0001098605-24-000074.txt : 20240227
0001098605-24-000074.hdr.sgml : 20240227
20240227132345
ACCESSION NUMBER: 0001098605-24-000074
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20231231
FILED AS OF DATE: 20240227
DATE AS OF CHANGE: 20240227
PERIOD START: 20231231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: PIMCO Managed Accounts Trust
CENTRAL INDEX KEY: 0001098605
ORGANIZATION NAME:
IRS NUMBER: 066484967
STATE OF INCORPORATION: MA
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-09721
FILM NUMBER: 24684732
BUSINESS ADDRESS:
STREET 1: 1633 BROADWAY
CITY: NEW YORK
STATE: NY
ZIP: 10019
BUSINESS PHONE: 212-739-4000
MAIL ADDRESS:
STREET 1: 1633 BROADWAY
CITY: NEW YORK
STATE: NY
ZIP: 10019
FORMER COMPANY:
FORMER CONFORMED NAME: AllianzGI Managed Accounts Trust
DATE OF NAME CHANGE: 20130125
FORMER COMPANY:
FORMER CONFORMED NAME: ALLIANZ GLOBAL INVESTORS MANAGED ACCOUNTS TRUST
DATE OF NAME CHANGE: 20090626
FORMER COMPANY:
FORMER CONFORMED NAME: ALLIANZ GLOBAL INVESTORS
DATE OF NAME CHANGE: 20090626
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0.000000
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N/A
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N/A
4.700000
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2024-02-13
XXXX
-142977.310000
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 04/26 0.125
91282CCA7
5091688.000000
PA
USD
4847350.160000
2.95551
Long
DBT
UST
US
N
2
2026-04-15
Fixed
0.125
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 01/30 0.125
912828Z37
19049731.200000
PA
USD
17274312.630000
10.5324
Long
DBT
UST
US
N
2
2030-01-15
Fixed
0.125
N
N
N
N
N
N
ITALY GOVT
815600DE60799F5A9309
BUONI POLIENNALI DEL TES SR UNSECURED 144A REGS 05/30 0
BK5MSXII1
479768.000000
PA
495112.720000
0.301879
Long
DBT
NUSS
IT
N
2
2030-05-15
Fixed
0.4
N
N
N
N
N
N
N/A
N/A
INF SWAP US IT 2.31375 02/26/21-5Y LCH
000000000
1.000000
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USD
266853.490000
0.162705
N/A
DIR
US
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
US CPI Urban Consumers NSA
N/A
N/A
Y
2026-02-26
0.000000
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0.000000
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2700000.000000
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266853.490000
N
N
N
BANC OF AMERICA FUNDING CORP 2006-J
N/A
BANC OF AMERICA FUNDING CORPOR BAFC 2006 J 2A1
05951EAC1
320833.530000
PA
USD
271407.420000
0.165482
Long
ABS-MBS
CORP
US
N
2
2047-01-20
Variable
4.30632
N
N
N
N
N
N
N/A
N/A
INF SWAP EM NI 2.59 12/15/22-30Y LCH
000000000
1.000000
NC
10109.230000
0.0061638
N/A
DIR
N/A
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
Eurostat Eurozone HICP Ex Tob
N/A
N/A
Y
2052-12-15
0.000000
EUR
0.000000
EUR
300000.000000
EUR
10109.230000
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H23
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H23 JF
38383KFR8
3895973.390000
PA
USD
3896885.050000
2.376
Long
ABS-MBS
USGSE
US
N
2
2073-09-20
Floating
6.31774
N
N
N
N
N
N
N/A
N/A
RFRF USD SF+26.161/1.8* 11/21/23-30Y LCH
000000000
1.000000
NC
USD
-353939.870000
-0.215803
N/A
DIR
US
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
USD-SOFR-COMPOUND
Y
2053-11-21
392.150000
USD
0.000000
USD
1100000.000000
USD
-354332.020000
N
N
N
N/A
N/A
BOUGHT DKK SOLD USD 20240109
000000000
1.000000
NC
2809.820000
0.0017132
N/A
DFE
DK
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
488991.070000
USD
3320000.000000
DKK
2024-01-09
2809.820000
N
N
N
N/A
N/A
SOLD BRL BOUGHT USD 20240202
000000000
1.000000
NC
-6584.750000
-0.0040148
N/A
DFE
BR
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
622697.460000
BRL
121397.720000
USD
2024-02-02
-6584.750000
N
N
N
N/A
N/A
INF SWAP EM NI 2.6 05/15/22-10Y LCH
000000000
1.000000
NC
28543.910000
0.0174037
N/A
DIR
N/A
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
Eurostat Eurozone HICP Ex Tob
N/A
N/A
Y
2032-05-15
7174.020000
EUR
0.000000
EUR
1400000.000000
EUR
21369.890000
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 01/31 0.125
91282CBF7
7954254.300000
PA
USD
7103854.870000
4.33134
Long
DBT
UST
US
N
2
2031-01-15
Fixed
0.125
N
N
N
N
N
N
NEUBERGER BERMAN LOAN ADVISERS NBLA CLO 53 LTD
N/A
NEUBERGER BERMAN CLO LTD NEUB 2023 53A A 144A
64135WAA1
900000.000000
PA
USD
899752.800000
0.548595
Long
ABS-CBDO
CORP
JE
N
2
2032-10-24
Floating
6.95695
N
N
N
N
N
N
N/A
N/A
INF SWAP EM NI 2.359 08/15/22-8Y LCH
000000000
1.000000
NC
38602.100000
0.0235364
N/A
DIR
N/A
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
Eurostat Eurozone HICP Ex Tob
N/A
N/A
Y
2030-08-15
9956.120000
EUR
0.000000
EUR
1600000.000000
EUR
28645.980000
N
N
N
N/A
N/A
SOLD JPY BOUGHT USD 20240109
000000000
1.000000
NC
-196925.780000
-0.120069
N/A
DFE
JP
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
615047375.000000
JPY
4167863.000000
USD
2024-01-09
-196925.780000
N
N
N
N/A
N/A
INF SWAP US IT 2.41875 03/05/21-5Y LCH
000000000
1.000000
NC
USD
196394.260000
0.119745
N/A
DIR
US
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
US CPI Urban Consumers NSA
N/A
N/A
Y
2026-03-05
0.000000
USD
0.000000
USD
2100000.000000
USD
196394.260000
N
N
N
JYSKE REALKREDIT KGS
529900R9HQNZRT2OXB26
JYSKE REALKREDIT A/S COVERED 10/53 1.5
ACI1X8QV3
1707730.140000
PA
206019.120000
0.125613
Long
DBT
CORP
DK
N
2
2053-10-01
Fixed
1.5
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 07/28 0.75
912828Y38
857990.000000
PA
USD
821395.340000
0.500819
Long
DBT
UST
US
N
2
2028-07-15
Fixed
0.75
N
N
N
N
N
N
STRUCTURED ASSET SEC CORP 2007-WF2
N/A
STRUCTURED ASSET SECURITIES CO SASC 2007 WF2 A1
86364LAA0
7178.810000
PA
USD
7132.770000
0.004349
Long
ABS-MBS
CORP
US
N
2
2037-08-25
Floating
6.47043
N
N
N
N
N
N
NYKREDIT REALKREDIT A/S
LIU16F6VZJSD6UKHD557
NYKREDIT REALKREDIT AS COVERED REGS 10/53 1
ACI1N9610
253.400000
PA
27.390000
0.0000167
Long
DBT
CORP
DK
N
2
2053-10-01
Fixed
1
N
N
N
N
N
N
N/A
N/A
INF SWAP EM NI 2.682 10/15/23-30Y LCH
000000000
1.000000
NC
16179.550000
0.009865
N/A
DIR
N/A
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
Eurostat Eurozone HICP Ex Tob
N/A
N/A
Y
2053-10-15
0.000000
EUR
0.000000
EUR
200000.000000
EUR
16179.550000
N
N
N
HOME EQUITY ASSET TRUST 2004-3
N/A
HOME EQUITY ASSET TRUST HEAT 2004 3 M1
437084CE4
29495.500000
PA
USD
28861.520000
0.0175974
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Floating
6.32543
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H27
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H27 FA
38383KHN5
1203589.450000
PA
USD
1197961.350000
0.730418
Long
ABS-MBS
USGSE
US
N
2
2073-11-20
Floating
6.23774
N
N
N
N
N
N
NYKREDIT REALKREDIT A/S
LIU16F6VZJSD6UKHD557
NYKREDIT REALKREDIT AS COVERED REGS 10/53 3
ACI24L9V3
5130676.440000
PA
713866.610000
0.435257
Long
DBT
CORP
DK
N
2
2053-10-01
Fixed
3
N
N
N
N
N
N
N/A
N/A
INF SWAP US IT 2.5 09/07/23-1Y LCH
000000000
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NC
USD
6573.430000
0.0040079
N/A
DIR
US
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
US CPI Urban Consumers NSA
N/A
N/A
Y
2024-09-07
0.000000
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0.000000
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7700000.000000
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6573.430000
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE
01F060626
8300000.000000
PA
USD
8428066.340000
5.13874
Long
ABS-MBS
USGSE
US
N
2
2054-02-13
Fixed
6
N
N
N
N
N
N
N/A
N/A
SOLD HUF BOUGHT USD 20240104
000000000
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NC
-107.930000
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N/A
DFE
HU
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
2542523.000000
HUF
7220.000000
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2024-01-04
-107.930000
N
N
N
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N/A
FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE
01F050619
4600000.000000
PA
USD
4551484.400000
2.77512
Long
ABS-MBS
USGSE
US
N
2
2054-01-16
Fixed
5
N
N
N
N
N
N
MAN GLG EURO 6A
N/A
MAN GLG EURO CLO GLGE 6A AR 144A
ACI22ZH29
286451.150000
PA
312384.610000
0.190466
Long
ABS-CBDO
CORP
IE
N
2
2032-10-15
Floating
4.775
N
N
N
N
N
N
SOUND POINT CLO XV LTD 2017-1A
N/A
SOUND POINT CLO LTD SNDPT 2017 1A ARR 144A
83609RAL5
60658.670000
PA
USD
60701.790000
0.0370109
Long
ABS-CBDO
CORP
KY
N
2
2029-01-23
Floating
6.57354
N
N
N
N
N
N
N/A
N/A
317U3UMA7 PIMCO SWAPTION 2.9 CALL EUR 20250829
000000000
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NC
-59122.090000
-0.0360478
N/A
DIR
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Call
Written
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
N/A
N/A
IRS EUR R 2.90000 09/02/25-2Y LCH
000000000
0.000000
NC
0.000000
0.000000
DIR
N/A
IRS EUR R 2.90000 09/02/25-2Y LCH
2027-09-02
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
2.900000
EUR
2025-08-29
XXXX
-24029.700000
N
N
N
N/A
N/A
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000000000
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NC
-73277.530000
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N/A
DIR
FR
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
France CPI Ex Tobacco
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2039-11-15
0.000000
EUR
0.000000
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300000.000000
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-73277.530000
N
N
N
ELMWOOD CLO 24 LTD 2023-3A
N/A
ELMWOOD CLO 24 LTD ELM24 2023 3A A1 144A
290020AA4
1800000.000000
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USD
1799156.810000
1.09698
Long
ABS-CBDO
CORP
KY
N
2
2033-12-11
Floating
7.04358
N
N
N
N
N
N
UBS GROUP AG
549300SZJ9VS8SGXAN81
UBS GROUP AG SR UNSECURED REGS 03/29 VAR
ACI2B33K5
100000.000000
PA
127375.200000
0.0776629
Long
DBT
CORP
CH
N
2
2029-03-01
Floating
7.75
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 04/28 3.625
912810FD5
2491960.600000
PA
USD
2670354.200000
1.62816
Long
DBT
UST
US
N
2
2028-04-15
Fixed
3.625
N
N
N
N
N
N
N/A
N/A
GOLD 100 OZ FUTR FEB24 XCEC 20240227
000000000
1.000000
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USD
1118.870000
0.0006822
N/A
DCO
US
N
1
COMMODITY EXCHANGE INC.
N/A
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N/A
Gold
2024-02-27
207180.000000
USD
1118.870000
N
N
N
NORDEA KREDIT REALKREDITAKTIESELSKAB
52990080NNXXLC14OC65
NORDEA KREDIT REALKREDIT COVERED 10/53 1.5
ACI1WZT66
1099756.780000
PA
125602.270000
0.0765819
Long
DBT
CORP
DK
N
2
2053-10-01
Fixed
1.5
N
N
N
N
N
N
JAPAN GOVT
353800WZS8AXZXFUC241
JAPAN GOVT CPI LINKED BONDS 03/28 0.1
ACI12NZL6
427930270.000000
PA
3189749.740000
1.94485
Long
DBT
NUSS
JP
N
2
2028-03-10
Fixed
0.1
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 02/48 1
912810SB5
1604503.620000
PA
USD
1296230.580000
0.790334
Long
DBT
UST
US
N
2
2048-02-15
Fixed
1
N
N
N
N
N
N
NORDEA KREDIT REALKREDITAKTIESELSKAB
52990080NNXXLC14OC65
NORDEA KREDIT REALKREDIT COVERED 10/53 1.5
ACI1Z8QZ2
100000.000000
PA
10181.710000
0.006208
Long
DBT
CORP
DK
N
2
2053-10-01
Fixed
1.5
N
N
N
N
N
N
N/A
N/A
SOLD HUF BOUGHT USD 20240104
000000000
1.000000
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-252.290000
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N/A
DFE
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N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
9328629.000000
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26634.200000
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2024-01-04
-252.290000
N
N
N
N/A
N/A
RFR JPY MUTK/0.55000 09/14/23-5Y LCH
000000000
1.000000
NC
-7755.120000
-0.0047284
N/A
DIR
JP
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
BOJ Overnight Call Rate TONAR
Y
2028-09-14
0.000000
JPY
-1851.520000
JPY
160000000.000000
JPY
-5903.600000
N
N
N
INDYMAC INDX MTGE LOAN TRUST 2004-AR10
N/A
INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR10 1A1
45660N2W4
509597.040000
PA
USD
454195.590000
0.276931
Long
ABS-MBS
CORP
US
N
2
2034-05-25
Floating
6.31043
N
N
N
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL 1J1334 FH 09/36 FLOATING VAR
3128NHPT4
6721.290000
PA
USD
6768.430000
0.0041268
Long
ABS-MBS
USGSE
US
N
2
2036-09-01
Floating
5.771
N
N
N
N
N
N
N/A
N/A
INF SWAP EM NI 2.421 05/15/22-30Y LCH
000000000
1.000000
NC
-13161.990000
-0.0080251
N/A
DIR
N/A
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
Eurostat Eurozone HICP Ex Tob
N/A
N/A
Y
2052-05-15
0.000000
EUR
0.000000
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170000.000000
EUR
-13161.990000
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 07/33 1.375
91282CHP9
210714.400000
PA
USD
204451.910000
0.124658
Long
DBT
UST
US
N
2
2033-07-15
Fixed
1.375
N
N
N
N
N
N
N/A
N/A
INF SWAP US IT 1.954 06/03/19-10Y LCH
000000000
1.000000
NC
USD
-132039.040000
-0.0805065
N/A
DIR
US
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
US CPI Urban Consumers NSA
N/A
N/A
Y
2029-06-03
0.000000
USD
0.000000
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1000000.000000
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-132039.040000
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 01/26 2
912810FS2
2345392.080000
PA
USD
2327402.990000
1.41906
Long
DBT
UST
US
N
2
2026-01-15
Fixed
2
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE
01F040628
6100000.000000
PA
USD
5775222.700000
3.52125
Long
ABS-MBS
USGSE
US
N
2
2054-02-13
Fixed
4
N
N
N
N
N
N
N/A
N/A
SOLD EUR BOUGHT USD 20240109
000000000
1.000000
NC
-24090.560000
-0.0146884
N/A
DFE
N/A
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
1505000.000000
EUR
1637737.540000
USD
2024-01-09
-24090.560000
N
N
N
N/A
N/A
3175RWRC3 INF CAP FWD EU JUN35 3 CALL
000000000
-1200000.000000
NC
-31359.910000
-0.0191207
N/A
DIR
DE
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Call
Written
Eurostat Eurozone HICP Ex Tob
N/A
N/A
N/A
3.000000
EUR
2035-06-22
XXXX
22822.280000
N
N
N
N/A
N/A
INF SWAP US IT 2.89 04/05/23-1Y LCH
000000000
1.000000
NC
USD
8288.980000
0.0050539
N/A
DIR
US
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
US CPI Urban Consumers NSA
N/A
N/A
Y
2024-04-05
0.000000
USD
0.000000
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27000000.000000
USD
8288.980000
N
N
N
N/A
N/A
INF SWAP EM NI 3.52 09/15/22-2Y LCH
000000000
1.000000
NC
-5241.780000
-0.003196
N/A
DIR
N/A
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
Eurostat Eurozone HICP Ex Tob
N/A
N/A
Y
2024-09-15
0.000000
EUR
-2088.470000
EUR
800000.000000
EUR
-3153.310000
N
N
N
N/A
N/A
INF SWAP EM NI 2.356 11/15/23-10Y LCH
000000000
1.000000
NC
29877.550000
0.0182169
N/A
DIR
N/A
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
Eurostat Eurozone HICP Ex Tob
N/A
N/A
Y
2033-11-15
0.000000
EUR
-1851.090000
EUR
1300000.000000
EUR
31728.640000
N
N
N
N/A
N/A
DEUTSCHE BANK REPO REPO
000000000
3200000.000000
PA
USD
3200000.000000
1.9511
Long
RA
US
N
2
Repurchase
N
5.420000
2024-01-02
3378000.000000
USD
3226847.710000
USD
UST
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H15
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2018 H15 FG
38380LJY0
272084.170000
PA
USD
266968.010000
0.162775
Long
ABS-MBS
USGSE
US
N
2
2068-08-20
Floating
6.24637
N
N
N
N
N
N
N/A
N/A
SOLD EUR BOUGHT USD 20240109
000000000
1.000000
NC
-129604.210000
-0.0790219
N/A
DFE
N/A
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
25498000.000000
EUR
28025407.660000
USD
2024-01-09
-129604.210000
N
N
N
CITIGROUP MORTGAGE LOAN TR 2006-AMC1
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AMC1 A1 144A
17309PAS5
231721.710000
PA
USD
221635.630000
0.135135
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Floating
5.76043
N
N
N
N
N
N
JYSKE REALKREDIT KGS
529900R9HQNZRT2OXB26
JYSKE REALKREDIT A/S COVERED 10/53 1.5
ACI1W77N5
1882618.030000
PA
214688.770000
0.1309
Long
DBT
CORP
DK
N
2
2053-10-01
Fixed
1.5
N
N
N
N
N
N
N/A
N/A
RFR USD SOFR/2.86500 02/13/24-30Y LCH
000000000
1.000000
NC
USD
557057.900000
0.339648
N/A
DIR
US
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
USD-SOFR-COMPOUND
Y
2054-02-13
134232.440000
USD
0.000000
USD
7000000.000000
USD
422825.460000
N
N
N
N/A
N/A
RFR USD SOFR/4.90000 11/15/23-2Y LCH
000000000
1.000000
NC
USD
7706.800000
0.004699
N/A
DIR
US
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
USD-SOFR-COMPOUND
Y
2025-11-15
0.000000
USD
0.000000
USD
603000.000000
USD
7706.800000
N
N
N
N/A
N/A
RFRF USD SOFR/2.23650 11/21/23-30Y LCH
000000000
1.000000
NC
USD
1052551.410000
0.641759
N/A
DIR
US
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
USD-SOFR-COMPOUND
Y
2053-11-21
254482.760000
USD
0.000000
USD
4100000.000000
USD
798068.650000
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 02/50 0.25
912810SM1
4487700.000000
PA
USD
2929662.650000
1.78627
Long
DBT
UST
US
N
2
2050-02-15
Fixed
0.25
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 02/44 1.375
912810RF7
607264.400000
PA
USD
543364.610000
0.331299
Long
DBT
UST
US
N
2
2044-02-15
Fixed
1.375
N
N
N
N
N
N
N/A
N/A
SOLD DKK BOUGHT USD 20240109
000000000
1.000000
NC
-12468.910000
-0.0076025
N/A
DFE
DK
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
20063814.930000
DKK
2959640.150000
USD
2024-01-09
-12468.910000
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 02/49 1
912810SG4
3337943.700000
PA
USD
2690270.630000
1.6403
Long
DBT
UST
US
N
2
2049-02-15
Fixed
1
N
N
N
N
N
N
N/A
N/A
RFRF USD SOFR/2.34000 11/21/23-5Y LCH
000000000
1.000000
NC
USD
-1406353.890000
-0.857478
N/A
DIR
US
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
USD-SOFR-COMPOUND
Y
2028-11-21
0.000000
USD
-254520.000000
USD
20200000.000000
USD
-1151833.890000
N
N
N
N/A
N/A
317526H53 INF CAP USD MAY24 4.0 CALL
000000000
-500000.000000
NC
USD
-0.050000
0
N/A
DIR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Call
Written
US CPI Urban Consumers NSA
N/A
N/A
N/A
4.000000
USD
2024-05-16
XXXX
3474.950000
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 02/43 0.625
912810RA8
3773780.400000
PA
USD
2951113.560000
1.79935
Long
DBT
UST
US
N
2
2043-02-15
Fixed
0.625
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H22
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H22 FB
38383KEF5
2020197.100000
PA
USD
2016895.090000
1.22974
Long
ABS-MBS
USGSE
US
N
2
2073-09-20
Floating
6.28774
N
N
N
N
N
N
JYSKE REALKREDIT KGS
529900R9HQNZRT2OXB26
JYSKE REALKREDIT A/S COVERED REGS 10/50 1
ACI1CPNN9
1.730000
PA
0.200000
0.0000001
Long
DBT
CORP
DK
N
2
2050-10-01
Fixed
1
N
N
N
N
N
N
MORTGAGEIT TRUST 2004-2
N/A
MORTGAGEIT TRUST MHL 2004 2 M2
61913PAN2
6581.830000
PA
USD
6064.290000
0.0036975
Long
ABS-MBS
CORP
US
N
3
2034-12-25
Floating
6.47543
N
N
N
N
N
N
OPEN TRUST 2023-AIR
N/A
OPEN TRUST OPEN 2023 AIR A 144A
68373BAA9
1777540.310000
PA
USD
1786586.390000
1.08931
Long
ABS-MBS
CORP
US
N
2
2028-10-15
Floating
8.4509
N
N
N
N
N
N
N/A
N/A
INF SWAP EM NI 2.62 11/15/23-30Y LCH
000000000
1.000000
NC
-12119.410000
-0.0073894
N/A
DIR
N/A
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
Eurostat Eurozone HICP Ex Tob
N/A
N/A
Y
2053-11-15
0.000000
EUR
0.000000
EUR
200000.000000
EUR
-12119.410000
N
N
N
N/A
N/A
317U3VHA1 PIMCO SWAPTION 2.8 PUT EUR 20250901
000000000
-15200000.000000
NC
-84225.740000
-0.0513539
N/A
DIR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
N/A
N/A
IRS EUR R 2.80000 09/03/25-2Y LCH
000000000
0.000000
NC
0.000000
0.000000
DIR
N/A
IRS EUR R 2.80000 09/03/25-2Y LCH
2027-09-03
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
2.800000
EUR
2025-09-01
XXXX
107130.450000
N
N
N
N/A
N/A
IRS EUR 2.75000 03/20/24-30Y LCH
000000000
1.000000
NC
-903940.820000
-0.551148
N/A
DIR
N/A
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
Euribor 6 Month ACT/360
Y
2054-03-20
305662.380000
EUR
0.000000
EUR
8690000.000000
EUR
-1209603.200000
N
N
N
N/A
N/A
RFR USD SOFR/4.86800 12/22/23-2Y LCH
000000000
1.000000
NC
USD
-103992.720000
-0.0634062
N/A
DIR
US
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
USD-SOFR-COMPOUND
Y
2025-12-22
0.000000
USD
0.000000
USD
7250000.000000
USD
-103992.720000
N
N
N
N/A
N/A
INF SWAP EM NI 2.965 05/15/22-5Y LCH
000000000
1.000000
NC
4183.620000
0.0025508
N/A
DIR
N/A
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
Eurostat Eurozone HICP Ex Tob
N/A
N/A
Y
2027-05-15
0.000000
EUR
0.000000
EUR
200000.000000
EUR
4183.620000
N
N
N
CITIGROUP MTGE LOAN TR INC 2007-AMC2
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC2 A3A
17311XAA3
131563.760000
PA
USD
91241.840000
0.0556317
Long
ABS-MBS
CORP
US
N
2
2037-01-25
Floating
5.55043
N
N
N
N
N
N
NORDEA KREDIT REALKREDITAKTIESELSKAB
52990080NNXXLC14OC65
NORDEA KREDIT REALKREDIT COVERED 10/53 1.5
BL6K5DII1
1203891.090000
PA
145375.460000
0.0886379
Long
DBT
CORP
DK
N
2
2053-10-01
Fixed
1.5
N
N
N
N
N
N
FRANCE GOVT
969500KCGF3SUYJHPV70
FRANCE (GOVT OF) BONDS 144A REGS 07/31 0.1
ACI1VB392
1064646.000000
PA
1159002.720000
0.706664
Long
DBT
NUSS
FR
N
2
2031-07-25
Fixed
0.1
N
N
N
N
N
N
NORDEA KREDIT REALKREDITAKTIESELSKAB
52990080NNXXLC14OC65
NORDEA KREDIT REALKREDIT COVERED 10/47 2.5
ACI0CR3W9
117.990000
PA
16.270000
0.0000099
Long
DBT
CORP
DK
N
2
2047-10-01
Fixed
2.5
N
N
N
N
N
N
N/A
N/A
SOLD HUF BOUGHT USD 20240104
000000000
1.000000
NC
-955.430000
-0.0005825
N/A
DFE
HU
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
38843400.000000
HUF
110997.000000
USD
2024-01-04
-955.430000
N
N
N
N/A
N/A
EURIBOR 3M OPT APR24C 96.75 EXP 04/12/2024
000000000
-130.000000
NC
-87902.030000
-0.0535954
N/A
DIR
GB
N
1
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
Call
Written
INTERCONTINENTAL EXCHANGE
5493000F4ZO33MV32P92
N/A
N/A
FIN FUT EURIBOR ICE (WHT) 06/17/24
000000000
0.000000
NC
0.000000
0.000000
DIR
N/A
N/A
FIN FUT EURIBOR ICE (WHT) 06/17/24
2024-06-18
N/A
EUR
N/A
96.750000
EUR
2024-04-12
XXXX
-235.310000
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 01/29 2.5
912810PZ5
3753105.570000
PA
USD
3881204.620000
2.36644
Long
DBT
UST
US
N
2
2029-01-15
Fixed
2.5
N
N
N
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE
01F042624
5300000.000000
PA
USD
5141207.070000
3.13468
Long
ABS-MBS
USGSE
US
N
2
2054-02-13
Fixed
4.5
N
N
N
N
N
N
N/A
N/A
INF SWAP EM NI 2.763 09/15/23-30Y LCH
000000000
1.000000
NC
76373.670000
0.0465663
N/A
DIR
N/A
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
Eurostat Eurozone HICP Ex Tob
N/A
N/A
Y
2053-09-15
1735.060000
EUR
0.000000
EUR
700000.000000
EUR
74638.610000
N
N
N
N/A
N/A
INF SWAP US IT 2.813 05/14/21-5Y LCH
000000000
1.000000
NC
USD
55885.410000
0.0340743
N/A
DIR
US
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
US CPI Urban Consumers NSA
N/A
N/A
Y
2026-05-14
0.000000
USD
0.000000
USD
800000.000000
USD
55885.410000
N
N
N
N/A
N/A
INF SWAP EM NI 1.71 03/15/18-15Y LCH
000000000
1.000000
NC
48119.860000
0.0293395
N/A
DIR
N/A
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
Eurostat Eurozone HICP Ex Tob
N/A
N/A
Y
2033-03-15
0.000000
EUR
-533.400000
EUR
300000.000000
EUR
48653.260000
N
N
N
N/A
N/A
SOLD HUF BOUGHT USD 20240104
000000000
1.000000
NC
-0.090000
-0.0000001
N/A
DFE
HU
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
2113.000000
HUF
6.000000
USD
2024-01-04
-0.090000
N
N
N
N/A
N/A
INF SWAP US IT 1.8825 11/20/19-10Y LCH
000000000
1.000000
NC
USD
-69979.330000
-0.0426676
N/A
DIR
US
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
US CPI Urban Consumers NSA
N/A
N/A
Y
2029-11-20
511.540000
USD
0.000000
USD
500000.000000
USD
-70490.870000
N
N
N
N/A
N/A
317U3VGA2 PIMCO SWAPTION 2.8 CALL EUR 20250901
000000000
-15200000.000000
NC
-309642.120000
-0.188794
N/A
DIR
US
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Call
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
N/A
N/A
IRS EUR R 2.80000 09/03/25-2Y LCH
000000000
0.000000
NC
0.000000
0.000000
DIR
N/A
IRS EUR R 2.80000 09/03/25-2Y LCH
2027-09-03
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
2.800000
EUR
2025-09-01
XXXX
-118285.930000
N
N
N
CMLTI 2005-HE4
N/A
CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 HE4 M3
17307GP85
500000.000000
PA
USD
447742.700000
0.272996
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
6.16043
N
N
N
N
N
N
N/A
N/A
IRS EUR 1.00000 05/18/22-5Y LCH
000000000
1.000000
NC
-42343.260000
-0.0258174
N/A
DIR
N/A
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
Euribor 6 Month ACT/360
Y
2027-05-18
0.000000
EUR
-2995.630000
EUR
800000.000000
EUR
-39347.630000
N
N
N
N/A
N/A
US 5YR NOTE (CBT) MAR24 XCBT 20240328
000000000
-138.000000
NC
USD
-279603.800000
-0.170479
N/A
DIR
US
N
2
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Short
N/A
UNITED STATES GOVT
2024-03-28
-14998335.970000
USD
-279603.800000
N
N
N
N/A
N/A
FIXED INC CLEARING CORP.REPO
000000000
816000.000000
PA
USD
816000.000000
0.497529
Long
RA
US
N
2
Repurchase
N
2.600000
2024-01-02
821100.000000
USD
832354.370000
USD
UST
N
N
N
JAPAN GOVT
353800WZS8AXZXFUC241
JAPAN GOVT CPI LINKED BONDS 03/29 0.1
ACI1BXN03
749322000.000000
PA
5598657.640000
3.4136
Long
DBT
NUSS
JP
N
2
2029-03-10
Fixed
0.1
N
N
N
N
N
N
N/A
N/A
EURO-SCHATZ FUT MAR24 XEUR 20240307
000000000
-340.000000
NC
-218289.250000
-0.133095
N/A
DIR
DE
N
1
EUREX DEUTSCHLAND
529900UT4DG0LG5R9O07
Short
N/A
GERMANY GOVT
2024-03-07
-39990925.530000
EUR
-218289.250000
N
N
N
N/A
N/A
INF SWAP EM NI 3.13 05/15/22-5Y LCH
000000000
1.000000
NC
3420.800000
0.0020857
N/A
DIR
N/A
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
Eurostat Eurozone HICP Ex Tob
N/A
N/A
Y
2027-05-15
0.000000
EUR
0.000000
EUR
300000.000000
EUR
3420.800000
N
N
N
NYKREDIT REALKREDIT A/S
LIU16F6VZJSD6UKHD557
NYKREDIT REALKREDIT AS COVERED REGS 10/50 1
BK9CXBII1
1662520.650000
PA
192753.130000
0.117525
Long
DBT
CORP
DK
N
2
2050-10-01
Fixed
1
N
N
N
N
N
N
N/A
N/A
SOLD CAD BOUGHT USD 20240109
000000000
1.000000
NC
-16643.060000
-0.0101476
N/A
DFE
CA
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
1051000.000000
CAD
776624.360000
USD
2024-01-09
-16643.060000
N
N
N
N/A
N/A
BOUGHT NZD SOLD USD 20240109
000000000
1.000000
NC
6326.070000
0.0038571
N/A
DFE
NZ
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
168686.280000
USD
276851.000000
NZD
2024-01-09
6326.070000
N
N
N
NYKREDIT REALKREDIT A/S
LIU16F6VZJSD6UKHD557
NYKREDIT REALKREDIT AS COVERED REGS 10/53 2
ACI1Z8QS8
1.530000
PA
0.170000
0.0000001
Long
DBT
CORP
DK
N
2
2053-10-01
Fixed
2
N
N
N
N
N
N
N/A
N/A
INF SWAP EM NI 2.5475 11/15/23-30Y LCH
000000000
1.000000
NC
-7002.560000
-0.0042696
N/A
DIR
N/A
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
Eurostat Eurozone HICP Ex Tob
N/A
N/A
Y
2053-11-15
0.000000
EUR
-619.070000
EUR
200000.000000
EUR
-6383.490000
N
N
N
N/A
N/A
IRS EUR 1.00000 05/13/22-5Y LCH
000000000
1.000000
NC
-96114.240000
-0.0586025
N/A
DIR
N/A
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
Euribor 6 Month ACT/360
Y
2027-05-13
0.000000
EUR
-6575.110000
EUR
1800000.000000
EUR
-89539.130000
N
N
N
N/A
N/A
317U4AKA2 PIMCO SWAPTION 4.75 CALL USD 2024011
000000000
-1400000.000000
NC
USD
-19494.440000
-0.0118861
N/A
DIR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Call
Written
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
N/A
N/A
RFR USD SOFR/4.75000 01/18/24-2Y LCH
000000000
0.000000
NC
USD
0.000000
0.000000
DIR
US
N/A
RFR USD SOFR/4.75000 01/18/24-2Y LCH
2026-01-18
0.000000
USD
0.000000
USD
N/A
USD
N/A
4.750000
USD
2024-01-16
XXXX
-12984.440000
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 01/28 0.5
9128283R9
7159616.800000
PA
USD
6776991.840000
4.13205
Long
DBT
UST
US
N
2
2028-01-15
Fixed
0.5
N
N
N
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL 806506 FN 10/44 FLOATING VAR
31406DAF3
1344.190000
PA
USD
1300.580000
0.000793
Long
ABS-MBS
USGSE
US
N
2
2044-10-01
Floating
6.212
N
N
N
N
N
N
N/A
N/A
INF SWAP EM NI 2.3625 11/15/23-10Y LCH
000000000
1.000000
NC
18950.480000
0.0115544
N/A
DIR
N/A
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
Eurostat Eurozone HICP Ex Tob
N/A
N/A
Y
2033-11-15
0.000000
EUR
0.000000
EUR
800000.000000
EUR
18950.480000
N
N
N
N/A
N/A
SOLD HUF BOUGHT USD 20240104
000000000
1.000000
NC
-292.970000
-0.0001786
N/A
DFE
HU
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
9342745.000000
HUF
26634.200000
USD
2024-01-04
-292.970000
N
N
N
RESIDENTIAL ACCREDIT LOANS 2006-QO6
N/A
RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO6 A1
75114NAA2
198059.100000
PA
USD
46959.850000
0.0286322
Long
ABS-MBS
CORP
US
N
2
2046-06-25
Floating
5.83043
N
N
N
N
N
N
N/A
N/A
IRS EUR 2.87880 06/12/23-9Y* LCH
000000000
1.000000
NC
171245.180000
0.104411
N/A
DIR
N/A
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
Euribor 6 Month ACT/360
Y
2032-08-15
0.000000
EUR
0.000000
EUR
5600000.000000
EUR
171245.180000
N
N
N
FRANCE GOVT
969500KCGF3SUYJHPV70
FRANCE (GOVT OF) BONDS REGS 07/24 0.25
ACI04Z888
3776820.000000
PA
4142027.920000
2.52547
Long
DBT
NUSS
FR
N
2
2024-07-25
Fixed
0.25
N
N
N
N
N
N
ITALY GOVT
815600DE60799F5A9309
BUONI POLIENNALI DEL TES SR UNSECURED 144A REGS 05/25 1
ACI1MHM64
9194848.000000
PA
9991085.590000
6.09174
Long
DBT
NUSS
IT
N
2
2025-05-26
Fixed
1.4
N
N
N
N
N
N
NYKREDIT REALKREDIT A/S
LIU16F6VZJSD6UKHD557
NYKREDIT REALKREDIT AS COVERED REGS 10/53 1
ACI1N7309
1.650000
PA
0.190000
0.0000001
Long
DBT
CORP
DK
N
2
2053-10-01
Fixed
1
N
N
N
N
N
N
N/A
N/A
BOUGHT DKK SOLD USD 20240109
000000000
1.000000
NC
1614.880000
0.0009846
N/A
DFE
DK
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
190217.090000
USD
1295000.000000
DKK
2024-01-09
1614.880000
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE
01F052623
5300000.000000
PA
USD
5324015.680000
3.24614
Long
ABS-MBS
USGSE
US
N
2
2054-02-13
Fixed
5.5
N
N
N
N
N
N
N/A
N/A
SOLD HUF BOUGHT USD 20240104
000000000
1.000000
NC
-0.010000
0
N/A
DFE
HU
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
352.000000
HUF
1.000000
USD
2024-01-04
-0.010000
N
N
N
N/A
N/A
US 10YR NOTE (CBT)MAR24 XCBT 20240319
000000000
-75.000000
NC
USD
-160326.020000
-0.0977536
N/A
DIR
US
N
2
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Short
N/A
UNITED STATES GOVT
2024-03-19
-8454492.150000
USD
-160326.020000
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 02/47 0.875
912810RW0
694640.650000
PA
USD
548087.830000
0.334179
Long
DBT
UST
US
N
2
2047-02-15
Fixed
0.875
N
N
N
N
N
N
N/A
N/A
INF SWAP EM NI 2.4875 05/15/22-15Y LCH
000000000
1.000000
NC
-36320.630000
-0.0221453
N/A
DIR
N/A
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
Eurostat Eurozone HICP Ex Tob
N/A
N/A
Y
2037-05-15
1462.980000
EUR
0.000000
EUR
1210000.000000
EUR
-37783.610000
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 01/32 0.125
91282CDX6
7325406.000000
PA
USD
6437847.210000
3.92527
Long
DBT
UST
US
N
2
2032-01-15
Fixed
0.125
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 04/27 0.125
91282CEJ6
2942163.000000
PA
USD
2765360.040000
1.68609
Long
DBT
UST
US
N
2
2027-04-15
Fixed
0.125
N
N
N
N
N
N
N/A
N/A
SOLD HUF BOUGHT USD 20240104
000000000
1.000000
NC
-1652.190000
-0.0010074
N/A
DFE
HU
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
43470769.000000
HUF
123637.000000
USD
2024-01-04
-1652.190000
N
N
N
FHLMC PASS THRU POOLS
N/A
FED HM LN PC POOL 1A1082 FH 07/36 FLOATING VAR
3128NFFX0
21247.150000
PA
USD
21680.510000
0.013219
Long
ABS-MBS
USGSE
US
N
2
2036-07-01
Floating
7.396
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 04/32 3.375
912810FQ6
442006.800000
PA
USD
494785.450000
0.301679
Long
DBT
UST
US
N
2
2032-04-15
Fixed
3.375
N
N
N
N
N
N
GRIFONAS FINANCE NO.1 PLC GRIF-1
N/A
GRIFONAS FINANCE PLC GRIF 1 A REGS
B1DFQWII3
70708.880000
PA
76219.060000
0.0464721
Long
ABS-MBS
CORP
GB
N
2
2039-08-28
Floating
4.212
N
N
N
N
N
N
COUNTRYWIDE ALT LOAN TRUST 2006-OA17
N/A
COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA17 1A1A
12668PAA0
518899.610000
PA
USD
446459.250000
0.272214
Long
ABS-MBS
CORP
US
N
2
2046-12-20
Floating
5.6674
N
N
N
N
N
N
FANNIE MAE 2007-4
N/A
FANNIE MAE FNR 2007 4 DF
31396PMC2
9053.450000
PA
USD
8898.660000
0.0054257
Long
ABS-MBS
USGSE
US
N
2
2037-02-25
Floating
5.89691
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 02/42 0.75
912810QV3
3390408.900000
PA
USD
2750917.570000
1.67728
Long
DBT
UST
US
N
2
2042-02-15
Fixed
0.75
N
N
N
N
N
N
REALKREDIT DANMARK A/S
549300NLOMBOWE943Y30
REALKREDIT DANMARK COVERED REGS 10/53 1.5
ACI1WVDP0
5239824.910000
PA
597450.380000
0.364276
Long
DBT
CORP
DK
N
2
2053-10-01
Fixed
1.5
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 07/31 0.125
91282CCM1
23039155.800000
PA
USD
20494495.100000
12.4958
Long
DBT
UST
US
N
2
2031-07-15
Fixed
0.125
N
N
N
N
N
N
N/A
N/A
IRS EUR 0.65000 05/11/22-5Y LCH
000000000
1.000000
NC
-61126.200000
-0.0372697
N/A
DIR
N/A
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
Euribor 6 Month ACT/360
Y
2027-05-11
0.000000
EUR
-6787.320000
EUR
900000.000000
EUR
-54338.880000
N
N
N
N/A
N/A
317515FG4 INF CAP US APR24 4.0 CALL
000000000
-6500000.000000
NC
USD
-0.650000
-0.0000004
N/A
DIR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Call
Written
US CPI Urban Consumers NSA
N/A
N/A
N/A
4.000000
USD
2024-04-22
XXXX
47286.850000
N
N
N
FNMA PASS THRU POOLS
N/A
FNMA POOL AS6311 FN 12/45 FIXED 3.5
3138WGAM6
7350.910000
PA
USD
6863.340000
0.0041847
Long
ABS-MBS
USGSE
US
N
2
2045-12-01
Fixed
3.5
N
N
N
N
N
N
N/A
N/A
US LONG BOND(CBT) MAR24 XCBT 20240319
000000000
-60.000000
NC
USD
-529308.180000
-0.322728
N/A
DIR
US
N
2
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Short
N/A
UNITED STATES GOVT
2024-03-19
-7470937.500000
USD
-529308.180000
N
N
N
N/A
N/A
EURO-BTP FUTURE MAR24 XEUR 20240307
000000000
33.000000
NC
157414.040000
0.0959781
N/A
DIR
DE
N
1
EUREX DEUTSCHLAND
529900UT4DG0LG5R9O07
Long
N/A
ITALY GOVT
2024-03-07
4340676.810000
EUR
157414.040000
N
N
N
N/A
N/A
IRS EUR 0.19000 11/04/22-30Y LCH
000000000
1.000000
NC
498744.430000
0.304093
N/A
DIR
N/A
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
Euribor 6 Month ACT/360
Y
2052-11-04
61905.300000
EUR
0.000000
EUR
1000000.000000
EUR
436839.130000
N
N
N
MORGAN STANLEY CAPITAL INC 2005-HE2
N/A
MORGAN STANLEY CAPITAL INC MSAC 2005 HE2 M2
61744CNC6
198627.820000
PA
USD
191506.420000
0.116765
Long
ABS-MBS
CORP
US
N
2
2035-01-25
Floating
6.13043
N
N
N
N
N
N
REALKREDIT DANMARK A/S
549300NLOMBOWE943Y30
REALKREDIT DANMARK COVERED REGS 10/53 1
BL63VKII4
1408695.340000
PA
161576.380000
0.0985159
Long
DBT
CORP
DK
N
2
2053-10-01
Fixed
1
N
N
N
N
N
N
REALKREDIT DANMARK A/S
549300NLOMBOWE943Y30
REALKREDIT DANMARK COVERED REGS 04/47 2.5
ACI0B2V53
11158.150000
PA
1545.890000
0.0009426
Long
DBT
CORP
DK
N
2
2047-04-01
Fixed
2.5
N
N
N
N
N
N
N/A
N/A
RFRF USD SF+26.161/1.84 11/21/23-5Y LCH
000000000
1.000000
NC
USD
507588.530000
0.309486
N/A
DIR
US
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
USD-SOFR-COMPOUND
Y
2028-11-21
0.000000
USD
-1139.730000
USD
5500000.000000
USD
508728.260000
N
N
N
REALKREDIT DANMARK A/S
549300NLOMBOWE943Y30
REALKREDIT DANMARK COVERED REGS 10/53 3
ACI24KGY1
4555406.050000
PA
632955.010000
0.385924
Long
DBT
CORP
DK
N
2
2053-10-01
Fixed
3
N
N
N
N
N
N
N/A
N/A
INF SWAP EM NI 2.72 06/15/22-10Y LCH
000000000
1.000000
NC
-23514.130000
-0.014337
N/A
DIR
N/A
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
Eurostat Eurozone HICP Ex Tob
N/A
N/A
Y
2032-06-15
0.000000
EUR
-6406.470000
EUR
2100000.000000
EUR
-17107.660000
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 02/41 2.125
912810QP6
2767751.500000
PA
USD
2845049.350000
1.73468
Long
DBT
UST
US
N
2
2041-02-15
Fixed
2.125
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 10/27 1.625
91282CFR7
6751095.000000
PA
USD
6701866.490000
4.08624
Long
DBT
UST
US
N
2
2027-10-15
Fixed
1.625
N
N
N
N
N
N
N/A
N/A
RFR USD SOFR/4.61100 10/31/23-2Y LCH
000000000
1.000000
NC
USD
144604.370000
0.0881678
N/A
DIR
US
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
USD-SOFR-COMPOUND
Y
2025-10-31
0.000000
USD
-126402.500000
USD
23300000.000000
USD
271006.870000
N
N
N
NYKREDIT REALKREDIT A/S
LIU16F6VZJSD6UKHD557
NYKREDIT REALKREDIT AS COVERED REGS 10/53 1.5
ACI1P1CP5
12487872.510000
PA
1504122.240000
0.917089
Long
DBT
CORP
DK
N
2
2053-10-01
Fixed
1.5
N
N
N
N
N
N
N/A
N/A
INF SWAP US IT 1.9975 07/25/19-10Y LCH
000000000
1.000000
NC
USD
-163290.980000
-0.0995613
N/A
DIR
US
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
US CPI Urban Consumers NSA
N/A
N/A
Y
2029-07-25
490.860000
USD
0.000000
USD
1300000.000000
USD
-163781.840000
N
N
N
ATLAS SENIOR LOAN FUND LTD 2017-8A
N/A
ATLAS SENIOR LOAN FUND LTD ATCLO 2017 8A A 144A
04943AAC3
187013.400000
PA
USD
186761.150000
0.113872
Long
ABS-CBDO
CORP
KY
N
2
2030-01-16
Floating
6.80548
N
N
N
N
N
N
MARATHON STATIC CLO 2022-18A LTD
N/A
MARATHON STATIC CLO LTD MSTAT 2022 18A A1R 144A
56586PAN8
958242.410000
PA
USD
957075.080000
0.583545
Long
ABS-CBDO
CORP
KY
N
2
2030-07-20
Floating
7.16582
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 10/25 0.125
91282CAQ4
830039.000000
PA
USD
798253.130000
0.486709
Long
DBT
UST
US
N
2
2025-10-15
Fixed
0.125
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 07/30 0.125
912828ZZ6
2040017.000000
PA
USD
1843940.930000
1.12428
Long
DBT
UST
US
N
2
2030-07-15
Fixed
0.125
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 01/28 1.75
912810PV4
4339772.100000
PA
USD
4314354.710000
2.63054
Long
DBT
UST
US
N
2
2028-01-15
Fixed
1.75
N
N
N
N
N
N
N/A
N/A
SOLD JPY BOUGHT USD 20240109
000000000
1.000000
NC
-73300.790000
-0.0446928
N/A
DFE
JP
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
233635295.000000
JPY
1584732.000000
USD
2024-01-09
-73300.790000
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H27
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H27 FD
38383KHV7
1807936.450000
PA
USD
1822644.010000
1.1113
Long
ABS-MBS
USGSE
US
N
2
2073-11-20
Floating
6.43774
N
N
N
N
N
N
N/A
N/A
BOUGHT BRL SOLD USD 20240202
000000000
1.000000
NC
10.280000
0.0000063
N/A
DFE
BR
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
206.640000
USD
1055.410000
BRL
2024-02-02
10.280000
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2023-H24
N/A
GOVERNMENT NATIONAL MORTGAGE A GNR 2023 H24 FA
38383KGP1
3719451.230000
PA
USD
3713260.580000
2.26404
Long
ABS-MBS
USGSE
US
N
2
2073-10-20
Floating
6.28774
N
N
N
N
N
N
N/A
N/A
US 10YR ULTRA FUT MAR24 XCBT 20240319
000000000
87.000000
NC
USD
465658.930000
0.28392
N/A
DIR
US
N
2
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Long
N/A
UNITED STATES GOVT
2024-03-19
10246289.110000
USD
465658.930000
N
N
N
N/A
N/A
INF SWAP EM NI 1.38 03/15/21-10Y LCH
000000000
1.000000
NC
-825752.920000
-0.503476
N/A
DIR
N/A
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
Eurostat Eurozone HICP Ex Tob
N/A
N/A
Y
2031-03-15
0.000000
EUR
-27898.410000
EUR
3900000.000000
EUR
-797854.510000
N
N
N
N/A
N/A
RFR USD SOFR/4.25000 12/20/23-2Y LCH
000000000
1.000000
NC
USD
-118003.190000
-0.0719486
N/A
DIR
US
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
USD-SOFR-COMPOUND
Y
2025-12-20
30832.530000
USD
0.000000
USD
48500000.000000
USD
-148835.720000
N
N
N
N/A
N/A
INF SWAP US IT 2.703 05/25/21-5Y LCH
000000000
1.000000
NC
USD
61682.730000
0.037609
N/A
DIR
US
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
US CPI Urban Consumers NSA
N/A
N/A
Y
2026-05-25
153.010000
USD
0.000000
USD
830000.000000
USD
61529.720000
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 01/33 1.125
91282CGK1
309864.000000
PA
USD
293349.830000
0.178861
Long
DBT
UST
US
N
2
2033-01-15
Fixed
1.125
N
N
N
N
N
N
N/A
N/A
INF SWAP EM NI 3.0 05/15/22-5Y LCH
000000000
1.000000
NC
18904.760000
0.0115266
N/A
DIR
N/A
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
Eurostat Eurozone HICP Ex Tob
N/A
N/A
Y
2027-05-15
507.170000
EUR
0.000000
EUR
1000000.000000
EUR
18397.590000
N
N
N
N/A
N/A
INF SWAP EM NI 2.47 07/15/22-10Y LCH
000000000
1.000000
NC
13697.880000
0.0083518
N/A
DIR
N/A
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
Eurostat Eurozone HICP Ex Tob
N/A
N/A
Y
2032-07-15
0.000000
EUR
0.000000
EUR
800000.000000
EUR
13697.880000
N
N
N
NORDEA KREDIT REALKREDITAKTIESELSKAB
52990080NNXXLC14OC65
NORDEA KREDIT REALKREDIT COVERED REGS 10/50 1
BK99HJII9
1.280000
PA
0.150000
0.0000001
Long
DBT
CORP
DK
N
2
2050-10-01
Fixed
1
N
N
N
N
N
N
N/A
N/A
EURO-BOBL FUTURE MAR24 XEUR 20240307
000000000
-21.000000
NC
-44997.180000
-0.0274356
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DIR
DE
N
1
EUREX DEUTSCHLAND
529900UT4DG0LG5R9O07
Short
N/A
GERMANY GOVT
2024-03-07
-2765262.660000
EUR
-44997.180000
N
N
N
N/A
N/A
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000000000
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94306.410000
0.0575003
N/A
DIR
N/A
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
Eurostat Eurozone HICP Ex Tob
N/A
N/A
Y
2053-04-15
7352.140000
EUR
0.000000
EUR
1100000.000000
EUR
86954.270000
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
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912828H45
18575557.000000
PA
USD
18031871.990000
10.9943
Long
DBT
UST
US
N
2
2025-01-15
Fixed
0.25
N
N
N
N
N
N
N/A
N/A
SOLD HUF BOUGHT USD 20240104
000000000
1.000000
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-73.210000
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N/A
DFE
HU
N
2
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R0MUWSFPU8MPRO8K5P83
2214045.000000
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6308.000000
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-73.210000
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N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
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912810RL4
1920643.200000
PA
USD
1503389.030000
0.916642
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DBT
UST
US
N
2
2045-02-15
Fixed
0.75
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N
N
N
N
N
REALKREDIT DANMARK A/S
549300NLOMBOWE943Y30
REALKREDIT DANMARK COVERED REGS 10/50 1
BKDSHLII7
2783821.310000
PA
322715.830000
0.196765
Long
DBT
CORP
DK
N
2
2050-10-01
Fixed
1
N
N
N
N
N
N
NORDEA KREDIT REALKREDITAKTIESELSKAB
52990080NNXXLC14OC65
NORDEA KREDIT REALKREDIT COVERED 144A REGS 10/53 2
ACI22CN07
499644.030000
PA
61142.340000
0.0372795
Long
DBT
CORP
DK
N
2
2053-10-01
Fixed
2
N
N
N
N
N
N
N/A
N/A
IRS EUR 3.00000 03/20/24-10Y LCH
000000000
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NC
1297934.020000
0.791373
N/A
DIR
N/A
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
Euribor 6 Month ACT/360
Y
2034-03-20
0.000000
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-469520.640000
EUR
24770000.000000
EUR
1767454.660000
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N
N
N/A
N/A
INF SWAP US IT 2.37 06/06/18-10Y LCH
000000000
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USD
-187342.050000
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DIR
US
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
US CPI Urban Consumers NSA
N/A
N/A
Y
2028-06-06
0.000000
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-416.840000
USD
2200000.000000
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-186925.210000
N
N
N
N/A
N/A
EURO-BUND FUTURE MAR24 XEUR 20240307
000000000
24.000000
NC
26868.450000
0.0163822
N/A
DIR
DE
N
1
EUREX DEUTSCHLAND
529900UT4DG0LG5R9O07
Long
N/A
GERMANY GOVT
2024-03-07
3635616.960000
EUR
26868.450000
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 01/27 0.375
912828V49
1018952.000000
PA
USD
968538.780000
0.590535
Long
DBT
UST
US
N
2
2027-01-15
Fixed
0.375
N
N
N
N
N
N
N/A
N/A
SOLD PEN BOUGHT USD 20240320
000000000
1.000000
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-1818.100000
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N/A
DFE
PE
N
2
Citibank, National Association
E57ODZWZ7FF32TWEFA76
449926.430000
PEN
119515.070000
USD
2024-03-20
-1818.100000
N
N
N
GSR MORTGAGE LOAN TRUST 2005-AR6
N/A
GSR MORTGAGE LOAN TRUST GSR 2005 AR6 2A1
362341RX9
6521.050000
PA
USD
6128.740000
0.0037368
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Floating
4.83576
N
N
N
N
N
N
N/A
N/A
SOLD PLN BOUGHT USD 20240122
000000000
1.000000
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-10048.860000
-0.006127
N/A
DFE
PL
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
395873.210000
PLN
90537.040000
USD
2024-01-22
-10048.860000
N
N
N
N/A
N/A
RFR USD SOFR/3.08500 02/13/24-10Y LCH
000000000
1.000000
NC
USD
-460123.560000
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N/A
DIR
US
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
USD-SOFR-COMPOUND
Y
2034-02-13
0.000000
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-120486.610000
USD
15600000.000000
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-339636.950000
N
N
N
FRANCE GOVT
969500KCGF3SUYJHPV70
FRANCE (GOVT OF) BONDS 144A REGS 03/26 0.1
ACI1N4959
2716553.000000
PA
2970629.120000
1.81124
Long
DBT
NUSS
FR
N
2
2026-03-01
Fixed
0.1
N
N
N
N
N
N
N/A
N/A
SOLD HUF BOUGHT USD 20240104
000000000
1.000000
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-197.250000
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DFE
HU
N
2
HSBC BANK PLC
MP6I5ZYZBEU3UXPYFY54
4816982.000000
HUF
13686.000000
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2024-01-04
-197.250000
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 01/26 0.625
912828N71
18309179.000000
PA
USD
17668461.910000
10.7728
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DBT
UST
US
N
2
2026-01-15
Fixed
0.625
N
N
N
N
N
N
REALKREDIT DANMARK A/S
549300NLOMBOWE943Y30
REALKREDIT DANMARK COVERED REGS 10/53 2
ACI1Z07K3
1592044.730000
PA
179593.360000
0.109501
Long
DBT
CORP
DK
N
2
2053-10-01
Fixed
2
N
N
N
N
N
N
N/A
N/A
RFR JPY MUTK/0.50000 12/15/21-10Y LCH
000000000
1.000000
NC
67864.420000
0.0413781
N/A
DIR
JP
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
N/A
BOJ Overnight Call Rate TONAR
Y
2031-12-15
54790.210000
JPY
0.000000
JPY
607000000.000000
JPY
13074.210000
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 02/46 1
912810RR1
7258559.100000
PA
USD
5944714.030000
3.6246
Long
DBT
UST
US
N
2
2046-02-15
Fixed
1
N
N
N
N
N
N
N/A
N/A
317U3ULA8 PIMCO SWAPTION 2.9 PUT EUR 20250829
000000000
-2700000.000000
NC
-13535.800000
-0.008253
N/A
DIR
US
N
2
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
Put
Written
Goldman Sachs Bank USA
KD3XUN7C6T14HNAYLU02
N/A
N/A
IRS EUR R 2.90000 09/02/25-2Y LCH
000000000
0.000000
NC
0.000000
0.000000
DIR
N/A
IRS EUR R 2.90000 09/02/25-2Y LCH
2027-09-02
0.000000
EUR
0.000000
EUR
N/A
EUR
N/A
2.900000
EUR
2025-08-29
XXXX
21556.590000
N
N
N
REALKREDIT DANMARK A/S
549300NLOMBOWE943Y30
REALKREDIT DANMARK COVERED REGS 10/53 2
ACI22BWW9
36883.830000
PA
4508.300000
0.0027488
Long
DBT
CORP
DK
N
2
2053-10-01
Fixed
2
N
N
N
N
N
N
NYKREDIT REALKREDIT A/S
LIU16F6VZJSD6UKHD557
NYKREDIT REALKREDIT AS COVERED REGS 10/53 1.5
ACI1X30Y6
99700.720000
PA
10155.660000
0.0061921
Long
DBT
CORP
DK
N
2
2053-10-01
Fixed
1.5
N
N
N
N
N
N
N/A
N/A
US 2YR NOTE (CBT) MAR24 XCBT 20240328
000000000
-111.000000
NC
USD
-167881.000000
-0.10236
N/A
DIR
US
N
2
CHICAGO BOARD OF TRADE
549300EX04Q2QBFQTQ27
Short
N/A
UNITED STATES GOVT
2024-03-28
-22853425.700000
USD
-167881.000000
N
N
N
NOMURA HOME EQUITY LOAN INC 2005-FM1
N/A
NOMURA HOME EQUITY LOAN INC NHELI 2005 FM1 M3
65536HAH1
1009835.140000
PA
USD
991275.380000
0.604398
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
6.23543
N
N
N
N
N
N
N/A
N/A
INF SWAP EM NI 2.57 06/15/22-10Y LCH
000000000
1.000000
NC
5513.740000
0.0033618
N/A
DIR
N/A
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
Eurostat Eurozone HICP Ex Tob
N/A
N/A
Y
2032-06-15
0.000000
EUR
0.000000
EUR
900000.000000
EUR
5513.740000
N
N
N
N/A
N/A
SOLD JPY BOUGHT USD 20240109
000000000
1.000000
NC
-99080.750000
-0.0604112
N/A
DFE
JP
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
358622205.000000
JPY
2445943.000000
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2024-01-09
-99080.750000
N
N
N
CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 2014-2 LTD 14-2A
N/A
CARLYLE GLOBAL MARKET STRATEGI CGMSE 2014 2A AR1 144A
ACI1XGH29
898320.960000
PA
978065.670000
0.596344
Long
ABS-CBDO
CORP
IE
N
2
2031-11-15
Floating
4.752
N
N
N
N
N
N
NYKREDIT REALKREDIT A/S
LIU16F6VZJSD6UKHD557
NYKREDIT REALKREDIT AS COVERED REGS 10/53 1.5
ACI1NN643
1.210000
PA
0.140000
0.0000001
Long
DBT
CORP
DK
N
2
2053-10-01
Fixed
1.5
N
N
N
N
N
N
UNITED STATES GOVT
254900HROIFWPRGM1V77
TSY INFL IX N/B 02/53 1.5
912810TP3
310512.000000
PA
USD
281823.100000
0.171832
Long
DBT
UST
US
N
2
2053-02-15
Fixed
1.5
N
N
N
N
N
N
HUNGARY GOVT
5299003F3UFKGCCMAP43
NATIONAL BK HUNGARY BILL BILLS 01/24 0.00000
ACI2M7S84
123000000.000000
PA
354328.380000
0.21604
Long
DBT
MUN
HU
N
2
2024-01-04
None
0
N
N
N
N
N
N
NORDEA KREDIT REALKREDITAKTIESELSKAB
52990080NNXXLC14OC65
NORDEA KREDIT REALKREDIT COVERED 10/53 1
ACI1N7374
24814.710000
PA
2867.360000
0.0017483
Long
DBT
CORP
DK
N
2
2053-10-01
Fixed
1
N
N
N
N
N
N
N/A
N/A
INF SWAP EM NI 2.59 03/15/22-30Y LCH
000000000
1.000000
NC
-14735.460000
-0.0089845
N/A
DIR
N/A
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
Eurostat Eurozone HICP Ex Tob
N/A
N/A
Y
2052-03-15
0.000000
EUR
-10433.160000
EUR
400000.000000
EUR
-4302.300000
N
N
N
N/A
N/A
SHORT EURO-BTP FU MAR24 XEUR 20240307
000000000
-62.000000
NC
-61880.070000
-0.0377294
N/A
DIR
DE
N
1
EUREX DEUTSCHLAND
529900UT4DG0LG5R9O07
Short
N/A
ITALY GOVT
2024-03-07
-7299649.610000
EUR
-61880.070000
N
N
N
N/A
N/A
INF SWAP EM NI 2.736 10/15/23-30Y LCH
000000000
1.000000
NC
40264.870000
0.0245502
N/A
DIR
N/A
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
Eurostat Eurozone HICP Ex Tob
N/A
N/A
Y
2053-10-15
3920.120000
EUR
0.000000
EUR
400000.000000
EUR
36344.750000
N
N
N
N/A
N/A
INF SWAP EM NI 2.58 03/15/22-30Y LCH
000000000
1.000000
NC
-12142.560000
-0.0074035
N/A
DIR
N/A
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
Eurostat Eurozone HICP Ex Tob
N/A
N/A
Y
2052-03-15
240.680000
EUR
0.000000
EUR
300000.000000
EUR
-12383.240000
N
N
N
UMBS PASS THRU POOLS
N/A
FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE
01F062622
6300000.000000
PA
USD
6455777.270000
3.9362
Long
ABS-MBS
USGSE
US
N
2
2054-02-13
Fixed
6.5
N
N
N
N
N
N
N/A
N/A
INF SWAP EM NI 2.39 11/15/23-10Y LCH
000000000
1.000000
NC
18673.780000
0.0113857
N/A
DIR
N/A
N
2
LONDON CLEARING HOUSE
F226TOH6YD6XJB17KS62
Eurostat Eurozone HICP Ex Tob
N/A
N/A
Y
2033-11-15
685.460000
EUR
0.000000
EUR
700000.000000
EUR
17988.320000
N
N
N
2024-02-21
PIMCO Managed Accounts Trust
/s/ Bijal Parikh
Bijal Parikh
Treasurer