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Form NPORT-P PRUDENTIAL GLOBAL TOTAL For: Apr 29

June 23, 2022 1:07 PM EDT

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    NPORT-P
    false
    
      
      
        
          0000793159
          XXXXXXXX
        
      
      
      
      
        S000004375
        C000196749
        C000196748
        C000012112
        C000109121
        C000012110
        C000012113
      
      
    
  
  
    
      Prudential Global Total Return Fund, Inc.
      811-04661
      0000793159
      549300X4XNCFYMTTNX09
      655 Broad Street
      17th Floor
      Newark
      
      07102-4077
      1-800-225-1852
      PGIM Global Total Return Fund
      S000004375
      YMW0Y3TQ2LKMQXWJ6O25
      2022-10-31
      2022-04-29
      N
    
    
      4852470354.38
      320292315.37
      4532178039.01
      0.00000000
      0.00000000
      5266000.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      0.00000000
      11007600.10000000
      0.00000000
      0.00000000
      48607577.94000000
      
        
          AUD
          
          
        
        
          CAD
          
          
        
        
          CNY
          
          
        
        
          EUR
          
          
        
        
          GBP
          
          
        
        
          JPY
          
          
        
        
          USD
          
          
        
      
      
      
      
        
        
        
        
        
        
        
        
        
        
        
      
      N
      
        
          
          
          
          
          
          
        
        
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
      
    
    
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS CNY
        000000000
        
          
        
        1.00000000
        NC
        
        58238.70000000
        0.001285004682
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2024-09-19
            0.00000000
            USD
            -12.24000000
            USD
            24300000.00000000
            CNY
            58250.94000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2020-HQA4
        35565RAH6
        
          
        
        134507.74000000
        PA
        USD
        134680.57000000
        0.002971652235
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-09-25
          Floating
          3.81786000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK, NATIONAL ASSOCIATION
        E57ODZWZ7FF32TWEFA76
        CDS REPUBLIC OF PANAMA
        000000000
        
          
        
        1.00000000
        NC
        USD
        -18052.57000000
        -0.00039831996
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, NATIONAL ASSOCIATION
              E57ODZWZ7FF32TWEFA76
            
            
              
                PANAMA GOVERNMENT INTERNATIONAL BOND
                PANAMA GOVERNMENT INTERNATIONAL BOND
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2026-12-20
            11218.69000000
            USD
            0.00000000
            USD
            4200000.00000000
            USD
            -29271.26000000
          
        
        
          N
          N
          N
        
      
      
        ONEMAIN FINANCE CORP
        5493008I795YYBFWFU90
        OneMain Finance Corp
        682691AA8
        
          
          
        
        1800000.00000000
        PA
        USD
        1473103.08000000
        0.032503204139
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-09-15
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        CITIBANK, NATIONAL ASSOCIATION
        E57ODZWZ7FF32TWEFA76
        CDS REPUBLIC OF GREECE
        000000000
        
          
        
        1.00000000
        NC
        USD
        2206.00000000
        0.000048674169
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, NATIONAL ASSOCIATION
              E57ODZWZ7FF32TWEFA76
            
            
              
                HELLENIC REPUBLIC
                Hellenic Republic Government Bond
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2023-06-20
            0.00000000
            USD
            -7723.40000000
            USD
            300000.00000000
            USD
            9929.40000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS KINGDOM OF SAUDI ARABIA
        000000000
        
          
        
        1.00000000
        NC
        USD
        -29838.34000000
        -0.00065836645
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            
              
                PEOPLE'S REPUBLIC OF CHINA
                PEOPLE'S REPUBLIC OF CHINA
                
                  
                  
                  
                
              
            
            Y
            Default Event
            
            2027-06-20
            1242.05000000
            USD
            0.00000000
            USD
            -1500000.00000000
            USD
            -31080.39000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK, NATIONAL ASSOCIATION
        E57ODZWZ7FF32TWEFA76
        CDS REPUBLIC OF PANAMA
        000000000
        
          
        
        1.00000000
        NC
        USD
        10306.11000000
        0.000227398613
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, NATIONAL ASSOCIATION
              E57ODZWZ7FF32TWEFA76
            
            
              
                REPUBLIC OF PANAMA
                Panama Government International Bond
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2022-06-20
            1757.12000000
            USD
            0.00000000
            USD
            5000000.00000000
            USD
            8548.99000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        CDS SASOL LTD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -298.59000000
        -0.00000658822
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                SASOL FINANCING INT
                Sasol Financing International Ltd
                
                  
                  
                  
                
              
            
            Y
            Default Event
            
            2022-12-20
            21116.77000000
            USD
            0.00000000
            USD
            -800000.00000000
            USD
            -21415.36000000
          
        
        
          N
          N
          N
        
      
      
        EUROPEAN INVESTMENT BANK
        5493006YXS1U5GIHE750
        European Investment Bank
        000000000
        
          
          
        
        500000.00000000
        PA
        USD
        457249.28000000
        0.010088952288
        Long
        DBT
        NUSS
        N/A
        N
        
        2
        
          2026-11-21
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        -3980.86000000
        -0.00008783547
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2028-04-16
            0.00000000
            USD
            -894.41000000
            USD
            35000000.00000000
            ZAR
            -3086.45000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS CNY
        000000000
        
          
        
        1.00000000
        NC
        
        107451.68000000
        0.002370861847
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2024-03-13
            19.64000000
            USD
            0.00000000
            USD
            50870000.00000000
            CNY
            107432.04000000
          
        
        
          N
          N
          N
        
      
      
        Home Re Ltd
        N/A
        Home RE 2021-2 Ltd
        43730VAB4
        
          
        
        2855000.00000000
        PA
        USD
        2805647.90000000
        0.061905068067
        Long
        ABS-MBS
        CORP
        BM
        
        N
        
        2
        
          2034-01-25
          Floating
          1.88870000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29273VAN0
        
          
          
        
        5045000.00000000
        PA
        USD
        4803734.43000000
        0.105991741468
        Long
        DBT
        CORP
        US
        N
        
        2
        
          N/A
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRANSPORT FOR LONDON
        213800FGQ9DJHGRLQZ89
        Transport for London
        000000000
        
          
          
        
        4237000.00000000
        PA
        
        5704316.03000000
        0.125862576026
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2031-03-31
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        STATES OF GUERNSEY
        549300LMWTIK7DAC7T07
        States of Guernsey Bond
        000000000
        
          
          
        
        5800000.00000000
        PA
        
        8031519.66000000
        0.177211036081
        Long
        DBT
        NUSS
        GG
        N
        
        2
        
          2046-12-12
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured P
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137AYCF6
        
          
        
        16534303.78000000
        PA
        USD
        41053.02000000
        0.000905812164
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2022-10-25
          Variable
          0.90064400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS DKK
        000000000
        
          
        
        1.00000000
        NC
        
        -43842.93000000
        -0.00096736998
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2027-03-15
            0.00000000
            USD
            0.00000000
            USD
            13000000.00000000
            DKK
            -43842.93000000
          
        
        
          N
          N
          N
        
      
      
        EUROPEAN INVESTMENT BANK
        5493006YXS1U5GIHE750
        European Investment Bank
        000000000
        
          
          
        
        10000000.00000000
        PA
        
        942282.34000000
        0.020790938305
        Long
        DBT
        NUSS
        N/A
        N
        
        2
        
          2029-11-12
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. INTERNATIONAL PLC
        4PQUHN3JPFGFNF3BB653
        IRS MYR
        000000000
        
          
        
        1.00000000
        NC
        
        -24181.51000000
        -0.00053355163
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. INTERNATIONAL PLC
              4PQUHN3JPFGFNF3BB653
            
            Y
            
            
              
                
              
            
            2029-07-11
            0.00000000
            USD
            -5.68000000
            USD
            3160000.00000000
            MYR
            -24175.83000000
          
        
        
          N
          N
          N
        
      
      
        CHINA GOVERNMENT BOND
        300300CHN201808MOF68
        CHINA GOVERNMENT BOND
        000000000
        
          
          
        
        18500000.00000000
        PA
        
        2882749.49000000
        0.063606271977
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2030-05-21
          Fixed
          3.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Merrill Lynch Mortgage Investo
        N/A
        Merrill Lynch Mortgage Investors Trust Series 2004-HE2
        59020UKZ7
        
          
        
        25508.44000000
        PA
        USD
        25045.02000000
        0.000552604504
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-08-25
          Floating
          1.86786000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TK ELEVATOR MIDCO GMBH
        254900K869UN2ZWVB351
        TK Elevator Midco GmbH
        000000000
        
          
          
        
        2400000.00000000
        PA
        
        2346003.73000000
        0.051763273856
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2027-07-15
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        Three-Month SOFR
        000000000
        
          
          
        
        -152.00000000
        NC
        USD
        212209.34000000
        0.004682281635
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Short
            
              
                THE SECURED OVERNIGHT FINANCING RATE
                THE SECURED OVERNIGHT FINANCING RATE
                
                  
                  
                
              
            
            2022-06-14
            -38013659.34000000
            USD
            212209.34000000
          
        
        
          N
          N
          N
        
      
      
        BON Y OBLIG ESTADO STRIP
        9598007A56S18711AH60
        Spain Government Bond Coupon Strip
        000000000
        
          
          
        
        300000.00000000
        PA
        
        158383.05000000
        0.003494634337
        Long
        DBT
        NUSS
        ES
        N
        
        2
        
          2049-07-30
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS JPY
        000000000
        
          
        
        1.00000000
        NC
        
        1172.51000000
        0.000025870784
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2022-05-24
            0.00000000
            USD
            -15.35000000
            USD
            560000000.00000000
            JPY
            1187.86000000
          
        
        
          N
          N
          N
        
      
      
        NEWDAY FUNDING
        213800GBPRAJHSB5YK19
        Newday Funding Master Issuer PLC - Series 2021-1
        000000000
        
          
          
        
        3700000.00000000
        PA
        
        4641151.79000000
        0.102404445501
        Long
        ABS-O
        CORP
        GB
        N
        
        2
        
          2029-03-15
          Floating
          1.59773000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MASTR Asset Backed Securities
        N/A
        Mastr Asset Backed Securities Trust 2004-WMC2
        57643LDJ2
        
          
        
        1033023.61000000
        PA
        USD
        998623.51000000
        0.022034075038
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-04-25
          Floating
          1.56786000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK GOSPODARSTWA KRAJOW
        259400BCOV9JJIGLYF05
        Bank Gospodarstwa Krajowego
        000000000
        
          
          
        
        500000.00000000
        PA
        
        524256.99000000
        0.011567440323
        Long
        DBT
        NUSS
        PL
        N
        
        2
        
          2025-06-01
          Fixed
          1.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Home Re Ltd
        N/A
        Home RE 2021-2 Ltd
        43730VAC2
        
          
        
        4790000.00000000
        PA
        USD
        4555508.90000000
        0.100514782534
        Long
        ABS-MBS
        CORP
        BM
        
        N
        
        2
        
          2034-01-25
          Floating
          3.08870000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        US BANCORP
        N1GZ7BBF3NP8GI976H15
        US Bancorp
        902973BC9
        
          
          
        
        18150000.00000000
        PA
        USD
        15655429.15000000
        0.345428379363
        Long
        DBT
        CORP
        US
        N
        
        2
        
          N/A
          Fixed
          3.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREEPORT TERMINAL MALTA
        N/A
        Freeport Terminal Malta PLC
        356834AA9
        
          
        
        3000000.00000000
        PA
        USD
        3602758.98000000
        0.079492882869
        Long
        DBT
        CORP
        MT
        N
        
        2
        
          2028-05-15
          Fixed
          7.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK, NATIONAL ASSOCIATION
        E57ODZWZ7FF32TWEFA76
        CDS REPUBLIC OF KAZAKHSTAN
        000000000
        
          
        
        1.00000000
        NC
        USD
        12023.72000000
        0.000265296727
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, NATIONAL ASSOCIATION
              E57ODZWZ7FF32TWEFA76
            
            
              
                REPUBLIC OF KAZAKHSTAN
                Kazakhstan Government International Bond
                
                  
                  
                
              
            
            Y
            
            Default Event
            2023-06-20
            0.05000000
            USD
            0.00000000
            USD
            7695000.00000000
            USD
            12023.67000000
          
        
        
          N
          N
          N
        
      
      
        INTERNATIONAL GAME TECH
        549300UQ6KHRCZDRGZ76
        International Game Technology PLC
        460599AF0
        
          
          
        
        5450000.00000000
        PA
        USD
        5121672.49000000
        0.113006868792
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2026-04-15
          Fixed
          4.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        38144GAG6
        
          
          
        
        11370000.00000000
        PA
        USD
        9881298.38000000
        0.218025379739
        Long
        DBT
        CORP
        US
        N
        
        2
        
          N/A
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BULGARIA
        529900PG0XCL4LICL838
        Bulgaria Government International Bond
        000000000
        
          
          
        
        3167000.00000000
        PA
        
        2748620.06000000
        0.060646780341
        Long
        DBT
        NUSS
        BG
        N
        
        2
        
          2030-09-23
          Fixed
          0.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SWEDISH GOVERNMENT
        ERE94C0BSULG2RM19605
        Sweden Government Bond
        000000000
        
          
          
        
        10000000.00000000
        PA
        
        1268135.25000000
        0.027980702414
        Long
        DBT
        NUSS
        SE
        N
        
        2
        
          2039-03-30
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ILIAD HOLDING SAS
        9695009PXA7OI9NXN582
        Iliad Holding SASU
        000000000
        
          
          
        
        6850000.00000000
        PA
        
        6994487.59000000
        0.154329497424
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2026-10-15
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        BON Y OBLIG ESTADO STRIP
        9598007A56S18711AH60
        Spain Government Bond Coupon Strip
        000000000
        
          
          
        
        300000.00000000
        PA
        
        163375.88000000
        0.003604798368
        Long
        DBT
        NUSS
        ES
        N
        
        2
        
          2048-07-30
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CALPINE CORP
        43R4VPJBXTU2O15HEF41
        Calpine Corp
        131347CQ7
        
          
          
        
        2180000.00000000
        PA
        USD
        1859770.21000000
        0.041034800354
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-02-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TALLGRASS NRG PRTNR/FIN
        N/A
        Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp
        87470LAH4
        
          
          
        
        1075000.00000000
        PA
        USD
        1096306.47000000
        0.024189395486
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-10-01
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        000000000
        
          
          
        
        7000.00000000
        PA
        
        10544.14000000
        0.000232650613
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-08-16
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FANNIE MAE
        B1V7KEBTPIMZEU4LTD58
        Federal National Mortgage Association
        31359MEE9
        
          
          
        
        19307000.00000000
        PA
        
        28853892.18000000
        0.636645161148
        Long
        DBT
        USGSE
        US
        N
        
        2
        
          2028-12-07
          Fixed
          5.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS JPY
        000000000
        
          
        
        1.00000000
        NC
        
        69693.33000000
        0.001537744753
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2029-02-20
            0.00000000
            USD
            -4142.90000000
            USD
            135000000.00000000
            JPY
            73836.23000000
          
        
        
          N
          N
          N
        
      
      
        LORCA TELECOM BONDCO
        9598004HFBAS82YM7X35
        Lorca Telecom Bondco SA
        000000000
        
          
          
        
        10300000.00000000
        PA
        
        9948587.49000000
        0.219510076708
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2027-09-18
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BPCE SA
        9695005MSX1OYEMGDF46
        BPCE SA
        000000000
        
          
        
        500000000.00000000
        PA
        
        3810601.35000000
        0.084078809729
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2026-12-10
          Fixed
          0.53000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MIZUHO FINANCIAL GROUP
        353800CI5L6DDAN5XZ33
        Mizuho Financial Group Inc
        000000000
        
          
          
        
        1042000.00000000
        PA
        
        740923.65000000
        0.016348070257
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2023-07-19
          Fixed
          3.75200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK, NATIONAL ASSOCIATION
        E57ODZWZ7FF32TWEFA76
        CSWAP IDR VS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        225565.46000000
        0.004976977030
        N/A
        DFE
        CORP
        US
        
        N
        
        2
        
          
            
              CITIBANK, NATIONAL ASSOCIATION
              E57ODZWZ7FF32TWEFA76
            
            -3454231.43000000
            USD
            50000000000.00000000
            IDR
            2023-11-29
            225565.46000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-DNA1
        35564KAH2
        
          
        
        12595000.00000000
        PA
        USD
        12333539.14000000
        0.272132714863
        Long
        ABS-MBS
        CORP
        US
        Y
        
        2
        
          2051-01-25
          Floating
          2.08870000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEDTRONIC GLOBAL HLDINGS
        549300JXMTTP8GKYIX14
        Medtronic Global Holdings SCA
        58507LAK5
        
          
          
        
        1910000.00000000
        PA
        
        1858196.28000000
        0.041000072459
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2039-03-07
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KOREA EXPRESSWAY CORP
        988400EZO9DR1OFL5772
        Korea Expressway Corp
        000000000
        
          
          
        
        600000.00000000
        PA
        USD
        589425.61000000
        0.013005349854
        Long
        DBT
        NUSS
        KR
        N
        
        2
        
          2026-06-08
          Fixed
          3.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AG
        7LTWFZYICNSX8D621K86
        DEUTSCHE BANK AG
        000000000
        
          
          
        
        89000000.00000000
        PA
        
        12972760.10000000
        0.286236771555
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2025-04-10
          Fixed
          3.67000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK, NATIONAL ASSOCIATION
        E57ODZWZ7FF32TWEFA76
        CDS GAZPROM PAO
        000000000
        
          
        
        1.00000000
        NC
        USD
        749514.37000000
        0.016537619739
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, NATIONAL ASSOCIATION
              E57ODZWZ7FF32TWEFA76
            
            
              
                Gazprom PJSC Via Gaz Capital SA
                GAZPROM (GAZ CAPITAL SA)
                
                  
                  
                  
                
              
            
            Y
            Default Event
            
            2023-12-20
            449115.08000000
            USD
            0.00000000
            USD
            -1410000.00000000
            USD
            300399.29000000
          
        
        
          N
          N
          N
        
      
      
        HSBC BANK PLC
        MP6I5ZYZBEU3UXPYFY54
        CDS RUSSIAN FEDERATION
        000000000
        
          
        
        1.00000000
        NC
        USD
        48225.41000000
        0.001064066980
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              HSBC BANK PLC
              MP6I5ZYZBEU3UXPYFY54
            
            
              
                RUSSIAN FEDERATION
                RUSSIAN FOREIGN BOND - EUROBOND
                
                  
                  
                  
                
              
            
            Y
            Default Event
            
            2025-06-20
            45302.59000000
            USD
            0.00000000
            USD
            -79000.00000000
            USD
            2922.82000000
          
        
        
          N
          N
          N
        
      
      
        BPCE SA
        9695005MSX1OYEMGDF46
        BPCE SA
        000000000
        
          
          
        
        100000000.00000000
        PA
        
        770126.87000000
        0.016992423143
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2024-06-24
          Fixed
          0.56200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK, NATIONAL ASSOCIATION
        E57ODZWZ7FF32TWEFA76
        CDS REPUBLIC OF ITALY
        000000000
        
          
        
        1.00000000
        NC
        USD
        -200683.45000000
        -0.00442796925
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, NATIONAL ASSOCIATION
              E57ODZWZ7FF32TWEFA76
            
            
              
                ITALY GOV'T INT BOND
                Republic of Italy Government International Bond
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2028-12-20
            0.00000000
            USD
            -37973.59000000
            USD
            9655000.00000000
            USD
            -162709.86000000
          
        
        
          N
          N
          N
        
      
      
        UNITED KINGDOM GILT
        ECTRVYYCEF89VWYS6K36
        United Kingdom Gilt
        000000000
        
          
          
        
        100000.00000000
        PA
        
        111771.87000000
        0.002466184449
        Long
        DBT
        NUSS
        GB
        N
        
        2
        
          2047-07-22
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Pnmac Gmsr Issuer Trust
        N/A
        PNMAC GMSR ISSUER TRUST 2018-GT2
        69354WAD8
        
          
        
        2300000.00000000
        PA
        USD
        2278603.79000000
        0.050276131484
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2025-08-25
          Floating
          3.31786000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER SA
        5493006QMFDDMYWIAM13
        Banco Santander SA
        05971KAC3
        
          
          
        
        1600000.00000000
        PA
        USD
        1477197.28000000
        0.032593540396
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2029-06-27
          Fixed
          3.30600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BON Y OBLIG ESTADO STRIP
        9598007A56S18711AH60
        Spain Government Bond Coupon Strip
        000000000
        
          
        
        300000.00000000
        PA
        
        73653.53000000
        0.001625124374
        Long
        DBT
        NUSS
        ES
        N
        
        2
        
          2066-07-30
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        000000000
        
          
          
        
        1000000.00000000
        PA
        
        872964.87000000
        0.019261486695
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2034-04-03
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BAHN FIN GMBH
        52990002BAIDUAIIYU29
        Deutsche Bahn Finance GMBH
        000000000
        
          
          
        
        900000.00000000
        PA
        
        625351.86000000
        0.013798042676
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2027-09-27
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS THB
        000000000
        
          
        
        1.00000000
        NC
        
        -597066.53000000
        -0.01317394252
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2030-04-28
            0.00000000
            USD
            0.00000000
            USD
            173600000.00000000
            THB
            -597066.53000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF CYPRUS
        213800IOEYYAHPDLUL60
        Cyprus Government International Bond
        000000000
        
          
          
        
        16514000.00000000
        PA
        
        19170000.87000000
        0.422975459150
        Long
        DBT
        NUSS
        CY
        N
        
        2
        
          2025-11-04
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        26646.60000000
        0.000587942480
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2028-01-17
            0.00000000
            USD
            0.00000000
            USD
            43090000.00000000
            ZAR
            26646.60000000
          
        
        
          N
          N
          N
        
      
      
        JAPAN (20 YEAR ISSUE)
        353800WZS8AXZXFUC241
        Japan Government Twenty Year Bond
        000000000
        
          
          
        
        407000000.00000000
        PA
        
        3103727.59000000
        0.068482031449
        Long
        DBT
        NUSS
        JP
        N
        
        2
        
          2038-06-20
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS CO
        54930070NSV60J38I987
        General Motors Co
        37045VAH3
        
          
          
        
        2200000.00000000
        PA
        USD
        2087496.51000000
        0.046059455123
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2035-04-01
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        REPUBLIC OF ICELAND
        254900IPCJWRC6XAJN15
        Iceland Government International Bond
        000000000
        
          
          
        
        500000.00000000
        PA
        
        528267.55000000
        0.011655931109
        Long
        DBT
        NUSS
        IS
        N
        
        2
        
          2022-12-20
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NORTH MACEDONIA
        635400RD1N6RVNCE4958
        North Macedonia Government International Bond
        000000000
        
          
          
        
        1000000.00000000
        PA
        
        1081262.39000000
        0.023857456187
        Long
        DBT
        NUSS
        MK
        N
        
        2
        
          2023-07-26
          Fixed
          5.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan Chase Bank, NA - CACL
        N/A
        JPMorgan Chase Bank NA - CACLN
        46591HBA7
        
          
        
        1587944.17000000
        PA
        USD
        1573160.73000000
        0.034710920808
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2028-02-25
          Fixed
          3.07200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        JPY/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -4932067.19000000
        -0.10882333278
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -29579000.00000000
            USD
            3195123580.00000000
            JPY
            2022-05-31
            -4932067.19000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS JPY
        000000000
        
          
        
        1.00000000
        NC
        
        5133.51000000
        0.000113268056
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2022-05-06
            0.00000000
            USD
            -61.98000000
            USD
            2100000000.00000000
            JPY
            5195.49000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        Three-Month SOFR
        000000000
        
          
          
        
        -510.00000000
        NC
        USD
        2078316.70000000
        0.045856907696
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Short
            
              
                THE SECURED OVERNIGHT FINANCING RATE
                THE SECURED OVERNIGHT FINANCING RATE
                
                  
                  
                
              
            
            2022-09-20
            -127461816.70000000
            USD
            2078316.70000000
          
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PBX3
        
          
          
        
        13490000.00000000
        PA
        USD
        11016815.71000000
        0.243079941149
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-02-04
          Fixed
          1.95300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GAZPROM (GAZ CAPITAL SA)
        213800568PRHV2JR9650
        Gazprom PJSC Via Gaz Capital SA
        000000000
        
          
          
        
        4000000.00000000
        PA
        
        1160445.00000000
        0.025604576651
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2025-03-21
          Fixed
          4.36400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HELLENIC REPUBLIC
        2138003EKTMKZ5598902
        Hellenic Republic Government International Bond
        000000000
        
          
          
        
        5200000.00000000
        PA
        
        6440860.87000000
        0.142114030264
        Long
        DBT
        NUSS
        GR
        N
        
        2
        
          2028-04-14
          Fixed
          6.14000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        CDS DP WORLD PLC
        000000000
        
          
        
        1.00000000
        NC
        USD
        13929.54000000
        0.000307347590
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                DP WORLD PLC
                DP World Ltd/United Arab Emirates
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2024-12-20
            4958.13000000
            USD
            0.00000000
            USD
            2000000.00000000
            USD
            8971.41000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -302937.60000000
        -0.00668415047
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2032-02-23
            159.49000000
            USD
            0.00000000
            USD
            6400000.00000000
            EUR
            -303097.09000000
          
        
        
          N
          N
          N
        
      
      
        AIRPORT AUTHORITY HK
        254900748HGC4RBR4O84
        Airport Authority
        00946AAD6
        
          
          
        
        610000.00000000
        PA
        USD
        542349.42000000
        0.011966639777
        Long
        DBT
        NUSS
        HK
        N
        
        2
        
          2032-01-12
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CVS HEALTH CORP
        549300EJG376EN5NQE29
        CVS Health Corp
        126650CX6
        
          
          
        
        477000.00000000
        PA
        USD
        479075.50000000
        0.010570535752
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-25
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        USD/JPY FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        2147480.49000000
        0.047382968442
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -2309705226.00000000
            JPY
            20805025.44000000
            USD
            2023-10-31
            2147480.49000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS COP
        000000000
        
          
        
        1.00000000
        NC
        
        -772376.27000000
        -0.01704205490
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2028-07-19
            0.00000000
            USD
            0.00000000
            USD
            25830000000.00000000
            COP
            -772376.27000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF PANAMA
        549300SHS4T08CL0LP14
        Panama Government International Bond
        698299AT1
        
          
          
        
        10732000.00000000
        PA
        USD
        14992890.54000000
        0.330809831629
        Long
        DBT
        NUSS
        PA
        N
        
        2
        
          2034-04-28
          Fixed
          8.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS KRW
        000000000
        
          
        
        1.00000000
        NC
        
        -1171945.90000000
        -0.02585833764
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2030-07-16
            0.00000000
            USD
            -41.36000000
            USD
            10000000000.00000000
            KRW
            -1171904.54000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. INTERNATIONAL PLC
        4PQUHN3JPFGFNF3BB653
        CDS STATE OF QATAR
        000000000
        
          
        
        1.00000000
        NC
        USD
        -39592.80000000
        -0.00087359321
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. INTERNATIONAL PLC
              4PQUHN3JPFGFNF3BB653
            
            
              
                STATE OF QATAR
                STATE OF QATAR
                
                  
                  
                  
                
              
            
            Y
            Default Event
            
            2027-06-20
            1264.96000000
            USD
            0.00000000
            USD
            -2000000.00000000
            USD
            -40857.76000000
          
        
        
          N
          N
          N
        
      
      
        PARAMOUNT GLOBAL
        5KYC8KF17ROCY24M3H09
        Paramount Global
        92553PAU6
        
          
          
        
        3769000.00000000
        PA
        USD
        3796670.64000000
        0.083771436323
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-09-01
          Fixed
          5.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RLV2
        
          
          
        
        5787000.00000000
        PA
        USD
        4451182.80000000
        0.098212884879
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2059-09-15
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RKJ0
        
          
          
        
        1511000.00000000
        PA
        USD
        1184725.86000000
        0.026140320389
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2053-09-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH LIMITED
        F226TOH6YD6XJB17KS62
        IRS JPY
        000000000
        
          
        
        1.00000000
        NC
        
        219.92000000
        0.000004852413
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              LCH LIMITED
              F226TOH6YD6XJB17KS62
            
            Y
            
            
              
                
              
            
            2022-06-30
            0.00000000
            USD
            -98.90000000
            USD
            125000000.00000000
            JPY
            318.82000000
          
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured P
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137B8G50
        
          
        
        9885688.16000000
        PA
        USD
        129556.89000000
        0.002858601071
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-01-25
          Variable
          1.08157100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        ZAR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        394803.71000000
        0.008711125348
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS PLC
              213800LBQA1Y9L22JB70
            
            -179811170.00000000
            ZAR
            11720561.77000000
            USD
            2022-06-15
            394803.71000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        CHF/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -133940.01000000
        -0.00295531218
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS PLC
              213800LBQA1Y9L22JB70
            
            -3307998.90000000
            USD
            3073346.00000000
            CHF
            2022-07-19
            -133940.01000000
          
        
        
          N
          N
          N
        
      
      
        SLOVAKIA GOVERNMENT BOND
        097900BHFM0000074794
        Slovakia Government Bond
        000000000
        
          
          
        
        100000.00000000
        PA
        
        83002.64000000
        0.001831407312
        Long
        DBT
        NUSS
        SK
        N
        
        2
        
          2036-04-21
          Fixed
          0.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF TURKEY
        5493000PCHOG3B6S3Q85
        Turkey Government International Bond
        000000000
        
          
          
        
        5000000.00000000
        PA
        
        5239460.55000000
        0.115605797144
        Long
        DBT
        NUSS
        TR
        N
        
        2
        
          2025-03-31
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Home Re Ltd
        254900GFKVQN72ENGJ20
        Home RE 2019-1 Ltd
        43731AAA1
        
          
        
        377942.72000000
        PA
        USD
        377748.53000000
        0.008334812241
        Long
        ABS-MBS
        CORP
        BM
        
        N
        
        2
        
          2029-05-25
          Floating
          2.31786000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Cold Storage Trust
        N/A
        Cold Storage Trust 2020-ICE5
        193051AQ2
        
          
        
        4398882.59000000
        PA
        USD
        4350900.90000000
        0.096000220259
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2037-11-15
          Floating
          3.31974000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        CAD/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -765298.41000000
        -0.01688588584
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS PLC
              213800LBQA1Y9L22JB70
            
            -43227351.55000000
            USD
            54566102.00000000
            CAD
            2022-07-19
            -765298.41000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        JPY/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        1424033.86000000
        0.031420518958
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -1532531080.00000000
            JPY
            13803651.48000000
            USD
            2023-10-31
            1424033.86000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK, NATIONAL ASSOCIATION
        E57ODZWZ7FF32TWEFA76
        CDS REPUBLIC OF GREECE
        000000000
        
          
        
        1.00000000
        NC
        
        -185301.71000000
        -0.00408857967
        N/A
        DCR
        CORP
        US
        
        N
        
        2
        
          
            
              CITIBANK, NATIONAL ASSOCIATION
              E57ODZWZ7FF32TWEFA76
            
            
              
                HELLENIC REPUBLIC
                Hellenic Republic Government Bond
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2029-12-20
            16049.46000000
            USD
            0.00000000
            USD
            5000000.00000000
            EUR
            -201351.17000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS STATE OF QATAR
        000000000
        
          
        
        1.00000000
        NC
        USD
        -29694.60000000
        -0.00065519491
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            
              
                STATE OF QATAR
                STATE OF QATAR
                
                  
                  
                  
                
              
            
            Y
            Default Event
            
            2027-06-20
            1242.05000000
            USD
            0.00000000
            USD
            -1500000.00000000
            USD
            -30936.65000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        190849.44000000
        0.004210987263
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2027-11-07
            35.25000000
            USD
            0.00000000
            USD
            68200000.00000000
            ZAR
            190814.19000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        SWOP IRS CDS GS_21-PJ-A
        000000000
        
          
        
        -36100000.00000000
        OU
        Other
        USD
        -1274.44000000
        -0.00002811981
        N/A
        DIR
        CORP
        GB
        
        N
        
        3
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Put
            Written
            
              
                
                  
                    GOLDMAN SACHS INTERNATIONAL
                    W22LROWP2IHZNBB6K528
                  
                  
                    GOLDMAN SACHS INTERNATIONAL
                    W22LROWP2IHZNBB6K528
                    IRS CDS GS_21-PJ-A
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    USD
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    GB
                    US
                  
                  
                  
                    
                      
                    
                  
                  2031-12-17
                  0.00000000
                  USD
                  0.00000000
                  USD
                  0.00000000
                  USD
                
              
            
            -36100000.00000000
            USD
            0.50000000
            USD
            2024-11-15
            XXXX
            -1274.44000000
          
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE INTERNATIONAL
        E58DKGMJYYYJLN8C3868
        CDS EQT CORP
        000000000
        
          
        
        1.00000000
        NC
        USD
        42415.34000000
        0.000935871001
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              CREDIT SUISSE INTERNATIONAL
              E58DKGMJYYYJLN8C3868
            
            
              
                EQT CORP
                EQT Corp
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2022-06-20
            17497.54000000
            USD
            0.00000000
            USD
            3590000.00000000
            USD
            24917.80000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        299910.03000000
        0.006617348820
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2047-03-22
            0.00000000
            USD
            0.00000000
            USD
            -38700000.00000000
            ZAR
            299910.03000000
          
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        254900I4ZKD8IMM1O953
        Bellemeade Re 2019-2 Ltd
        07877BAC4
        
          
        
        532157.98000000
        PA
        USD
        531966.19000000
        0.011737539554
        Long
        ABS-MBS
        CORP
        BM
        
        N
        
        2
        
          2029-04-25
          Floating
          2.11786000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DIG INTL FIN/DIG INTL HL
        N/A
        Digicel International Finance Ltd/Digicel international Holdings Ltd
        25381XAC7
        
          
          
        
        1100000.00000000
        PA
        USD
        984343.24000000
        0.021718988784
        Long
        DBT
        CORP
        N/A
        N
        
        2
        
          2026-12-31
          Fixed
          8.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA, NATIONAL ASSOCIATION
        B4TYDEB6GKMZO031MB27
        CDS GOVERNMENT OF MALAYSIA
        000000000
        
          
        
        1.00000000
        NC
        USD
        1967.57000000
        0.000043413343
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              BANK OF AMERICA, NATIONAL ASSOCIATION
              B4TYDEB6GKMZO031MB27
            
            
              
                PENERBANGAN MALAYSIA BERHAD
                PENERBANGAN MALAYSIA BERHAD
                
                  
                  
                
              
            
            Y
            
            Default Event
            2022-06-20
            0.00000000
            USD
            -866.43000000
            USD
            848744.19000000
            USD
            2834.00000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        COP/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -383087.99000000
        -0.00845262447
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -10063306.03000000
            USD
            38621962200.00000000
            COP
            2022-06-15
            -383087.99000000
          
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        ZAR/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -31481.50000000
        -0.00069462187
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -749820.95000000
            USD
            11404575.00000000
            ZAR
            2022-06-15
            -31481.50000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS JPY
        000000000
        
          
        
        1.00000000
        NC
        
        12334.95000000
        0.000272163844
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2037-08-09
            0.00000000
            USD
            -2940.31000000
            USD
            160000000.00000000
            JPY
            15275.26000000
          
        
        
          N
          N
          N
        
      
      
        BAUSCH HEALTH COS INC
        B3BS7ACMDUWISF18KY76
        Bausch Health Cos Inc
        071734AK3
        
          
          
        
        400000.00000000
        PA
        USD
        291589.62000000
        0.006433763578
        Long
        DBT
        CORP
        CA
        
        Y
        
        2
        
          2029-02-15
          Fixed
          6.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA, NATIONAL ASSOCIATION
        B4TYDEB6GKMZO031MB27
        CDS REPUBLIC OF COLOMBIA
        000000000
        
          
        
        1.00000000
        NC
        USD
        2069.45000000
        0.000045661268
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              BANK OF AMERICA, NATIONAL ASSOCIATION
              B4TYDEB6GKMZO031MB27
            
            
              
                COLOMBIA GOVERNMENT INTERNATIONAL BOND
                COLOMBIA GOVERNMENT INTERNATIONAL BOND
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2022-06-20
            0.00000000
            USD
            -1155.24000000
            USD
            1131658.92000000
            USD
            3224.69000000
          
        
        
          N
          N
          N
        
      
      
        ALBERTSONS COS/SAFEWAY
        N/A
        Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC
        013092AG6
        
          
          
        
        2975000.00000000
        PA
        USD
        2504312.81000000
        0.055256276087
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-15
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KINGDOM OF DENMARK
        549300PTO6LS1PTM6607
        Denmark Government Bond
        000000000
        
          
          
        
        12110000.00000000
        PA
        
        1673092.50000000
        0.036915860003
        Long
        DBT
        NUSS
        DK
        N
        
        2
        
          2027-11-15
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UBS Commercial Mortgage Trust
        N/A
        UBS Commercial Mortgage Trust 2017-C6
        90276UAV3
        
          
        
        5000000.00000000
        PA
        USD
        4904183.50000000
        0.108208094602
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-12-15
          Fixed
          3.58060000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        N/A
        Connecticut Avenue Securities Trust 2019-R07
        20753WAF3
        
          
        
        179842.89000000
        PA
        USD
        179842.94000000
        0.003968134933
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2039-10-25
          Floating
          2.76786000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        000000000
        
          
          
        
        1000000.00000000
        PA
        
        891992.92000000
        0.019681330087
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2035-10-29
          Fixed
          3.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PROLOGIS YEN FINANCE
        5493000T2SX5D8WRJG02
        Prologis Yen Finance LLC
        000000000
        
          
          
        
        1500000000.00000000
        PA
        
        11317520.75000000
        0.249714831425
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-06-24
          Fixed
          1.00300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Corp Trust 2021-RENT
        36260XAQ9
        
          
        
        4453853.65000000
        PA
        USD
        4384024.80000000
        0.096731080779
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-11-21
          Floating
          2.47470000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        USD/EUR FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        35202.54000000
        0.000776724561
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            -8266393.91000000
            USD
            7835798.00000000
            EUR
            2022-07-19
            35202.54000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        SWOP IRS SAR
        000000000
        
          
        
        304125000.00000000
        OU
        Other
        
        3011981.22000000
        0.066457698573
        N/A
        DIR
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Put
            Purchased
            
              
                
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                  
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                    IRS SAR
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    DE
                    US
                  
                  
                    
                      
                    
                  
                  
                  2025-05-21
                  0.00000000
                  USD
                  0.00000000
                  USD
                  0.00000000
                  SAR
                
              
            
            304125000.00000000
            USD
            2.05000000
            SAR
            2023-05-17
            XXXX
            2501092.09000000
          
        
        
          N
          N
          N
        
      
      
        COOPERATIEVE RABOBANK UA
        DG3RU1DBUFHT4ZF9WN62
        Cooperatieve Rabobank UA
        000000000
        
          
        
        22000000.00000000
        PA
        
        160059.53000000
        0.003531624941
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2039-03-11
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        SWOP IRS SAR
        000000000
        
          
        
        304125000.00000000
        OU
        Other
        
        16967.03000000
        0.000374368126
        N/A
        DIR
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Call
            Purchased
            
              
                
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                  
                  
                    DEUTSCHE BANK AKTIENGESELLSCHAFT
                    7LTWFZYICNSX8D621K86
                    IRS SAR
                    000000000
                    
                      
                    
                    0.00000000
                    NC
                    
                    0.00000000
                    0.00000000
                    DIR
                    CORP
                    DE
                    US
                  
                  
                  
                    
                      
                    
                  
                  2025-05-21
                  0.00000000
                  USD
                  0.00000000
                  USD
                  0.00000000
                  SAR
                
              
            
            304125000.00000000
            USD
            2.05000000
            SAR
            2023-05-17
            XXXX
            -493922.10000000
          
        
        
          N
          N
          N
        
      
      
        HSBC BANK PLC
        MP6I5ZYZBEU3UXPYFY54
        CDS RUSSIAN FEDERATION
        000000000
        
          
        
        1.00000000
        NC
        USD
        -2806959.99000000
        -0.06193401860
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              HSBC BANK PLC
              MP6I5ZYZBEU3UXPYFY54
            
            
              
                RUSSIAN FEDERATION
                RUSSIAN FOREIGN BOND - EUROBOND
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2030-12-20
            0.00000000
            USD
            -1959040.69000000
            USD
            4315000.00000000
            USD
            -847919.30000000
          
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        JPY/AUD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        1477702.34000000
        0.032604684266
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            -599449000.00000000
            JPY
            8947000.00000000
            AUD
            2023-10-31
            1477702.34000000
          
        
        
          N
          N
          N
        
      
      
        BENCHMARK Mortgage Trust
        N/A
        Benchmark 2018-B3 Mortgage Trust
        08161BAW3
        
          
        
        7200000.00000000
        PA
        USD
        7174370.88000000
        0.158298522658
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2051-04-10
          Fixed
          3.74600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VIATRIS INC
        254900ZZTSW7NL773X71
        Viatris Inc
        92556VAE6
        
          
          
        
        4410000.00000000
        PA
        USD
        3437809.46000000
        0.075853363005
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-06-22
          Fixed
          3.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS JPY
        000000000
        
          
        
        1.00000000
        NC
        
        -1292.77000000
        -0.00002852425
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2022-05-06
            550.22000000
            USD
            0.00000000
            USD
            -2100000000.00000000
            JPY
            -1842.99000000
          
        
        
          N
          N
          N
        
      
      
        Exeter Automobile Receivables
        N/A
        Exeter Automobile Receivables Trust
        30167JAG9
        
          
        
        5600000.00000000
        PA
        USD
        5321778.56000000
        0.117422098474
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2029-10-15
          Fixed
          5.02000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgag
        N/A
        Wells Fargo Commercial Mortgage Trust 2021-FCMT
        95003EAC0
        
          
        
        1800000.00000000
        PA
        USD
        1770832.98000000
        0.039072449598
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2031-05-15
          Floating
          2.40400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS MXN
        000000000
        
          
        
        1.00000000
        NC
        
        -2555884.18000000
        -0.05639416982
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2030-07-10
            0.00000000
            USD
            -123.77000000
            USD
            271000000.00000000
            MXN
            -2555760.41000000
          
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        000000000
        
          
        
        5000000.00000000
        PA
        
        640034.45000000
        0.014122005898
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2022-12-07
          Fixed
          2.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS HALLIBURTON COMPANY
        000000000
        
          
        
        1.00000000
        NC
        USD
        28638.88000000
        0.000631901036
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            
              
                HALLIBURTON CO
                Halliburton Co
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2026-12-20
            37706.97000000
            USD
            0.00000000
            USD
            4240000.00000000
            USD
            -9068.09000000
          
        
        
          N
          N
          N
        
      
      
        ZIGGO BOND CO BV
        213800JYI4P7V5QDOG59
        Ziggo Bond Co BV
        000000000
        
          
          
        
        6000000.00000000
        PA
        
        5269475.25000000
        0.116268054887
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2030-02-28
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS CNY
        000000000
        
          
        
        1.00000000
        NC
        
        -12869.25000000
        -0.00028395287
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2025-07-02
            0.00000000
            USD
            -55.27000000
            USD
            118700000.00000000
            CNY
            -12813.98000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF COLOMBIA
        549300MHDRBVRF6B9117
        Colombia Government International Bond
        195325AQ8
        
          
          
        
        1000000.00000000
        PA
        USD
        1418348.32000000
        0.031295070665
        Long
        DBT
        NUSS
        CO
        N
        
        2
        
          2028-03-09
          Fixed
          11.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        09659W2N3
        
          
          
        
        3400000.00000000
        PA
        USD
        3021182.34000000
        0.066660716194
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2027-01-13
          Fixed
          1.32300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        CDS ITALY
        000000000
        
          
        
        1.00000000
        NC
        USD
        13587.35000000
        0.000299797357
        N/A
        DCR
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            
              
                ITALY GOV'T INT BOND
                Republic of Italy Government International Bond
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2024-06-20
            0.00000000
            USD
            -20459.53000000
            USD
            900000.00000000
            USD
            34046.88000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital Inc
        N/A
        Morgan Stanley ABS Capital I Inc Trust 2003-NC8
        61746RDM0
        
          
          
        
        78033.53000000
        PA
        USD
        77141.47000000
        0.001702083839
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-09-25
          Floating
          1.71786000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LLOYDS BANK PLC
        H7FNTJ4851HG0EXQ1Z70
        Lloyds Bank PLC
        000000000
        
          
          
        
        1200000.00000000
        PA
        USD
        777799.45000000
        0.017161714374
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2032-04-02
          Variable
          0.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ISRAEL ELECTRIC CORP LTD
        254900JW7GE35YNJGJ55
        Israel Electric Corp Ltd
        46507NAE0
        
          
          
        
        3000000.00000000
        PA
        USD
        3114400.71000000
        0.068717527934
        Long
        DBT
        CORP
        IL
        N
        
        2
        
          2023-06-21
          Fixed
          6.87500000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        ABU DHABI NATIONAL ENERG
        213800UNJSVQFNUYYW03
        Abu Dhabi National Energy Co PJSC
        000000000
        
          
          
        
        13800000.00000000
        PA
        
        14926308.12000000
        0.329340727383
        Long
        DBT
        CORP
        AE
        N
        
        2
        
          2024-05-02
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -916873.24000000
        -0.02023030057
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2042-03-22
            0.00000000
            USD
            0.00000000
            USD
            17040000.00000000
            EUR
            -916873.24000000
          
        
        
          N
          N
          N
        
      
      
        HSBC BANK PLC
        MP6I5ZYZBEU3UXPYFY54
        CDS RUSSIAN FEDERATION
        000000000
        
          
        
        1.00000000
        NC
        USD
        285968.26000000
        0.006309731381
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              HSBC BANK PLC
              MP6I5ZYZBEU3UXPYFY54
            
            
              
                RUSSIAN FEDERATION
                RUSSIAN FOREIGN BOND - EUROBOND
                
                  
                  
                  
                
              
            
            Y
            Default Event
            
            2026-12-20
            284150.92000000
            USD
            0.00000000
            USD
            -451357.00000000
            USD
            1817.34000000
          
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        2549009SOTYJD2MZFC61
        Bellemeade Re 2018-3 Ltd
        07877TAB7
        
          
        
        430838.14000000
        PA
        USD
        429622.06000000
        0.009479372970
        Long
        ABS-MBS
        CORP
        BM
        
        N
        
        2
        
          2028-10-25
          Floating
          2.51786000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED KINGDOM GILT
        ECTRVYYCEF89VWYS6K36
        United Kingdom Gilt
        000000000
        
          
          
        
        100000.00000000
        PA
        
        149640.90000000
        0.003301743636
        Long
        DBT
        NUSS
        GB
        N
        
        2
        
          2065-07-22
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        172967MY4
        
          
          
        
        6600000.00000000
        PA
        USD
        5577509.78000000
        0.123064666303
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-05-01
          Fixed
          2.56100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        000000000
        
          
          
        
        2138000.00000000
        PA
        
        1737548.94000000
        0.038338055677
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2038-02-08
          Fixed
          3.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK, NATIONAL ASSOCIATION
        E57ODZWZ7FF32TWEFA76
        CDS REPUBLIC OF GREECE
        000000000
        
          
        
        1.00000000
        NC
        USD
        -465670.58000000
        -0.01027476361
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, NATIONAL ASSOCIATION
              E57ODZWZ7FF32TWEFA76
            
            
              
                HELLENIC REPUBLIC
                Hellenic Republic Government Bond
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2031-12-20
            0.00000000
            USD
            -172115.41000000
            USD
            6000000.00000000
            USD
            -293555.17000000
          
        
        
          N
          N
          N
        
      
      
        STRIPS
        254900HROIFWPRGM1V77
        United States Treasury Strip Coupon
        912834JB5
        
          
          
        
        800000.00000000
        PA
        USD
        446500.00000000
        0.009851775375
        Long
        DBT
        UST
        US
        N
        
        2
        
          2040-08-15
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS HUF
        000000000
        
          
        
        1.00000000
        NC
        
        -645369.08000000
        -0.01423971155
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2023-11-10
            0.00000000
            USD
            0.00000000
            USD
            4000000000.00000000
            HUF
            -645369.08000000
          
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
        7H6GLXDRUGQFU57RNE97
        IRS ILS
        000000000
        
          
        
        1.00000000
        NC
        
        65003.49000000
        0.001434266029
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
              7H6GLXDRUGQFU57RNE97
            
            Y
            
            
              
                
              
            
            2028-07-16
            0.00000000
            USD
            0.00000000
            USD
            38930000.00000000
            ILS
            65003.49000000
          
        
        
          N
          N
          N
        
      
      
        UNITED MEXICAN STATES
        254900EGTWEU67VP6075
        Mexico Government International Bond
        000000000
        
          
          
        
        4825000.00000000
        PA
        
        3888792.86000000
        0.085804062120
        Long
        DBT
        NUSS
        MX
        N
        
        2
        
          2033-10-25
          Fixed
          1.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTL FINANCE CORP
        QKL54NQY28TCDAI75F60
        International Finance Corp
        000000000
        
          
          
        
        20000000.00000000
        PA
        
        974455.14000000
        0.021500813331
        Long
        DBT
        NUSS
        N/A
        N
        
        2
        
          2022-07-25
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Chase Funding Mortgage Loan As
        N/A
        Chase Funding Trust Series 2003-4
        161546GB6
        
          
        
        495706.23000000
        PA
        USD
        482713.03000000
        0.010650795839
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2033-05-25
          Floating
          1.26786000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS HUF
        000000000
        
          
        
        1.00000000
        NC
        
        -644406.74000000
        -0.01421847805
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2026-12-23
            27.23000000
            USD
            0.00000000
            USD
            1667000000.00000000
            HUF
            -644433.97000000
          
        
        
          N
          N
          N
        
      
      
        BERKSHIRE HATHAWAY INC
        5493000C01ZX7D35SD85
        Berkshire Hathaway Inc
        084670CF3
        
          
          
        
        300000000.00000000
        PA
        
        2150560.57000000
        0.047450928703
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-09-13
          Fixed
          0.96500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Bank of America, National Association
        B4TYDEB6GKMZO031MB27
        JPY/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        48260.59000000
        0.001064843207
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Bank of America, National Association
              B4TYDEB6GKMZO031MB27
            
            -928508195.00000000
            JPY
            7228397.00000000
            USD
            2022-07-19
            48260.59000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        CDS ITALY
        000000000
        
          
        
        1.00000000
        NC
        USD
        13052.09000000
        0.000287987141
        N/A
        DCR
        CORP
        FR
        
        N
        
        2
        
          
            
              BNP PARIBAS
              R0MUWSFPU8MPRO8K5P83
            
            
              
                ITALY GOV'T INT BOND
                Republic of Italy Government International Bond
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2026-06-20
            0.00000000
            USD
            -209948.49000000
            USD
            5000000.00000000
            USD
            223000.58000000
          
        
        
          N
          N
          N
        
      
      
        SHARJAH SUKUK PROGRAM
        549300N3BQ9P6RRMVV02
        Sharjah Sukuk Program Ltd
        000000000
        
          
          
        
        4000000.00000000
        PA
        USD
        3997937.00000000
        0.088212267161
        Long
        DBT
        NUSS
        KY
        
        N
        
        2
        
          2026-04-03
          Fixed
          3.85400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ARAB REPUBLIC OF EGYPT
        529900GFIVH4086NMH82
        Egypt Government International Bond
        03846JW30
        
          
          
        
        1835000.00000000
        PA
        USD
        1809313.01000000
        0.039921490162
        Long
        DBT
        NUSS
        EG
        N
        
        2
        
          2023-02-21
          Fixed
          5.57700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS BRL
        000000000
        
          
        
        1.00000000
        NC
        
        -498673.24000000
        -0.01100294903
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2027-01-04
            0.00000000
            USD
            0.00000000
            USD
            12879450.35000000
            BRL
            -498673.24000000
          
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        000000000
        
          
          
        
        1400000.00000000
        PA
        
        1634424.39000000
        0.036062669558
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-04-08
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS COP
        000000000
        
          
        
        1.00000000
        NC
        
        -1053570.72000000
        -0.02324645481
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2026-04-20
            0.00000000
            USD
            0.00000000
            USD
            27120000000.00000000
            COP
            -1053570.72000000
          
        
        
          N
          N
          N
        
      
      
        BON Y OBLIG ESTADO STRIP
        9598007A56S18711AH60
        Spain Government Bond Coupon Strip
        000000000
        
          
        
        300000.00000000
        PA
        
        148694.12000000
        0.003280853459
        Long
        DBT
        NUSS
        ES
        N
        
        2
        
          2051-07-30
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EMIRATES NBD BANK PJSC
        54930029BCN8HF3B1286
        Emirates NBD Bank PJSC
        000000000
        
          
          
        
        4090000.00000000
        PA
        
        2897678.63000000
        0.063935675188
        Long
        DBT
        CORP
        AE
        N
        
        2
        
          2027-10-12
          Fixed
          4.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PERUSAHAAN LISTRIK NEGAR
        254900OYVDRYS9J51J61
        Perusahaan Perseroan Persero PT Perusahaan Listrik Negara
        000000000
        
          
          
        
        6900000.00000000
        PA
        
        6111324.20000000
        0.134842986030
        Long
        DBT
        CORP
        ID
        N
        
        2
        
          2031-11-05
          Fixed
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AMERICAN INTL GROUP
        ODVCVCQG2BP6VHV36M30
        American International Group Inc
        000000000
        
          
          
        
        2100000.00000000
        PA
        
        2174486.11000000
        0.047978832501
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-06-21
          Fixed
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS JPY
        000000000
        
          
        
        1.00000000
        NC
        
        208761.80000000
        0.004606213573
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2035-02-24
            0.00000000
            USD
            -9228.31000000
            USD
            320000000.00000000
            JPY
            217990.11000000
          
        
        
          N
          N
          N
        
      
      
        SPECTRUM BRANDS INC
        549300VU3EH2E73C1Q04
        Spectrum Brands Inc
        000000000
        
          
          
        
        675000.00000000
        PA
        
        702157.85000000
        0.015492724335
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-10-01
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NXP BV/NXP FDG/NXP USA
        N/A
        NXP BV / NXP Funding LLC / NXP USA Inc
        62954HAC2
        
          
          
        
        575000.00000000
        PA
        USD
        543718.33000000
        0.011996844018
        Long
        DBT
        CORP
        N/A
        N
        
        2
        
          2027-05-01
          Fixed
          3.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Battalion CLO LTD
        549300WH2OE0BGHQQP83
        Battalion CLO VIII Ltd
        07132ACC5
        
          
          
        
        5500000.00000000
        PA
        USD
        5471014.45000000
        0.120714905789
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-07-18
          Floating
          2.11429000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HELLENIC REPUBLIC
        2138003EKTMKZ5598902
        Hellenic Republic Government Bond
        000000000
        
          
          
        
        1000.00000000
        PA
        
        1109.44000000
        0.000024479179
        Long
        DBT
        NUSS
        GR
        N
        
        2
        
          2039-02-24
          Variable
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        MXN/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        1246957.23000000
        0.027513421124
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            -14859000.00000000
            USD
            352529775.00000000
            MXN
            2023-04-28
            1246957.23000000
          
        
        
          N
          N
          N
        
      
      
        LAMB WESTON HLD
        5493005SMYID1D2OY946
        Lamb Weston Holdings Inc
        513272AE4
        
          
          
        
        1725000.00000000
        PA
        USD
        1548712.66000000
        0.034171487674
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-01-31
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -1858046.08000000
        -0.04099675837
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2042-02-17
            0.00000000
            USD
            0.00000000
            USD
            8450000.00000000
            EUR
            -1858046.08000000
          
        
        
          N
          N
          N
        
      
      
        BUONI POLIENNALI DEL TES
        815600DE60799F5A9309
        Italy Buoni Poliennali Del Tesoro
        000000000
        
          
          
        
        800000.00000000
        PA
        
        614895.25000000
        0.013567323364
        Long
        DBT
        NUSS
        IT
        N
        
        2
        
          2051-09-01
          Fixed
          1.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMMONBOND STUDENT LOAN TRUST
        N/A
        Commonbond Student Loan Trust 2020-A-GS
        20267WAA3
        
          
        
        2334699.95000000
        PA
        USD
        2267035.91000000
        0.050020892614
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2050-08-25
          Fixed
          1.98000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        CDS REPUBLIC OF UKRAINE
        000000000
        
          
        
        1.00000000
        NC
        USD
        -598907.54000000
        -0.01321456339
        N/A
        DCR
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            
              
                UKRAINE GOVERNMENT
                Ukraine Government International Bond
                
                  
                  
                
              
            
            Y
            
            Default Event
            2023-12-20
            12750.05000000
            USD
            0.00000000
            USD
            1000000.00000000
            USD
            -611657.59000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS CAPITAL INC.
        AC28XWWI3WIBK2824319
        CDS BNP PARIBAS SA
        000000000
        
          
        
        1.00000000
        NC
        
        51752.59000000
        0.001141892254
        N/A
        DCR
        CORP
        US
        
        N
        
        2
        
          
            
              BARCLAYS CAPITAL INC.
              AC28XWWI3WIBK2824319
            
            
              
                BNP PARIBAS SA
                BNP PARIBAS
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2023-06-20
            60892.74000000
            USD
            0.00000000
            USD
            5000000.00000000
            EUR
            -9140.15000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS SGD
        000000000
        
          
        
        1.00000000
        NC
        
        -1529056.36000000
        -0.03373778229
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2031-07-29
            111376.00000000
            USD
            0.00000000
            USD
            17215000.00000000
            SGD
            -1640432.36000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. INTERNATIONAL PLC
        4PQUHN3JPFGFNF3BB653
        IRS COP
        000000000
        
          
        
        1.00000000
        NC
        
        -390131.76000000
        -0.00860804135
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. INTERNATIONAL PLC
              4PQUHN3JPFGFNF3BB653
            
            Y
            
            
              
                
              
            
            2027-06-02
            0.00000000
            USD
            0.00000000
            USD
            13700000000.00000000
            COP
            -390131.76000000
          
        
        
          N
          N
          N
        
      
      
        ENERGY TRANSFER LP
        MTLVN9N7JE8MIBIJ1H73
        Energy Transfer LP
        29273VAM2
        
          
          
        
        7800000.00000000
        PA
        USD
        7363494.14000000
        0.162471422715
        Long
        DBT
        CORP
        US
        N
        
        2
        
          N/A
          Fixed
          7.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TAYLOR MORRISON COMM
        549300O1Z08HI2MRK572
        Taylor Morrison Communities Inc
        87724RAJ1
        
          
          
        
        375000.00000000
        PA
        USD
        343125.00000000
        0.007570863215
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-08-01
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NTPC LTD
        335800Q4TRGJXNLVMB81
        NTPC Ltd
        000000000
        
          
          
        
        13640000.00000000
        PA
        
        14012521.12000000
        0.309178522983
        Long
        DBT
        CORP
        IN
        N
        
        2
        
          2027-02-01
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Agency Credit Risk Debt Notes
        35565TAH2
        
          
          
        
        2170272.15000000
        PA
        USD
        2175740.15000000
        0.048006502199
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-11-25
          Floating
          2.88870000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        000000000
        
          
        
        10000000.00000000
        PA
        
        76090.99000000
        0.001678905580
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-22
          Fixed
          1.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF COLOMBIA
        549300MHDRBVRF6B9117
        Colombia Government International Bond
        000000000
        
          
          
        
        15013000000.00000000
        PA
        
        3808661.06000000
        0.084035998304
        Long
        DBT
        NUSS
        CO
        N
        
        2
        
          2027-06-28
          Fixed
          9.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Fannie Mae
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae REMICS
        3136A85Q9
        
          
        
        2675989.38000000
        PA
        USD
        152021.08000000
        0.003354260990
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2027-09-25
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RUSSIAN FEDERATION
        5493004EHVGF71PDBU58
        Russian Foreign Bond - Eurobond
        000000000
        
          
          
        
        1200000.00000000
        PA
        USD
        366000.00000000
        0.008075587429
        Long
        DBT
        NUSS
        RU
        N
        
        2
        
          2042-04-04
          Fixed
          5.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROSSINI SARL
        549300EC5JCCW6F83R11
        Rossini Sarl
        000000000
        
          
          
        
        1980000.00000000
        PA
        
        2120133.02000000
        0.046779561653
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2025-10-30
          Fixed
          6.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CALPINE CORP
        43R4VPJBXTU2O15HEF41
        Calpine Corp
        131347CP9
        
          
          
        
        2770000.00000000
        PA
        USD
        2421210.69000000
        0.053422673804
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-01
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TK ELEVATOR MIDCO GMBH
        254900K869UN2ZWVB351
        TK Elevator Midco GmbH
        000000000
        
          
          
        
        4300000.00000000
        PA
        
        4203256.68000000
        0.092742532261
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2027-07-15
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EMIRATES NBD BANK PJSC
        54930029BCN8HF3B1286
        Emirates NBD Bank PJSC
        000000000
        
          
          
        
        7730000.00000000
        PA
        
        5480091.81000000
        0.120915192713
        Long
        DBT
        CORP
        AE
        N
        
        2
        
          2028-02-09
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EUROPEAN INVESTMENT BANK
        5493006YXS1U5GIHE750
        European Investment Bank
        000000000
        
          
          
        
        10000000000.00000000
        PA
        
        687731.49000000
        0.015174414687
        Long
        DBT
        NUSS
        N/A
        N
        
        2
        
          2024-08-28
          Fixed
          6.27000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UGI INTERNATIONAL LLC
        5493001JFF8MQO00ZQ21
        UGI International LLC
        000000000
        
          
          
        
        8625000.00000000
        PA
        
        7427679.33000000
        0.163887633408
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-12-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS REPUBLIC OF SOUTH AFRICA
        000000000
        
          
        
        1.00000000
        NC
        USD
        44856.04000000
        0.000989723696
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            
              
                REPUBLIC OF SOUTH AFRICA
                Republic of South Africa Government International Bond
                
                  
                  
                  
                
              
            
            Y
            Default Event
            
            2026-06-20
            32857.69000000
            USD
            0.00000000
            USD
            -1000000.00000000
            USD
            11998.35000000
          
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        IRS ILS
        000000000
        
          
        
        1.00000000
        NC
        
        -58623.53000000
        -0.00129349574
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            Y
            
            
              
                
              
            
            2029-03-13
            0.00000000
            USD
            0.00000000
            USD
            8050000.00000000
            ILS
            -58623.53000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS JPY
        000000000
        
          
        
        1.00000000
        NC
        
        -320227.01000000
        -0.00706563173
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2029-03-22
            0.00000000
            USD
            -1803.61000000
            USD
            2500000000.00000000
            JPY
            -318423.40000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS COP
        000000000
        
          
        
        1.00000000
        NC
        
        -1035837.01000000
        -0.02285517031
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2025-12-14
            0.00000000
            USD
            0.00000000
            USD
            23700000000.00000000
            COP
            -1035837.01000000
          
        
        
          N
          N
          N
        
      
      
        CROATIA
        74780000O00QGQ7CER13
        Croatia Government International Bond
        000000000
        
          
          
        
        3000000.00000000
        PA
        
        3122987.26000000
        0.068906985407
        Long
        DBT
        NUSS
        HR
        N
        
        2
        
          2030-01-27
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIKA SLOVENIJA
        485100000LWQHIX4XX88
        Slovenia Government Bond
        000000000
        
          
          
        
        100000.00000000
        PA
        
        90019.04000000
        0.001986220294
        Long
        DBT
        NUSS
        SI
        N
        
        2
        
          2031-02-12
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERAL MOTORS CO
        54930070NSV60J38I987
        General Motors Co
        37045VAQ3
        
          
          
        
        2050000.00000000
        PA
        USD
        1920424.24000000
        0.042373097955
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-04-01
          Fixed
          5.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS CAD
        000000000
        
          
        
        1.00000000
        NC
        
        -2439300.39000000
        -0.05382181302
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2025-04-03
            101227.64000000
            USD
            0.00000000
            USD
            51805000.00000000
            CAD
            -2540528.03000000
          
        
        
          N
          N
          N
        
      
      
        CHINA GOVERNMENT BOND
        300300CHN201808MOF68
        CHINA GOVERNMENT BOND
        000000000
        
          
          
        
        500000.00000000
        PA
        
        76043.74000000
        0.001677863035
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2024-11-21
          Fixed
          3.38000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS JPY
        000000000
        
          
        
        1.00000000
        NC
        
        -425252.16000000
        -0.00938295354
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2046-04-12
            0.00000000
            USD
            -4895.85000000
            USD
            775000000.00000000
            JPY
            -420356.31000000
          
        
        
          N
          N
          N
        
      
      
        EUROPEAN INVESTMENT BANK
        5493006YXS1U5GIHE750
        European Investment Bank
        000000000
        
          
        
        3985000.00000000
        PA
        
        667930.04000000
        0.014737506652
        Long
        DBT
        NUSS
        N/A
        N
        
        2
        
          2028-02-25
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        000000000
        
          
          
        
        4150000.00000000
        PA
        
        3790200.63000000
        0.083628679133
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2030-02-08
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED KINGDOM GILT
        ECTRVYYCEF89VWYS6K36
        United Kingdom Gilt
        000000000
        
          
          
        
        100000.00000000
        PA
        
        108318.92000000
        0.002389997018
        Long
        DBT
        NUSS
        GB
        N
        
        2
        
          2039-01-31
          Fixed
          1.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP INC
        6SHGI4ZSSLCXXQSBB395
        Citigroup Inc
        000000000
        
          
          
        
        300000000.00000000
        PA
        
        2438073.59000000
        0.053794744359
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-09-16
          Fixed
          2.36000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC SECURITIES (USA) INC.
        CYYGQCGNHMHPSMRL3R97
        CDS REPUBLIC OF SLOVENIA
        000000000
        
          
        
        1.00000000
        NC
        USD
        15193.40000000
        0.000335233961
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              HSBC SECURITIES (USA) INC.
              CYYGQCGNHMHPSMRL3R97
            
            
              
                REPUBLIKA SLOVENIJA
                REPUBLIKA SLOVENIJA
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2024-06-20
            0.00000000
            USD
            -28053.04000000
            USD
            900000.00000000
            USD
            43246.44000000
          
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        US 5YR NOTE (CBT)
        000000000
        
          
          
        
        613.00000000
        NC
        USD
        -510574.77000000
        -0.01126554971
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Long
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2022-06-30
            69578437.21000000
            USD
            -510574.77000000
          
        
        
          N
          N
          N
        
      
      
        AFLAC INC
        549300N0B7DOGLXWPP39
        Aflac Inc
        001055AZ5
        
          
          
        
        100000000.00000000
        PA
        
        732969.49000000
        0.016172566119
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-12-17
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        CDS ESKOM HOLDINGS SOC LTD
        000000000
        
          
        
        1.00000000
        NC
        USD
        -108136.60000000
        -0.00238597422
        N/A
        DCR
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            
              
                ESKOM HOLDINGS SOC LTD
                Eskom Holdings SOC Ltd
                
                  
                  
                
              
            
            Y
            
            Default Event
            2023-12-20
            0.00000000
            USD
            -189710.75000000
            USD
            3000000.00000000
            USD
            81574.15000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        USD/KRW FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -1763794.87000000
        -0.03891715759
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -64737233.66000000
            USD
            79541344254.00000000
            KRW
            2022-06-15
            -1763794.87000000
          
        
        
          N
          N
          N
        
      
      
        CALEDONIA GENERA
        N/A
        Caledonia Generating LLC
        129268AB4
        
          
        
        2631572.04000000
        PA
        USD
        2427180.47000000
        0.053554393695
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2034-02-28
          Fixed
          1.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GREYSTONE COML CAP TRUST
        N/A
        Greystone Commercial Capital Trust Series 2021-2
        39810DAA7
        
          
        
        19100000.00000000
        PA
        USD
        19100000.00000000
        0.421430928696
        Long
        DBT
        CORP
        US
        N
        
        3
        
          2025-05-31
          Floating
          2.82414000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EUREX CLEARING AKTIENGESELLSCHAFT
        529900LN3S50JPU47S06
        EURO-OAT
        000000000
        
          
          
        
        411.00000000
        NC
        
        -4110710.11000000
        -0.09070054341
        N/A
        DIR
        CORP
        DE
        
        N
        
        1
        
          
            
              EUREX CLEARING AKTIENGESELLSCHAFT
              529900LN3S50JPU47S06
            
            Long
            
              
                FRANCE (GOVT OF)
                French Republic Government Bond OAT
                
                  
                  
                  
                
              
            
            2022-06-08
            71701530.11000000
            USD
            -4110710.11000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS GOVERNMENT OF MALAYSIA
        000000000
        
          
        
        1.00000000
        NC
        USD
        -12713.92000000
        -0.00028052560
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            
              
                TELEKOM MALAYSIA BHD
                TELEKOM MALAYSIA BHD
                
                  
                  
                  
                
              
            
            Y
            Default Event
            
            2027-06-20
            1863.08000000
            USD
            0.00000000
            USD
            -2250000.00000000
            USD
            -14577.00000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS EUR
        000000000
        
          
        
        1.00000000
        NC
        
        1359800.52000000
        0.030003245863
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2041-11-24
            0.00000000
            USD
            0.00000000
            USD
            -12485000.00000000
            EUR
            1359800.52000000
          
        
        
          N
          N
          N
        
      
      
        DUBAI DOF SUKUK LTD
        549300FL2U4Z16IJI576
        Dubai DOF Sukuk Ltd
        000000000
        
          
          
        
        6423000.00000000
        PA
        USD
        6423000.00000000
        0.141719940053
        Long
        DBT
        NUSS
        KY
        
        N
        
        2
        
          2022-05-02
          Fixed
          6.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KUNTARAHOITUS OYJ
        529900HEKOENJHPNN480
        Kuntarahoitus Oyj
        000000000
        
          
          
        
        13000000.00000000
        PA
        
        1367313.89000000
        0.030169024213
        Long
        DBT
        NUSS
        FI
        N
        
        2
        
          2032-09-24
          Fixed
          3.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIFINANCIAL CREDIT CO
        549300DHDKQKAHEHPH39
        CitiFinancial Credit Co
        201615CY5
        
          
          
        
        662000.00000000
        PA
        USD
        724995.80000000
        0.015996631062
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-01
          Fixed
          7.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHINA GOVERNMENT BOND
        300300CHN201808MOF68
        CHINA GOVERNMENT BOND
        000000000
        
          
          
        
        30000000.00000000
        PA
        
        4866581.88000000
        0.107378435668
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2050-09-14
          Fixed
          3.81000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANQUE FED CRED MUTUEL
        VBHFXSYT7OG62HNT8T76
        Banque Federative du Credit Mutuel SA
        000000000
        
          
          
        
        300000000.00000000
        PA
        
        2309797.73000000
        0.050964408505
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2023-10-13
          Fixed
          0.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        -11706.67000000
        -0.00025830119
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2029-11-01
            0.00000000
            USD
            -171.01000000
            USD
            30000000.00000000
            ZAR
            -11535.66000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS JPY
        000000000
        
          
        
        1.00000000
        NC
        
        43041.13000000
        0.000949678711
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2029-08-18
            0.00000000
            USD
            -2652.81000000
            USD
            100000000.00000000
            JPY
            45693.94000000
          
        
        
          N
          N
          N
        
      
      
        BROADCOM INC
        549300WV6GIDOZJTV909
        Broadcom Inc
        11135FBP5
        
          
          
        
        4626000.00000000
        PA
        USD
        3708233.29000000
        0.081820115142
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2035-11-15
          Fixed
          3.13700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
        7H6GLXDRUGQFU57RNE97
        CDS REPUBLIC OF ESTONIA
        000000000
        
          
        
        1.00000000
        NC
        USD
        50642.06000000
        0.001117389024
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
              7H6GLXDRUGQFU57RNE97
            
            
              
                REPUBLIC OF ESTONIA
                Estonia Government International Bond
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2026-12-20
            27680.53000000
            USD
            0.00000000
            USD
            3150000.00000000
            USD
            22961.53000000
          
        
        
          N
          N
          N
        
      
      
        UNITED MEXICAN STATES
        254900EGTWEU67VP6075
        Mexico Government International Bond
        000000000
        
          
          
        
        500000000.00000000
        PA
        
        3841332.88000000
        0.084756883929
        Long
        DBT
        NUSS
        MX
        N
        
        2
        
          2025-04-18
          Fixed
          0.85000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KAZAKHSTAN TEMIR ZHOLY
        724500NSQCZ1PR6DVD13
        Kazakhstan Temir Zholy Finance BV
        000000000
        
          
          
        
        1800000.00000000
        PA
        USD
        1824970.00000000
        0.040266952981
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2042-07-10
          Fixed
          6.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS REPUBLIC OF UKRAINE
        000000000
        
          
        
        1.00000000
        NC
        USD
        1032671.44000000
        0.022785323769
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            
              
                UKRAINE GOVERNMENT
                Ukraine Government International Bond
                
                  
                  
                  
                
              
            
            Y
            Default Event
            
            2027-06-20
            1242.05000000
            USD
            0.00000000
            USD
            -1500000.00000000
            USD
            1031429.39000000
          
        
        
          N
          N
          N
        
      
      
        VENTAS REALTY LP
        32SXKSJ72K64GM3HOU64
        Ventas Realty LP
        92277GAW7
        
          
          
        
        7995000.00000000
        PA
        USD
        6797754.91000000
        0.149988699726
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-09-01
          Fixed
          2.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BON Y OBLI EST PRINCIPAL
        9598007A56S18711AH60
        Spain Government Bond Principal Strip
        000000000
        
          
          
        
        1700000.00000000
        PA
        
        1136220.05000000
        0.025070066537
        Long
        DBT
        NUSS
        ES
        N
        
        2
        
          2041-07-30
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FORD MOTOR CREDIT CO LLC
        UDSQCVRUX5BONN0VY111
        Ford Motor Credit Co LLC
        000000000
        
          
          
        
        500000.00000000
        PA
        
        341037.62000000
        0.007524806330
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-12-03
          Fixed
          3.68300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HELLENIC REPUBLIC
        2138003EKTMKZ5598902
        Hellenic Republic Government Bond
        000000000
        
          
          
        
        7585000.00000000
        PA
        
        5304353.11000000
        0.117037615564
        Long
        DBT
        NUSS
        GR
        N
        
        2
        
          2052-01-24
          Fixed
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        JPY/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -2182406.92000000
        -0.04815360079
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            -9708000.00000000
            USD
            931628556.00000000
            JPY
            2023-10-31
            -2182406.92000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        09659W2P8
        
          
          
        
        5220000.00000000
        PA
        USD
        4430951.85000000
        0.097766500165
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2032-04-19
          Fixed
          2.87100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. INTERNATIONAL PLC
        4PQUHN3JPFGFNF3BB653
        IRS THB
        000000000
        
          
        
        1.00000000
        NC
        
        3928.63000000
        0.000086683046
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. INTERNATIONAL PLC
              4PQUHN3JPFGFNF3BB653
            
            Y
            
            
              
                
              
            
            2024-07-04
            0.00000000
            USD
            0.00000000
            USD
            60000000.00000000
            THB
            3928.63000000
          
        
        
          N
          N
          N
        
      
      
        HSBC BANK PLC
        MP6I5ZYZBEU3UXPYFY54
        CDS GAZPROM PAO
        000000000
        
          
        
        1.00000000
        NC
        USD
        -5133501.74000000
        -0.11326787464
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              HSBC BANK PLC
              MP6I5ZYZBEU3UXPYFY54
            
            
              
                GAZPROM (GAZ CAPITAL SA)
                Gazprom PJSC Via Gaz Capital SA
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2026-12-20
            0.00000000
            USD
            -5021339.15000000
            USD
            8600000.00000000
            USD
            -112162.59000000
          
        
        
          N
          N
          N
        
      
      
        HSBC BANK PLC
        MP6I5ZYZBEU3UXPYFY54
        CDS RUSSIAN FEDERATION
        000000000
        
          
        
        1.00000000
        NC
        USD
        12736686.04000000
        0.281027928081
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              HSBC BANK PLC
              MP6I5ZYZBEU3UXPYFY54
            
            
              
                RUSSIAN FEDERATION
                RUSSIAN FOREIGN BOND - EUROBOND
                
                  
                  
                  
                
              
            
            Y
            Default Event
            
            2025-12-20
            12870472.69000000
            USD
            0.00000000
            USD
            -20620788.00000000
            USD
            -133786.65000000
          
        
        
          N
          N
          N
        
      
      
        ZAIS CLO 3, LTD
        549300SYHU0CNKIXQ691
        Zais CLO 3 Ltd
        98887HAL8
        
          
        
        8500000.00000000
        PA
        USD
        8435358.35000000
        0.186121513263
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-07-15
          Floating
          3.23429000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        IRS ILS
        000000000
        
          
        
        1.00000000
        NC
        
        -594659.87000000
        -0.01312084090
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Y
            
            
              
                
              
            
            2029-12-09
            0.00000000
            USD
            0.00000000
            USD
            19790000.00000000
            ILS
            -594659.87000000
          
        
        
          N
          N
          N
        
      
      
        PETROLEOS MEXICANOS
        549300CAZKPF4HKMPX17
        Petroleos Mexicanos
        000000000
        
          
          
        
        2900000.00000000
        PA
        
        3033472.52000000
        0.066931892213
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2024-02-21
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS JPY
        000000000
        
          
        
        1.00000000
        NC
        
        -456200.22000000
        -0.01006580536
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2040-02-06
            0.00000000
            USD
            -4197.65000000
            USD
            745000000.00000000
            JPY
            -452002.57000000
          
        
        
          N
          N
          N
        
      
      
        CITIBANK, NATIONAL ASSOCIATION
        E57ODZWZ7FF32TWEFA76
        CDS BARCLAYS PLC
        000000000
        
          
        
        1.00000000
        NC
        
        21881.26000000
        0.000482797891
        N/A
        DCR
        CORP
        US
        
        N
        
        2
        
          
            
              CITIBANK, NATIONAL ASSOCIATION
              E57ODZWZ7FF32TWEFA76
            
            
              
                BARCLAYS PLC
                Barclays PLC
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2026-12-20
            29001.48000000
            USD
            0.00000000
            USD
            3000000.00000000
            EUR
            -7120.22000000
          
        
        
          N
          N
          N
        
      
      
        BON Y OBLIG ESTADO STRIP
        9598007A56S18711AH60
        Spain Government Bond Coupon Strip
        000000000
        
          
        
        300000.00000000
        PA
        
        114183.34000000
        0.002519392199
        Long
        DBT
        NUSS
        ES
        N
        
        2
        
          2057-07-30
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
        7H6GLXDRUGQFU57RNE97
        CDS KINGDOM OF SPAIN
        000000000
        
          
        
        1.00000000
        NC
        USD
        121100.35000000
        0.002672012197
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
              7H6GLXDRUGQFU57RNE97
            
            
              
                SPAIN GOVERNMENT INTERNATIONAL BOND
                SPAIN GOVERNMENT INTERNATIONAL BOND
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2025-12-20
            71313.82000000
            USD
            0.00000000
            USD
            5000000.00000000
            USD
            49786.53000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS USD
        000000000
        
          
        
        1.00000000
        NC
        USD
        301228.88000000
        0.006646448515
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2022-05-29
            154832.22000000
            USD
            0.00000000
            USD
            -187500000.00000000
            USD
            146396.66000000
          
        
        
          N
          N
          N
        
      
      
        HELLENIC REPUBLIC
        2138003EKTMKZ5598902
        Hellenic Republic Government Bond
        000000000
        
          
          
        
        34000.00000000
        PA
        
        38902.38000000
        0.000858359483
        Long
        DBT
        NUSS
        GR
        N
        
        2
        
          2031-02-24
          Variable
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MEDTRONIC GLOBAL HLDINGS
        549300JXMTTP8GKYIX14
        Medtronic Global Holdings SCA
        58507LAQ2
        
          
          
        
        2100000.00000000
        PA
        
        1696875.33000000
        0.037440614984
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2049-07-02
          Fixed
          1.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS EGYPT
        000000000
        
          
        
        1.00000000
        NC
        USD
        304433.44000000
        0.006717155358
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            
              
                Egypt Government International Bond
                Egypt Government International Bond
                
                  
                  
                
              
            
            Y
            Default Event
            
            2027-06-20
            993.64000000
            USD
            0.00000000
            USD
            -1200000.00000000
            USD
            303439.80000000
          
        
        
          N
          N
          N
        
      
      
        RUSSIAN RAIL(RZD CAP)
        635400VKMH1VQDFMW392
        Russian Railways Via RZD Capital PLC
        000000000
        
          
          
        
        9450000.00000000
        PA
        
        485736.31000000
        0.010717502839
        Long
        DBT
        CORP
        IE
        
        N
        
        2
        
          2025-10-03
          Fixed
          0.89800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Commercial Mortg
        N/A
        DBJPM 20-C9 Mortgage Trust
        233063AJ5
        
          
        
        20000000.00000000
        PA
        USD
        18353924.00000000
        0.404969174688
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2053-08-15
          Fixed
          1.88200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        000000000
        
          
          
        
        3600000.00000000
        PA
        
        3005806.63000000
        0.066321459663
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2031-07-16
          Fixed
          2.12400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELLIS FINCO PLC
        259400ELWH6Z4ICFTD70
        Bellis Finco PLC
        000000000
        
          
          
        
        6700000.00000000
        PA
        
        7019139.08000000
        0.154873418907
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2027-02-16
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS COP
        000000000
        
          
        
        1.00000000
        NC
        
        -6021263.91000000
        -0.13285585557
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2031-03-26
            0.00000000
            USD
            0.00000000
            USD
            113100000000.00000000
            COP
            -6021263.91000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF ALBANIA
        254900EDM43U3SGRND29
        Albania Government International Bond
        000000000
        
          
          
        
        1000000.00000000
        PA
        
        1034676.17000000
        0.022829557027
        Long
        DBT
        NUSS
        AL
        N
        
        2
        
          2025-10-09
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BEAZER HOMES USA
        549300DUPYT2T0F60I45
        Beazer Homes USA Inc
        07556QBT1
        
          
          
        
        1675000.00000000
        PA
        USD
        1596711.64000000
        0.035230558602
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-10-15
          Fixed
          7.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS JPY
        000000000
        
          
        
        1.00000000
        NC
        
        7012.95000000
        0.000154736860
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2037-06-02
            0.00000000
            USD
            -109.80000000
            USD
            150000000.00000000
            JPY
            7122.75000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        USD/ILS FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        -234070.16000000
        -0.00516462852
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              BARCLAYS PLC
              213800LBQA1Y9L22JB70
            
            -7721888.53000000
            USD
            24937839.00000000
            ILS
            2022-06-15
            -234070.16000000
          
        
        
          N
          N
          N
        
      
      
        TECK RESOURCES LIMITED
        T8KI5SQ2JRWHL7XY0E11
        Teck Resources Ltd
        878742AZ8
        
          
          
        
        1403000.00000000
        PA
        USD
        1395921.36000000
        0.030800232205
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2043-02-01
          Fixed
          5.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FORD MOTOR CREDIT CO LLC
        UDSQCVRUX5BONN0VY111
        Ford Motor Credit Co LLC
        345397ZJ5
        
          
          
        
        2015000.00000000
        PA
        USD
        1975286.16000000
        0.043583595856
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-09
          Fixed
          4.68700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CF INDUSTRIES INC
        5FVKT86LAD2F40NPC183
        CF Industries Inc
        12527GAH6
        
          
          
        
        6451000.00000000
        PA
        USD
        6561356.74000000
        0.144772704945
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-12-01
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UKRAINE GOVERNMENT
        6354001WLTJXOMEXPY07
        Ukraine Government International Bond
        000000000
        
          
          
        
        3600000.00000000
        PA
        USD
        1116000.00000000
        0.024623922325
        Long
        DBT
        NUSS
        UA
        N
        
        2
        
          2032-09-25
          Fixed
          7.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        CDS REPUBLIC OF UKRAINE
        000000000
        
          
        
        1.00000000
        NC
        USD
        -4504664.72000000
        -0.09939293384
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                UKRAINE GOVERNMENT
                Ukraine Government International Bond
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2025-06-20
            0.00000000
            USD
            -50525.74000000
            USD
            7205000.00000000
            USD
            -4454138.98000000
          
        
        
          N
          N
          N
        
      
      
        MOUNTAIN VIEW CLO
        549300IB1UGD5G8HYT10
        Mountain View Clo XIV Ltd
        62432MAN9
        
          
        
        15000000.00000000
        PA
        USD
        14860617.00000000
        0.327891289179
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2034-10-15
          Floating
          2.29429000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED RENTALS NORTH AM
        NGIZXNT70J2LYT3FBI09
        United Rentals North America Inc
        911365BF0
        
          
          
        
        150000.00000000
        PA
        USD
        153357.32000000
        0.003383744386
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-05-15
          Fixed
          5.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK, NATIONAL ASSOCIATION
        E57ODZWZ7FF32TWEFA76
        CDS RUSSIAN FEDERATION
        000000000
        
          
        
        1.00000000
        NC
        USD
        2310367.12000000
        0.050976971780
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, NATIONAL ASSOCIATION
              E57ODZWZ7FF32TWEFA76
            
            
              
                RUSSIAN FEDERATION
                RUSSIAN FOREIGN BOND - EUROBOND
                
                  
                  
                  
                
              
            
            Y
            Default Event
            
            2027-06-20
            2649867.37000000
            USD
            0.00000000
            USD
            -3600000.00000000
            USD
            -339500.25000000
          
        
        
          N
          N
          N
        
      
      
        KOREA DEVELOPMENT BANK
        549300ML2LNRZUCS7149
        Korea Development Bank/The
        000000000
        
          
          
        
        15000000000.00000000
        PA
        
        1015571.05000000
        0.022408013128
        Long
        DBT
        NUSS
        KR
        N
        
        2
        
          2025-01-22
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS CZK
        000000000
        
          
        
        1.00000000
        NC
        
        -335185.29000000
        -0.00739567790
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2022-11-17
            0.00000000
            USD
            0.00000000
            USD
            250000000.00000000
            CZK
            -335185.29000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS BRL
        000000000
        
          
        
        1.00000000
        NC
        
        -2139348.66000000
        -0.04720354411
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2027-01-04
            0.00000000
            USD
            0.00000000
            USD
            56887406.48000000
            BRL
            -2139348.66000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        CDS GAZPROM PAO
        000000000
        
          
        
        1.00000000
        NC
        USD
        2690061.60000000
        0.059354720331
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                GAZPROM (GAZ CAPITAL SA)
                Gazprom PJSC Via Gaz Capital SA
                
                  
                  
                  
                
              
            
            Y
            Default Event
            
            2022-09-20
            2085090.91000000
            USD
            0.00000000
            USD
            -8000000.00000000
            USD
            604970.69000000
          
        
        
          N
          N
          N
        
      
      
        STRIPS
        254900HROIFWPRGM1V77
        United States Treasury Strip Coupon
        9128337P9
        
          
          
        
        400000.00000000
        PA
        USD
        305250.00000000
        0.006735172302
        Long
        DBT
        UST
        US
        N
        
        2
        
          2031-05-15
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS CLP
        000000000
        
          
        
        1.00000000
        NC
        
        -273150.76000000
        -0.00602692033
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2030-07-13
            0.00000000
            USD
            0.00000000
            USD
            800000000.00000000
            CLP
            -273150.76000000
          
        
        
          N
          N
          N
        
      
      
        ADCB FINANCE CAYMAN LTD
        213800R9XDKRM525M609
        ADCB Finance Cayman Ltd
        000000000
        
          
          
        
        2370000.00000000
        PA
        
        1667423.52000000
        0.036790777097
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2027-10-25
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ITALY GOV'T INT BOND
        815600DE60799F5A9309
        Republic of Italy Government International Bond
        000000000
        
          
          
        
        7098000.00000000
        PA
        
        9091903.55000000
        0.200607819722
        Long
        DBT
        NUSS
        IT
        N
        
        2
        
          2034-07-31
          Fixed
          5.20000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        BON Y OBLIG ESTADO STRIP
        9598007A56S18711AH60
        Spain Government Bond Coupon Strip
        000000000
        
          
        
        300000.00000000
        PA
        
        119185.40000000
        0.002629759885
        Long
        DBT
        NUSS
        ES
        N
        
        2
        
          2056-07-30
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRAZIL LOAN TRUST 1
        549300V5WCG7Q7KQX569
        Brazil Loan Trust 1
        000000000
        
          
          
        
        12224809.40000000
        PA
        USD
        12308904.23000000
        0.271589159208
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2023-07-24
          Fixed
          5.47700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CO-OP GRP HLDS
        213800TAO69X5H284Q39
        Co-operative Group Holdings 2011 Ltd
        000000000
        
          
          
        
        7495000.00000000
        PA
        
        9212589.00000000
        0.203270677380
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2026-07-08
          Variable
          7.50000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        THE TORONTO-DOMINION BANK
        PT3QB789TSUIDF371261
        USD/GBP FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        11248286.29000000
        0.248187211384
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              THE TORONTO-DOMINION BANK
              PT3QB789TSUIDF371261
            
            -240840191.00000000
            GBP
            314199149.82000000
            USD
            2022-07-19
            11248286.29000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        TRS TREASURY BOND
        000000000
        
          
        
        1.00000000
        NC
        USD
        -4124229.89000000
        -0.09099884987
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            Y
            
            
              
                
              
            
            2022-05-03
            0.00000000
            USD
            0.00000000
            USD
            52527544.36000000
            USD
            -4124229.89000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS JPY
        000000000
        
          
        
        1.00000000
        NC
        
        369.80000000
        0.000008159432
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2022-05-02
            0.00000000
            USD
            -2.96000000
            USD
            150000000.00000000
            JPY
            372.76000000
          
        
        
          N
          N
          N
        
      
      
        BNP PARIBAS
        R0MUWSFPU8MPRO8K5P83
        BNP Paribas SA
        09659W2M5
        
          
          
        
        12100000.00000000
        PA
        USD
        10434339.65000000
        0.230227929269
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2028-09-30
          Fixed
          1.90400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MidOcean Credit CLO
        549300SR4K4D5ZP3EW03
        Midocean Credit CLO V
        59801TAL7
        
          
        
        2231034.54000000
        PA
        USD
        2226813.87000000
        0.049133415563
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2028-07-19
          Floating
          2.16429000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. INTERNATIONAL PLC
        4PQUHN3JPFGFNF3BB653
        IRS COP
        000000000
        
          
        
        1.00000000
        NC
        
        -162232.71000000
        -0.00357957495
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. INTERNATIONAL PLC
              4PQUHN3JPFGFNF3BB653
            
            Y
            
            
              
                
              
            
            2028-01-23
            0.00000000
            USD
            0.00000000
            USD
            5437000000.00000000
            COP
            -162232.71000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -82478.32000000
        -0.00181983848
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2031-12-19
            413.44000000
            USD
            0.00000000
            USD
            1850000.00000000
            EUR
            -82891.76000000
          
        
        
          N
          N
          N
        
      
      
        HSBC BANK PLC
        MP6I5ZYZBEU3UXPYFY54
        CDS RUSSIAN FEDERATION
        000000000
        
          
        
        1.00000000
        NC
        USD
        15977434.23000000
        0.352533243232
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              HSBC BANK PLC
              MP6I5ZYZBEU3UXPYFY54
            
            
              
                RUSSIAN FEDERATION
                RUSSIAN FOREIGN BOND - EUROBOND
                
                  
                  
                  
                
              
            
            Y
            Default Event
            
            2031-12-20
            16644850.31000000
            USD
            0.00000000
            USD
            -24500000.00000000
            USD
            -667416.08000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Agency Credit Risk Debt Notes
        35564KND7
        
          
        
        2060000.00000000
        PA
        USD
        1920585.79000000
        0.042376662467
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2041-11-25
          Floating
          3.93870000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
        549300EX04Q2QBFQTQ27
        US ULTRA 10 YEAR TREASURY NOTE
        000000000
        
          
          
        
        -1013.00000000
        NC
        USD
        10773660.20000000
        0.237714849400
        N/A
        DIR
        CORP
        US
        N
        
        1
        
          
            
              BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
              549300EX04Q2QBFQTQ27
            
            Short
            
              
                US TREASURY N/B
                United States Treasury Note/Bond
                
                  
                  
                  
                
              
            
            2022-06-21
            -141450660.20000000
            USD
            10773660.20000000
          
        
        
          N
          N
          N
        
      
      
        MPT OPER PARTNERSP/FINL
        N/A
        MPT Operating Partnership LP / MPT Finance Corp
        000000000
        
          
          
        
        1700000.00000000
        PA
        
        1802175.19000000
        0.039763998114
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-24
          Fixed
          3.32500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Navient Student Loan Trust
        N/A
        Navient Private Education Refi Loan Trust 2021-A
        63942BAB0
        
          
        
        1850000.00000000
        PA
        USD
        1570425.60000000
        0.034650571678
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2069-05-15
          Fixed
          2.24000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        060505FQ2
        
          
          
        
        24396000.00000000
        PA
        USD
        22356259.95000000
        0.493278502247
        Long
        DBT
        CORP
        US
        N
        
        2
        
          N/A
          Fixed
          4.30000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAUSCH HEALTH COS INC
        B3BS7ACMDUWISF18KY76
        Bausch Health Cos Inc
        071734AL1
        
          
          
        
        2000000.00000000
        PA
        USD
        1389715.50000000
        0.030663303339
        Long
        DBT
        CORP
        CA
        
        N
        
        2
        
          2031-02-15
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46647PCC8
        
          
          
        
        7590000.00000000
        PA
        USD
        6531907.93000000
        0.144122933251
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-04-22
          Fixed
          2.58000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REGION OF LAZIO
        81560007498E8B065B77
        Region of Lazio Italy
        000000000
        
          
          
        
        6592747.52000000
        PA
        
        6775262.01000000
        0.149492406337
        Long
        DBT
        NUSS
        IT
        N
        
        2
        
          2043-03-31
          Fixed
          3.08800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH LIMITED
        F226TOH6YD6XJB17KS62
        IRS JPY
        000000000
        
          
        
        1.00000000
        NC
        
        104.53000000
        0.000002306396
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              LCH LIMITED
              F226TOH6YD6XJB17KS62
            
            Y
            
            
              
                
              
            
            2022-07-04
            0.00000000
            USD
            -717.45000000
            USD
            900000000.00000000
            JPY
            821.98000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Structured Agency Credit Risk Debt Notes
        35565TBD0
        
          
        
        595000.00000000
        PA
        USD
        577992.10000000
        0.012753075784
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2050-11-25
          Floating
          4.28870000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        Barclays PLC
        000000000
        
          
          
        
        1000000.00000000
        PA
        
        704515.14000000
        0.015544736635
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2028-06-15
          Fixed
          5.24400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS GS_21-PJ2-A
        000000000
        
          
        
        1.00000000
        NC
        USD
        19075.19000000
        0.000420883509
        N/A
        DCR
        CORP
        GB
        
        N
        
        3
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Y
            
            Default Event
            2022-05-14
            0.00000000
            USD
            -1030.50000000
            USD
            28618552.00000000
            USD
            20105.69000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS PLN
        000000000
        
          
        
        1.00000000
        NC
        
        -6809677.53000000
        -0.15025176573
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2031-03-26
            0.00000000
            USD
            0.00000000
            USD
            104000000.00000000
            PLN
            -6809677.53000000
          
        
        
          N
          N
          N
        
      
      
        GAZPROM PJSC (GA
        213800UNP9N6BPNYMQ45
        Gazprom PJSC via Gaz Finance PLC
        000000000
        
          
          
        
        6000000.00000000
        PA
        
        1542020.05000000
        0.034023818939
        Long
        DBT
        CORP
        GB
        
        N
        
        2
        
          2027-06-30
          Fixed
          1.54000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS EUR
        000000000
        
          
        
        1.00000000
        NC
        
        657688.14000000
        0.014511524797
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2023-05-15
            0.00000000
            USD
            0.00000000
            USD
            -14000000.00000000
            EUR
            657688.14000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. INTERNATIONAL PLC
        4PQUHN3JPFGFNF3BB653
        CDS UKRAINE REPUBLIC OF
        000000000
        
          
        
        1.00000000
        NC
        USD
        1376895.26000000
        0.030380431839
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. INTERNATIONAL PLC
              4PQUHN3JPFGFNF3BB653
            
            
              
                UKRAINE GOVERNMENT
                Ukraine Government International Bond
                
                  
                  
                
              
            
            Y
            Default Event
            
            2027-06-20
            1264.96000000
            USD
            0.00000000
            USD
            -2000000.00000000
            USD
            1375630.30000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS BRL
        000000000
        
          
        
        1.00000000
        NC
        
        -1037226.65000000
        -0.02288583195
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2027-01-04
            0.00000000
            USD
            0.00000000
            USD
            31992243.30000000
            BRL
            -1037226.65000000
          
        
        
          N
          N
          N
        
      
      
        KIMCO REALTY CORP
        549300EA7I6T15IBYS12
        Kimco Realty Corp
        49446RAY5
        
          
          
        
        4160000.00000000
        PA
        USD
        3485684.09000000
        0.076909690219
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-12-01
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENERALITAT DE CATALUNYA
        95980020140005848404
        Autonomous Community of Catalonia
        000000000
        
          
          
        
        2100000.00000000
        PA
        
        3185260.30000000
        0.070281005569
        Long
        DBT
        NUSS
        ES
        N
        
        2
        
          2041-11-30
          Fixed
          6.35000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured P
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137BN6H2
        
          
        
        44341713.31000000
        PA
        USD
        1195993.56000000
        0.026388935953
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-12-25
          Variable
          1.01762500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TOTE SHIPHOLDINGS INC
        N/A
        Tote Shipholdings LLC
        89156HAA5
        
          
        
        96000.00000000
        PA
        USD
        94271.28000000
        0.002080043616
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2040-10-16
          Fixed
          3.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        IRS ILS
        000000000
        
          
        
        1.00000000
        NC
        
        24103.00000000
        0.000531819354
        N/A
        DIR
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Y
            
            
              
                
              
            
            2023-03-06
            0.00000000
            USD
            0.00000000
            USD
            3200000.00000000
            ILS
            24103.00000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. INTERNATIONAL PLC
        4PQUHN3JPFGFNF3BB653
        IRS KRW
        000000000
        
          
        
        1.00000000
        NC
        
        -88312.12000000
        -0.00194855804
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. INTERNATIONAL PLC
              4PQUHN3JPFGFNF3BB653
            
            Y
            
            
              
                
              
            
            2027-04-26
            0.00000000
            USD
            0.00000000
            USD
            2040000000.00000000
            KRW
            -88312.12000000
          
        
        
          N
          N
          N
        
      
      
        CODERE FINANCE 2 LUXEMBO
        2221005CUH65GSJUKB29
        Codere Finance 2 Luxembourg SA
        19200EAA5
        
          
          
        
        406906.89000000
        PA
        USD
        377083.29000000
        0.008320134089
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2027-11-30
          Fixed
          13.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        J.P. MORGAN SECURITIES LLC
        ZBUT11V806EZRVTWT807
        JPY/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        257559.52000000
        0.005682908256
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              J.P. MORGAN SECURITIES LLC
              ZBUT11V806EZRVTWT807
            
            -927499890.00000000
            JPY
            7429898.72000000
            USD
            2022-07-19
            257559.52000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS JPY
        000000000
        
          
        
        1.00000000
        NC
        
        -3025.06000000
        -0.00006674627
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2022-05-12
            2698.10000000
            USD
            0.00000000
            USD
            -1800000000.00000000
            JPY
            -5723.16000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS ARGENTINA REPUBLIC OF GOVERNMENT
        000000000
        
          
        
        1.00000000
        NC
        USD
        777076.23000000
        0.017145756925
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            
              
                REPUBLIC OF ARGENTINA
                Argentine Republic Government International Bond
                
                  
                  
                  
                
              
            
            Y
            Default Event
            
            2027-06-20
            993.64000000
            USD
            0.00000000
            USD
            -1200000.00000000
            USD
            776082.59000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS JPY
        000000000
        
          
        
        1.00000000
        NC
        
        -35591.34000000
        -0.00078530321
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2031-07-07
            0.00000000
            USD
            -234.30000000
            USD
            150000000.00000000
            JPY
            -35357.04000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. INTERNATIONAL PLC
        4PQUHN3JPFGFNF3BB653
        IRS MYR
        000000000
        
          
        
        1.00000000
        NC
        
        -279252.54000000
        -0.00616155273
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. INTERNATIONAL PLC
              4PQUHN3JPFGFNF3BB653
            
            Y
            
            
              
                
              
            
            2030-02-04
            9.49000000
            USD
            0.00000000
            USD
            17800000.00000000
            MYR
            -279262.03000000
          
        
        
          N
          N
          N
        
      
      
        Fannie Mae - CAS
        B1V7KEBTPIMZEU4LTD58
        Fannie Mae Connecticut Avenue Securities
        30711XJ70
        
          
        
        390864.37000000
        PA
        USD
        393933.36000000
        0.008691921557
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2030-10-25
          Floating
          2.81786000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STRYKER CORP
        5493002F0SC4JTBU5137
        Stryker Corp
        000000000
        
          
          
        
        2300000.00000000
        PA
        
        2469421.60000000
        0.054486420849
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-11-30
          Fixed
          2.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS DKK
        000000000
        
          
        
        1.00000000
        NC
        
        -28281.46000000
        -0.00062401476
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2026-08-29
            16.35000000
            USD
            0.00000000
            USD
            5000000.00000000
            DKK
            -28297.81000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GHV4
        
          
          
        
        5140000.00000000
        PA
        USD
        4698389.24000000
        0.103667358156
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-07-23
          Fixed
          3.19400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH LIMITED
        F226TOH6YD6XJB17KS62
        IRS JPY
        000000000
        
          
        
        1.00000000
        NC
        
        174.87000000
        0.000003858409
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              LCH LIMITED
              F226TOH6YD6XJB17KS62
            
            Y
            
            
              
                
              
            
            2022-06-19
            0.00000000
            USD
            -54.17000000
            USD
            80000000.00000000
            JPY
            229.04000000
          
        
        
          N
          N
          N
        
      
      
        HSBC BANK PLC
        MP6I5ZYZBEU3UXPYFY54
        CDS RUSSIAN FEDERATION
        000000000
        
          
        
        1.00000000
        NC
        USD
        -402480.87000000
        -0.00888051763
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              HSBC BANK PLC
              MP6I5ZYZBEU3UXPYFY54
            
            
              
                RUSSIAN FEDERATION
                RUSSIAN FOREIGN BOND - EUROBOND
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2024-06-20
            0.00000000
            USD
            -386214.65000000
            USD
            686000.00000000
            USD
            -16266.22000000
          
        
        
          N
          N
          N
        
      
      
        KOREA DEVELOPMENT BANK
        549300ML2LNRZUCS7149
        Korea Development Bank/The
        000000000
        
          
        
        74000000.00000000
        PA
        
        7290670.18000000
        0.160864602344
        Long
        DBT
        NUSS
        KR
        N
        
        2
        
          2027-08-10
          Fixed
          1.83000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANQUE FED CRED MUTUEL
        VBHFXSYT7OG62HNT8T76
        Banque Federative du Credit Mutuel SA
        000000000
        
          
          
        
        200000000.00000000
        PA
        
        1568853.79000000
        0.034615890560
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2025-10-15
          Fixed
          0.99900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Race Point CLO Ltd
        5493008ABAJEYBWITR69
        Race Point VIII CLO Ltd
        74982LAY6
        
          
        
        8540381.00000000
        PA
        USD
        8503485.70000000
        0.187624705534
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2030-02-20
          Floating
          1.51957000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        CME Euro Foreign Exchange Currency
        000000000
        
          
          
        
        -473.00000000
        NC
        USD
        1951775.38000000
        0.043064843507
        N/A
        DFE
        CORP
        US
        N
        
        1
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Short
            
              
                CHICAGO MERCANTILE EXCHANGE
                EURO CURRENCY 2PM
                
                  
                  
                
              
            
            2022-06-13
            -64559237.88000000
            USD
            1951775.38000000
          
        
        
          N
          N
          N
        
      
      
        PETROLEOS MEXICANOS
        549300CAZKPF4HKMPX17
        Petroleos Mexicanos
        000000000
        
          
          
        
        20500000.00000000
        PA
        
        19740251.26000000
        0.435557718388
        Long
        DBT
        CORP
        MX
        N
        
        2
        
          2028-02-21
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OZLM Ltd
        549300ROA1URR67W0G46
        OZLM XX Ltd
        67112MAA3
        
          
        
        5000000.00000000
        PA
        USD
        4953994.50000000
        0.109307146748
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2031-04-20
          Floating
          2.11271000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANCO SANTANDER SA
        5493006QMFDDMYWIAM13
        Banco Santander SA
        05971KAG4
        
          
          
        
        600000.00000000
        PA
        USD
        495281.21000000
        0.010928105774
        Long
        DBT
        CORP
        ES
        N
        
        2
        
          2030-12-03
          Fixed
          2.74900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        CDS GAZPROM PAO
        000000000
        
          
        
        1.00000000
        NC
        
        1209400.43000000
        0.026684751119
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                Gazprom PJSC Via Gaz Capital SA
                GAZPROM (GAZ CAPITAL SA)
                
                  
                  
                  
                
              
            
            Y
            Default Event
            
            2025-06-20
            14847.27000000
            USD
            0.00000000
            USD
            -2000000.00000000
            EUR
            1194553.16000000
          
        
        
          N
          N
          N
        
      
      
        BERKSHIRE HATHAWAY INC
        5493000C01ZX7D35SD85
        Berkshire Hathaway Inc
        000000000
        
          
          
        
        100000000.00000000
        PA
        
        736960.39000000
        0.016260623118
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2034-09-13
          Fixed
          0.78700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEWDAY FUNDING
        213800GBPRAJHSB5YK19
        Newday Funding Master Issuer PLC - Series 2021-1
        65120LAA9
        
          
          
        
        3500000.00000000
        PA
        USD
        3507747.60000000
        0.077396509356
        Long
        ABS-O
        CORP
        GB
        N
        
        2
        
          2029-03-15
          Floating
          1.32002000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MCDONALD'S CORP
        UE2136O97NLB5BYP9H04
        McDonald's Corp
        000000000
        
          
          
        
        5090000.00000000
        PA
        
        3419279.30000000
        0.075444505281
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-03-08
          Fixed
          3.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Home Re Ltd
        N/A
        Home RE 2021-1 Ltd
        437307AB7
        
          
        
        9211000.00000000
        PA
        USD
        9153780.35000000
        0.201973097067
        Long
        ABS-MBS
        CORP
        BM
        
        N
        
        2
        
          2033-07-25
          Floating
          2.21786000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        CDS REPUBLIC OF GREECE
        000000000
        
          
        
        1.00000000
        NC
        USD
        -821908.57000000
        -0.01813495769
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                HELLENIC REPUBLIC
                Hellenic Republic Government Bond
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2031-12-20
            0.00000000
            USD
            -311539.87000000
            USD
            10590000.00000000
            USD
            -510368.70000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF INDONESIA
        529900FWX0GRR7WG5W79
        Indonesia Government International Bond
        000000000
        
          
          
        
        5195000.00000000
        PA
        
        5529144.11000000
        0.121997504564
        Long
        DBT
        NUSS
        ID
        N
        
        2
        
          2024-07-18
          Fixed
          2.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE GROUP AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        225401AT5
        
          
          
        
        6440000.00000000
        PA
        USD
        5637923.18000000
        0.124397654537
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2027-02-02
          Fixed
          1.30500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ASCENT RESOURCES/ARU FIN
        N/A
        Ascent Resources Utica Holdings LLC / ARU Finance Corp
        04364VAG8
        
          
          
        
        575000.00000000
        PA
        USD
        579241.71000000
        0.012780647737
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-11-01
          Fixed
          7.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MARRIOTT INTERNATIONAL
        225YDZ14ZO8E1TXUSU86
        Marriott International Inc/MD
        571903BD4
        
          
          
        
        875000.00000000
        PA
        USD
        917436.36000000
        0.020242725508
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-05-01
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -667531.31000000
        -0.01472870889
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2046-11-08
            0.00000000
            USD
            0.00000000
            USD
            2500000.00000000
            EUR
            -667531.31000000
          
        
        
          N
          N
          N
        
      
      
        TENN VALLEY AUTHORITY
        549300HE1ISW43LNKM54
        Tennessee Valley Authority
        880591DP4
        
          
          
        
        12971000.00000000
        PA
        
        20687200.78000000
        0.456451635437
        Long
        DBT
        USGA
        US
        N
        
        2
        
          2032-06-07
          Fixed
          5.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS JPY
        000000000
        
          
        
        1.00000000
        NC
        
        -265687.97000000
        -0.00586225800
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2032-05-29
            0.00000000
            USD
            -2.95000000
            USD
            800000000.00000000
            JPY
            -265685.02000000
          
        
        
          N
          N
          N
        
      
      
        RYDER SYSTEM INC
        ZXJ6Y2OSPZXIVGRILD15
        Ryder System Inc
        78355HKQ1
        
          
          
        
        9000000.00000000
        PA
        USD
        9149510.43000000
        0.201878883645
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-06-01
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Oak Hill European Credit Partn
        549300KDAJJQKITHIP59
        OAK Hill European Credit Partners VI DAC
        000000000
        
          
        
        2985956.50000000
        PA
        
        3133398.53000000
        0.069136704318
        Long
        ABS-CBDO
        CORP
        IE
        N
        
        2
        
          2032-01-20
          Fixed
          1.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. INTERNATIONAL PLC
        4PQUHN3JPFGFNF3BB653
        CDS GOVERNMENT OF MEXICO
        000000000
        
          
        
        1.00000000
        NC
        USD
        207735.56000000
        0.004583570155
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. INTERNATIONAL PLC
              4PQUHN3JPFGFNF3BB653
            
            
              
                MEXICO GOVERNMENT INTERNATIONAL BOND
                MEXICO GOVERNMENT INTERNATIONAL BOND
                
                  
                  
                  
                
              
            
            Y
            Default Event
            
            2027-06-20
            7589.76000000
            USD
            0.00000000
            USD
            -12000000.00000000
            USD
            200145.80000000
          
        
        
          N
          N
          N
        
      
      
        Cantor Commercial Real Estate
        N/A
        Cantor Commercial Real Estate Lending 2019-CF2
        12528YAD5
        
          
        
        16531000.00000000
        PA
        USD
        15776624.35000000
        0.348102484372
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2052-11-15
          Fixed
          2.64660000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Paragon Mortgages PLC
        NC14LGCCXH6KWEV2DR91
        Paragon Mortgages No 12 PLC
        000000000
        
          
          
        
        945612.86000000
        PA
        
        955992.76000000
        0.021093451134
        Long
        ABS-MBS
        CORP
        GB
        N
        
        2
        
          2038-11-15
          Floating
          0.01000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED KINGDOM GILT
        ECTRVYYCEF89VWYS6K36
        United Kingdom Gilt
        000000000
        
          
          
        
        100000.00000000
        PA
        
        97281.13000000
        0.002146454291
        Long
        DBT
        NUSS
        GB
        N
        
        2
        
          2046-01-31
          Fixed
          0.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        INTER-AMERICAN DEVEL BK
        VKU1UKDS9E7LYLMACP54
        Inter-American Development Bank
        000000000
        
          
          
        
        137000000000.00000000
        PA
        
        9605032.48000000
        0.211929725560
        Long
        DBT
        NUSS
        N/A
        N
        
        2
        
          2023-03-14
          Fixed
          7.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COOPERATIEVE RABOBANK UA
        DG3RU1DBUFHT4ZF9WN62
        Cooperatieve Rabobank UA
        000000000
        
          
          
        
        300000000.00000000
        PA
        
        2333030.24000000
        0.051477020980
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2024-12-19
          Fixed
          1.42900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MAGALLANES INC
        549300DXR29GD4N0A520
        Magallanes Inc
        55903VAQ6
        
          
          
        
        7895000.00000000
        PA
        USD
        7062953.69000000
        0.155840164027
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2052-03-15
          Fixed
          5.14100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED AIRLINES INC
        K1OQBWM7XEOO08LDNP29
        United Airlines Inc
        90932LAG2
        
          
          
        
        3750000.00000000
        PA
        USD
        3613497.04000000
        0.079729812220
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2026-04-15
          Fixed
          4.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HELLENIC REPUBLIC
        2138003EKTMKZ5598902
        Hellenic Republic Government Bond
        000000000
        
          
          
        
        75646000.00000000
        PA
        
        67524261.03000000
        1.489885446882
        Long
        DBT
        NUSS
        GR
        N
        
        2
        
          2035-02-04
          Fixed
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Trust 2014-GC20
        36252WBA5
        
          
        
        30000000.00000000
        PA
        USD
        247575.00000000
        0.005462605349
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-04-10
          Variable
          0.63183400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Anchorage Capital Europe CLO
        635400DODOOELVF8BK72
        Anchorage Capital Europe CLO 2021-4 DAC
        000000000
        
          
          
        
        4000000.00000000
        PA
        
        4165276.81000000
        0.091904527451
        Long
        ABS-CBDO
        CORP
        IE
        N
        
        2
        
          2034-04-25
          Floating
          0.87000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WESTPAC BANKING CORP
        EN5TNI6CI43VEPAMHL14
        WESTPAC BANKING CORP
        000000000
        
          
          
        
        21000000.00000000
        PA
        
        3184518.71000000
        0.070264642796
        Long
        DBT
        CORP
        AU
        N
        
        2
        
          2023-08-14
          Fixed
          4.42000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. INTERNATIONAL PLC
        4PQUHN3JPFGFNF3BB653
        CDS ITALY REPUBLIC OF
        000000000
        
          
        
        1.00000000
        NC
        USD
        34820.50000000
        0.000768295060
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. INTERNATIONAL PLC
              4PQUHN3JPFGFNF3BB653
            
            
              
                ITALY GOV'T INT BOND
                Republic of Italy Government International Bond
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2023-06-20
            0.00000000
            USD
            0.00000000
            USD
            4000000.00000000
            USD
            34820.50000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA, NATIONAL ASSOCIATION
        B4TYDEB6GKMZO031MB27
        CDS REPUBLIC OF PHILIPPINES
        000000000
        
          
        
        1.00000000
        NC
        USD
        1895.28000000
        0.000041818304
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              BANK OF AMERICA, NATIONAL ASSOCIATION
              B4TYDEB6GKMZO031MB27
            
            
              
                PHILIPPINE GOVERNMENT INTERNATIONAL BOND
                PHILIPPINE GOVERNMENT INTERNATIONAL BOND
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2022-06-20
            0.00000000
            USD
            -866.43000000
            USD
            848744.19000000
            USD
            2761.71000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS AUD
        000000000
        
          
        
        1.00000000
        NC
        
        -357227.03000000
        -0.00788201670
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2033-07-10
            122120.70000000
            USD
            0.00000000
            USD
            10000000.00000000
            AUD
            -479347.73000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF CYPRUS
        213800IOEYYAHPDLUL60
        Cyprus Government International Bond
        000000000
        
          
          
        
        10200000.00000000
        PA
        
        10813282.79000000
        0.238589099918
        Long
        DBT
        NUSS
        CY
        N
        
        2
        
          2034-02-26
          Fixed
          2.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TUNISIAN REPUBLIC
        254900B5LFB16S9T2T11
        Tunisian Republic
        000000000
        
          
          
        
        100000000.00000000
        PA
        
        364654.21000000
        0.008045893317
        Long
        DBT
        NUSS
        TN
        N
        
        2
        
          2031-03-17
          Fixed
          4.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BON Y OBLIG ESTADO STRIP
        9598007A56S18711AH60
        Spain Government Bond Coupon Strip
        000000000
        
          
        
        300000.00000000
        PA
        
        129977.31000000
        0.002867877406
        Long
        DBT
        NUSS
        ES
        N
        
        2
        
          2054-07-30
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        QNB FINANCE LTD
        549300MY0DXTHQEX5O57
        QNB Finance Ltd
        000000000
        
          
          
        
        970000.00000000
        PA
        
        691460.00000000
        0.015256682196
        Long
        DBT
        CORP
        KY
        
        N
        
        2
        
          2028-02-01
          Fixed
          4.90000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AIRPORT AUTHORITY HK
        254900748HGC4RBR4O84
        Airport Authority
        000000000
        
          
          
        
        3000000.00000000
        PA
        
        333488.79000000
        0.007358245574
        Long
        DBT
        NUSS
        HK
        N
        
        2
        
          2030-11-20
          Fixed
          1.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-DNA5
        35564KJA8
        
          
        
        3330000.00000000
        PA
        USD
        3146585.93000000
        0.069427677000
        Long
        ABS-MBS
        CORP
        US
        Y
        
        2
        
          2034-01-25
          Floating
          3.33870000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAESARS ENTERTAIN INC
        549300FA4CTCW903Y781
        Caesars Entertainment Inc
        12769GAA8
        
          
          
        
        575000.00000000
        PA
        USD
        496435.69000000
        0.010953578736
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-10-15
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STRIPS
        254900HROIFWPRGM1V77
        United States Treasury Strip Coupon
        912833X96
        
          
          
        
        800000.00000000
        PA
        USD
        529125.00000000
        0.011674850269
        Long
        DBT
        UST
        US
        N
        
        2
        
          2035-11-15
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS CNY
        000000000
        
          
        
        1.00000000
        NC
        
        8617.64000000
        0.000190143456
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2025-03-12
            0.00000000
            USD
            -4.25000000
            USD
            25000000.00000000
            CNY
            8621.89000000
          
        
        
          N
          N
          N
        
      
      
        Taurus CMBS
        6354001CXJE7XMMVG324
        Taurus 2021-4 UK DAC
        000000000
        
          
          
        
        8427270.78000000
        PA
        
        10521851.09000000
        0.232158820757
        Long
        ABS-MBS
        CORP
        IE
        
        N
        
        2
        
          2031-08-17
          Floating
          1.90522000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF SOUTH AFRICA
        378900AAFB4F17004C49
        Republic of South Africa Government International Bond
        000000000
        
          
          
        
        5415000.00000000
        PA
        
        5692723.46000000
        0.125606792385
        Long
        DBT
        NUSS
        ZA
        N
        
        2
        
          2026-07-24
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GJZ3
        
          
          
        
        25850000.00000000
        PA
        USD
        22505371.90000000
        0.496568574894
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-06-14
          Fixed
          2.08700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK, NATIONAL ASSOCIATION
        E57ODZWZ7FF32TWEFA76
        IRS ILS
        000000000
        
          
        
        1.00000000
        NC
        
        -168867.24000000
        -0.00372596218
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CITIBANK, NATIONAL ASSOCIATION
              E57ODZWZ7FF32TWEFA76
            
            Y
            
            
              
                
              
            
            2029-07-12
            0.00000000
            USD
            -2437.29000000
            USD
            12160000.00000000
            ILS
            -166429.95000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -147291.86000000
        -0.00324991336
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2031-08-26
            134.93000000
            USD
            0.00000000
            USD
            1500000.00000000
            EUR
            -147426.79000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -1441003.99000000
        -0.03179495548
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2041-11-24
            0.00000000
            USD
            0.00000000
            USD
            12485000.00000000
            EUR
            -1441003.99000000
          
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE INTERNATIONAL
        E58DKGMJYYYJLN8C3868
        CDS KINGDOM OF SPAIN
        000000000
        
          
        
        1.00000000
        NC
        USD
        28106.37000000
        0.000620151497
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              CREDIT SUISSE INTERNATIONAL
              E58DKGMJYYYJLN8C3868
            
            
              
                SPAIN GOVERNMENT INTERNATIONAL BOND
                SPAIN GOVERNMENT INTERNATIONAL BOND
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2030-06-20
            0.00000000
            USD
            -3355.95000000
            USD
            1100000.00000000
            USD
            31462.32000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS JPY
        000000000
        
          
        
        1.00000000
        NC
        
        -99.57000000
        -0.00000219695
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2022-06-03
            97.99000000
            USD
            0.00000000
            USD
            -70000000.00000000
            JPY
            -197.56000000
          
        
        
          N
          N
          N
        
      
      
        MET LIFE GLOB FUNDING I
        635400MMSOCXNNNZDZ82
        Metropolitan Life Global Funding I
        000000000
        
          
          
        
        300000.00000000
        PA
        
        207185.19000000
        0.004571426546
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-07-13
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ASCENT RESOURCES/ARU FIN
        N/A
        Ascent Resources Utica Holdings LLC / ARU Finance Corp
        04364VAK9
        
          
          
        
        629000.00000000
        PA
        USD
        875219.54000000
        0.019311234741
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-11-01
          Fixed
          9.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TIME WARNER ENTERTAINMEN
        N/A
        Time Warner Entertainment Co LP
        88731EAJ9
        
          
          
        
        2065000.00000000
        PA
        USD
        2518967.68000000
        0.055579627682
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-07-15
          Fixed
          8.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK NY
        7LTWFZYICNSX8D621K86
        Deutsche Bank AG/New York NY
        251526CE7
        
          
          
        
        3760000.00000000
        PA
        USD
        3412858.34000000
        0.075302830352
        Long
        DBT
        CORP
        DE
        N
        
        2
        
          2026-11-24
          Fixed
          2.12900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EUREX CLEARING AKTIENGESELLSCHAFT
        529900LN3S50JPU47S06
        EUREX 30 YEAR EURO BUXL
        000000000
        
          
          
        
        -75.00000000
        NC
        
        1710183.25000000
        0.037734246873
        N/A
        DIR
        CORP
        DE
        
        N
        
        1
        
          
            
              EUREX CLEARING AKTIENGESELLSCHAFT
              529900LN3S50JPU47S06
            
            Short
            
              
                BUNDESREPUB. DEUTSCHLAND
                Bundesrepublik Deutschland Bundesanleihe
                
                  
                  
                  
                
              
            
            2022-06-08
            -15900072.23000000
            USD
            1710183.25000000
          
        
        
          N
          N
          N
        
      
      
        HSBC BANK PLC
        MP6I5ZYZBEU3UXPYFY54
        CDS RUSSIAN FEDERATION
        000000000
        
          
        
        1.00000000
        NC
        USD
        -281753.67000000
        -0.00621673878
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              HSBC BANK PLC
              MP6I5ZYZBEU3UXPYFY54
            
            
              
                RUSSIAN FEDERATION
                RUSSIAN FOREIGN BOND - EUROBOND
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2026-06-20
            0.00000000
            USD
            -284160.24000000
            USD
            451357.00000000
            USD
            2406.57000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS GROUP INC
        784F5XWPLTWKTBV3E584
        Goldman Sachs Group Inc/The
        000000000
        
          
          
        
        100000000.00000000
        PA
        
        779126.69000000
        0.017190999190
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2024-08-06
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK, NATIONAL ASSOCIATION
        E57ODZWZ7FF32TWEFA76
        CDS CDX.NA.HY.BB.36.V1
        000000000
        
          
        
        1.00000000
        NC
        USD
        1473297.20000000
        0.032507487290
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, NATIONAL ASSOCIATION
              E57ODZWZ7FF32TWEFA76
            
            
              
                IHS MARKIT LTD
                CDX.NA.HY.BB.36
                
                  
                  
                
              
            
            Y
            
            Default Event
            2026-06-20
            1948502.83000000
            USD
            0.00000000
            USD
            15300000.00000000
            USD
            -475205.63000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        000000000
        
          
          
        
        1100000.00000000
        PA
        
        1098201.33000000
        0.024231204523
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-03-06
          Fixed
          1.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VECTOR GROUP LTD
        549300TUIF4WWN6NDN50
        Vector Group Ltd
        92240MBL1
        
          
          
        
        4750000.00000000
        PA
        USD
        4180714.07000000
        0.092245142049
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-02-01
          Fixed
          5.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. INTERNATIONAL PLC
        4PQUHN3JPFGFNF3BB653
        CDS MARRIOTT INTERNATIONAL INC
        000000000
        
          
        
        1.00000000
        NC
        USD
        -11891.58000000
        -0.00026238113
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. INTERNATIONAL PLC
              4PQUHN3JPFGFNF3BB653
            
            
              
                MARRIOTT INTERNATIONAL
                Marriott International Inc/MD
                
                  
                  
                  
                  
                
              
            
            Y
            Default Event
            
            2025-06-20
            25508.66000000
            USD
            0.00000000
            USD
            -875000.00000000
            USD
            -37400.24000000
          
        
        
          N
          N
          N
        
      
      
        SUZANO AUSTRIA GMBH
        254900287ZNSGVP1R341
        Suzano Austria GmbH
        000000000
        
          
          
        
        200000.00000000
        PA
        USD
        202321.79000000
        0.004464118317
        Long
        DBT
        CORP
        AT
        
        N
        
        2
        
          2029-01-15
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        QUEBEC CITY
        N/A
        City of Quebec Canada
        747874UF0
        
          
        
        3000000.00000000
        PA
        
        2015984.26000000
        0.044481576907
        Long
        DBT
        NUSS
        CA
        N
        
        2
        
          2031-07-06
          Fixed
          2.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EXPORT-IMPORT BANK OF CHINA/THE
        300300C1020211000045
        EXPORT-IMPORT BANK OF CHINA/THE
        000000000
        
          
          
        
        20000000.00000000
        PA
        
        3093336.85000000
        0.068252765521
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2024-05-14
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED RENTALS NORTH AM
        NGIZXNT70J2LYT3FBI09
        United Rentals North America Inc
        911365BP8
        
          
          
        
        250000.00000000
        PA
        USD
        217740.28000000
        0.004804318765
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-01-15
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DP WORLD PLC
        549300M3U2DNF4QVSS04
        DP World Ltd/United Arab Emirates
        000000000
        
          
          
        
        6825000.00000000
        PA
        
        8770634.52000000
        0.193519196388
        Long
        DBT
        CORP
        AE
        N
        
        2
        
          2030-09-25
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MIZUHO BANK LTD/SYDNEY
        RB0PEZSDGCO3JS6CEU02
        Mizuho Bank Ltd/Sydney
        000000000
        
          
          
        
        600000.00000000
        PA
        
        406171.57000000
        0.008961950887
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2024-08-07
          Fixed
          1.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MOZART DEBT MERGER SUB
        N/A
        Mozart Debt Merger Sub Inc
        62482BAB8
        
          
          
        
        550000.00000000
        PA
        USD
        478439.43000000
        0.010556501220
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-10-01
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        EXPORT-IMPORT BANK KOREA
        549300APVP4R32PI3Y06
        Export-Import Bank of Korea
        30215EAX5
        
          
        
        40000000.00000000
        PA
        
        2765.99000000
        0.000061030038
        Long
        DBT
        NUSS
        KR
        N
        
        2
        
          2024-12-02
          Fixed
          6.70000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CALPINE CORP
        43R4VPJBXTU2O15HEF41
        Calpine Corp
        131347CN4
        
          
          
        
        5000000.00000000
        PA
        USD
        4542021.30000000
        0.100217186105
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-15
          Fixed
          5.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CF INDUSTRIES INC
        5FVKT86LAD2F40NPC183
        CF Industries Inc
        12527GAD5
        
          
          
        
        1230000.00000000
        PA
        USD
        1188791.04000000
        0.026230016335
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2043-06-01
          Fixed
          4.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANDORRA INTERNATIONAL BD
        549300ZPD490G9UI0A49
        Andorra International Bond
        000000000
        
          
          
        
        400000.00000000
        PA
        
        376937.66000000
        0.008316920843
        Long
        DBT
        NUSS
        AD
        N
        
        2
        
          2031-05-06
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS JPY
        000000000
        
          
        
        1.00000000
        NC
        
        3721.99000000
        0.000082123649
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2022-05-12
            0.00000000
            USD
            -56.78000000
            USD
            1800000000.00000000
            JPY
            3778.77000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF CYPRUS
        213800IOEYYAHPDLUL60
        Cyprus Government International Bond
        000000000
        
          
          
        
        4700000.00000000
        PA
        
        5082145.71000000
        0.112134732269
        Long
        DBT
        NUSS
        CY
        N
        
        2
        
          2028-09-25
          Fixed
          2.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE & CO
        8I5DZWZKVSZI1NUHU748
        JPMorgan Chase & Co
        46625HHA1
        
          
          
        
        219000.00000000
        PA
        USD
        216330.48000000
        0.004773212308
        Long
        DBT
        CORP
        US
        N
        
        2
        
          N/A
          Floating
          3.76900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GS Mortgage Securities Trust
        N/A
        GS Mortgage Securities Trust 2014-GC22
        36253BAX1
        
          
        
        35000000.00000000
        PA
        USD
        247425.50000000
        0.005459306714
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2047-06-10
          Variable
          0.45230400
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS MXN
        000000000
        
          
        
        1.00000000
        NC
        
        -168308.15000000
        -0.00371362617
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2033-01-03
            0.00000000
            USD
            -22.08000000
            USD
            15290000.00000000
            MXN
            -168286.07000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        IRS ILS
        000000000
        
          
        
        1.00000000
        NC
        
        -930783.65000000
        -0.02053722607
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            Y
            
            
              
                
              
            
            2027-07-13
            0.00000000
            USD
            0.00000000
            USD
            37240000.00000000
            ILS
            -930783.65000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS SEK
        000000000
        
          
        
        1.00000000
        NC
        
        -1278351.33000000
        -0.02820611456
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2031-04-13
            0.00000000
            USD
            0.00000000
            USD
            100000000.00000000
            SEK
            -1278351.33000000
          
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-HQA4
        35564KPN3
        
          
        
        1230000.00000000
        PA
        USD
        1116250.58000000
        0.024629451234
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2041-12-25
          Floating
          4.03870000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS JPY
        000000000
        
          
        
        1.00000000
        NC
        
        -553768.60000000
        -0.01221859766
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2040-03-25
            0.00000000
            USD
            -2025.69000000
            USD
            800000000.00000000
            JPY
            -551742.91000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS CNY
        000000000
        
          
        
        1.00000000
        NC
        
        222297.48000000
        0.004904870860
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2025-07-13
            0.00000000
            USD
            -137.97000000
            USD
            161860000.00000000
            CNY
            222435.45000000
          
        
        
          N
          N
          N
        
      
      
        JAPAN (10 YEAR ISSUE)
        353800WZS8AXZXFUC241
        Japan Government Ten Year Bond
        000000000
        
          
          
        
        100000000.00000000
        PA
        
        765150.60000000
        0.016882624500
        Long
        DBT
        NUSS
        JP
        N
        
        2
        
          2030-09-20
          Fixed
          0.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        -728440.88000000
        -0.01607264484
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2031-04-09
            0.00000000
            USD
            -5450.72000000
            USD
            213000000.00000000
            ZAR
            -722990.16000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA, NATIONAL ASSOCIATION
        B4TYDEB6GKMZO031MB27
        CDS AMERICAN INTERNATIONAL GROUP INC
        000000000
        
          
        
        1.00000000
        NC
        USD
        45570.18000000
        0.001005480799
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              BANK OF AMERICA, NATIONAL ASSOCIATION
              B4TYDEB6GKMZO031MB27
            
            
              
                AMERICAN INTL GROUP
                American International Group Inc
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2026-06-20
            40602.16000000
            USD
            0.00000000
            USD
            3260000.00000000
            USD
            4968.02000000
          
        
        
          N
          N
          N
        
      
      
        STANDARD CHARTERED BANK
        RILFO74KP1CM8P6PCT96
        IRS CNY
        000000000
        
          
        
        1.00000000
        NC
        
        1256.42000000
        0.000027722211
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              STANDARD CHARTERED BANK
              RILFO74KP1CM8P6PCT96
            
            Y
            
            
              
                
              
            
            2031-10-14
            0.00000000
            USD
            0.00000000
            USD
            5000000.00000000
            CNY
            1256.42000000
          
        
        
          N
          N
          N
        
      
      
        CPUK FINANCE LTD
        6354003CVDDPNXREIR29
        CPUK Finance Ltd
        000000000
        
          
          
        
        110000.00000000
        PA
        
        132865.65000000
        0.002931607029
        Long
        DBT
        CORP
        JE
        
        N
        
        2
        
          2025-08-28
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA
        315700IASY927EDWBK92
        Romanian Government International Bond
        000000000
        
          
          
        
        700000.00000000
        PA
        
        694823.96000000
        0.015330906112
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2028-05-26
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA, NATIONAL ASSOCIATION
        B4TYDEB6GKMZO031MB27
        CDS REPUBLIC OF INDONESIA
        000000000
        
          
        
        1.00000000
        NC
        USD
        -7851.70000000
        -0.00017324341
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              BANK OF AMERICA, NATIONAL ASSOCIATION
              B4TYDEB6GKMZO031MB27
            
            
              
                REPUBLIC OF INDONESIA
                Indonesia Government International Bond
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2026-12-20
            0.00000000
            USD
            -9569.76000000
            USD
            4500000.00000000
            USD
            1718.06000000
          
        
        
          N
          N
          N
        
      
      
        BOC AVIATION USA CORP
        254900QKLTY6MF4Y3P65
        BOC Aviation USA Corp
        66980P2A6
        
          
          
        
        1670000.00000000
        PA
        USD
        1602536.16000000
        0.035359073412
        Long
        DBT
        CORP
        US
        
        N
        
        2
        
          2024-04-29
          Fixed
          1.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RUSSIAN FEDERATION
        5493004EHVGF71PDBU58
        Russian Foreign Bond - Eurobond
        000000000
        
          
          
        
        6000000.00000000
        PA
        USD
        1200000.00000000
        0.026477335834
        Long
        DBT
        NUSS
        RU
        N
        
        2
        
          2035-03-28
          Fixed
          5.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JBS USA/FOOD/FINANCE
        N/A
        JBS USA LUX SA / JBS USA Food Co / JBS USA Finance Inc
        46590XAA4
        
          
          
        
        1150000.00000000
        PA
        USD
        1189696.60000000
        0.026249997016
        Long
        DBT
        CORP
        N/A
        N
        
        2
        
          2029-04-15
          Fixed
          6.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS EMIRATE OF DUBAI
        000000000
        
          
        
        1.00000000
        NC
        USD
        -24785.07000000
        -0.00054686885
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            
              
                ABU DHABI GOVERNMENT INTERNATIONAL BOND
                ABU DHABI GOVERNMENT INTERNATIONAL BOND
                
                  
                  
                
              
            
            Y
            Default Event
            
            2027-06-20
            993.64000000
            USD
            0.00000000
            USD
            -1200000.00000000
            USD
            -25778.71000000
          
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured P
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137BGK32
        
          
          
        
        11724983.25000000
        PA
        USD
        144686.29000000
        0.003192422909
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2024-12-25
          Variable
          0.64346200
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        BARCLAYS BANK PLC
        000000000
        
          
        
        18000000.00000000
        PA
        
        2530562.98000000
        0.055835471559
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2025-11-13
          Fixed
          2.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        Barclays PLC
        06738EBU8
        
          
          
        
        2714000.00000000
        PA
        USD
        2443312.64000000
        0.053910341098
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2027-11-24
          Fixed
          2.27900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS EUR
        000000000
        
          
        
        1.00000000
        NC
        
        3135104.03000000
        0.069174335231
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2041-11-25
            0.00000000
            USD
            0.00000000
            USD
            -30272000.00000000
            EUR
            3135104.03000000
          
        
        
          N
          N
          N
        
      
      
        PORTUGAL GOVERNMENT INTERNATIONAL BOND
        549300P6U1FJ3IMP7K42
        PORTUGAL GOVERNMENT INTERNATIONAL BOND
        000000000
        
          
        
        70800000.00000000
        PA
        
        10665474.44000000
        0.235327790483
        Long
        DBT
        NUSS
        PT
        N
        
        2
        
          2022-06-03
          Fixed
          4.09000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS CNY
        000000000
        
          
        
        1.00000000
        NC
        
        169371.19000000
        0.003737081565
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2024-09-03
            0.00000000
            USD
            -52.42000000
            USD
            78000000.00000000
            CNY
            169423.61000000
          
        
        
          N
          N
          N
        
      
      
        CF INDUSTRIES INC
        5FVKT86LAD2F40NPC183
        CF Industries Inc
        12527GAE3
        
          
          
        
        3560000.00000000
        PA
        USD
        3597223.72000000
        0.079370750421
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2044-03-15
          Fixed
          5.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF AUSTRIA
        529900QWWUI4XRVR7I03
        Republic of Austria Government Bond
        000000000
        
          
          
        
        100000.00000000
        PA
        
        84215.73000000
        0.001858173471
        Long
        DBT
        NUSS
        AT
        N
        
        2
        
          2051-03-20
          Fixed
          0.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        China Government Bond
        300300CHN201808MOF68
        CHINA GOVERNMENT BOND
        000000000
        
          
          
        
        48500000.00000000
        PA
        
        8336205.53000000
        0.183933761168
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2046-12-12
          Fixed
          4.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        CDS CATALONIA AUTONOMOUS COMMUNITY OF
        000000000
        
          
        
        1.00000000
        NC
        USD
        50432.83000000
        0.001112772480
        N/A
        DCR
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            
              
                GENERALITAT DE CATALUNYA
                Autonomous Community of Catalonia
                
                  
                  
                
              
            
            Y
            
            Default Event
            2025-12-20
            0.00000000
            USD
            -34033.10000000
            USD
            4900000.00000000
            USD
            84465.93000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS CZK
        000000000
        
          
        
        1.00000000
        NC
        
        -1205206.41000000
        -0.02659221238
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2030-03-31
            0.00000000
            USD
            0.00000000
            USD
            106030000.00000000
            CZK
            -1205206.41000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS REPUBLIC OF COLOMBIA
        000000000
        
          
        
        1.00000000
        NC
        USD
        219582.37000000
        0.004844963461
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            
              
                COLOMBIA GOVERNMENT INTERNATIONAL BOND
                COLOMBIA GOVERNMENT INTERNATIONAL BOND
                
                  
                  
                  
                
              
            
            Y
            Default Event
            
            2027-06-20
            2980.92000000
            USD
            0.00000000
            USD
            -3600000.00000000
            USD
            216601.45000000
          
        
        
          N
          N
          N
        
      
      
        LIBERTY MUTUAL GROUP INC
        QUR0DG15Z6FFGYCHH861
        Liberty Mutual Group Inc
        53079EBJ2
        
          
          
        
        90000.00000000
        PA
        USD
        75728.34000000
        0.001670903908
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2050-10-15
          Fixed
          3.95100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS JPY
        000000000
        
          
        
        1.00000000
        NC
        
        -306.70000000
        -0.00000676716
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2022-07-02
            361.70000000
            USD
            0.00000000
            USD
            -300000000.00000000
            JPY
            -668.40000000
          
        
        
          N
          N
          N
        
      
      
        BOMBARDIER INC
        W7L3VLU8EHQY34Z36697
        Bombardier Inc
        097751BR1
        
          
          
        
        3242000.00000000
        PA
        USD
        3236553.99000000
        0.071412772449
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2024-12-01
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS JPY
        000000000
        
          
        
        1.00000000
        NC
        
        -8512.81000000
        -0.00018783044
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2036-05-16
            0.00000000
            USD
            -137.32000000
            USD
            65000000.00000000
            JPY
            -8375.49000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS GBP
        000000000
        
          
        
        1.00000000
        NC
        
        -1475449.38000000
        -0.03255497395
        N/A
        DIR
        CORP
        GB
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2046-05-08
            2506911.34000000
            USD
            0.00000000
            USD
            13725000.00000000
            GBP
            -3982360.72000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. INTERNATIONAL PLC
        4PQUHN3JPFGFNF3BB653
        CDS REPUBLIC OF INDONESIA
        000000000
        
          
        
        1.00000000
        NC
        USD
        61417.95000000
        0.001355153073
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. INTERNATIONAL PLC
              4PQUHN3JPFGFNF3BB653
            
            
              
                REPUBLIC OF INDONESIA
                Indonesia Government International Bond
                
                  
                  
                  
                
              
            
            Y
            Default Event
            
            2027-06-20
            5692.32000000
            USD
            0.00000000
            USD
            -9000000.00000000
            USD
            55725.63000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS BRL
        000000000
        
          
        
        1.00000000
        NC
        
        -1592000.37000000
        -0.03512660703
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2029-01-02
            0.00000000
            USD
            0.00000000
            USD
            33887526.14000000
            BRL
            -1592000.37000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF PANAMA
        549300SHS4T08CL0LP14
        Panama Government International Bond
        698299AS3
        
          
          
        
        3806000.00000000
        PA
        USD
        3994573.52000000
        0.088138053836
        Long
        DBT
        NUSS
        PA
        N
        
        2
        
          2023-01-16
          Fixed
          9.37500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS NZD
        000000000
        
          
        
        1.00000000
        NC
        
        -786144.52000000
        -0.01734584372
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2029-07-22
            0.00000000
            USD
            0.00000000
            USD
            9250000.00000000
            NZD
            -786144.52000000
          
        
        
          N
          N
          N
        
      
      
        AFLAC INC
        549300N0B7DOGLXWPP39
        Aflac Inc
        001055AV4
        
          
          
        
        600000000.00000000
        PA
        
        4676336.75000000
        0.103180782170
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-10-18
          Fixed
          1.15900000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TENET HEALTHCARE CORP
        0W9AIBT6U6ADJ2I8HK17
        Tenet Healthcare Corp
        88033GDJ6
        
          
          
        
        2900000.00000000
        PA
        USD
        2782270.85000000
        0.061389266398
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-10-01
          Fixed
          6.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REP OF ITALY CPN STRIP
        815600DE60799F5A9309
        Repubic of Italy Government International Bond Coupon Strip
        000000000
        
          
          
        
        5323570.56000000
        PA
        
        4269464.76000000
        0.094203376902
        Long
        DBT
        NUSS
        IT
        N
        
        2
        
          2031-02-20
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
        7H6GLXDRUGQFU57RNE97
        CDS KINGDOM OF SPAIN
        000000000
        
          
        
        1.00000000
        NC
        USD
        170250.79000000
        0.003756489452
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
              7H6GLXDRUGQFU57RNE97
            
            
              
                KINGDOM OF SPAIN
                KINGDOM OF SPAIN
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2025-06-20
            0.00000000
            USD
            -58255.63000000
            USD
            7500000.00000000
            USD
            228506.42000000
          
        
        
          N
          N
          N
        
      
      
        CROATIA
        74780000O00QGQ7CER13
        Croatia Government International Bond
        000000000
        
          
          
        
        4500000.00000000
        PA
        
        4918789.16000000
        0.108530360406
        Long
        DBT
        NUSS
        HR
        N
        
        2
        
          2027-03-20
          Fixed
          3.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        Barclays PLC
        06738EBD6
        
          
          
        
        2806000.00000000
        PA
        USD
        2818432.18000000
        0.062187146130
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2029-05-16
          Fixed
          4.97200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC HOLDINGS PLC
        MLU0ZO3ML4LN2LL2TL39
        HSBC Holdings PLC
        404280CV9
        
          
          
        
        4300000.00000000
        PA
        USD
        3704915.52000000
        0.081746910384
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2029-08-17
          Fixed
          2.20600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TALLGRASS NRG PRTNR/FIN
        N/A
        Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp
        87470LAJ0
        
          
          
        
        1700000.00000000
        PA
        USD
        1564278.00000000
        0.034514928286
        Long
        DBT
        CORP
        US
        Y
        
        2
        
          2030-12-31
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF SERBIA
        254900W94OCY91V32O78
        Serbia International Bond
        000000000
        
          
          
        
        6000000.00000000
        PA
        
        4856040.07000000
        0.107145836465
        Long
        DBT
        NUSS
        RS
        N
        
        2
        
          2029-06-26
          Fixed
          1.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK, NATIONAL ASSOCIATION
        E57ODZWZ7FF32TWEFA76
        CDS REPUBLIC OF INDONESIA
        000000000
        
          
        
        1.00000000
        NC
        USD
        124094.22000000
        0.002738070281
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, NATIONAL ASSOCIATION
              E57ODZWZ7FF32TWEFA76
            
            
              
                REPUBLIC OF INDONESIA
                REPUBLIC OF INDONESIA
                
                  
                  
                
              
            
            Y
            
            Default Event
            2023-06-20
            0.00000000
            USD
            -22697.23000000
            USD
            13885000.00000000
            USD
            146791.45000000
          
        
        
          N
          N
          N
        
      
      
        Citibank, National Association
        E57ODZWZ7FF32TWEFA76
        JPY/USD FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        172699.39000000
        0.003810516456
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              Citibank, National Association
              E57ODZWZ7FF32TWEFA76
            
            -115153152.00000000
            JPY
            1102893.90000000
            USD
            2023-10-31
            172699.39000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF ARGENTINA
        549300KPBYGYF7HCHO27
        Argentine Republic Government International Bond
        000000000
        
          
          
        
        952628000.00000000
        PA
        
        1567558.75000000
        0.034587316219
        Long
        DBT
        NUSS
        AR
        N
        
        2
        
          2038-12-31
          Variable
          0.67000000
          N
          Y
          N
        
        
          N
          N
          N
        
      
      
        KINGDOM OF SPAIN
        9598007A56S18711AH60
        Spain Government International Bond
        000000000
        
          
          
        
        16090000.00000000
        PA
        
        23436241.03000000
        0.517107687038
        Long
        DBT
        NUSS
        ES
        N
        
        2
        
          2029-04-06
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TECK RESOURCES LIMITED
        T8KI5SQ2JRWHL7XY0E11
        Teck Resources Ltd
        878742AS4
        
          
          
        
        4360000.00000000
        PA
        USD
        4617822.93000000
        0.101889707117
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2040-08-15
          Fixed
          6.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JOHN SEVIER COMB CYCLE
        N/A
        John Sevier Combined Cycle Generation LLC
        478045AA5
        
          
          
        
        3895624.06000000
        PA
        USD
        4040179.72000000
        0.089144329398
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2042-01-15
          Fixed
          4.62600000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH LIMITED
        F226TOH6YD6XJB17KS62
        IRS JPY
        000000000
        
          
        
        1.00000000
        NC
        
        9967.98000000
        0.000219937961
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              LCH LIMITED
              F226TOH6YD6XJB17KS62
            
            Y
            
            
              
                
              
            
            2022-06-02
            0.00000000
            USD
            -62.21000000
            USD
            5000000000.00000000
            JPY
            10030.19000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse Mortgage Trust
        N/A
        CSMC 2020-RPL6 Trust
        12656HAC8
        
          
        
        2325843.45000000
        PA
        USD
        2263313.85000000
        0.049938767420
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2059-03-25
          Variable
          2.68750000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS JPY
        000000000
        
          
        
        1.00000000
        NC
        
        -12048.78000000
        -0.00026584966
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2031-09-21
            0.00000000
            USD
            -1022.18000000
            USD
            190000000.00000000
            JPY
            -11026.60000000
          
        
        
          N
          N
          N
        
      
      
        SOCIETE GENERALE
        O2RNE8IBXP4R0TD8PU41
        Societe Generale SA
        000000000
        
          
          
        
        220000.00000000
        PA
        
        153161.26000000
        0.003379418431
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2027-05-19
          Fixed
          5.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS JPY
        000000000
        
          
        
        1.00000000
        NC
        
        2544.32000000
        0.000056139012
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2022-05-19
            0.00000000
            USD
            -39.14000000
            USD
            1200000000.00000000
            JPY
            2583.46000000
          
        
        
          N
          N
          N
        
      
      
        MAGALLANES INC
        549300DXR29GD4N0A520
        Magallanes Inc
        55903VAS2
        
          
          
        
        2130000.00000000
        PA
        USD
        1896478.71000000
        0.041844753089
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2062-03-15
          Fixed
          5.39100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AFRICAN DEVELOPMENT BANK
        549300LNCLMO3ITVCU07
        African Development Bank
        000000000
        
          
          
        
        20000000.00000000
        PA
        
        899813.15000000
        0.019853879133
        Long
        DBT
        NUSS
        CI
        
        N
        
        2
        
          2023-03-13
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -6278707.58000000
        -0.13853620766
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2046-03-09
            0.00000000
            USD
            0.00000000
            USD
            24475000.00000000
            EUR
            -6278707.58000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS CHF
        000000000
        
          
        
        1.00000000
        NC
        
        -96914.29000000
        -0.00213836016
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2031-10-17
            0.00000000
            USD
            -765.23000000
            USD
            800000.00000000
            CHF
            -96149.06000000
          
        
        
          N
          N
          N
        
      
      
        IQVIA INC
        549300PLWY28YB00C717
        IQVIA Inc
        000000000
        
          
          
        
        1800000.00000000
        PA
        
        1707744.93000000
        0.037680446692
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-01-15
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgag
        N/A
        Wells Fargo Commercial Mortgage Trust 2021-FCMT
        95003EAE6
        
          
        
        1700000.00000000
        PA
        USD
        1669779.78000000
        0.036842766670
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2031-05-15
          Floating
          2.95400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BON Y OBLIG ESTADO STRIP
        9598007A56S18711AH60
        Spain Government Bond Coupon Strip
        000000000
        
          
        
        300000.00000000
        PA
        
        138846.50000000
        0.003063571174
        Long
        DBT
        NUSS
        ES
        N
        
        2
        
          2052-07-30
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. INTERNATIONAL PLC
        4PQUHN3JPFGFNF3BB653
        CDS EMIRATE OF DUBAI
        000000000
        
          
        
        1.00000000
        NC
        USD
        -41308.45000000
        -0.00091144808
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. INTERNATIONAL PLC
              4PQUHN3JPFGFNF3BB653
            
            
              
                ABU DHABI GOVERNMENT INTERNATIONAL BOND
                ABU DHABI GOVERNMENT INTERNATIONAL BOND
                
                  
                  
                
              
            
            Y
            Default Event
            
            2027-06-20
            1264.96000000
            USD
            0.00000000
            USD
            -2000000.00000000
            USD
            -42573.41000000
          
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT
        254900KXN235YISGF415
        Bellemeade Re 2019-4 Ltd
        07876LAB5
        
          
        
        1983092.63000000
        PA
        USD
        1982768.00000000
        0.043748678514
        Long
        ABS-MBS
        CORP
        BM
        
        N
        
        2
        
          2029-10-25
          Floating
          2.66786000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS REPUBLIC OF PHILIPPINES
        000000000
        
          
        
        1.00000000
        NC
        USD
        5174.47000000
        0.000114171816
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            
              
                PHILIPPINE GOVERNMENT INTERNATIONAL BOND
                PHILIPPINE GOVERNMENT INTERNATIONAL BOND
                
                  
                  
                  
                
              
            
            Y
            Default Event
            
            2027-06-20
            1242.05000000
            USD
            0.00000000
            USD
            -1500000.00000000
            USD
            3932.42000000
          
        
        
          N
          N
          N
        
      
      
        DIG INTL FIN/DIG INTL HL
        N/A
        Digicel International Finance Ltd/Digicel international Holdings Ltd
        25381XAB9
        
          
          
        
        1071225.00000000
        PA
        USD
        1050520.95000000
        0.023179163328
        Long
        DBT
        CORP
        N/A
        N
        
        2
        
          2025-12-31
          Fixed
          13.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHINA GOVERNMENT BOND
        300300CHN201808MOF68
        CHINA GOVERNMENT BOND
        000000000
        
          
          
        
        10500000.00000000
        PA
        
        1698578.45000000
        0.037478193384
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2029-05-22
          Fixed
          4.29000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EAST JAPAN RAILWAY CO
        353800SENYJ2DSM6PS44
        East Japan Railway Co
        000000000
        
          
          
        
        1500000.00000000
        PA
        
        2270068.73000000
        0.050087810109
        Long
        DBT
        CORP
        JP
        N
        
        2
        
          2033-04-22
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK, NATIONAL ASSOCIATION
        E57ODZWZ7FF32TWEFA76
        CDS MALAYSIA GOVERNMENT
        000000000
        
          
        
        1.00000000
        NC
        USD
        14310.01000000
        0.000315742450
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, NATIONAL ASSOCIATION
              E57ODZWZ7FF32TWEFA76
            
            
              
                PENERBANGAN MALAYSIA BERHAD
                PENERBANGAN MALAYSIA BERHAD
                
                  
                  
                
              
            
            Y
            
            Default Event
            2024-12-20
            9088.30000000
            USD
            0.00000000
            USD
            1000000.00000000
            USD
            5221.71000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. INTERNATIONAL PLC
        4PQUHN3JPFGFNF3BB653
        CDS ARAB REPUBLIC OF EGYPT
        000000000
        
          
        
        1.00000000
        NC
        USD
        507389.08000000
        0.011195259224
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. INTERNATIONAL PLC
              4PQUHN3JPFGFNF3BB653
            
            
              
                Egypt Government International Bond
                Egypt Government International Bond
                
                  
                  
                
              
            
            Y
            Default Event
            
            2027-06-20
            1264.96000000
            USD
            0.00000000
            USD
            -2000000.00000000
            USD
            506124.12000000
          
        
        
          N
          N
          N
        
      
      
        HCA INC
        L3CJ6J7LJ2DX62FTXD46
        HCA Inc
        404119AJ8
        
          
          
        
        2000000.00000000
        PA
        USD
        2350328.30000000
        0.051858693100
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2033-11-06
          Fixed
          7.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured P
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137FUZE7
        
          
        
        29344992.16000000
        PA
        USD
        2983643.27000000
        0.065832437391
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2030-05-25
          Variable
          1.68050600
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LCH LIMITED
        F226TOH6YD6XJB17KS62
        IRS JPY
        000000000
        
          
        
        1.00000000
        NC
        
        808.14000000
        0.000017831161
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              LCH LIMITED
              F226TOH6YD6XJB17KS62
            
            Y
            
            
              
                
              
            
            2022-06-14
            0.00000000
            USD
            -277.84000000
            USD
            400000000.00000000
            JPY
            1085.98000000
          
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
        7H6GLXDRUGQFU57RNE97
        CDS REPUBLIC OF INDONESIA
        000000000
        
          
        
        1.00000000
        NC
        USD
        23135.60000000
        0.000510474209
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
              7H6GLXDRUGQFU57RNE97
            
            
              
                REPUBLIC OF INDONESIA
                REPUBLIC OF INDONESIA
                
                  
                  
                
              
            
            Y
            
            Default Event
            2025-06-20
            0.00000000
            USD
            -68393.08000000
            USD
            2365000.00000000
            USD
            91528.68000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS ILS
        000000000
        
          
        
        1.00000000
        NC
        
        -860910.19000000
        -0.01899550685
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2028-04-16
            0.00000000
            USD
            -473.33000000
            USD
            40440000.00000000
            ILS
            -860436.86000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS REPUBLIC OF CHILE
        000000000
        
          
        
        1.00000000
        NC
        USD
        2055.10000000
        0.000045344644
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            
              
                REPUBLIC OF CHILE
                Chile Government International Bond
                
                  
                  
                  
                
              
            
            Y
            Default Event
            
            2027-06-20
            1863.08000000
            USD
            0.00000000
            USD
            -2250000.00000000
            USD
            192.02000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS JPY
        000000000
        
          
        
        1.00000000
        NC
        
        -264034.01000000
        -0.00582576429
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2039-11-27
            0.00000000
            USD
            -265.32000000
            USD
            480000000.00000000
            JPY
            -263768.69000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS JPY
        000000000
        
          
        
        1.00000000
        NC
        
        20007.41000000
        0.000441452428
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2038-03-28
            0.00000000
            USD
            -8330.76000000
            USD
            800000000.00000000
            JPY
            28338.17000000
          
        
        
          N
          N
          N
        
      
      
        WELLTOWER INC
        T6IZ0MBEG5ACZDTR7D06
        Welltower Inc
        95040QAM6
        
          
          
        
        10300000.00000000
        PA
        USD
        9108926.64000000
        0.200983424781
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-06-01
          Fixed
          2.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ASCENT RESOURCES UTICA
        549300EGLQ2M2CL7JZ89
        Ascent Resources Utica Holdings LLC
        000000000
        
          
        
        1199000.00000000
        PA
        USD
        1279932.50000000
        0.028241002206
        Long
        LON
        CORP
        US
        N
        
        2
        
          2025-11-01
          Floating
          10.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ROMANIA GOVERNMENT BOND
        315700IASY927EDWBK92
        Romania Government Bond
        000000000
        
          
          
        
        2000000.00000000
        PA
        
        326082.76000000
        0.007194835621
        Long
        DBT
        NUSS
        RO
        N
        
        2
        
          2031-09-24
          Fixed
          3.65000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NZ LOCAL GOVT FUND AGENC
        254900ZJG39H1CAH6K02
        New Zealand Local Government Funding Agency Bond
        000000000
        
          
          
        
        2900000.00000000
        PA
        
        1714937.56000000
        0.037839148092
        Long
        DBT
        NUSS
        NZ
        N
        
        2
        
          2033-04-14
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK, NATIONAL ASSOCIATION
        E57ODZWZ7FF32TWEFA76
        CDS REPUBLIC OF SERBIA
        000000000
        
          
        
        1.00000000
        NC
        USD
        615541.61000000
        0.013581584939
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, NATIONAL ASSOCIATION
              E57ODZWZ7FF32TWEFA76
            
            
              
                REPUBLIC OF SERBIA
                Serbia International Bond
                
                  
                  
                
              
            
            Y
            
            Default Event
            2025-12-20
            643378.40000000
            USD
            0.00000000
            USD
            4500000.00000000
            USD
            -27836.79000000
          
        
        
          N
          N
          N
        
      
      
        CIFC European Funding CLO
        5493000EF0244RPYUG32
        CIFC European Funding CLO III DAC
        000000000
        
          
        
        11500000.00000000
        PA
        
        11979150.09000000
        0.264313316619
        Long
        ABS-CBDO
        CORP
        IE
        N
        
        2
        
          2034-01-15
          Fixed
          2.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GAZPROM (GAZ CAPITAL SA)
        213800568PRHV2JR9650
        Gazprom PJSC Via Gaz Capital SA
        000000000
        
          
          
        
        2000000.00000000
        PA
        
        925212.03000000
        0.020414291363
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2022-07-19
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF ICELAND
        254900IPCJWRC6XAJN15
        Iceland Government International Bond
        000000000
        
          
          
        
        2560000.00000000
        PA
        USD
        2562504.52000000
        0.056540243960
        Long
        DBT
        NUSS
        IS
        N
        
        2
        
          2022-05-11
          Fixed
          5.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOCIETE GENERALE
        O2RNE8IBXP4R0TD8PU41
        Societe Generale SA
        83368RAV4
        
          
          
        
        20885000.00000000
        PA
        USD
        19946829.51000000
        0.440115753139
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2025-01-22
          Fixed
          2.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PLAINS ALL AMER PIPELINE
        N/A
        Plains All American Pipeline LP / PAA Finance Corp
        72650RBM3
        
          
          
        
        2055000.00000000
        PA
        USD
        1880958.10000000
        0.041502299420
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2029-12-15
          Fixed
          3.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FORD MOTOR CREDIT CO LLC
        UDSQCVRUX5BONN0VY111
        Ford Motor Credit Co LLC
        345397XL2
        
          
          
        
        200000.00000000
        PA
        USD
        193655.27000000
        0.004272896349
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-08-04
          Fixed
          4.13400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC BANK USA, NATIONAL ASSOCIATION
        1IE8VN30JCEQV1H4R804
        CDS REPUBLIC OF UKRAINE
        000000000
        
          
        
        1.00000000
        NC
        USD
        -1300219.00000000
        -0.02868861260
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              HSBC BANK USA, NATIONAL ASSOCIATION
              1IE8VN30JCEQV1H4R804
            
            
              
                UKRAINE GOVERNMENT
                Ukraine Government International Bond
                
                  
                  
                
              
            
            Y
            
            Default Event
            2024-12-20
            87862.21000000
            USD
            0.00000000
            USD
            2100000.00000000
            USD
            -1388081.21000000
          
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS REPUBLIC OF PERU
        000000000
        
          
        
        1.00000000
        NC
        USD
        8491.21000000
        0.000187353849
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            
              
                PERUVIAN GOVERNMENT INTERNATIONAL BOND
                PERUVIAN GOVERNMENT INTERNATIONAL BOND
                
                  
                  
                  
                
              
            
            Y
            Default Event
            
            2027-06-20
            1490.46000000
            USD
            0.00000000
            USD
            -1800000.00000000
            USD
            7000.75000000
          
        
        
          N
          N
          N
        
      
      
        VICI PROPERTIES / NOTE
        N/A
        VICI Properties LP / VICI Note Co Inc
        92564RAA3
        
          
          
        
        4000000.00000000
        PA
        USD
        3800100.96000000
        0.083847124435
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-12-01
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ALTRIA GROUP INC
        XSGZFLO9YTNO9VCQV219
        Altria Group Inc
        02209SAZ6
        
          
          
        
        2900000.00000000
        PA
        
        2953644.83000000
        0.065170538416
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-06-15
          Fixed
          3.12500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BON Y OBLIG ESTADO STRIP
        9598007A56S18711AH60
        Spain Government Bond Coupon Strip
        000000000
        
          
          
        
        3900000.00000000
        PA
        
        3394953.33000000
        0.074907766217
        Long
        DBT
        NUSS
        ES
        N
        
        2
        
          2032-01-31
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Rathlin Residential
        635400C7HSB9QLJBUZ78
        Rathlin Residential 2021-1 DAC
        000000000
        
          
        
        1400310.02000000
        PA
        
        1446920.34000000
        0.031925496473
        Long
        ABS-O
        CORP
        IE
        N
        
        2
        
          2075-09-27
          Floating
          1.45200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA, NATIONAL ASSOCIATION
        B4TYDEB6GKMZO031MB27
        CDS CDX.EM.36.V1
        000000000
        
          
        
        1.00000000
        NC
        USD
        5287771.76000000
        0.116671757254
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              BANK OF AMERICA, NATIONAL ASSOCIATION
              B4TYDEB6GKMZO031MB27
            
            
              
                IHS MARKIT LTD
                CDX.EM.36.V1
                
                  
                  
                
              
            
            Y
            Default Event
            
            2026-12-20
            57876.20000000
            USD
            0.00000000
            USD
            -50000000.00000000
            USD
            5229895.56000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF PERU
        254900STKLK2DBJJZ530
        Peruvian Government International Bond
        715638BE1
        
          
          
        
        9000000.00000000
        PA
        
        2210575.07000000
        0.048775115429
        Long
        DBT
        NUSS
        PE
        N
        
        2
        
          2031-08-12
          Fixed
          6.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        000000000
        
          
          
        
        2280000.00000000
        PA
        
        1605472.93000000
        0.035423871617
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2026-01-19
          Fixed
          4.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        IRELAND GOVERNMENT BOND
        549300KXBEJAOJ9OVF93
        Ireland Government Bond
        000000000
        
          
          
        
        100000.00000000
        PA
        
        83581.49000000
        0.001844179316
        Long
        DBT
        NUSS
        IE
        N
        
        2
        
          2041-04-22
          Fixed
          0.55000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BONOS Y OBLIG DEL ESTADO
        9598007A56S18711AH60
        Spain Government Bond
        000000000
        
          
          
        
        4000000.00000000
        PA
        
        4061426.05000000
        0.089613117910
        Long
        DBT
        NUSS
        ES
        N
        
        2
        
          2030-10-31
          Fixed
          1.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK, NATIONAL ASSOCIATION
        E57ODZWZ7FF32TWEFA76
        CDS GOVERNMENT OF JAPAN
        000000000
        
          
        
        1.00000000
        NC
        USD
        671524.96000000
        0.014816826572
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, NATIONAL ASSOCIATION
              E57ODZWZ7FF32TWEFA76
            
            
              
                Japan Government Twenty Year Bond
                JAPAN (20 YEAR ISSUE)
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2028-06-20
            642644.54000000
            USD
            0.00000000
            USD
            15000000.00000000
            USD
            28880.42000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        -1119467.82000000
        -0.02470043785
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2024-02-28
            0.00000000
            USD
            0.00000000
            USD
            -665000000.00000000
            ZAR
            -1119467.82000000
          
        
        
          N
          N
          N
        
      
      
        DISCOVERY COMMUNICATIONS
        L2Z2MO2EQURH3BREWI15
        Discovery Communications LLC
        25470DAK5
        
          
          
        
        2500000.00000000
        PA
        USD
        2445950.13000000
        0.053968535855
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-03-15
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AFRICAN EXPORT-IMPORT BA
        21380068LJCDYA42GJ76
        African Export-Import Bank/The
        000000000
        
          
          
        
        300000.00000000
        PA
        USD
        273535.89000000
        0.006035418018
        Long
        DBT
        NUSS
        N/A
        N
        
        2
        
          2031-05-17
          Fixed
          3.79800000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley Capital I Trust
        N/A
        Morgan Stanley Capital I Trust 2020-HR8
        61692BBV1
        
          
        
        54413000.00000000
        PA
        USD
        3407080.88000000
        0.075175353895
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2053-07-15
          Variable
          1.00364100
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured P
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137BNGU2
        
          
        
        29898272.74000000
        PA
        USD
        1086649.73000000
        0.023976324862
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2026-01-25
          Variable
          1.29933700
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LOXAM SAS
        969500BNA2YRNE1R5K91
        Loxam SAS
        000000000
        
          
          
        
        5200000.00000000
        PA
        
        5101738.20000000
        0.112567029717
        Long
        DBT
        CORP
        FR
        N
        
        2
        
          2026-04-15
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS JPY
        000000000
        
          
        
        1.00000000
        NC
        
        418.75000000
        0.000009239486
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2022-05-09
            0.00000000
            USD
            -5.83000000
            USD
            166000000.00000000
            JPY
            424.58000000
          
        
        
          N
          N
          N
        
      
      
        OBRIGACOES DO TESOURO
        549300P6U1FJ3IMP7K42
        Portugal Obrigacoes do Tesouro OT
        000000000
        
          
          
        
        4000000.00000000
        PA
        
        2852248.99000000
        0.062933295326
        Long
        DBT
        NUSS
        PT
        N
        
        2
        
          2052-04-12
          Fixed
          1.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        61747YEH4
        
          
          
        
        4320000.00000000
        PA
        USD
        3638264.30000000
        0.080276288104
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-10-20
          Fixed
          2.51100000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE GROUP AG
        549300506SI9CRFV9Z86
        Credit Suisse Group AG
        225401AG3
        
          
          
        
        2850000.00000000
        PA
        USD
        2856787.70000000
        0.063033439450
        Long
        DBT
        CORP
        CH
        N
        
        2
        
          2024-06-12
          Fixed
          4.20700000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS JPY
        000000000
        
          
        
        1.00000000
        NC
        
        60984.97000000
        0.001345599609
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2036-12-14
            0.00000000
            USD
            -11509.02000000
            USD
            400000000.00000000
            JPY
            72493.99000000
          
        
        
          N
          N
          N
        
      
      
        AT&T INC
        549300Z40J86GGSTL398
        AT&T Inc
        00206RGC0
        
          
          
        
        4575000.00000000
        PA
        
        3344386.90000000
        0.073792045926
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2048-11-25
          Fixed
          5.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS THB
        000000000
        
          
        
        1.00000000
        NC
        
        -692038.17000000
        -0.01526943919
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2030-07-03
            0.00000000
            USD
            0.00000000
            USD
            200200000.00000000
            THB
            -692038.17000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS AUD
        000000000
        
          
        
        1.00000000
        NC
        
        -1203074.70000000
        -0.02654517738
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2036-03-26
            0.00000000
            USD
            0.00000000
            USD
            10000000.00000000
            AUD
            -1203074.70000000
          
        
        
          N
          N
          N
        
      
      
        FRANCE (GOVT OF)
        969500KCGF3SUYJHPV70
        French Republic Government Bond OAT
        000000000
        
          
          
        
        100000.00000000
        PA
        
        56029.53000000
        0.001236260568
        Long
        DBT
        NUSS
        FR
        N
        
        2
        
          2072-05-25
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS REPUBLIC OF IRELAND
        000000000
        
          
        
        1.00000000
        NC
        USD
        76716.48000000
        0.001692706670
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            
              
                IRISH TSY 4 1/2% 2020
                Ireland Government Bond
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2026-12-20
            3025.15000000
            USD
            0.00000000
            USD
            2000000.00000000
            USD
            73691.33000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS CNY
        000000000
        
          
        
        1.00000000
        NC
        
        740872.55000000
        0.016346942764
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2026-04-12
            0.00000000
            USD
            -975.86000000
            USD
            345920000.00000000
            CNY
            741848.41000000
          
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA, NATIONAL ASSOCIATION
        B4TYDEB6GKMZO031MB27
        CDS UBS GROUP AG
        000000000
        
          
        
        1.00000000
        NC
        
        38394.51000000
        0.000847153612
        N/A
        DCR
        CORP
        US
        
        N
        
        2
        
          
            
              BANK OF AMERICA, NATIONAL ASSOCIATION
              B4TYDEB6GKMZO031MB27
            
            
              
                UBS GROUP AG
                UBS GROUP AG
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2024-12-20
            89458.45000000
            USD
            0.00000000
            USD
            8600000.00000000
            EUR
            -51063.94000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. INTERNATIONAL PLC
        4PQUHN3JPFGFNF3BB653
        CDS KINGDOM OF SAUDI ARABIA
        000000000
        
          
        
        1.00000000
        NC
        USD
        -39784.45000000
        -0.00087782186
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. INTERNATIONAL PLC
              4PQUHN3JPFGFNF3BB653
            
            
              
                SAUDI INTERNATIONAL BOND
                Saudi Government International Bond
                
                  
                  
                
              
            
            Y
            Default Event
            
            2027-06-20
            1264.96000000
            USD
            0.00000000
            USD
            -2000000.00000000
            USD
            -41049.41000000
          
        
        
          N
          N
          N
        
      
      
        PROLOGIS YEN FIN
        5493000T2SX5D8WRJG02
        Prologis Yen Finance LLC
        74346GAP7
        
          
          
        
        200000000.00000000
        PA
        
        1437397.93000000
        0.031715389766
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2036-06-27
          Fixed
          0.88500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ARAB REPUBLIC OF EGYPT
        529900GFIVH4086NMH82
        Egypt Government International Bond
        000000000
        
          
          
        
        700000.00000000
        PA
        
        619793.36000000
        0.013675397450
        Long
        DBT
        NUSS
        EG
        N
        
        2
        
          2026-04-16
          Fixed
          4.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF POLAND
        259400R9L8QEP0TPXS31
        Republic of Poland Government International Bond
        000000000
        
          
          
        
        100000000.00000000
        PA
        
        953493.22000000
        0.021038300168
        Long
        DBT
        NUSS
        PL
        N
        
        2
        
          2034-08-04
          Fixed
          3.22000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOLDMAN SACHS INTERNATIONAL
        W22LROWP2IHZNBB6K528
        CDS STATE OF ILLINOIS
        000000000
        
          
        
        1.00000000
        NC
        USD
        25686.98000000
        0.000566768996
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              GOLDMAN SACHS INTERNATIONAL
              W22LROWP2IHZNBB6K528
            
            
              
                ILLINOIS ST
                State of Illinois
                
                  
                  
                
              
            
            Y
            
            Default Event
            2024-12-20
            0.00000000
            USD
            -88792.89000000
            USD
            2800000.00000000
            USD
            114479.87000000
          
        
        
          N
          N
          N
        
      
      
        WPC EUROBOND BV
        5493005XDMOLBARL5M14
        WPC Eurobond BV
        000000000
        
          
          
        
        9950000.00000000
        PA
        
        8687718.03000000
        0.191689689928
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2030-06-01
          Fixed
          0.95000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CANTOR FITZGERALD LP
        549300RLUEEVQEMX0450
        Cantor Fitzgerald LP
        138616AF4
        
          
        
        200000000.00000000
        PA
        
        1549222.78000000
        0.034182743190
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-04-21
          Fixed
          1.15000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STATE OF ISRAEL
        213800T8ZHTFZIBYPE21
        Israel Government International Bond
        000000000
        
          
          
        
        3435000.00000000
        PA
        
        6011863.49000000
        0.132648440512
        Long
        DBT
        NUSS
        IL
        N
        
        2
        
          2034-10-21
          Fixed
          6.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNICREDIT SPA
        549300TRUWO2CD2G5692
        UniCredit SpA
        904678AW9
        
          
          
        
        8485000.00000000
        PA
        USD
        7484752.65000000
        0.165146924626
        Long
        DBT
        CORP
        IT
        N
        
        2
        
          2027-06-03
          Fixed
          1.98200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Wells Fargo Commercial Mortgag
        N/A
        Wells Fargo Commercial Mortgage Trust 2021-FCMT
        95003EAG1
        
          
        
        2200000.00000000
        PA
        USD
        2154038.48000000
        0.047527666862
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2031-05-15
          Floating
          4.05400000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DOW CHEMICAL CO/THE
        ZQUIP1CSZO8LXRBSOU78
        Dow Chemical Co/The
        260543BY8
        
          
          
        
        88000.00000000
        PA
        USD
        131000.57000000
        0.002890455071
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2039-05-15
          Fixed
          9.40000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS CNY
        000000000
        
          
        
        1.00000000
        NC
        
        328893.68000000
        0.007256857015
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2024-11-01
            0.00000000
            USD
            -173.65000000
            USD
            98660000.00000000
            CNY
            329067.33000000
          
        
        
          N
          N
          N
        
      
      
        UNITED GROUP BV
        213800PC85O8BJ7DU398
        United Group BV
        000000000
        
          
          
        
        11575000.00000000
        PA
        
        10692802.42000000
        0.235930767237
        Long
        DBT
        CORP
        NL
        N
        
        2
        
          2030-02-01
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. LLC
        9R7GPTSO7KV3UQJZQ078
        IRS EUR
        000000000
        
          
        
        1.00000000
        NC
        
        -1295544.13000000
        -0.02858546418
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. LLC
              9R7GPTSO7KV3UQJZQ078
            
            Y
            
            
              
                
              
            
            2023-05-15
            0.00000000
            USD
            0.00000000
            USD
            14000000.00000000
            EUR
            -1295544.13000000
          
        
        
          N
          N
          N
        
      
      
        JAPAN (20 YEAR ISSUE)
        353800WZS8AXZXFUC241
        Japan Government Twenty Year Bond
        000000000
        
          
          
        
        224100000.00000000
        PA
        
        1665291.15000000
        0.036743727533
        Long
        DBT
        NUSS
        JP
        N
        
        2
        
          2036-06-20
          Fixed
          0.20000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        European Residential Loan Secu
        N/A
        European Residential Loan Securitisation
        000000000
        
          
        
        1429225.09000000
        PA
        
        1487870.32000000
        0.032829035117
        Long
        ABS-O
        CORP
        LU
        
        N
        
        2
        
          2060-11-25
          Floating
          1.40300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS JPY
        000000000
        
          
        
        1.00000000
        NC
        
        -25292.22000000
        -0.00055805883
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2039-12-03
            0.00000000
            USD
            -578.71000000
            USD
            969000000.00000000
            JPY
            -24713.51000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS JPY
        000000000
        
          
        
        1.00000000
        NC
        
        51320.93000000
        0.001132367915
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2034-12-03
            0.00000000
            USD
            -81.38000000
            USD
            70000000.00000000
            JPY
            51402.31000000
          
        
        
          N
          N
          N
        
      
      
        GAZPROM (GAZ CAPITAL SA)
        213800568PRHV2JR9650
        Gazprom PJSC Via Gaz Capital SA
        000000000
        
          
          
        
        1000000.00000000
        PA
        
        290111.25000000
        0.006401144162
        Long
        DBT
        CORP
        LU
        
        N
        
        2
        
          2024-11-22
          Fixed
          2.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Banc of America Funding Corpor
        549300LENCFK8RITKD65
        Banc of America Funding 2014-R5 Trust
        05990PAA3
        
          
        
        30700.91000000
        PA
        USD
        30722.61000000
        0.000677877385
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2045-09-26
          Floating
          2.88971000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Q GENERIC RESIDUAL
        549300WN65YFEQH74Y36
        Province of Quebec Residual Strip
        74812ZSJ5
        
          
          
        
        9999940.00000000
        PA
        
        4689200.53000000
        0.103464614356
        Long
        DBT
        NUSS
        CA
        N
        
        2
        
          2035-04-01
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Ford Auto Securitization Trust
        549300UXPSVB9J11GQ87
        Ford Auto Securitization Trust
        345213JE3
        
          
        
        500000.00000000
        PA
        
        372564.51000000
        0.008220429709
        Long
        ABS-O
        CORP
        CA
        N
        
        2
        
          2028-04-15
          Fixed
          2.76300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        European Loan Conduit
        635400BIYQM1LPPW1N05
        Salus European Loan Conduit NO 33 DAC
        000000000
        
          
          
        
        500000.00000000
        PA
        
        628685.29000000
        0.013871592964
        Long
        ABS-MBS
        CORP
        IE
        
        N
        
        2
        
          2029-01-23
          Floating
          2.71320000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Freddie Mac - STACR
        N/A
        Freddie Mac STACR REMIC Trust 2021-DNA5
        35564KHE2
        
          
        
        1740000.00000000
        PA
        USD
        1726187.36000000
        0.038087368703
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2034-01-25
          Floating
          1.93870000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BON Y OBLIG ESTADO STRIP
        9598007A56S18711AH60
        Spain Government Bond Coupon Strip
        000000000
        
          
          
        
        436000.00000000
        PA
        
        289245.93000000
        0.006382051356
        Long
        DBT
        NUSS
        ES
        N
        
        2
        
          2041-07-30
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SoFi Alternative Trust
        N/A
        Sofi Alternative Trust 2019-D
        83406DAE7
        
          
        
        4097402.00000000
        PA
        USD
        4042290.71000000
        0.089190907224
        Long
        ABS-O
        CORP
        US
        N
        
        2
        
          2046-01-16
          Variable
          3.02598000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HSBC BANK PLC
        MP6I5ZYZBEU3UXPYFY54
        CDS RUSSIAN FEDERATION
        000000000
        
          
        
        1.00000000
        NC
        USD
        -47344.31000000
        -0.00104462599
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              HSBC BANK PLC
              MP6I5ZYZBEU3UXPYFY54
            
            
              
                RUSSIAN FEDERATION
                RUSSIAN FOREIGN BOND - EUROBOND
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2024-12-20
            0.00000000
            USD
            -45020.78000000
            USD
            79000.00000000
            USD
            -2323.53000000
          
        
        
          N
          N
          N
        
      
      
        WARNER MEDIA LLC
        5493004RSX004WU3UT62
        Warner Media LLC
        887317AR6
        
          
          
        
        11250000.00000000
        PA
        USD
        11260982.36000000
        0.248467343142
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2023-12-15
          Fixed
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS JPY
        000000000
        
          
        
        1.00000000
        NC
        
        44953.23000000
        0.000991868139
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2037-11-02
            0.00000000
            USD
            -1769.48000000
            USD
            300000000.00000000
            JPY
            46722.71000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS JPY
        000000000
        
          
        
        1.00000000
        NC
        
        -105.22000000
        -0.00000232162
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2022-05-15
            43.45000000
            USD
            0.00000000
            USD
            -200000000.00000000
            JPY
            -148.67000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS JPY
        000000000
        
          
        
        1.00000000
        NC
        
        23556.18000000
        0.000519754074
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2037-01-06
            0.00000000
            USD
            -5869.87000000
            USD
            250000000.00000000
            JPY
            29426.05000000
          
        
        
          N
          N
          N
        
      
      
        UNITED MEXICAN STATES
        254900EGTWEU67VP6075
        Mexico Government International Bond
        000000000
        
          
          
        
        5000000.00000000
        PA
        
        4278915.92000000
        0.094411911517
        Long
        DBT
        NUSS
        MX
        N
        
        2
        
          2039-04-08
          Fixed
          2.87500000
          N
          N
          N
        
        
          N
          N
          
        
      
      
        GOLDMAN SACHS & CO. LLC
        FOR8UP27PHTHYVLBNG30
        USD/CNH FORWARD
        000000000
        
          
          
        
        1.00000000
        NC
        USD
        535982.22000000
        0.011826151033
        N/A
        DFE
        CORP
        US
        N
        
        2
        
          
            
              GOLDMAN SACHS & CO. LLC
              FOR8UP27PHTHYVLBNG30
            
            -78180441.49000000
            CNY
            12281741.00000000
            USD
            2022-05-23
            535982.22000000
          
        
        
          N
          N
          N
        
      
      
        DAIMLER INTERNATIONAL FINANCE BV
        529900RUGCXMPEENHQ31
        DAIMLER INTERNATIONAL FINANCE BV
        000000000
        
          
          
        
        1000000.00000000
        PA
        
        150283.59000000
        0.003315924235
        Long
        DBT
        CORP
        NL
        
        N
        
        2
        
          2022-09-27
          Fixed
          3.45000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        638585BF5
        
          
          
        
        377000.00000000
        PA
        USD
        423107.17000000
        0.009335625528
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2028-03-15
          Fixed
          6.80000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KINGDOM OF DENMARK
        549300PTO6LS1PTM6607
        Denmark Government Bond
        000000000
        
          
          
        
        4300000.00000000
        PA
        
        583462.84000000
        0.012873784634
        Long
        DBT
        NUSS
        DK
        N
        
        2
        
          2029-11-15
          Fixed
          0.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED KINGDOM GILT
        ECTRVYYCEF89VWYS6K36
        United Kingdom Gilt
        000000000
        
          
          
        
        100000.00000000
        PA
        
        174782.21000000
        0.003856472726
        Long
        DBT
        NUSS
        GB
        N
        
        2
        
          2052-07-22
          Fixed
          3.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS JPY
        000000000
        
          
        
        1.00000000
        NC
        
        48412.80000000
        0.001068201636
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2037-12-04
            0.00000000
            USD
            -174.74000000
            USD
            350000000.00000000
            JPY
            48587.54000000
          
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
        7H6GLXDRUGQFU57RNE97
        CDS REPUBLIC OF GREECE
        000000000
        
          
        
        1.00000000
        NC
        USD
        -714466.71000000
        -0.01576431251
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
              7H6GLXDRUGQFU57RNE97
            
            
              
                HELLENIC REPUBLIC
                Hellenic Republic Government Bond
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2028-12-20
            0.00000000
            USD
            -149811.48000000
            USD
            16550000.00000000
            USD
            -564655.23000000
          
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF ALBANIA
        254900EDM43U3SGRND29
        Albania Government International Bond
        000000000
        
          
          
        
        1000000.00000000
        PA
        
        1034676.17000000
        0.022829557027
        Long
        DBT
        NUSS
        AL
        N
        
        2
        
          2025-10-09
          Fixed
          3.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SPRINT CAPITAL CORP
        549300L17W0GQBR1PO80
        Sprint Capital Corp
        852060AT9
        
          
          
        
        1985000.00000000
        PA
        USD
        2522907.05000000
        0.055666547701
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-03-15
          Fixed
          8.75000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Shackleton CLO LTD
        549300IM8C0HSUTXDD32
        Shackleton 2017-X CLO Ltd
        81883DAK9
        
          
        
        10000000.00000000
        PA
        USD
        9809876.00000000
        0.216449484454
        Long
        ABS-CBDO
        CORP
        KY
        N
        
        2
        
          2029-04-20
          Floating
          2.61271000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DEUTSCHE BANK AKTIENGESELLSCHAFT
        7LTWFZYICNSX8D621K86
        IRS ZAR
        000000000
        
          
        
        1.00000000
        NC
        
        -247835.70000000
        -0.00546835755
        N/A
        DIR
        CORP
        DE
        
        N
        
        2
        
          
            
              DEUTSCHE BANK AKTIENGESELLSCHAFT
              7LTWFZYICNSX8D621K86
            
            Y
            
            
              
                
              
            
            2042-03-22
            0.00000000
            USD
            0.00000000
            USD
            40930000.00000000
            ZAR
            -247835.70000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        CDS KINGDOM OF SPAIN
        000000000
        
          
        
        1.00000000
        NC
        USD
        37341.67000000
        0.000823923281
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                SPAIN GOVERNMENT INTERNATIONAL BOND
                SPAIN GOVERNMENT INTERNATIONAL BOND
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2025-06-20
            13529.40000000
            USD
            0.00000000
            USD
            1645000.00000000
            USD
            23812.27000000
          
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY
        IGJSJL3JD5P30I6NJZ34
        Morgan Stanley
        000000000
        
          
        
        56000000.00000000
        PA
        
        1027935.39000000
        0.022680825447
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2031-11-07
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Deutsche Bank Commercial Mortg
        N/A
        DBJPM 16-C3 Mortgage Trust
        23312VAC0
        
          
        
        1500000.00000000
        PA
        USD
        1466923.80000000
        0.032366861746
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2049-08-10
          Fixed
          2.36200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK, NATIONAL ASSOCIATION
        E57ODZWZ7FF32TWEFA76
        CDS COMISION FEDERAL DE ELECTRICIDAD CFE
        000000000
        
          
        
        1.00000000
        NC
        USD
        458.09000000
        0.000010107502
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, NATIONAL ASSOCIATION
              E57ODZWZ7FF32TWEFA76
            
            
              
                Comision Federal de Electricidad
                COMISION FEDERAL DE ELEC
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2022-12-20
            12598.72000000
            USD
            0.00000000
            USD
            3925000.00000000
            USD
            -12140.63000000
          
        
        
          N
          N
          N
        
      
      
        BROOKFIELD RESID PROPERT
        N/A
        Brookfield Residential Properties Inc / Brookfield Residential US LLC
        11283YAD2
        
          
          
        
        2320000.00000000
        PA
        USD
        1935660.73000000
        0.042709282674
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2030-02-15
          Fixed
          4.87500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED KINGDOM GILT
        ECTRVYYCEF89VWYS6K36
        United Kingdom Gilt
        000000000
        
          
          
        
        180000.00000000
        PA
        
        297524.49000000
        0.006564713200
        Long
        DBT
        NUSS
        GB
        N
        
        2
        
          2039-09-07
          Fixed
          4.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK, NATIONAL ASSOCIATION
        E57ODZWZ7FF32TWEFA76
        IRS CNY
        000000000
        
          
        
        1.00000000
        NC
        
        38888.95000000
        0.000858063157
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CITIBANK, NATIONAL ASSOCIATION
              E57ODZWZ7FF32TWEFA76
            
            Y
            
            
              
                
              
            
            2026-04-02
            3.26000000
            USD
            0.00000000
            USD
            10000000.00000000
            CNY
            38885.69000000
          
        
        
          N
          N
          N
        
      
      
        REGIAO AUTONOMA ACORES
        5493002P6SL6ANYFUJ27
        Autonomous Region of the Azores
        000000000
        
          
          
        
        1000000.00000000
        PA
        
        1013733.44000000
        0.022367467281
        Long
        DBT
        NUSS
        PT
        N
        
        2
        
          2026-07-21
          Fixed
          0.60300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS PLC
        213800LBQA1Y9L22JB70
        Barclays PLC
        000000000
        
          
          
        
        2000000.00000000
        PA
        
        1276877.16000000
        0.028173587820
        Long
        DBT
        CORP
        GB
        N
        
        2
        
          2029-06-26
          Fixed
          4.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA CORP
        9DJT3UXIJIZJI4WXO774
        Bank of America Corp
        06051GKD0
        
          
          
        
        8150000.00000000
        PA
        USD
        6884925.79000000
        0.151912076947
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2032-10-20
          Fixed
          2.57200000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        000000000
        
          
          
        
        730000.00000000
        PA
        
        511392.20000000
        0.011283585852
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2027-08-17
          Fixed
          4.50000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERIZON COMMUNICATIONS
        2S72QS2UO2OESLG6Y829
        Verizon Communications Inc
        000000000
        
          
          
        
        4950000.00000000
        PA
        
        3502703.61000000
        0.077285216508
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2025-02-17
          Fixed
          4.05000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
        7H6GLXDRUGQFU57RNE97
        CDS GAZPROM PAO
        000000000
        
          
        
        1.00000000
        NC
        USD
        2015947.79000000
        0.044480772216
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              JPMORGAN CHASE BANK, NATIONAL ASSOCIATION
              7H6GLXDRUGQFU57RNE97
            
            
              
                Gazprom PJSC Via Gaz Capital SA
                GAZPROM (GAZ CAPITAL SA)
                
                  
                  
                  
                
              
            
            Y
            Default Event
            
            2027-12-20
            1820576.68000000
            USD
            0.00000000
            USD
            -3300000.00000000
            USD
            195371.11000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS BRL
        000000000
        
          
        
        1.00000000
        NC
        
        294577.49000000
        0.006499689276
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y
            
            
              
                
              
            
            2025-01-02
            0.00000000
            USD
            0.00000000
            USD
            7002285.00000000
            BRL
            294577.49000000
          
        
        
          N
          N
          N
        
      
      
        DAVITA INC
        M2XHYMU3TZNEZURC6H66
        DaVita Inc
        23918KAS7
        
          
          
        
        1175000.00000000
        PA
        USD
        1024354.97000000
        0.022601825461
        Long
        DBT
        CORP
        US
        N
        
        2
        
          2030-06-01
          Fixed
          4.62500000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS JPY
        000000000
        
          
        
        1.00000000
        NC
        
        41310.07000000
        0.000911483830
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2029-08-28
            0.00000000
            USD
            -2279.01000000
            USD
            100000000.00000000
            JPY
            43589.08000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS BANK PLC
        G5GSEF7VJP5I7OUK5573
        CDS REPUBLIC OF ITALY
        000000000
        
          
        
        1.00000000
        NC
        USD
        -339945.91000000
        -0.00750071835
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              BARCLAYS BANK PLC
              G5GSEF7VJP5I7OUK5573
            
            
              
                ITALY GOV'T INT BOND
                Republic of Italy Government International Bond
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2028-12-20
            0.00000000
            USD
            -59527.19000000
            USD
            16355000.00000000
            USD
            -280418.72000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS JPY
        000000000
        
          
        
        1.00000000
        NC
        
        8840.00000000
        0.000195049707
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2036-12-22
            0.00000000
            USD
            -3638.28000000
            USD
            150000000.00000000
            JPY
            12478.28000000
          
        
        
          N
          N
          N
        
      
      
        FHLMC Multifamily Structured P
        S6XOOCT0IEG5ABCC6L87
        Freddie Mac Multifamily Structured Pass Through Certificates
        3137BLN20
        
          
          
        
        38298484.92000000
        PA
        USD
        605073.93000000
        0.013350621374
        Long
        ABS-MBS
        USGSE
        US
        N
        
        2
        
          2025-07-25
          Variable
          0.69959500
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BON Y OBLIG ESTADO STRIP
        9598007A56S18711AH60
        Spain Government Bond Coupon Strip
        000000000
        
          
        
        300000.00000000
        PA
        
        95423.92000000
        0.002105475980
        Long
        DBT
        NUSS
        ES
        N
        
        2
        
          2061-07-30
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY & CO. INTERNATIONAL PLC
        4PQUHN3JPFGFNF3BB653
        CDS REPUBLIC OF TURKEY
        000000000
        
          
        
        1.00000000
        NC
        USD
        2450459.49000000
        0.054068032387
        N/A
        DCR
        CORP
        GB
        
        N
        
        2
        
          
            
              MORGAN STANLEY & CO. INTERNATIONAL PLC
              4PQUHN3JPFGFNF3BB653
            
            
              
                TURKEY GOVERNMENT INTERNATIONAL BOND
                TURKEY GOVERNMENT INTERNATIONAL BOND
                
                  
                  
                  
                
              
            
            Y
            Default Event
            
            2027-06-20
            7589.76000000
            USD
            0.00000000
            USD
            -12000000.00000000
            USD
            2442869.73000000
          
        
        
          N
          N
          N
        
      
      
        BON Y OBLIG ESTADO STRIP
        9598007A56S18711AH60
        Spain Government Bond Coupon Strip
        000000000
        
          
        
        300000.00000000
        PA
        
        81405.20000000
        0.001796160682
        Long
        DBT
        NUSS
        ES
        N
        
        2
        
          2064-07-30
          None
          0.00000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REPUBLIC OF KAZAKHSTAN
        5493007OEK8EF02UO833
        Kazakhstan Government International Bond
        000000000
        
          
          
        
        2000000.00000000
        PA
        
        1878188.04000000
        0.041441179579
        Long
        DBT
        NUSS
        KZ
        N
        
        2
        
          2026-09-30
          Fixed
          0.60000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        20 TSQ GroundCo LLC
        N/A
        20 Times Square Trust 2018-20TS
        90137LAN0
        
          
        
        1000000.00000000
        PA
        USD
        925333.10000000
        0.020416962706
        Long
        ABS-MBS
        CORP
        US
        N
        
        2
        
          2035-05-15
          Variable
          3.20323000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OBRIGACOES DO TESOURO
        549300P6U1FJ3IMP7K42
        Portugal Obrigacoes do Tesouro OT
        000000000
        
          
          
        
        24295000.00000000
        PA
        
        33528243.14000000
        0.739782127961
        Long
        DBT
        NUSS
        PT
        N
        
        2
        
          2045-02-15
          Fixed
          4.10000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARRICK GOLD CORP
        0O4KBQCJZX82UKGCBV73
        Barrick Gold Corp
        067901AH1
        
          
          
        
        35000.00000000
        PA
        USD
        36659.64000000
        0.000808874666
        Long
        DBT
        CORP
        CA
        N
        
        2
        
          2042-04-01
          Fixed
          5.25000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS JPY
        000000000
        
          
        
        1.00000000
        NC
        
        17383.97000000
        0.000383567676
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2037-03-29
            0.00000000
            USD
            -2140.52000000
            USD
            200000000.00000000
            JPY
            19524.49000000
          
        
        
          N
          N
          N
        
      
      
        FREEPORT INDONESIA PT
        549300T4HTQHRKLNE619
        Freeport Indonesia PT
        69377FAA4
        
          
          
        
        600000.00000000
        PA
        USD
        596268.82000000
        0.013156341495
        Long
        DBT
        CORP
        ID
        N
        
        2
        
          2027-04-14
          Fixed
          4.76300000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANK OF AMERICA, NATIONAL ASSOCIATION
        B4TYDEB6GKMZO031MB27
        CDS SPAIN
        000000000
        
          
        
        1.00000000
        NC
        USD
        473830.85000000
        0.010454815453
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              BANK OF AMERICA, NATIONAL ASSOCIATION
              B4TYDEB6GKMZO031MB27
            
            
              
                KINGDOM OF SPAIN
                Spain Government International Bond
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2023-06-20
            119483.83000000
            USD
            0.00000000
            USD
            42665000.00000000
            USD
            354347.02000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS JPY
        000000000
        
          
        
        1.00000000
        NC
        
        -204.07000000
        -0.00000450269
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
              
                
              
            
            
            2022-05-02
            277.64000000
            USD
            0.00000000
            USD
            -150000000.00000000
            JPY
            -481.71000000
          
        
        
          N
          N
          N
        
      
      
        EXPORT-IMPORT BANK CHINA
        300300C1020211000045
        EXPORT-IMPORT BANK OF CHINA/THE
        000000000
        
          
          
        
        30000000.00000000
        PA
        
        4542567.52000000
        0.100229238147
        Long
        DBT
        NUSS
        CN
        N
        
        2
        
          2030-03-23
          Fixed
          3.23000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIBANK, NATIONAL ASSOCIATION
        E57ODZWZ7FF32TWEFA76
        CDS HELLENIC REPUBLIC GOVERNMENT
        000000000
        
          
        
        1.00000000
        NC
        USD
        2705.72000000
        0.000059700214
        N/A
        DCR
        CORP
        US
        N
        
        2
        
          
            
              CITIBANK, NATIONAL ASSOCIATION
              E57ODZWZ7FF32TWEFA76
            
            
              
                HELLENIC REPUBLIC
                Hellenic Republic Government Bond
                
                  
                  
                  
                
              
            
            Y
            
            Default Event
            2022-12-20
            0.00000000
            USD
            -8268.88000000
            USD
            500000.00000000
            USD
            10974.60000000
          
        
        
          N
          N
          N
        
      
      
        HSBC BANK USA, NATIONAL ASSOCIATION
        1IE8VN30JCEQV1H4R804
        IRS JPY
        000000000
        
          
        
        1.00000000
        NC
        
        33189.56000000
        0.000732309271
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              HSBC BANK USA, NATIONAL ASSOCIATION
              1IE8VN30JCEQV1H4R804
            
            Y
            
            
              
                
              
            
            2032-12-14
            0.00000000
            USD
            0.00000000
            USD
            35000000.00000000
            JPY
            33189.56000000
          
        
        
          N
          N
          N
        
      
      
        LCH LIMITED
        F226TOH6YD6XJB17KS62
        IRS JPY
        000000000
        
          
        
        1.00000000
        NC
        
        282.83000000
        0.000006240487
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              LCH LIMITED
              F226TOH6YD6XJB17KS62
            
            Y
            
            
              
                
              
            
            2022-06-07
            0.00000000
            USD
            0.00000000
            USD
            140000000.00000000
            JPY
            282.83000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS JPY
        000000000
        
          
        
        1.00000000
        NC
        
        -1081121.60000000
        -0.02385434973
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2050-12-16
            0.00000000
            USD
            -12887.14000000
            USD
            1000000000.00000000
            JPY
            -1068234.46000000
          
        
        
          N
          N
          N
        
      
      
        UK CLEARING HOUSE LIMITED
        213800O8SCO4XJGBU385
        IRS JPY
        000000000
        
          
        
        1.00000000
        NC
        
        440.63000000
        0.000009722257
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              UK CLEARING HOUSE LIMITED
              213800O8SCO4XJGBU385
            
            Y
            
            
              
                
              
            
            2022-05-05
            0.00000000
            USD
            -4.96000000
            USD
            180000000.00000000
            JPY
            445.59000000
          
        
        
          N
          N
          N
        
      
      
        CHICAGO MERCANTILE EXCHANGE INC.
        SNZ2OJLFK8MNNCLQOF39
        IRS COP
        000000000
        
          
        
        1.00000000
        NC
        
        -1071369.10000000
        -0.02363916621
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              CHICAGO MERCANTILE EXCHANGE INC.
              SNZ2OJLFK8MNNCLQOF39
            
            Y