P V 00MDTF DTF RATE 90D NON COMPOUNDING
        000000000
        
          
        
        12267570000.00000000
        OU
        Notional Amount
        
        -12270.67000000
        -0.00057647316
        N/A
        DIR
        
        CO
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            
              
                TITULOS DE TESORERIA
                TITULOS DE TESORERIA
                
                  
                
              
            
            Y
            equity-performance leg
            
              
                
              
            
            2022-05-30
            0.00000000
            COP
            0.00000000
            COP
            12267570000.00000000
            COP
            -12270.67000000
          
        
        
          N
          N
          N
        
      
      
        BNP Paribas SA
        R0MUWSFPU8MPRO8K5P83
        PURCHASED USD / SOLD OMR
        000000000
        
          
        
        1.00000000
        NC
        
        -258632.78000000
        -0.01215050673
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BNP Paribas SA
              R0MUWSFPU8MPRO8K5P83
            
            3568000.00000000
            OMR
            9004416.40000000
            USD
            2024-04-08
            -258632.78000000
          
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED EUR / SOLD PLN
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -7015.99000000
        -0.00032960954
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            3599307.00000000
            PLN
            763017.68000000
            EUR
            2022-05-05
            -7015.99000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BEV4S8CJ5 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4S8CJ5 IRS COP P F  4.72500 2 CCPNDFOIS
        000000000
        
          
        
        30984600000.00000000
        OU
        Notional Amount
        
        970322.13000000
        0.045585503797
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2025-11-26
            0.00000000
            COP
            0.00000000
            COP
            30984600000.00000000
            COP
            970322.13000000
          
        
        
          N
          N
          N
        
      
      
        Arab Republic of Egypt
        529900GFIVH4086NMH82
        Egypt Government International Bond
        000000000
        
          
        
        3279000.00000000
        PA
        USD
        2796167.25000000
        0.131363274990
        Long
        DBT
        NUSS
        EG
        Y
        
        2
        
          2029-03-01
          Fixed
          7.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae II Pool
        36225BTN8
        
          
        
        33103.34000000
        PA
        USD
        35065.79000000
        0.001647382507
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2028-11-20
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BEV50P1Y3 IRS COP R V 03MCPIBR 1 CCPNDF / Short: BEV50P1Y3 IRS COP P F  6.25000 2 CCPNDF
        000000000
        
          
        
        32127300000.00000000
        OU
        Notional Amount
        
        622826.43000000
        0.029260238133
        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
            622826.43000000
          
        
        
          N
          N
          N
        
      
      
        Kingdom of Jordan
        5493000JZ4MYPVMBVN50
        Jordan Government International Bond
        000000000
        
          
        
        3586000.00000000
        PA
        USD
        3138216.18000000
        0.147432652689
        Long
        DBT
        NUSS
        JO
        Y
        
        2
        
          2047-10-10
          Fixed
          7.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SEV51X2M0 IRS NZD R F  2.71000 2 CCPVANILLA / Short: SEV51X2M0 IRS NZD P V 03MNZDBB 1 CCPVANILLA
        000000000
        
          
        
        89240000.00000000
        OU
        Notional Amount
        
        -861907.00000000
        -0.04049218667
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-01-18
            0.00000000
            NZD
            0.00000000
            NZD
            89240000.00000000
            NZD
            -861907.00000000
          
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED USD / SOLD SAR
        000000000
        
          
        
        1.00000000
        NC
        
        3133.08000000
        0.000147191356
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            46800000.00000000
            SAR
            12438538.21000000
            USD
            2024-03-14
            3133.08000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED PEN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -52910.56000000
        -0.00248572557
        N/A
        DFE
        
        PE
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            2930151.52000000
            USD
            11100000.00000000
            PEN
            2022-06-15
            -52910.56000000
          
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        -410885.04000000
        -0.01930328184
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            86003098.00000000
            TRY
            5207564.69000000
            USD
            2022-06-15
            -410885.04000000
          
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        -3377.23000000
        -0.00015866146
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            70874494.00000000
            TRY
            4737561.97000000
            USD
            2022-05-16
            -3377.23000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BEV4193A1 IRS COP R V 00MDTF DTF RATE 90D COLUMBIA DEPT / Short: BEV4193A1 IRS COP P F  3.69550
        000000000
        
          
        
        72092900000.00000000
        OU
        Notional Amount
        
        2480405.59000000
        0.116528867007
        N/A
        DIR
        
        CO
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2025-05-07
            0.00000000
            COP
            0.00000000
            COP
            72092900000.00000000
            COP
            2480405.59000000
          
        
        
          N
          N
          N
        
      
      
        COOF 6578505003
        N/A
        COOF 6578505003
        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
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED PEN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -151204.92000000
        -0.00710357132
        N/A
        DFE
        
        PE
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            5087345.59000000
            USD
            19042952.00000000
            PEN
            2022-06-15
            -151204.92000000
          
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        28916.44000000
        0.001358487500
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            33075459.00000000
            TRY
            2189685.16000000
            USD
            2022-06-15
            28916.44000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        107358.73000000
        0.005043687702
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            6170000.00000000
            NZD
            4090710.00000000
            USD
            2022-05-02
            107358.73000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED BRL / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        99724.05000000
        0.004685012244
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            790252.59000000
            USD
            4400000.00000000
            BRL
            2022-05-03
            99724.05000000
          
        
        
          N
          N
          N
        
      
      
        COOF 9657945008
        N/A
        COOF 9657945008
        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
        
      
      
        Kingdom of Bahrain
        549300RODM1WN85LFQ95
        Bahrain Government International Bond
        000000000
        
          
        
        4528000.00000000
        PA
        USD
        3760440.61000000
        0.176664609005
        Long
        DBT
        NUSS
        BH
        Y
        
        2
        
          2044-09-19
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        PURCHASED KZT / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        29408.60000000
        0.001381609061
        N/A
        DFE
        
        KZ
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            1351686.58000000
            USD
            636306458.00000000
            KZT
            2022-07-29
            29408.60000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31412BLZ3
        
          
        
        85256.71000000
        PA
        USD
        97680.36000000
        0.004589000172
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-02-01
          Fixed
          11.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9612715005
        N/A
        COOF 9612715005
        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
        COOF 8193515004
        000000000
        
          
        
        787665.89000000
        PA
        USD
        51146.82000000
        0.002402865486
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2041-03-15
          Fixed
          1.93000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 2117027003
        N/A
        COOF 2117027003
        000000000
        
          
        
        700714.84000000
        PA
        USD
        84307.18000000
        0.003960731343
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-03-15
          Fixed
          3.21000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Sri Lanka
        254900HXCCIOHM74FA02
        Sri Lanka Government International Bond
        000000000
        
          
        
        1200000.00000000
        PA
        USD
        525802.42000000
        0.024702073128
        Long
        DBT
        NUSS
        LK
        Y
        
        2
        
          2023-04-18
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9693035003
        N/A
        COOF 9693035003
        000000000
        
          
        
        812131.39000000
        PA
        USD
        93271.31000000
        0.004381864047
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-10-15
          Fixed
          2.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128M7X76
        
          
        
        2676470.06000000
        PA
        USD
        2912126.69000000
        0.136811022010
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-12-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31385HJZ6
        
          
        
        1009247.97000000
        PA
        USD
        1076831.40000000
        0.050589284069
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-08-01
          Floating
          4.04100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128MAE96
        
          
        
        1343145.22000000
        PA
        USD
        1468771.54000000
        0.069002538995
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-02-01
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BEV4LFYH6 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4LFYH6 IRS COP P F  4.01500 2 CCPNDFOIS
        000000000
        
          
        
        2672700000.00000000
        OU
        Notional Amount
        
        99403.38000000
        0.004669947243
        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
            99403.38000000
          
        
        
          N
          N
          N
        
      
      
        COOF 9669465003
        N/A
        COOF 9669465003
        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
        Long: BEV4W2M45 IRS PLN R V 06MWIBOR 1 CCPVANILLA / Short: BEV4W2M45 IRS PLN P F  2.32000 2 CCPVANILLA
        000000000
        
          
        
        13530000.00000000
        OU
        Notional Amount
        
        768573.29000000
        0.036107391088
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2031-10-05
            0.00000000
            PLN
            0.00000000
            PLN
            13530000.00000000
            PLN
            768573.29000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SEV537HM9 IRS CNY R F  2.26500 2 CCPNDF / Short: SEV537HM9 IRS CNY P V 00MCNRR 1 CCPNDF
        000000000
        
          
        
        37210699.00000000
        OU
        Notional Amount
        
        -50875.91000000
        -0.00239013819
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-02-08
            0.00000000
            CNY
            0.00000000
            CNY
            37210699.00000000
            CNY
            -50875.91000000
          
        
        
          N
          N
          N
        
      
      
        COOF 1533797005
        N/A
        COOF 1533797005
        000000000
        
          
        
        245011.73000000
        PA
        USD
        26411.92000000
        0.001240825744
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-02-15
          Fixed
          2.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED RUB / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        376887.71000000
        0.017706095330
        N/A
        DFE
        
        RU
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            4464464.28000000
            USD
            345928178.00000000
            RUB
            2022-05-06
            376887.71000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -96742.11000000
        -0.00454492140
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            3251101.80000000
            USD
            4885935.98000000
            NZD
            2022-05-02
            -96742.11000000
          
        
        
          N
          N
          N
        
      
      
        Petroleo Brasileiro SA
        5493000J801JZRCMFE49
        Petroleo Brasileiro SA
        71654V408
        
          
        
        278800.00000000
        NS
        USD
        3783316.00000000
        0.177739289408
        Long
        EC
        CORP
        BR
        N
        
        1
        
          N
          N
          N
        
      
      
        Vingroup JSC
        254900MJ9C15O3O1V757
        Vingroup JSC
        000000000
        
          
        
        78738.00000000
        NS
        
        273556.66000000
        0.012851627080
        Long
        EC
        CORP
        VN
        N
        
        2
        
          N
          N
          N
        
      
      
        ZAMBIA GOVERNMENT BOND
        213800DMLAZ6LGMMD849
        Zambia Government Bond
        000000000
        
          
        
        21610000.00000000
        PA
        
        750988.34000000
        0.035281254303
        Long
        DBT
        NUSS
        ZM
        N
        
        2
        
          2031-01-25
          Fixed
          13.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Astra International Tbk PT
        529900L49TRJOMG4DK47
        Astra International Tbk PT
        000000000
        
          
        
        963500.00000000
        NS
        
        503083.34000000
        0.023634736132
        Long
        EC
        CORP
        ID
        N
        
        2
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BEV50CZK5 IRS COP R V 03MCOOVI 1 CCPNDF / Short: BEV50CZK5 IRS COP P F  6.08750 2 CCPNDF
        000000000
        
          
        
        31413600000.00000000
        OU
        Notional Amount
        
        649100.38000000
        0.030494582079
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2025-11-26
            0.00000000
            COP
            0.00000000
            COP
            31413600000.00000000
            COP
            649100.38000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: BEV55AH99 TRS COP R F   .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV55AH99 TRS COP P V 00MDTF DTF RATE 90D NON COMPOUNDING
        000000000
        
          
        
        48702000000.00000000
        OU
        Notional Amount
        
        -35868.20000000
        -0.00168507953
        N/A
        DIR
        
        CO
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            
              
                TITULOS DE TESORERIA
                TITULOS DE TESORERIA
                
                  
                
              
            
            Y
            equity-performance leg
            
              
                
              
            
            2022-05-20
            0.00000000
            COP
            0.00000000
            COP
            48702000000.00000000
            COP
            -35868.20000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED BRL / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        74199.91000000
        0.003485894193
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            642029.02000000
            USD
            3541000.00000000
            BRL
            2022-05-03
            74199.91000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        524037.41000000
        0.024619153376
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            10802239.18000000
            EUR
            11942295.62000000
            USD
            2022-06-15
            524037.41000000
          
        
        
          N
          N
          N
        
      
      
        CORURIPE NETHERLANDS BV
        724500EL5MDC9RD0FW48
        Coruripe Netherlands BV
        000000000
        
          
        
        1745000.00000000
        PA
        USD
        1513787.50000000
        0.071117378132
        Long
        DBT
        CORP
        NL
        
        Y
        
        2
        
          2027-02-10
          Fixed
          10.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED BRL / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -21403.39000000
        -0.00100552619
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            795366.48000000
            USD
            3900000.00000000
            BRL
            2022-07-05
            -21403.39000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED ZMW / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        216317.26000000
        0.010162533629
        N/A
        DFE
        
        ZM
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            803587.44000000
            USD
            17920000.00000000
            ZMW
            2022-08-18
            216317.26000000
          
        
        
          N
          N
          N
        
      
      
        LEBANESE REPUBLIC
        529900QPC4K9S1KHL354
        Lebanon Government International Bond
        000000000
        
          
        
        5356000.00000000
        PA
        USD
        642720.00000000
        0.030194833338
        Long
        DBT
        NUSS
        LB
        Y
        
        2
        
          2028-03-20
          None
          0.00000000
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac REMICS
        3133T8U70
        
          
        
        58390.92000000
        PA
        USD
        60120.53000000
        0.002824448256
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-01-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        89622.76000000
        0.004210456033
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            51756236.00000000
            ZAR
            3354151.58000000
            USD
            2022-06-09
            89622.76000000
          
        
        
          N
          N
          N
        
      
      
        COOF 2148157010
        N/A
        COOF 2148157010
        000000000
        
          
        
        525281.84000000
        PA
        USD
        27318.92000000
        0.001283436389
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2028-03-15
          Fixed
          2.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lebanese Republic
        529900QPC4K9S1KHL354
        Lebanon Government International Bond
        000000000
        
          
        
        450000.00000000
        PA
        USD
        54405.00000000
        0.002555934011
        Long
        DBT
        NUSS
        LB
        Y
        
        2
        
          2025-02-26
          None
          0.00000000
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31385JP51
        
          
        
        152513.80000000
        PA
        USD
        164139.54000000
        0.007711236704
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-10-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BEV51GE02 IRS EUR R V 12MCPTFE 1 CCPINFLATIONZERO / Short: BEV51GE02 IRS EUR P F  2.08000 2 CCPINFLATIONZERO
        000000000
        
          
        
        6070000.00000000
        OU
        Notional Amount
        
        999287.69000000
        0.046946298943
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            Inflation based on European Union Consumer Price Index (cpi)
            
            2037-01-15
            0.00000000
            EUR
            0.00000000
            EUR
            6070000.00000000
            EUR
            999287.69000000
          
        
        
          N
          N
          N
        
      
      
        VALE SA
        254900SMTWBX7RU2SR20
        Vale SA
        000000000
        
          
        
        42421600.00000000
        PA
        
        3989935.98000000
        0.187446247120
        Long
        DBT
        CORP
        BR
        N
        
        2
        
          2049-12-29
          Variable
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9541525009
        N/A
        COOF 9541525009
        000000000
        
          
        
        332035.13000000
        PA
        USD
        15395.68000000
        0.000723285399
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2027-07-15
          Fixed
          2.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9511595007
        N/A
        COOF 9511595007
        000000000
        
          
        
        1076595.68000000
        PA
        USD
        56002.36000000
        0.002630977605
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2027-06-15
          Fixed
          3.21000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Mytilineos SA
        213800KT8MEUJEJ2KW41
        Mytilineos SA
        000000000
        
          
        
        50500.00000000
        NS
        
        935151.94000000
        0.043933216602
        Long
        EC
        CORP
        GR
        N
        
        2
        
          N
          N
          N
        
      
      
        UGANDA T-BILL
        549300NF1DEFHG8XLQ11
        Republic of Uganda Treasury Bills
        000000000
        
          
        
        24047800000.00000000
        PA
        
        6703433.56000000
        0.314925720598
        Long
        STIV
        NUSS
        UG
        N
        
        2
        
          2022-07-07
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED USD / SOLD OMR
        000000000
        
          
        
        1.00000000
        NC
        
        -44038.79000000
        -0.00206893192
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            4000000.00000000
            OMR
            10343133.45000000
            USD
            2022-08-04
            -44038.79000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: BEV3YBK62 CDS USD R V 03MEVENT MOAGBNAB1/XS0546428144 / Short: BEV3YBK62 CDS USD P F  1.00000
        000000000
        
          
        
        3357000.00000000
        OU
        Notional Amount
        USD
        -29370.66000000
        -0.00137982664
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                Emirate of Dubai Government International Bonds
                Emirate of Dubai Government International Bonds
                
                  
                
              
            
            Y
            buy protection
            
            2024-12-20
            29450.18000000
            USD
            0.00000000
            USD
            3357000.00000000
            USD
            -58820.84000000
          
        
        
          N
          N
          N
        
      
      
        OMAN GOV INTERNTL BOND
        549300SZ20F0QTKNQC75
        Oman Government International Bond
        000000000
        
          
        
        8665000.00000000
        PA
        USD
        8147266.25000000
        0.382756638329
        Long
        DBT
        NUSS
        OM
        Y
        
        2
        
          2048-01-17
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PURCHASED EUR / SOLD HUF
        000000000
        
          
        
        1.00000000
        NC
        N/A
        63328.53000000
        0.002975159336
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            2534283088.00000000
            HUF
            6736531.33000000
            EUR
            2022-05-23
            63328.53000000
          
        
        
          N
          N
          N
        
      
      
        ARAB REPUBLIC OF EGYPT
        529900GFIVH4086NMH82
        Egypt Government International Bond
        000000000
        
          
        
        862000.00000000
        PA
        USD
        633384.67000000
        0.029756261747
        Long
        DBT
        NUSS
        EG
        Y
        
        2
        
          2031-02-16
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 8222885010
        N/A
        COOF 8222885010
        000000000
        
          
        
        912164.15000000
        PA
        USD
        103207.83000000
        0.004848679403
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-04-15
          Fixed
          2.93000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        25661.45000000
        0.001205568841
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            1480853.00000000
            NZD
            981706.32000000
            USD
            2022-05-05
            25661.45000000
          
        
        
          N
          N
          N
        
      
      
        Grupo Financiero Galicia SA
        5299008H3AXIXV5G3C23
        Grupo Financiero Galicia SA
        399909100
        
          
        
        95400.00000000
        NS
        USD
        867186.00000000
        0.040740192842
        Long
        EC
        CORP
        AR
        N
        
        1
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: B92RH4PJ8 CDS USD R V 03MEVENT 1 CCPSOVEREIGN / Short: B92RH4PJ8 CDS USD P F  1.00000 2 CCPSOVEREIGN
        000000000
        
          
        
        50342000.00000000
        OU
        Notional Amount
        USD
        897446.83000000
        0.042161839467
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                United Mexican States
                United Mexican States
                
                  
                  
                
              
            
            Y
            buy protection
            
            2027-06-20
            740309.91000000
            USD
            0.00000000
            USD
            50342000.00000000
            USD
            157136.92000000
          
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED USD / SOLD OMR
        000000000
        
          
        
        1.00000000
        NC
        
        -30645.91000000
        -0.00143973759
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            500000.00000000
            OMR
            1267427.12000000
            USD
            2024-04-22
            -30645.91000000
          
        
        
          N
          N
          N
        
      
      
        COOF 9473635004
        N/A
        COOF 9473635004
        000000000
        
          
        
        896296.32000000
        PA
        USD
        103425.86000000
        0.004858922401
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-07-15
          Fixed
          3.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INDIAN RAILWAY FINANCE
        335800F2JHSOGXQEBY56
        Indian Railway Finance Corp Ltd
        45434M2C5
        
          
        
        15006000.00000000
        PA
        USD
        12506517.51000000
        0.587553229812
        Long
        DBT
        CORP
        IN
        Y
        
        2
        
          2031-02-10
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SEV56EAS5 IRS CLP R F  6.20000 2 CCPNDFCAMARAPROMEDIO / Short: SEV56EAS5 IRS CLP P V 06MCLICP 1 CCPNDFCAMARAPROMEDIO
        000000000
        
          
        
        1634800000.00000000
        OU
        Notional Amount
        
        -14974.23000000
        -0.00070348577
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-04-08
            0.00000000
            CLP
            0.00000000
            CLP
            1634800000.00000000
            CLP
            -14974.23000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        PURCHASED KES / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -21583.57000000
        -0.00101399100
        N/A
        DFE
        
        KE
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            1085826.77000000
            USD
            124110000.00000000
            KES
            2022-06-08
            -21583.57000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -1466681.15000000
        -0.06890433296
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            34866512.78000000
            USD
            51734569.00000000
            NZD
            2022-05-02
            -1466681.15000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SEV51GE44 IRS EUR R F  2.17700 2 CCPINFLATIONZERO / Short: SEV51GE44 IRS EUR P V 12MCPTFE 1 CCPINFLATIONZERO
        000000000
        
          
        
        6070000.00000000
        OU
        Notional Amount
        
        -1386495.64000000
        -0.06513723670
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            Inflation Based on European Union Consumer Price Index (cpi)
            2047-01-15
            0.00000000
            EUR
            0.00000000
            EUR
            6070000.00000000
            EUR
            -1386495.64000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        PURCHASED INR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -40616.73000000
        -0.00190816435
        N/A
        DFE
        
        IN
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            5733784.80000000
            USD
            435200000.00000000
            INR
            2022-05-02
            -40616.73000000
          
        
        
          N
          N
          N
        
      
      
        Republic of Sri Lanka
        254900HXCCIOHM74FA02
        Sri Lanka Government International Bond
        000000000
        
          
        
        1600000.00000000
        PA
        USD
        690080.00000000
        0.032419794919
        Long
        DBT
        NUSS
        LK
        Y
        
        2
        
          2029-03-14
          Fixed
          7.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        Long: BEV56C712 IRS MYR R V 03MKLIBO 1 NDF / Short: BEV56C712 IRS MYR P F  3.61000 2 NDF
        000000000
        
          
        
        72600000.00000000
        OU
        Notional Amount
        
        265574.09000000
        0.012476607833
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-06-15
            0.00000000
            MYR
            0.00000000
            MYR
            72600000.00000000
            MYR
            265574.09000000
          
        
        
          N
          N
          N
        
      
      
        ICBC Standard Bank PLC
        F01VVKN4DRF2NWKGQ283
        PURCHASED KES / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -24510.10000000
        -0.00115147869
        N/A
        DFE
        
        KE
        N
        
        2
        
          
            
              ICBC Standard Bank PLC
              F01VVKN4DRF2NWKGQ283
            
            1213309.89000000
            USD
            138014000.00000000
            KES
            2022-05-18
            -24510.10000000
          
        
        
          N
          N
          N
        
      
      
        Petroleos Mexicanos
        549300CAZKPF4HKMPX17
        Petroleos Mexicanos
        71654QCC4
        
          
        
        3700000.00000000
        PA
        USD
        2681279.00000000
        0.125965852222
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2047-09-21
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: B92RGS392 CDS USD R V 03MEVENT 7BB99W XS0113419690 CCP ICE / Short: B92RGS392 CDS USD P F  1.00000 CCP ICE
        000000000
        
          
        
        12396000.00000000
        OU
        Notional Amount
        USD
        -134075.38000000
        -0.00629882958
        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
            -144390.21000000
            USD
            12396000.00000000
            USD
            10314.83000000
          
        
        
          N
          N
          N
        
      
      
        COOF 2191127007
        N/A
        COOF 2191127007
        000000000
        
          
        
        190917.53000000
        PA
        USD
        21408.19000000
        0.001005751694
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-04-15
          Fixed
          2.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        Long: BEV4RTJY0 CDS USD R F  1.00000 2 SOVEREIGN / Short: BEV4RTJY0 CDS USD P V 03MEVENT 1 SOVEREIGN
        000000000
        
          
        
        9100000.00000000
        OU
        Notional Amount
        USD
        66166.56000000
        0.003108489313
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            
              
                SOCIALIST REP OF VIETNAM
                SOCIALIST REP OF VIETNAM
                
                  
                
              
            
            Y
            
            sell protection
            2024-06-20
            58151.06000000
            USD
            0.00000000
            USD
            9100000.00000000
            USD
            8015.50000000
          
        
        
          N
          N
          N
        
      
      
        COOF 9681265005
        N/A
        COOF 9681265005
        000000000
        
          
        
        594703.29000000
        PA
        USD
        30724.89000000
        0.001443448053
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2028-02-15
          Fixed
          2.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BEV4YZPN5 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4YZPN5 IRS COP P F  6.13500 2 CCPNDFOIS
        000000000
        
          
        
        15278000000.00000000
        OU
        Notional Amount
        
        309987.46000000
        0.014563137434
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2025-11-26
            0.00000000
            COP
            0.00000000
            COP
            15278000000.00000000
            COP
            309987.46000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31335PH99
        
          
        
        14163.21000000
        PA
        USD
        14340.13000000
        0.000673695910
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-08-17
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OMAN GOV INTERNTL BOND
        549300SZ20F0QTKNQC75
        Oman Government International Bond
        000000000
        
          
        
        9241000.00000000
        PA
        USD
        8483838.67000000
        0.398568730886
        Long
        DBT
        NUSS
        OM
        Y
        
        2
        
          2047-03-08
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        PURCHASED CLP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -67512.32000000
        -0.00317171279
        N/A
        DFE
        
        CL
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            1301223.73000000
            USD
            1061200000.00000000
            CLP
            2022-06-15
            -67512.32000000
          
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED AED / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -12874.71000000
        -0.00060485082
        N/A
        DFE
        
        AE
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            129378438.74000000
            USD
            475000000.00000000
            AED
            2023-03-06
            -12874.71000000
          
        
        
          N
          N
          N
        
      
      
        COOF 2260027006
        N/A
        COOF 2260027006
        000000000
        
          
        
        360736.28000000
        PA
        USD
        33119.23000000
        0.001555933579
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-04-15
          Fixed
          2.66000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 1368227004
        N/A
        COOF 1368227004
        000000000
        
          
        
        328174.45000000
        PA
        USD
        39313.85000000
        0.001846955359
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-02-15
          Fixed
          3.16000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IVORY COAST
        254900ICW11T82O6H590
        Ivory Coast Government International Bond
        000000000
        
          
        
        1048000.00000000
        PA
        
        935992.90000000
        0.043972724704
        Long
        DBT
        NUSS
        CI
        Y
        
        2
        
          2040-10-17
          Fixed
          6.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 8224545006
        N/A
        COOF 8224545006
        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
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        PURCHASED IDR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -159037.95000000
        -0.00747156521
        N/A
        DFE
        
        ID
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            8682876.65000000
            USD
            124502900000.00000000
            IDR
            2022-06-21
            -159037.95000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BEV4JQGM4 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4JQGM4 IRS COP P F  4.00000 2 CCPNDFOIS
        000000000
        
          
        
        14824000000.00000000
        OU
        Notional Amount
        
        553176.02000000
        0.025988078371
        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
            553176.02000000
          
        
        
          N
          N
          N
        
      
      
        Siminn HF
        N/A
        Siminn HF
        000000000
        
          
        
        7290288.00000000
        NS
        
        697283.07000000
        0.032758193441
        Long
        EC
        CORP
        IS
        N
        
        2
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        PURCHASED EUR / SOLD PLN
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -56720.33000000
        -0.00266470766
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            20696171.00000000
            PLN
            4371860.92000000
            EUR
            2022-05-05
            -56720.33000000
          
        
        
          N
          N
          N
        
      
      
        Mizuho Financial Group Inc
        353800CI5L6DDAN5XZ33
        Mizuho Financial Group Inc
        000000000
        
          
        
        52500.00000000
        NS
        
        637492.08000000
        0.029949226895
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED USD / SOLD TRY
        000000000
        
          
        
        1.00000000
        NC
        
        3446.81000000
        0.000161930317
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            10400000.00000000
            TRY
            682862.77000000
            USD
            2022-06-15
            3446.81000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31410FSQ9
        
          
        
        180630.37000000
        PA
        USD
        193019.33000000
        0.009068002396
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-07-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 2239927000
        N/A
        COOF 2239927000
        000000000
        
          
        
        716541.52000000
        PA
        USD
        71522.32000000
        0.003360101649
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-04-15
          Fixed
          2.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BEV4K3JN8 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4K3JN8 IRS COP P F  4.20000 2 CCPNDFOIS
        000000000
        
          
        
        14824000000.00000000
        OU
        Notional Amount
        
        528640.02000000
        0.024835382904
        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
            528640.02000000
          
        
        
          N
          N
          N
        
      
      
        COOF 2230627008
        N/A
        COOF 2230627008
        000000000
        
          
        
        1207412.34000000
        PA
        USD
        96465.33000000
        0.004531918350
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-03-15
          Fixed
          2.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED USD / SOLD THB
        000000000
        
          
        
        1.00000000
        NC
        
        207204.78000000
        0.009734431477
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            332911000.00000000
            THB
            9927477.24000000
            USD
            2022-05-09
            207204.78000000
          
        
        
          N
          N
          N
        
      
      
        DESA, LLC
        N/A
        DESA, LLC
        000000000
        
          
        
        842500.00000000
        PA
        USD
        634858.29000000
        0.029825492065
        Long
        ABS-O
        CORP
        US
        N
        
        3
        
          2024-06-30
          Floating
          0.18800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PURCHASED EUR / SOLD HUF
        000000000
        
          
        
        1.00000000
        NC
        N/A
        32715.28000000
        0.001536956104
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            770994751.00000000
            HUF
            2055420.90000000
            EUR
            2022-06-10
            32715.28000000
          
        
        
          N
          N
          N
        
      
      
        COOF 2326577000
        N/A
        COOF 2326577000
        000000000
        
          
        
        1614729.64000000
        PA
        USD
        194305.19000000
        0.009128411795
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-04-15
          Fixed
          3.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALPHA HOLDING SA
        549300R872G37EN6NT94
        Alpha Holding SA de CV
        000000000
        
          
        
        3890000.00000000
        PA
        USD
        243125.00000000
        0.011421954903
        Long
        DBT
        CORP
        MX
        Y
        
        2
        
          2025-02-10
          Fixed
          9.00000000
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        COOF 2099157002
        N/A
        COOF 2099157002
        000000000
        
          
        
        687274.65000000
        PA
        USD
        48533.58000000
        0.002280096090
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2028-04-15
          Fixed
          3.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Hoa Phat Group JSC
        549300ODJEFGL5CWKD32
        Hoa Phat Group JSC
        000000000
        
          
        
        365753.00000000
        NS
        
        686462.82000000
        0.032249860659
        Long
        EC
        CORP
        VN
        N
        
        2
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        PURCHASED EUR / SOLD HUF
        000000000
        
          
        
        1.00000000
        NC
        N/A
        5868.41000000
        0.000275696511
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            529313936.00000000
            HUF
            1397497.92000000
            EUR
            2022-06-02
            5868.41000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SEV51YUN5 IRS CAD R F  2.19000 2 CCPVANILLA / Short: SEV51YUN5 IRS CAD P V 03MCDOR 1 CCPVANILLA
        000000000
        
          
        
        61550000.00000000
        OU
        Notional Amount
        
        -608979.19000000
        -0.02860969807
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2024-01-18
            0.00000000
            CAD
            0.00000000
            CAD
            61550000.00000000
            CAD
            -608979.19000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        313920CC2
        
          
        
        1170944.88000000
        PA
        USD
        1203805.93000000
        0.056554517408
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-07-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FPT Corp
        N/A
        FPT Corp
        000000000
        
          
        
        156001.00000000
        NS
        
        763242.20000000
        0.035856937743
        Long
        EC
        CORP
        VN
        N
        
        2
        
          N
          N
          N
        
      
      
        COOF 7041165002
        N/A
        COOF 7041165002
        000000000
        
          
        
        1289707.78000000
        PA
        USD
        200986.76000000
        0.009442310370
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-03-15
          Fixed
          3.69000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Lebanese Republic
        529900QPC4K9S1KHL354
        Lebanon Government International Bond
        000000000
        
          
        
        5758000.00000000
        PA
        USD
        704232.19000000
        0.033084661452
        Long
        DBT
        NUSS
        LB
        Y
        
        2
        
          2022-10-04
          None
          0.00000000
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        TANZANIA
        N/A
        TANZANIA 10 Year Term Loan
        000000000
        
          
        
        58755000.00000000
        PA
        USD
        57758985.24000000
        2.713503443411
        Long
        LON
        CORP
        TZ
        N
        
        2
        
          2031-04-28
          Floating
          6.45400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Eurohold Bulgaria AD
        74780000J0W85Y204X80
        Eurohold Bulgaria AD
        000000000
        
          
        
        5313401.00000000
        NS
        
        6871269.83000000
        0.322810628802
        Long
        EC
        CORP
        BG
        N
        
        2
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        328819.53000000
        0.015447863621
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            6778117.58000000
            EUR
            7493472.65000000
            USD
            2022-06-15
            328819.53000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        PURCHASED USD / SOLD NZD
        000000000
        
          
        
        1.00000000
        NC
        
        729710.41000000
        0.034281622192
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            24735846.93000000
            NZD
            16699170.26000000
            USD
            2022-05-02
            729710.41000000
          
        
        
          N
          N
          N
        
      
      
        COOF 8753925008
        N/A
        COOF 8753925008
        000000000
        
          
        
        1224664.91000000
        PA
        USD
        80304.00000000
        0.003772662895
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-05-15
          Fixed
          1.93000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: BEV0GJNW1 CDS USD R V 03MEVENT GLD QATAR CDS 20231220 / Short: BEV0GJNW1 CDS USD P F  1.00000 GLD QATAR CDS 20231220
        000000000
        
          
        
        3700000.00000000
        OU
        Notional Amount
        USD
        -40019.42000000
        -0.00188010287
        N/A
        DCR
        
        QA
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            
              
                STATE OF QATAR
                STATE OF QATAR
                
                  
                
              
            
            Y
            buy protection
            
            2023-12-20
            2070.81000000
            USD
            0.00000000
            USD
            3700000.00000000
            USD
            -42090.23000000
          
        
        
          N
          N
          N
        
      
      
        LEBANESE REPUBLIC
        529900QPC4K9S1KHL354
        Lebanon Government International Bond
        000000000
        
          
        
        1326000.00000000
        PA
        USD
        155261.34000000
        0.007294140971
        Long
        DBT
        NUSS
        LB
        N
        
        2
        
          2034-05-17
          None
          0.00000000
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        FRIGORIFICO CONCEPCION
        529900Q6VZVL47QJCQ91
        Frigorifico Concepcion SA
        358648AA1
        
          
        
        4435000.00000000
        PA
        USD
        3872065.45000000
        0.181908717544
        Long
        DBT
        CORP
        PY
        N
        
        2
        
          2028-07-21
          Fixed
          7.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 8313115008
        N/A
        COOF 8313115008
        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
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31335PJX4
        
          
        
        5647.63000000
        PA
        USD
        5886.08000000
        0.000276526643
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-11-20
          Fixed
          7.31000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SEV55WEF0 IRS USD R F  3.16100 2 CCPINFLATIONZERO / Short: SEV55WEF0 IRS USD P V 12MUSCPI 1 CCPINFLATIONZERO
        000000000
        
          
        
        7050000.00000000
        OU
        Notional Amount
        USD
        -21040.58000000
        -0.00098848146
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            Inflation based on US CPI Urban Consumers NSA
            2032-03-30
            0.00000000
            USD
            0.00000000
            USD
            7050000.00000000
            USD
            -21040.58000000
          
        
        
          N
          N
          N
        
      
      
        COOF 1825007004
        N/A
        COOF 1825007004
        000000000
        
          
        
        1189915.47000000
        PA
        USD
        106971.61000000
        0.005025500896
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-04-15
          Fixed
          2.66000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31392ASN9
        
          
        
        320662.65000000
        PA
        USD
        340444.91000000
        0.015994021220
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-12-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TIMES CHINA HLDG LTD
        2549000KTINB9ZPZP710
        Times China Holdings Ltd
        000000000
        
          
        
        2966000.00000000
        PA
        USD
        1649096.00000000
        0.077474139407
        Long
        DBT
        CORP
        KY
        
        Y
        
        2
        
          2023-07-16
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SEV42UV95 IRS COP R F  3.43750 CCP CME / Short: SEV42UV95 IRS COP P V 03MCOOIS COOVIBR+0BS CCP CME
        000000000
        
          
        
        29163200000.00000000
        OU
        Notional Amount
        
        -1084048.02000000
        -0.05092831916
        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
            -1084048.02000000
          
        
        
          N
          N
          N
        
      
      
        ZAMBIA GOVERNMENT BOND
        213800DMLAZ6LGMMD849
        Zambia Government Bond
        000000000
        
          
        
        20900000.00000000
        PA
        
        762502.11000000
        0.035822168490
        Long
        DBT
        NUSS
        ZM
        N
        
        2
        
          2028-11-01
          Fixed
          12.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED EUR / SOLD HUF
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -1155.60000000
        -0.00005428981
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            102400000.00000000
            HUF
            269020.92000000
            EUR
            2022-05-16
            -1155.60000000
          
        
        
          N
          N
          N
        
      
      
        Banco Macro SA
        579100KKDKKIFEBKK040
        Banco Macro SA
        05961W105
        
          
        
        64200.00000000
        NS
        USD
        941814.00000000
        0.044246198603
        Long
        EC
        CORP
        AR
        N
        
        1
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -25835.06000000
        -0.00121372499
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            1869622.12000000
            USD
            2855928.43000000
            NZD
            2022-05-02
            -25835.06000000
          
        
        
          N
          N
          N
        
      
      
        LEBANESE REPUBLIC
        529900QPC4K9S1KHL354
        Lebanon Government International Bond
        000000000
        
          
        
        337000.00000000
        PA
        USD
        40440.00000000
        0.001899861619
        Long
        DBT
        NUSS
        LB
        Y
        
        2
        
          2020-04-14
          None
          0.00000000
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED EUR / SOLD PLN
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -12137.07000000
        -0.00057019667
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            19170634.00000000
            PLN
            4087901.26000000
            EUR
            2022-05-05
            -12137.07000000
          
        
        
          N
          N
          N
        
      
      
        Singapore Exchange Derivatives Clearing Limited
        549300ZLWT3FK3F0FW61
        SGX NIFTY 50 MAY22
        000000000
        
          
        
        -259.00000000
        NC
        USD
        14713.53000000
        0.000691238153
        N/A
        DE
        
        SG
        N
        
        2
        
          
            
              Singapore Exchange Derivatives Clearing Limited
              549300ZLWT3FK3F0FW61
            
            Short
            
              
                SGX Nifty 50 Index Futures
                IHK2 INDEX
              
            
            2022-05-26
            -8811972.54000000
            USD
            14713.53000000
          
        
        
          N
          N
          N
        
      
      
        COOF 8641855006
        N/A
        COOF 8641855006
        000000000
        
          
        
        1920104.34000000
        PA
        USD
        241311.29000000
        0.011336747237
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-01-15
          Fixed
          3.78000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD MXN
        000000000
        
          
        
        1.00000000
        NC
        
        112365.86000000
        0.005278921483
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            267933584.53000000
            MXN
            13169181.61000000
            USD
            2022-06-01
            112365.86000000
          
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED EUR / SOLD PLN
        000000000
        
          
        
        1.00000000
        NC
        N/A
        14802.94000000
        0.000695438614
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            1975700.00000000
            PLN
            436510.05000000
            EUR
            2022-05-05
            14802.94000000
          
        
        
          N
          N
          N
        
      
      
        ISRAEL FIXED BOND
        213800T8ZHTFZIBYPE21
        Israel Government Bond - Fixed
        000000000
        
          
        
        125095567.00000000
        PA
        
        37501315.42000000
        1.761802914330
        Long
        DBT
        NUSS
        IL
        N
        
        2
        
          2022-07-31
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9679295004
        N/A
        COOF 9679295004
        000000000
        
          
        
        665950.18000000
        PA
        USD
        70671.87000000
        0.003320147710
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-09-15
          Fixed
          3.21000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9675065008
        N/A
        COOF 9675065008
        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
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BEV51HEN0 IRS JPY R V 12MTONAR 1 CCPOIS / Short: BEV51HEN0 IRS JPY P F   .56300 2 CCPOIS
        000000000
        
          
        
        956915095.00000000
        OU
        Notional Amount
        
        460972.42000000
        0.021656375086
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2052-01-11
            0.00000000
            JPY
            0.00000000
            JPY
            956915095.00000000
            JPY
            460972.42000000
          
        
        
          N
          N
          N
        
      
      
        COOF 9574295008
        N/A
        COOF 9574295008
        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
        COOF 9652355009
        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
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -330739.69000000
        -0.01553807228
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            10221620.46000000
            USD
            15320450.10000000
            NZD
            2022-05-02
            -330739.69000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: B92XVRCF0 CDS USD R V 03MEVENT 1 CCPSOVEREIGN / Short: B92XVRCF0 CDS USD P F  1.00000 2 CCPSOVEREIGN
        000000000
        
          
        
        31769000.00000000
        OU
        Notional Amount
        USD
        -135588.50000000
        -0.00636991560
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                SAUDI INTERNATIONAL BOND
                SAUDI INTERNATIONAL BOND
                
                  
                
              
            
            Y
            buy protection
            
            2032-06-20
            0.00000000
            USD
            -313274.81000000
            USD
            31769000.00000000
            USD
            177686.31000000
          
        
        
          N
          N
          N
        
      
      
        COOF 2128077002
        N/A
        COOF 2128077002
        000000000
        
          
        
        1541488.59000000
        PA
        USD
        110951.96000000
        0.005212496796
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-03-15
          Fixed
          2.16000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Barclays Capital Securities Limited
        K9WDOH4D2PYBSLSOB484
        BB CTRY GARDEN HOLD. CO REPO
        000000000
        
          
        
        1096924.69000000
        PA
        USD
        1096924.69000000
        0.051533262073
        Long
        RA
        CORP
        US
        N
        
        2
        
          Repurchase
          
            
              
            
          
          N
          -1.50000000
          2023-01-24
          
            
              1096924.69000000
              USD
              1092628.40000000
              USD
              
            
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD INR
        000000000
        
          
        
        1.00000000
        NC
        
        -43595.91000000
        -0.00204812552
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            1106000000.00000000
            INR
            14343825.12000000
            USD
            2022-06-10
            -43595.91000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        3138ET6P6
        
          
        
        65985.45000000
        PA
        USD
        70805.07000000
        0.003326405414
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2032-02-01
          Fixed
          9.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        United States Treasury
        254900HROIFWPRGM1V77
        United States Treasury Bill
        912796V22
        
          
        
        28840000.00000000
        PA
        USD
        28835021.06000000
        1.354662458352
        Long
        STIV
        UST
        US
        N
        
        2
        
          2022-05-24
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF GABON
        N/A
        Gabon Government International Bond
        000000000
        
          
        
        12657000.00000000
        PA
        USD
        11474709.63000000
        0.539079140046
        Long
        DBT
        NUSS
        GA
        Y
        
        2
        
          2031-02-06
          Fixed
          6.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Azerbaijan
        549300P74FF45UQVU281
        Republic of Azerbaijan International Bond
        000000000
        
          
        
        4935000.00000000
        PA
        USD
        4373778.23000000
        0.205479065092
        Long
        DBT
        NUSS
        AZ
        Y
        
        2
        
          2032-09-01
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UKRAINE GOVERNMENT
        6354001WLTJXOMEXPY07
        Ukraine Government International Bond
        000000000
        
          
        
        11029000.00000000
        PA
        USD
        3238004.11000000
        0.152120666001
        Long
        DBT
        NUSS
        UA
        Y
        
        2
        
          2040-05-31
          Variable
          1.25800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED PEN / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -18218.28000000
        -0.00085589047
        N/A
        DFE
        
        PE
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            640324.43000000
            USD
            2400000.00000000
            PEN
            2022-06-15
            -18218.28000000
          
        
        
          N
          N
          N
        
      
      
        ARDSHININVESTBK (DILIJAN
        549300DCGXFXAP2FEV07
        Ardshinbank CJSC Via Dilijan Finance BV
        000000000
        
          
        
        6432000.00000000
        PA
        USD
        5981760.00000000
        0.281021667714
        Long
        DBT
        CORP
        NL
        
        Y
        
        2
        
          2025-01-28
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        000000000
        
          
        
        1699000.00000000
        PA
        
        1206805.27000000
        0.056695425691
        Long
        DBT
        NUSS
        RO
        Y
        
        2
        
          2041-04-14
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        PURCHASED EUR / SOLD PLN
        000000000
        
          
        
        1.00000000
        NC
        N/A
        34728.28000000
        0.001631526367
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            32652404.00000000
            PLN
            7015233.43000000
            EUR
            2022-05-05
            34728.28000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BEV4MG411 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4MG411 IRS COP P F  4.52900 2 CCPNDFOIS
        000000000
        
          
        
        11377600000.00000000
        OU
        Notional Amount
        
        374759.11000000
        0.017606094206
        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
            374759.11000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        289705.72000000
        0.013610306094
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            5971845.51000000
            EUR
            6602107.52000000
            USD
            2022-06-15
            289705.72000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31335PGF6
        
          
        
        27104.85000000
        PA
        USD
        27375.64000000
        0.001286101081
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-09-17
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31359KQT7
        
          
        
        16692.07000000
        PA
        USD
        17239.71000000
        0.000809917491
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-07-25
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SEV51GDX1 IRS USD R F  2.67000 2 CCPINFLATIONZERO / Short: SEV51GDX1 IRS USD P V 12MUSCPI 1 CCPINFLATIONZERO
        000000000
        
          
        
        9970000.00000000
        OU
        Notional Amount
        USD
        -615071.83000000
        -0.02889592886
        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
            -615071.83000000
          
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        B4TYDEB6GKMZO031MB27
        Long: BEV545JT5 IRS ZAR R F  6.54000 2 VANILLA / Short: BEV545JT5 IRS ZAR P V 03MJIBAR 1 VANILLA
        000000000
        
          
        
        129130000.00000000
        OU
        Notional Amount
        
        -283739.31000000
        -0.01333000556
        N/A
        DIR
        
        ZA
        N
        
        2
        
          
            
              Citibank N.A.
              B4TYDEB6GKMZO031MB27
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2027-02-23
            0.00000000
            ZAR
            0.00000000
            ZAR
            129130000.00000000
            ZAR
            -283739.31000000
          
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -68288.91000000
        -0.00320819681
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            2259674.23000000
            USD
            2077000.00000000
            EUR
            2022-05-06
            -68288.91000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -112669.16000000
        -0.00529317044
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            3400023.05000000
            USD
            3110000.00000000
            EUR
            2022-06-15
            -112669.16000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED PHP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        30786.75000000
        0.001446354221
        N/A
        DFE
        
        PH
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            15020772.16000000
            USD
            785766633.00000000
            PHP
            2022-05-03
            30786.75000000
          
        
        
          N
          N
          N
        
      
      
        HONDURAS GOVERNMENT
        5493002DW1JNBNG17615
        Honduras Government International Bond
        000000000
        
          
        
        16651000.00000000
        PA
        USD
        13179266.50000000
        0.619158817988
        Long
        DBT
        NUSS
        HN
        Y
        
        2
        
          2030-06-24
          Fixed
          5.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31359HZF4
        
          
        
        186793.88000000
        PA
        USD
        191938.88000000
        0.009017243111
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-04-25
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BEV541J56 IRS EUR R V 06MEURIB 1 CCPVANILLA / Short: BEV541J56 IRS EUR P F   .79720 2 CCPVANILLA
        000000000
        
          
        
        17800000.00000000
        OU
        Notional Amount
        
        1574864.12000000
        0.073986743270
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-02-23
            0.00000000
            EUR
            0.00000000
            EUR
            17800000.00000000
            EUR
            1574864.12000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BEV4K5F80 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4K5F80 IRS COP P F  4.28000 2 CCPNDFOIS
        000000000
        
          
        
        14824000000.00000000
        OU
        Notional Amount
        
        518825.39000000
        0.024374293911
        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
            518825.39000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF SOUTH AFRICA
        378900AAFB4F17004C49
        Republic of South Africa Government International Bond
        836205BC7
        
          
        
        16443000.00000000
        PA
        USD
        15668534.70000000
        0.736104048313
        Long
        DBT
        NUSS
        ZA
        N
        
        2
        
          2032-04-20
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED EUR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -101758.47000000
        -0.00478058881
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            3070770.67000000
            USD
            2808832.95000000
            EUR
            2022-06-15
            -101758.47000000
          
        
        
          N
          N
          N
        
      
      
        Government of The Republic of Kenya Acting through The National Treasury
        549300VVURQQYU45PR87
        Government of The Republic of Kenya Acting through The National Treasury 2019 Term Loan
        000000000
        
          
        
        1452083.32000000
        PA
        USD
        1429265.28000000
        0.067146544259
        Long
        LON
        NUSS
        KE
        N
        
        2
        
          2024-10-24
          Floating
          8.42200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED USD / SOLD OMR
        000000000
        
          
        
        1.00000000
        NC
        
        -402541.93000000
        -0.01891132450
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            6400000.00000000
            OMR
            16212792.91000000
            USD
            2024-05-28
            -402541.93000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31402CS29
        
          
        
        18515.51000000
        PA
        USD
        19641.72000000
        0.000922763352
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-04-01
          Fixed
          9.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED BRL / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        170821.27000000
        0.008025142796
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            1386637.85000000
            USD
            7700000.00000000
            BRL
            2022-05-03
            170821.27000000
          
        
        
          N
          N
          N
        
      
      
        BNP Paribas SA
        R0MUWSFPU8MPRO8K5P83
        PURCHASED PLN / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -14834.52000000
        -0.00069692223
        N/A
        DFE
        
        PL
        N
        
        2
        
          
            
              BNP Paribas SA
              R0MUWSFPU8MPRO8K5P83
            
            4489027.94000000
            EUR
            20926928.00000000
            PLN
            2022-05-05
            -14834.52000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31385W6C8
        
          
        
        429576.39000000
        PA
        USD
        463475.40000000
        0.021773964494
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-03-01
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        657415.10000000
        0.030885205655
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            134400000.00000000
            ZAR
            9129194.40000000
            USD
            2022-06-15
            657415.10000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: B92RFU3B3 CDS USD R V 03MEVENT 1 CCPSOVEREIGN / Short: B92RFU3B3 CDS USD P F  1.00000 2 CCPSOVEREIGN
        000000000
        
          
        
        9465000.00000000
        OU
        Notional Amount
        USD
        -397625.88000000
        -0.01868036964
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                REPUBLIC OF AUSTRIA
                REPUBLIC OF AUSTRIA
                
                  
                
              
            
            Y
            buy protection
            
            2027-06-20
            0.00000000
            USD
            -396950.75000000
            USD
            9465000.00000000
            USD
            -675.13000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED PHP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -29.14000000
        -0.00000136899
        N/A
        DFE
        
        PH
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            43360.37000000
            USD
            2274338.00000000
            PHP
            2022-05-27
            -29.14000000
          
        
        
          N
          N
          N
        
      
      
        Bank of America N.A.
        B4TYDEB6GKMZO031MB27
        BEV4D6CJ5 SYNTHCAP SWAPTIONS
        000000000
        
          
        
        623900000.00000000
        NC
        USD
        129346.95000000
        0.006076689068
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Bank of America N.A.
              B4TYDEB6GKMZO031MB27
            
            Call
            Purchased
            
              
                USD - 10Y Constant Maturity Swap (CMS)
                USD - 10Y Constant Maturity Swap (CMS)
                
                  
                
              
            
            1.00000000
            1.06000000
            USD
            2022-12-19
            XXXX
            -728515.55000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: BEV55K4B6 CDS USD R V 03MEVENT 1 CCPSOVEREIGN / Short: BEV55K4B6 CDS USD P F  1.00000 2 CCPSOVEREIGN
        000000000
        
          
        
        112553000.00000000
        OU
        Notional Amount
        USD
        -440140.76000000
        -0.02067770863
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                PENERBANGAN MALAYSIA BHD
                PENERBANGAN MALAYSIA BHD
                
                  
                
              
            
            Y
            buy protection
            
            2027-06-20
            0.00000000
            USD
            -475142.31000000
            USD
            112553000.00000000
            USD
            35001.55000000
          
        
        
          N
          N
          N
        
      
      
        ARCOS DORADOS BV
        54930023P2MIZN13DQ85
        ARCOS DORADOS BV
        03965TAB9
        
          
        
        2215000.00000000
        PA
        USD
        2175273.98000000
        0.102193856255
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2029-05-27
          Fixed
          6.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: B92RH4HQ1 CDS USD R V 03MEVENT 1 CCPSOVEREIGN / Short: B92RH4HQ1 CDS USD P F  1.00000 2 CCPSOVEREIGN
        000000000
        
          
        
        43834000.00000000
        OU
        Notional Amount
        USD
        -1861909.64000000
        -0.08747207379
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                UNITED KINGDOM GILT
                UNITED KINGDOM GILT
                
                  
                
              
            
            Y
            buy protection
            
            2027-06-20
            0.00000000
            USD
            -1832325.22000000
            USD
            43834000.00000000
            USD
            -29584.42000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD IDR
        000000000
        
          
        
        1.00000000
        NC
        
        96032.87000000
        0.004511601482
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            86014758624.00000000
            IDR
            5951342.88000000
            USD
            2022-08-22
            96032.87000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED AUD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -170497.07000000
        -0.00800991195
        N/A
        DFE
        
        AU
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            3074168.82000000
            USD
            4105000.00000000
            AUD
            2022-07-05
            -170497.07000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31408GLF2
        
          
        
        15654.21000000
        PA
        USD
        16906.45000000
        0.000794261015
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-06-01
          Fixed
          9.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31335PLX1
        
          
        
        46919.26000000
        PA
        USD
        47388.00000000
        0.002226277013
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-03-17
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9627335001
        N/A
        COOF 9627335001
        000000000
        
          
        
        1119022.73000000
        PA
        USD
        119037.48000000
        0.005592352610
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-09-15
          Fixed
          2.96000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BEV4K3JX6 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4K3JX6 IRS COP P F  4.16000 2 CCPNDFOIS
        000000000
        
          
        
        15965800000.00000000
        OU
        Notional Amount
        
        574642.94000000
        0.026996589187
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2025-11-26
            0.00000000
            COP
            0.00000000
            COP
            15965800000.00000000
            COP
            574642.94000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SEV51PS98 IRS USD R F  2.89300 2 CCPINFLATIONZERO / Short: SEV51PS98 IRS USD P V 12MUSCPI 1 CCPINFLATIONZERO
        000000000
        
          
        
        22010000.00000000
        OU
        Notional Amount
        USD
        -1084804.01000000
        -0.05096383539
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            Inflation Based on US CPI Urban Consumers NSA
            2027-01-12
            0.00000000
            USD
            0.00000000
            USD
            22010000.00000000
            USD
            -1084804.01000000
          
        
        
          N
          N
          N
        
      
      
        COOF 9683905000
        N/A
        COOF 9683905000
        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
        Long: SEV4WDUC4 IRS COP R F  5.68000 2 CCPNDFOIS / Short: SEV4WDUC4 IRS COP P V 03MCOOVI 1 CCPNDFOIS
        000000000
        
          
        
        11377600000.00000000
        OU
        Notional Amount
        
        -266381.58000000
        -0.01251454352
        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
            -266381.58000000
          
        
        
          N
          N
          N
        
      
      
        COOF 9723235006
        N/A
        COOF 9723235006
        000000000
        
          
        
        1457970.08000000
        PA
        USD
        125352.47000000
        0.005889029344
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-12-15
          Fixed
          2.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: SEV4XYUH6 IRS CNY R F  2.63500 2 CCPNDF / Short: SEV4XYUH6 IRS CNY P V 00MCNRR 1 CCPNDF
        000000000
        
          
        
        108712053.00000000
        OU
        Notional Amount
        
        122185.95000000
        0.005740266985
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2026-11-01
            0.00000000
            CNY
            0.00000000
            CNY
            108712053.00000000
            CNY
            122185.95000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -163322.32000000
        -0.00767284390
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            3737574.75000000
            USD
            5536327.58000000
            NZD
            2022-05-02
            -163322.32000000
          
        
        
          N
          N
          N
        
      
      
        Kingdom of Bahrain
        549300RODM1WN85LFQ95
        Bahrain Government International Bond
        000000000
        
          
        
        440000.00000000
        PA
        USD
        410872.00000000
        0.019302669223
        Long
        DBT
        NUSS
        BH
        Y
        
        2
        
          2047-09-20
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 1856837009
        N/A
        COOF 1856837009
        000000000
        
          
        
        1930412.51000000
        PA
        USD
        154461.04000000
        0.007256543067
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-02-15
          Fixed
          2.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Merdeka Copper Gold Tbk PT
        894500DF5TJXCOE26L58
        Merdeka Copper Gold Tbk PT
        000000000
        
          
        
        579907.00000000
        NS
        
        211334.20000000
        0.009928430650
        Long
        EC
        CORP
        ID
        N
        
        2
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED CLP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -39628.03000000
        -0.00186171546
        N/A
        DFE
        
        CL
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            856909.52000000
            USD
            703000000.00000000
            CLP
            2022-06-15
            -39628.03000000
          
        
        
          N
          N
          N
        
      
      
        HTA GROUP LTD
        213800WEFU8O8X6EPU13
        HTA Group Ltd/Mauritius
        000000000
        
          
        
        269000.00000000
        PA
        USD
        266818.41000000
        0.012535065692
        Long
        DBT
        CORP
        MU
        
        Y
        
        2
        
          2025-12-18
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Refrigeration Electrical Engineering Corp
        N/A
        Refrigeration Electrical Engineering Corp
        000000000
        
          
        
        217610.00000000
        NS
        
        777238.44000000
        0.036514477782
        Long
        EC
        CORP
        VN
        N
        
        2
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED IDR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -86464.47000000
        -0.00406208031
        N/A
        DFE
        
        ID
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            4526082.89000000
            USD
            64847000000.00000000
            IDR
            2022-06-21
            -86464.47000000
          
        
        
          N
          N
          N
        
      
      
        COOF 8667815003
        N/A
        COOF 8667815003
        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
        Fannie Mae Interest Strip
        31397VD87
        
          
        
        6328048.77000000
        PA
        USD
        1077567.36000000
        0.050623859295
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2048-02-25
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED BRL / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        1674.35000000
        0.000078660566
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            222838.68000000
            USD
            1141000.00000000
            BRL
            2022-08-02
            1674.35000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BEV4S4WD5 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4S4WD5 IRS COP P F  4.85940 2 CCPNDFOIS
        000000000
        
          
        
        26646700000.00000000
        OU
        Notional Amount
        
        804836.71000000
        0.037811037969
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2025-11-26
            0.00000000
            COP
            0.00000000
            COP
            26646700000.00000000
            COP
            804836.71000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD RUB
        000000000
        
          
        
        1.00000000
        NC
        
        -3523983.96000000
        -0.16555593160
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            709635582.00000000
            RUB
            6407544.76000000
            USD
            2022-05-06
            -3523983.96000000
          
        
        
          N
          N
          N
        
      
      
        UGANDA T-BILL
        549300NF1DEFHG8XLQ11
        Republic of Uganda Treasury Bills
        000000000
        
          
        
        8330000000.00000000
        PA
        
        2348333.61000000
        0.110324156675
        Long
        STIV
        NUSS
        UG
        N
        
        2
        
          2022-05-05
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BEV4L1225 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4L1225 IRS COP P F  4.10500 2 CCPNDFOIS
        000000000
        
          
        
        8554300000.00000000
        OU
        Notional Amount
        
        311781.11000000
        0.014647402686
        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
            311781.11000000
          
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: B92RGQTY3 CDS USD R V 03MEVENT 1 CCPSOVEREIGN / Short: B92RGQTY3 CDS USD P F  1.00000 2 CCPSOVEREIGN
        000000000
        
          
        
        20196000.00000000
        OU
        Notional Amount
        USD
        -93035.10000000
        -0.00437076695
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                REPUBLIC OF POLAND
                REPUBLIC OF POLAND
                
                  
                
              
            
            Y
            buy protection
            
            2027-06-20
            0.00000000
            USD
            -153500.48000000
            USD
            20196000.00000000
            USD
            60465.38000000
          
        
        
          N
          N
          N
        
      
      
        COOF 9110125005
        N/A
        COOF 9110125005
        000000000
        
          
        
        1422189.42000000
        PA
        USD
        116802.33000000
        0.005487345792
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-02-15
          Fixed
          2.16000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        PURCHASED CZK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -15891.16000000
        -0.00074656293
        N/A
        DFE
        
        CZ
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            2312419.87000000
            EUR
            56917232.00000000
            CZK
            2022-06-14
            -15891.16000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        PURCHASED USD / SOLD KES
        000000000
        
          
        
        1.00000000
        NC
        
        -12285.24000000
        -0.00057715766
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            124110000.00000000
            KES
            1051957.96000000
            USD
            2022-06-08
            -12285.24000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank N.A.
        7H6GLXDRUGQFU57RNE97
        PURCHASED USD / SOLD ILS
        000000000
        
          
        
        1.00000000
        NC
        
        1773914.96000000
        0.083338104578
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              JPMorgan Chase Bank N.A.
              7H6GLXDRUGQFU57RNE97
            
            126030794.00000000
            ILS
            39697864.08000000
            USD
            2022-08-01
            1773914.96000000
          
        
        
          N
          N
          N
        
      
      
        COOF 1971467000
        N/A
        COOF 1971467000
        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
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BEV537HJ6 IRS TWD R V 03MCPTW 1 CCPNDF / Short: BEV537HJ6 IRS TWD P F  1.00300 2 CCPNDF
        000000000
        
          
        
        216401689.00000000
        OU
        Notional Amount
        
        231851.66000000
        0.010892336060
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2027-02-09
            0.00000000
            TWD
            0.00000000
            TWD
            216401689.00000000
            TWD
            231851.66000000
          
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED CZK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        171405.44000000
        0.008052586965
        N/A
        DFE
        
        CZ
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            2735148.37000000
            EUR
            71700000.00000000
            CZK
            2022-06-07
            171405.44000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD IDR
        000000000
        
          
        
        1.00000000
        NC
        
        101390.73000000
        0.004763312475
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            86014758623.00000000
            IDR
            5956700.74000000
            USD
            2022-08-22
            101390.73000000
          
        
        
          N
          N
          N
        
      
      
        COOF 2308487004
        N/A
        COOF 2308487004
        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
        COOF 9595035010
        000000000
        
          
        
        1096166.51000000
        PA
        USD
        135665.17000000
        0.006373517547
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-08-15
          Fixed
          3.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED EUR / SOLD PLN
        000000000
        
          
        
        1.00000000
        NC
        N/A
        61332.89000000
        0.002881404642
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            14168085.00000000
            PLN
            3087805.12000000
            EUR
            2022-05-05
            61332.89000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SEV572FX4 IRS CLP R F  6.38000 2 CCPNDFCAMARAPROMEDIO / Short: SEV572FX4 IRS CLP P V 06MCLICP 1 CCPNDFCAMARAPROMEDIO
        000000000
        
          
        
        4902560000.00000000
        OU
        Notional Amount
        
        34394.85000000
        0.001615861904
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              Chicago Mercantile Exchange
              SNZ2OJLFK8MNNCLQOF39
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
            
              
                
              
            
            2032-04-22
            0.00000000
            CLP
            0.00000000
            CLP
            4902560000.00000000
            CLP
            34394.85000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        37710.87000000
        0.001771647738
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            14408923.00000000
            ZAR
            945963.96000000
            USD
            2022-06-15
            37710.87000000
          
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED USD / SOLD BHD
        000000000
        
          
        
        1.00000000
        NC
        
        -46741.93000000
        -0.00219592479
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            4100000.00000000
            BHD
            10754098.36000000
            USD
            2024-03-18
            -46741.93000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BEV414KY1 IRS COP R V 00MCOOIS COOVIBR3+0BPS CCP CME / Short: BEV414KY1 IRS COP P F  3.83700 CCP CME
        000000000
        
          
        
        62519600000.00000000
        OU
        Notional Amount
        
        2084343.12000000
        0.097921945994
        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
            2084343.12000000
          
        
        
          N
          N
          N
        
      
      
        Republic of Sri Lanka
        254900HXCCIOHM74FA02
        Sri Lanka Government International Bond
        000000000
        
          
        
        9346000.00000000
        PA
        USD
        4010275.14000000
        0.188401776038
        Long
        DBT
        NUSS
        LK
        Y
        
        2
        
          2028-04-18
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9056075001
        N/A
        COOF 9056075001
        000000000
        
          
        
        305802.49000000
        PA
        USD
        15358.86000000
        0.000721555604
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2027-03-15
          Fixed
          3.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        31397UBN8
        
          
        
        774597.32000000
        PA
        USD
        749608.97000000
        0.035216451827
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-05-25
          Floating
          11.49600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        3128C6R76
        
          
        
        128391.05000000
        PA
        USD
        131313.15000000
        0.006169060678
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-01-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31381D4D4
        
          
        
        9324.36000000
        PA
        USD
        9705.50000000
        0.000455962090
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-11-15
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        PURCHASED CZK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -7836.98000000
        -0.00036817946
        N/A
        DFE
        
        CZ
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            3922568.47000000
            EUR
            96572969.00000000
            CZK
            2022-05-18
            -7836.98000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BEV54VYW4 IRS USD R V 12MSOFR 1 CCPOIS / Short: BEV54VYW4 IRS USD P F  1.63520 2 CCPOIS
        000000000
        
          
        
        14000000.00000000
        OU
        Notional Amount
        USD
        370785.80000000
        0.017419429044
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2024-09-11
            0.00000000
            USD
            0.00000000
            USD
            14000000.00000000
            USD
            370785.80000000
          
        
        
          N
          N
          N
        
      
      
        Ivory Coast
        N/A
        IVORY COAST EUR 7 YEAR TERM LOAN
        000000000
        
          
        
        2665000.00000000
        PA
        
        2860226.56000000
        0.134372766198
        Long
        LON
        NUSS
        TZ
        N
        
        2
        
          2028-01-06
          Floating
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        
        1055766.28000000
        0.049599649722
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            21763026.09000000
            EUR
            24059871.92000000
            USD
            2022-06-15
            1055766.28000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        PURCHASED USD / SOLD MXN
        000000000
        
          
        
        1.00000000
        NC
        
        16292.81000000
        0.000765432354
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            21500000.00000000
            MXN
            1069230.75000000
            USD
            2022-05-06
            16292.81000000
          
        
        
          N
          N
          N
        
      
      
        COOF 9329855006
        N/A
        COOF 9329855006
        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
        
      
      
        Tokio Marine Holdings Inc
        5299009QN2NZ191KLS29
        Tokio Marine Holdings Inc
        000000000
        
          
        
        11900.00000000
        NS
        
        643417.11000000
        0.030227583401
        Long
        EC
        CORP
        JP
        N
        
        2
        
          N
          N
          N
        
      
      
        UZBEK ICB (DARYO FNC)
        N/A
        Uzbek Industrial and Construction Bank ATB via Daryo Finance BV
        000000000
        
          
        
        293470000000.00000000
        PA
        
        25666878.11000000
        1.205823853097
        Long
        DBT
        CORP
        NL
        
        N
        
        3
        
          2023-06-15
          Fixed
          18.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Republic of Macedonia (The)
        635400RD1N6RVNCE4958
        Republic of Macedonia (The) EUR Term Loan
        000000000
        
          
        
        2200000.00000000
        PA
        
        2321366.33000000
        0.109057240249
        Long
        LON
        NUSS
        MK
        N
        
        2
        
          2022-12-16
          Floating
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD INR
        000000000
        
          
        
        1.00000000
        NC
        
        -6092.25000000
        -0.00028621246
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            237600000.00000000
            INR
            3078270.47000000
            USD
            2022-06-30
            -6092.25000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        20754KAF8
        
          
        
        5414800.00000000
        PA
        USD
        5030430.96000000
        0.236328454786
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2041-11-25
          Floating
          3.58900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Non Gold Pool
        3128SGAA8
        
          
        
        561359.49000000
        PA
        USD
        575540.58000000
        0.027038760102
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2035-01-01
          Floating
          2.76800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9678215000
        N/A
        COOF 9678215000
        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
        
      
      
        ASAKA BANK
        N/A
        Asaka Bank
        000000000
        
          
        
        248781000000.00000000
        PA
        
        21911856.44000000
        1.029413824609
        Long
        SN
        CORP
        UZ
        N
        
        3
        
          2023-07-26
          Fixed
          18.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -55406.78000000
        -0.00260299739
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            2119645.40000000
            USD
            3197375.00000000
            NZD
            2022-05-05
            -55406.78000000
          
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        PURCHASED NZD / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -416996.89000000
        -0.01959041510
        N/A
        DFE
        
        NZ
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            9542829.47000000
            USD
            14135431.00000000
            NZD
            2022-05-02
            -416996.89000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED ZAR / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -395222.04000000
        -0.01856743781
        N/A
        DFE
        
        ZA
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            5393823.97000000
            USD
            79300000.00000000
            ZAR
            2022-06-15
            -395222.04000000
          
        
        
          N
          N
          N
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        PURCHASED USD / SOLD UAH
        000000000
        
          
        
        1.00000000
        NC
        
        172459.11000000
        0.008102088132
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            124892000.00000000
            UAH
            4351637.63000000
            USD
            2022-05-10
            172459.11000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD INR
        000000000
        
          
        
        1.00000000
        NC
        
        11913.70000000
        0.000559702803
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            300900000.00000000
            INR
            3917994.26000000
            USD
            2022-06-30
            11913.70000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD PEN
        000000000
        
          
        
        1.00000000
        NC
        
        154495.98000000
        0.007258184540
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            22900000.00000000
            PEN
            6090425.53000000
            USD
            2022-06-15
            154495.98000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED CLP / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -16913.15000000
        -0.00079457578
        N/A
        DFE
        
        CL
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            349582.27000000
            USD
            285787000.00000000
            CLP
            2022-06-08
            -16913.15000000
          
        
        
          N
          N
          N
        
      
      
        COOF 2045537003
        N/A
        COOF 2045537003
        000000000
        
          
        
        1787735.06000000
        PA
        USD
        118584.48000000
        0.005571070777
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-02-15
          Fixed
          1.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 2268427002
        N/A
        COOF 2268427002
        000000000
        
          
        
        1227687.29000000
        PA
        USD
        113203.03000000
        0.005318251531
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-04-15
          Fixed
          2.66000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citigroup Global Markets, Inc.
        MBNUM2BPBDO7JBLYG310
        PURCHASED USD / SOLD PEN
        000000000
        
          
        
        1.00000000
        NC
        
        59177.24000000
        0.002780132716
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Citigroup Global Markets, Inc.
              MBNUM2BPBDO7JBLYG310
            
            9394523.00000000
            PEN
            2499873.07000000
            USD
            2022-05-27
            59177.24000000
          
        
        
          N
          N
          N
        
      
      
        COOF 1860197010
        N/A
        COOF 1860197010
        000000000
        
          
        
        308172.44000000
        PA
        USD
        31664.73000000
        0.001487601513
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-02-15
          Fixed
          2.91000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas SA
        R0MUWSFPU8MPRO8K5P83
        PURCHASED USD / SOLD CNH
        000000000
        
          
        
        1.00000000
        NC
        
        1368563.25000000
        0.064294777270
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BNP Paribas SA
              R0MUWSFPU8MPRO8K5P83
            
            232041000.00000000
            CNY
            36176704.45000000
            USD
            2022-06-27
            1368563.25000000
          
        
        
          N
          N
          N
        
      
      
        ISRAEL MAKAM BILL
        M8LYVLF5DOB9X0LZOW72
        Bank of Israel Bill - Makam
        000000000
        
          
        
        25018753.00000000
        PA
        
        7495885.15000000
        0.352154908564
        Long
        STIV
        NUSS
        IL
        N
        
        2
        
          2022-07-06
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ZAMBIA GOVERNMENT BOND
        213800DMLAZ6LGMMD849
        Zambia Government Bond
        000000000
        
          
        
        14610000.00000000
        PA
        
        604074.96000000
        0.028379298514
        Long
        DBT
        NUSS
        ZM
        N
        
        2
        
          2026-09-20
          Fixed
          11.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: BEV572FU0 IRS CLP R V 06MCLICP CLICP+0BPS+1D COMPUNDING / Short: BEV572FU0 IRS CLP P F  1.84000 CLF LEG 1.84 FIXED RATE
        000000000
        
          
        
        3777817200.00000000
        OU
        Notional Amount
        
        45819.61000000
        0.002152594423
        N/A
        DIR
        
        CL
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2032-04-22
            0.00000000
            CLP
            0.00000000
            CLP
            3777817200.00000000
            CLP
            45819.61000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs & Co. LLC
        FOR8UP27PHTHYVLBNG30
        Long: BEV56AAT1 TRS COP R F   .00000 NO INDEX+0BPS COLOMBIA TRS / Short: BEV56AAT1 TRS COP P V 00MDTF DTF RATE 90D NON COMPOUNDING
        000000000
        
          
        
        15490780000.00000000
        OU
        Notional Amount
        
        -98110.88000000
        -0.00460922589
        N/A
        DIR
        
        CO
        N
        
        2
        
          
            
              Goldman Sachs & Co. LLC
              FOR8UP27PHTHYVLBNG30
            
            
              
                TITULOS DE TESORERIA
                TITULOS DE TESORERIA
                
                  
                
              
            
            Y
            equity-performance leg
            
              
                
              
            
            2022-06-09
            0.00000000
            COP
            0.00000000
            COP
            15490780000.00000000
            COP
            -98110.88000000
          
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED USD / SOLD THB
        000000000
        
          
        
        1.00000000
        NC
        
        -72181.08000000
        -0.00339105003
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            591833823.00000000
            THB
            17217865.50000000
            USD
            2022-06-15
            -72181.08000000
          
        
        
          N
          N
          N
        
      
      
        NATIONAL BANK OF UZBEKIS
        253400TZJ7T1YULTGN68
        National Bank of Uzbekistan
        000000000
        
          
        
        326000.00000000
        PA
        USD
        288510.00000000
        0.013554131451
        Long
        DBT
        NUSS
        UZ
        Y
        
        2
        
          2025-10-21
          Fixed
          4.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS AG
        BFM8T61CT2L1QCEMIK50
        PURCHASED EUR / SOLD PLN
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -126668.01000000
        -0.00595083310
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              UBS AG
              BFM8T61CT2L1QCEMIK50
            
            48978606.00000000
            PLN
            10353414.06000000
            EUR
            2022-05-05
            -126668.01000000
          
        
        
          N
          N
          N
        
      
      
        EDEN RE II LTD SERIES 2022 1 C
        N/A
        EDEN RE II LTD SERIES 2022 1 C
        000000000
        
          
        
        2400000.00000000
        NS
        USD
        2389200.00000000
        0.112244049996
        Long
        STIV
        CORP
        US
        N
        
        3
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36201VYZ9
        
          
        
        152179.20000000
        PA
        USD
        164737.39000000
        0.007739323555
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2032-08-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9641005003
        N/A
        COOF 9641005003
        000000000
        
          
        
        613232.24000000
        PA
        USD
        71738.13000000
        0.003370240352
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-09-15
          Fixed
          3.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 1689717010
        N/A
        COOF 1689717010
        000000000
        
          
        
        1439340.56000000
        PA
        USD
        144983.16000000
        0.006811274510
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-01-15
          Fixed
          2.46000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP Paribas SA
        R0MUWSFPU8MPRO8K5P83
        PURCHASED USD / SOLD OMR
        000000000
        
          
        
        1.00000000
        NC
        
        -245778.82000000
        -0.01154663073
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              BNP Paribas SA
              R0MUWSFPU8MPRO8K5P83
            
            3711000.00000000
            OMR
            9388519.24000000
            USD
            2024-07-08
            -245778.82000000
          
        
        
          N
          N
          N
        
      
      
        HONDURAS GOVERNMENT
        5493002DW1JNBNG17615
        Honduras Government International Bond
        000000000
        
          
        
        10722685.79000000
        PA
        USD
        10507461.86000000
        0.493638068954
        Long
        DBT
        NUSS
        HN
        Y
        
        2
        
          2024-03-15
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Reitir fasteignafelag hf
        967600GFEYNJK2W4G048
        Reitir fasteignafelag hf
        000000000
        
          
        
        1336331.00000000
        NS
        
        1069782.93000000
        0.050258148618
        Long
        EC
        CORP
        IS
        N
        
        2
        
          N
          N
          N
        
      
      
        COOF 1788507001
        N/A
        COOF 1788507001
        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
        
      
      
        Phu Nhuan Jewelry JSC
        N/A
        Phu Nhuan Jewelry JSC
        000000000
        
          
        
        143430.00000000
        NS
        
        673726.04000000
        0.031651489752
        Long
        EC
        CORP
        VN
        N
        
        2
        
          N
          N
          N
        
      
      
        JUMBO SA
        549300TGIVUUMY40MZ05
        JUMBO SA
        000000000
        
          
        
        71500.00000000
        NS
        
        1158862.59000000
        0.054443089942
        Long
        EC
        CORP
        GR
        N
        
        2
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: B92RGQQL4 CDS USD R V 03MEVENT 1 CCPSOVEREIGN / Short: B92RGQQL4 CDS USD P F  1.00000 2 CCPSOVEREIGN
        000000000
        
          
        
        37600000.00000000
        OU
        Notional Amount
        USD
        203564.52000000
        0.009563412924
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                REPUBLIC OF PHILIPPINES
                REPUBLIC OF PHILIPPINES
                
                  
                  
                
              
            
            Y
            buy protection
            
            2027-06-20
            160789.75000000
            USD
            0.00000000
            USD
            37600000.00000000
            USD
            42774.77000000
          
        
        
          N
          N
          N
        
      
      
        IVORY COAST
        254900ICW11T82O6H590
        Ivory Coast Government International Bond
        000000000
        
          
        
        10453000.00000000
        PA
        
        9914069.15000000
        0.465760620013
        Long
        DBT
        NUSS
        CI
        Y
        
        2
        
          2030-03-22
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 2133857005
        N/A
        COOF 2133857005
        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
        COOF 2312927008
        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
        Fannie Mae REMICS
        31359B4M6
        
          
        
        19318.32000000
        PA
        USD
        19636.38000000
        0.000922512480
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-08-25
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Intercontinental Exchange, Inc.
        5493000F4ZO33MV32P92
        Long: B92TF71C0 CDS USD R V 03MEVENT 1 CCPSOVEREIGN / Short: B92TF71C0 CDS USD P F  1.00000 2 CCPSOVEREIGN
        000000000
        
          
        
        23540000.00000000
        OU
        Notional Amount
        USD
        2581029.41000000
        0.121256150233
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              Intercontinental Exchange, Inc.
              5493000F4ZO33MV32P92
            
            
              
                REPUBLIC OF SOUTH AFRICA
                REPUBLIC OF SOUTH AFRICA
                
                  
                  
                
              
            
            Y
            buy protection
            
            2029-06-20
            2453553.42000000
            USD
            0.00000000
            USD
            23540000.00000000
            USD
            127475.99000000
          
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: SEV42PUA4 IRS COP R F  3.19000 CCP CME / Short: SEV42PUA4 IRS COP P V 00MCOOIS COOVIBR+0BPS CCP CME
        000000000
        
          
        
        29306100000.00000000
        OU
        Notional Amount
        
        -1138247.29000000
        -0.05347458803
        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
            -1138247.29000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Gold Pool
        31283HTW5
        
          
        
        4673.53000000
        PA
        USD
        4919.03000000
        0.000231094864
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-03-01
          Fixed
          9.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 1576187010
        N/A
        COOF 1576187010
        000000000
        
          
        
        1002547.46000000
        PA
        USD
        118139.70000000
        0.005550175118
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-01-15
          Fixed
          3.16000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31371Y2S9
        
          
        
        556175.72000000
        PA
        USD
        566924.34000000
        0.026633971188
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2033-12-01
          Floating
          1.46800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chicago Mercantile Exchange
        SNZ2OJLFK8MNNCLQOF39
        Long: BEV4L1KF6 IRS COP R V 03MCOOVI 1 CCPNDFOIS / Short: BEV4L1KF6 IRS COP P F  4.20500 2 CCPNDFOIS
        000000000
        
          
        
        2605900000.00000000
        OU
        Notional Amount
        
        92821.39000000
        0.004360726912
        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
            92821.39000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Pool
        31402RJK6
        
          
        
        6488.16000000
        PA
        USD
        6851.05000000
        0.000321860705
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2031-09-01
          Fixed
          9.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BEV4XUQ48 IRS USD R V 12MUSCPI 1 CCPINFLATIONZERO / Short: BEV4XUQ48 IRS USD P F  2.62450 2 CCPINFLATIONZERO
        000000000
        
          
        
        9450000.00000000
        OU
        Notional Amount
        USD
        635451.93000000
        0.029853381132
        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
            635451.93000000
          
        
        
          N
          N
          N
        
      
      
        COOF 9662795005
        N/A
        COOF 9662795005
        000000000
        
          
        
        2808589.90000000
        PA
        USD
        254122.11000000
        0.011938596526
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-09-15
          Fixed
          2.61000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Nomura International PLC
        DGQCSV2PHVF7I2743539
        BB QATAR (STATE OF) REPO
        000000000
        
          
        
        12734757.00000000
        PA
        USD
        12734757.00000000
        0.598275866982
        Long
        RA
        CORP
        US
        N
        
        2
        
          Repurchase
          
            
              
            
          
          N
          0.00000000
          2023-03-17
          
            
              12734757.00000000
              USD
              12734757.00000000
              USD
              CDS
            
          
        
        
          N
          N
          N
        
      
      
        BNP Paribas SA
        R0MUWSFPU8MPRO8K5P83
        Long: BEV55MK65 CDS USD R F  1.00000 2 SOVEREIGN / Short: BEV55MK65 CDS USD P V 03MEVENT 1 SOVEREIGN
        000000000
        
          
        
        11600000.00000000
        OU
        Notional Amount
        USD
        -171888.22000000
        -0.00807526785
        N/A
        DCR
        
        US
        N
        
        2
        
          
            
              BNP Paribas SA
              R0MUWSFPU8MPRO8K5P83
            
            
              
                SOCIALIST REP OF VIETNAM
                SOCIALIST REP OF VIETNAM
                
                  
                
              
            
            Y
            
            sell protection
            2027-06-20
            0.00000000
            USD
            -81023.04000000
            USD
            11600000.00000000
            USD
            -90865.18000000
          
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED USD / SOLD KES
        000000000
        
          
        
        1.00000000
        NC
        
        -25579.67000000
        -0.00120172683
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            250659000.00000000
            KES
            2125129.29000000
            USD
            2022-06-06
            -25579.67000000
          
        
        
          N
          N
          N
        
      
      
        BARBADOS GOVT OF
        529900UD1KUUS4SFD905
        Barbados Government International Bond
        000000000
        
          
        
        28150700.00000000
        PA
        USD
        27060141.88000000
        1.271279054946
        Long
        DBT
        NUSS
        BB
        Y
        
        2
        
          2029-10-01
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 1985837005
        N/A
        COOF 1985837005
        000000000
        
          
        
        1662435.26000000
        PA
        USD
        198177.75000000
        0.009310343746
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-04-15
          Fixed
          3.41000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 2004107007
        N/A
        COOF 2004107007
        000000000
        
          
        
        2660518.31000000
        PA
        USD
        232630.91000000
        0.010928945041
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2043-03-15
          Fixed
          2.28000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Loma Negra Cia Industrial Argentina SA
        529900VKOQQJ8U9DDK92
        Loma Negra Cia Industrial Argentina SA
        54150E104
        
          
        
        145800.00000000
        NS
        USD
        819396.00000000
        0.038495029964
        Long
        EC
        CORP
        AR
        N
        
        1
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED USD / SOLD OMR
        000000000
        
          
        
        1.00000000
        NC
        
        -239773.61000000
        -0.01126450739
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            3912000.00000000
            OMR
            9916349.81000000
            USD
            2024-07-08
            -239773.61000000
          
        
        
          N
          N
          N
        
      
      
        Government National Mortgage Association
        549300M8ZYFG0OCMTT87
        Ginnie Mae I Pool
        36225ATR1
        
          
        
        26381.56000000
        PA
        USD
        27131.04000000
        0.001274609831
        Long
        ABS-MBS
        USGA
        US
        N
        
        2
        
          2024-05-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 9602635001
        N/A
        COOF 9602635001
        000000000
        
          
        
        1585681.35000000
        PA
        USD
        57890.62000000
        0.002719687613
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2042-09-15
          Fixed
          1.11000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOF 1929207010
        N/A
        COOF 1929207010
        000000000
        
          
        
        1134927.33000000
        PA
        USD
        74721.33000000
        0.003510390381
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2028-03-15
          Fixed
          3.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        PURCHASED HUF / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -286470.27000000
        -0.01345830541
        N/A
        DFE
        
        HU
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            5556910.12000000
            EUR
            2006301284.00000000
            HUF
            2022-05-23
            -286470.27000000
          
        
        
          N
          N
          N
        
      
      
        Alpha Services and Holdings SA
        5299009N55YRQC69CN08
        Alpha Services and Holdings SA
        000000000
        
          
        
        644100.00000000
        NS
        
        725026.31000000
        0.034061564284
        Long
        EC
        CORP
        GR
        N
        
        2
        
          N
          N
          N
        
      
      
        Freddie Mac
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Non Gold Pool
        31348QHB7
        
          
        
        3087.09000000
        PA
        USD
        3102.19000000
        0.000145740151
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2023-09-01
          Floating
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD BRL
        000000000
        
          
        
        1.00000000
        NC
        
        -1808.41000000
        -0.00008495867
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            1141000.00000000
            BRL
            228978.71000000
            USD
            2022-05-03
            -1808.41000000
          
        
        
          N
          N
          N
        
      
      
        LCH Limited
        F226TOH6YD6XJB17KS62
        Long: BEV4W0M72 IRS PLN R V 06MWIBOR 1 CCPVANILLA / Short: BEV4W0M72 IRS PLN P F  2.27500 2 CCPVANILLA
        000000000
        
          
        
        34400000.00000000
        OU
        Notional Amount
        
        1977578.54000000
        0.092906171318
        N/A
        DIR
        
        US
        N
        
        2
        
          
            
              LCH Limited
              F226TOH6YD6XJB17KS62
            
            
              
                N/A
                N/A
                
                  
                
              
            
            Y
            
              
                
              
            
            
            2031-10-04
            0.00000000
            PLN
            0.00000000
            PLN
            34400000.00000000
            PLN
            1977578.54000000
          
        
        
          N
          N
          N
        
      
      
        COOF 8397915008
        N/A
        COOF 8397915008
        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
        
      
      
        Citibank N.A.
        E57ODZWZ7FF32TWEFA76
        PURCHASED EUR / SOLD PLN
        000000000
        
          
        
        1.00000000
        NC
        N/A
        -18435.43000000
        -0.00086609213
        N/A
        DFE
        
        XX
        N
        
        2
        
          
            
              Citibank N.A.
              E57ODZWZ7FF32TWEFA76
            
            7640218.00000000
            PLN
            1616293.21000000
            EUR
            2022-05-05
            -18435.43000000
          
        
        
          N
          N
          N
        
      
      
        Nomura Holdings, Inc.
        549300B3CEAHYG7K8164
        Long: BEV0UYZ41 CDS USD R V 00MEVENT NOM QATAR CDS 20240920 / Short: BEV0UYZ41 CDS USD P F  1.00000 NOM QATAR CDS 20240920
        000000000
        
          
        
        9620000.00000000
        OU
        Notional Amount
        USD
        -137339.45000000
        -0.00645217482
        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
            -7881.39000000
            USD
            9620000.00000000
            USD
            -129458.06000000
          
        
        
          N
          N
          N
        
      
      
        COOF 2066977005
        N/A
        COOF 2066977005
        000000000
        
          
        
        822635.05000000
        PA
        USD
        53642.50000000
        0.002520111942
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2028-03-15
          Fixed
          3.71000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        000000000
        
          
        
        894000.00000000
        PA
        
        629861.66000000
        0.029590751571
        Long
        DBT
        NUSS
        RO
        Y
        
        2
        
          2040-12-02
          Fixed
          2.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED USD / SOLD INR
        000000000
        
          
        
        1.00000000
        NC
        
        -266526.22000000
        -0.01252133867
        N/A
        DFE
        
        US
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            1548570000.00000000
            INR
            19878074.67000000
            USD
            2022-06-10
            -266526.22000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED BRL / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        -277.77000000
        -0.00001304956
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            20308.73000000
            USD
            100000.00000000
            BRL
            2022-06-02
            -277.77000000
          
        
        
          N
          N
          N
        
      
      
        Societe Generale SA
        O2RNE8IBXP4R0TD8PU41
        PURCHASED BRL / SOLD USD
        000000000
        
          
        
        1.00000000
        NC
        
        3196.97000000
        0.000150192893
        N/A
        DFE
        
        BR
        N
        
        2
        
          
            
              Societe Generale SA
              O2RNE8IBXP4R0TD8PU41
            
            213248.55000000
            USD
            1100000.00000000
            BRL
            2022-08-02
            3196.97000000
          
        
        
          N
          N
          N
        
      
      
        Lebanese Republic
        529900QPC4K9S1KHL354
        Lebanon Government International Bond
        000000000
        
          
        
        6588000.00000000
        PA
        USD
        790560.00000000
        0.037140321515
        Long
        DBT
        NUSS
        LB
        N
        
        2
        
          2020-03-09
          None
          0.00000000
          Y
          N
          N
        
        
          N
          N
          N
        
      
      
        Standard Chartered Bank
        RILFO74KP1CM8P6PCT96
        PURCHASED CZK / SOLD EUR
        000000000
        
          
        
        1.00000000
        NC
        N/A
        13166.68000000
        0.000618567507
        N/A
        DFE
        
        CZ
        N
        
        2
        
          
            
              Standard Chartered Bank
              RILFO74KP1CM8P6PCT96
            
            246160.47000000
            EUR
            6400000.00000000
            CZK
            2022-06-07
            13166.68000000
          
        
        
          N
          N
          N
        
      
      
        Public Power Corp SA
        213800T9Y5XCOVRZ4Y57
        Public Power Corp SA
        000000000
        
          
        
        65900.00000000
        NS
        
        527616.09000000
        0.024787278915
        Long
        EC
        CORP
        GR
        N
        
        2
        
          N
          N
          N
        
      
    
    
      
      
      
    
    
      2022-05-24
      Global Macro Portfolio
      James Kirchner
      James Kirchner
      Treasurer
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