0001752724-21-115581.txt : 20210527
0001752724-21-115581.hdr.sgml : 20210527
20210527135814
ACCESSION NUMBER: 0001752724-21-115581
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20210331
FILED AS OF DATE: 20210527
PERIOD START: 20210331
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: PACIFIC FUNDS SERIES TRUST
CENTRAL INDEX KEY: 0001137761
IRS NUMBER: 000000000
STATE OF INCORPORATION: DE
FISCAL YEAR END: 0331
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-10385
FILM NUMBER: 21971096
BUSINESS ADDRESS:
STREET 1: 700 NEWPORT CENTER DRIVE
STREET 2: POST OFFFICE BOX 7500
CITY: NEWPORT BEACH
STATE: CA
ZIP: 92660
BUSINESS PHONE: 9492193233
MAIL ADDRESS:
STREET 1: 700 NEWPORT CENTER DRIVE
CITY: NEWPORT BEACH
STATE: CA
ZIP: 92660
FORMER COMPANY:
FORMER CONFORMED NAME: PACIFIC FUNDS SERIES TRUST (formerly called PACIFIC LIFE FUNDS)
DATE OF NAME CHANGE: 20150126
FORMER COMPANY:
FORMER CONFORMED NAME: PACIFIC LIFE FUNDS
DATE OF NAME CHANGE: 20070103
FORMER COMPANY:
FORMER CONFORMED NAME: PACIFIC FUNDS
DATE OF NAME CHANGE: 20010405
0001137761
S000001894
PF Inflation Managed Fund
C000004978
CLASS P
NPORT-P
1
primary_doc.xml
NPORT-P
false
0001137761
XXXXXXXX
S000001894
C000004978
Pacific Funds Series Trust
811-10385
0001137761
549300LB41OPP7XTUV13
700 Newport Center Drive
PO Box 7500
Newport Beach
92660
949-219-3233
PF Inflation Managed Fund
S000001894
B178SV0GSVQ49D2KE750
2021-03-31
2021-03-31
N
44008848.88
11014948.51
32993900.37
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
4608654.55000000
4318950.78000000
0.00000000
138000.00000000
AUD
EUR
GBP
USD
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT US Long Bond
000000000
6.00000000
NC
USD
-32603.50000000
-0.09881674986
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
2021-06-21
960166.00000000
USD
-32603.50000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
19.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
CORP
US
N
2
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
Call
Purchased
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
10 YEAR US TREASURY NOTE
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
Long
US TREASURY N/B
United States Treasury Note/Bond
2021-06-21
0.00000000
USD
100000.00000000
162.00000000
USD
2021-05-21
XXXX
-157.51000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810FQ6
86948.30000000
PA
USD
126751.46000000
0.384166341592
Long
DBT
UST
US
N
2
2032-04-15
Fixed
3.37500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
2398.80000000
0.007270434756
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2026-02-26
0.00000000
USD
0.00000000
USD
-200000.00000000
USD
2398.80000000
N
N
N
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
-392.46000000
-0.00118949258
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
Y
2023-02-05
0.00000000
USD
0.00000000
USD
-120000.00000000
USD
-392.46000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS EUR
000000000
1.00000000
NC
3990.08000000
0.012093386823
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-05-15
0.00000000
USD
0.00000000
USD
-200000.00000000
EUR
3990.08000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWOP IRS EUR
000000000
-600000.00000000
NC
-30064.91000000
-0.09112263073
N/A
DIR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Put
Written
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
IRS EUR
000000000
0.00000000
NC
0.00000000
0.00000000
DIR
CORP
GB
US
2032-11-08
0.00000000
USD
0.00000000
USD
0.00000000
EUR
-600000.00000000
USD
0.00000000
EUR
2022-11-04
XXXX
-15338.59000000
N
N
N
FRANCE (GOVT OF)
969500KCGF3SUYJHPV70
French Republic Government Bond OAT
000000000
106336.00000000
PA
134410.63000000
0.407380238446
Long
DBT
NUSS
FR
N
2
2024-07-25
Fixed
0.25000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
-3933.17000000
-0.01192090039
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2021-08-14
0.00000000
USD
0.00000000
USD
200000.00000000
USD
-3933.17000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
-1330.21000000
-0.00403168459
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-02-04
0.00000000
USD
0.00000000
USD
200000.00000000
USD
-1330.21000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31396WLX2
22425.83000000
PA
USD
22628.47000000
0.068583798054
Long
ABS-MBS
USGSE
US
N
2
2037-07-25
Floating
0.48863000
N
N
N
N
N
N
Home Equity Asset Trust
N/A
Home Equity Asset Trust
437084CE4
17017.15000000
PA
USD
16964.94000000
0.051418413130
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Floating
0.96363000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
UNITED STATES 10 YEAR TREASURY NOTE/BOND
000000000
-8.00000000
NC
USD
45258.22000000
0.137171475613
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
2021-06-21
-1194758.22000000
USD
45258.22000000
N
N
N
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
-2441.87000000
-0.00740097403
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
Y
2029-04-16
0.00000000
USD
0.00000000
USD
100000.00000000
USD
-2441.87000000
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2003-46
12669E3G9
8631.97000000
PA
USD
9033.09000000
0.027378060486
Long
ABS-MBS
CORP
US
N
2
2034-01-19
Variable
4.36596500
N
N
N
N
N
N
BMW US CAPITAL LLC
KK5MZM9DIXLXZL9DZL15
BMW US Capital LLC
05565EBC8
100000.00000000
PA
USD
101132.98000000
0.306520232121
Long
DBT
CORP
US
N
2
2021-08-13
Fixed
3.40000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828TE0
250250.00000000
PA
USD
260212.58000000
0.788668745076
Long
DBT
UST
US
N
2
2022-07-15
Fixed
0.12500000
N
N
N
N
N
N
AUSTRALIAN SECURITIES EXCHANGE TRADE24
N/A
3 YEAR AUSTRALIAN BOND
000000000
-2.00000000
NC
-33.74000000
-0.00010226132
N/A
DIR
CORP
AU
N
1
AUSTRALIAN SECURITIES EXCHANGE TRADE24
N/A
Short
AUSTRALIAN GOVERNMENT
Australia Government Bond
2021-06-15
-181792.40000000
USD
-33.74000000
N
N
N
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
USD/GBP FORWARD
000000000
1.00000000
NC
USD
13124.18000000
0.039777594806
N/A
DFE
CORP
US
N
2
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
-398000.00000000
GBP
561819.98000000
USD
2021-04-07
13124.18000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128285W6
1605738.00000000
PA
USD
1842605.52000000
5.584685348918
Long
DBT
UST
US
N
2
2029-01-15
Fixed
0.87500000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
SWOP IRS USD
000000000
-2000000.00000000
NC
USD
-980.40000000
-0.00297145832
N/A
DIR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
Call
Written
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
2026-08-26
0.00000000
USD
0.00000000
USD
0.00000000
USD
-2000000.00000000
USD
0.55000000
USD
2021-08-24
XXXX
2169.60000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
NZD/USD FORWARD
000000000
1.00000000
NC
USD
14070.25000000
0.042645003598
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-510000.00000000
NZD
370249.49000000
USD
2021-04-07
14070.25000000
N
N
N
Asset Backed Funding Certifica
N/A
ABFC 2005-WF1 Trust
04542BLZ3
21722.64000000
PA
USD
21569.13000000
0.065373083382
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Floating
0.70863000
N
N
N
N
N
N
TICP CLO Ltd
N/A
TICP CLO II-2 LTD
87249TAC8
379439.13000000
PA
USD
379163.01000000
1.149191231554
Long
ABS-CBDO
CORP
KY
N
2
2028-04-20
Floating
1.06400000
N
N
N
N
N
N
KOMATSU FINANCE AMERICA
549300SRAAFEEQ8Z4D68
Komatsu Finance America Inc
000000000
200000.00000000
PA
USD
205578.64000000
0.623080744303
Long
DBT
CORP
US
N
2
2022-09-11
Fixed
2.43700000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
SWOP IRS USD
000000000
1000000.00000000
NC
USD
1103.80000000
0.003345466851
N/A
DIR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
Call
Purchased
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
2026-08-26
0.00000000
USD
0.00000000
USD
0.00000000
USD
1000000.00000000
USD
0.70000000
USD
2021-08-24
XXXX
-2496.20000000
N
N
N
STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
5493003GCX71N8988W38
USD/GBP FORWARD
000000000
1.00000000
NC
USD
-1140.17000000
-0.00345569934
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
5493003GCX71N8988W38
-398000.00000000
GBP
547605.41000000
USD
2021-05-05
-1140.17000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWOP IRS EUR
000000000
200000.00000000
NC
32879.90000000
0.099654480468
N/A
DIR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Put
Purchased
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
IRS EUR
000000000
0.00000000
NC
0.00000000
0.00000000
DIR
CORP
GB
US
2052-11-08
0.00000000
USD
0.00000000
USD
0.00000000
EUR
200000.00000000
USD
0.19700000
EUR
2022-11-04
XXXX
17923.19000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
30767.46000000
0.093251963711
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2027-08-25
0.00000000
USD
0.00000000
USD
-500000.00000000
USD
30767.46000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS GBP
000000000
1.00000000
NC
-787.81000000
-0.00238774437
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2036-03-15
0.00000000
USD
-412.52000000
USD
40000.00000000
GBP
-375.29000000
N
N
N
NEW ZEALAND GVT ILB
549300237GPHG2AI7C34
New Zealand Government Inflation Linked Bond
000000000
110000.00000000
PA
96797.47000000
0.293379894206
Long
DBT
NUSS
NZ
N
2
2025-09-20
Fixed
2.00000000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAF8
100000.00000000
PA
USD
104617.66000000
0.317081820660
Long
DBT
CORP
KY
N
2
2024-07-01
Fixed
3.95000000
N
N
N
N
N
N
AVIATION CAPITAL GROUP
549300ODEK8HY3445C77
Aviation Capital Group LLC
05367AAJ2
200000.00000000
PA
USD
202920.21000000
0.615023406521
Long
DBT
CORP
US
N
2
2022-01-20
Fixed
2.87500000
N
N
N
N
N
N
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-506.18000000
-0.00153416235
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
Y
2023-04-27
0.00000000
USD
0.00000000
USD
-60000.00000000
USD
-506.18000000
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2005-A3
466247PW7
17912.87000000
PA
USD
18747.07000000
0.056819805448
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Variable
3.02026800
N
N
N
N
N
N
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
IRS IFS GBP
000000000
1.00000000
NC
8736.70000000
0.026479742928
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
Y
2030-06-15
2555.29000000
USD
0.00000000
USD
200000.00000000
GBP
6181.41000000
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EURO-BTP
000000000
4.00000000
NC
48.59000000
0.000147269645
N/A
DIR
CORP
DE
N
2
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Call
Purchased
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Euro-BTP Italian Bond
000000000
0.00000000
NC
0.00000000
0.00000000
DIR
CORP
DE
US
Long
BUONI POLIENNALI DEL TES
Italy Buoni Poliennali Del Tesoro
2021-06-08
0.00000000
USD
100000.00000000
161.50000000
EUR
2021-05-21
XXXX
-2.39000000
N
N
N
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
IRS IFS EUR
000000000
1.00000000
NC
-2535.03000000
-0.00768332925
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
Y
2049-08-15
0.00000000
USD
0.00000000
USD
20000.00000000
EUR
-2535.03000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128282L3
1775121.00000000
PA
USD
1969850.69000000
5.970348058003
Long
DBT
UST
US
N
2
2027-07-15
Fixed
0.37500000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128283R9
1834613.10000000
PA
USD
2044508.93000000
6.196626973690
Long
DBT
UST
US
N
2
2028-01-15
Fixed
0.50000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS GBP
000000000
1.00000000
NC
-105.07000000
-0.00031845280
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-03-15
0.00000000
USD
-1.39000000
USD
100000.00000000
GBP
-103.68000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RR1
569653.68000000
PA
USD
698924.92000000
2.118345852300
Long
DBT
UST
US
N
2
2046-02-15
Fixed
1.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
600.38000000
0.001819669676
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2026-03-05
0.00000000
USD
0.00000000
USD
-100000.00000000
USD
600.38000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
AUD/USD FORWARD
000000000
1.00000000
NC
USD
2513.60000000
0.007618377857
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-790771.00000000
AUD
603254.68000000
USD
2021-05-04
2513.60000000
N
N
N
Venture CDO Ltd
549300NGP7BCR2JAC076
Venture 35 CLO Ltd
92331XAC8
100000.00000000
PA
USD
100069.85000000
0.303298030477
Long
ABS-CBDO
CORP
KY
N
2
2031-10-22
Floating
1.87238000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31396PMC2
3753.42000000
PA
USD
3789.37000000
0.011485062261
Long
ABS-MBS
USGSE
US
N
2
2037-02-25
Floating
0.55363000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810FH6
55692.00000000
PA
USD
78217.75000000
0.237067303722
Long
DBT
UST
US
N
2
2029-04-15
Fixed
3.87500000
N
N
N
N
N
N
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
USD/AUD FORWARD
000000000
1.00000000
NC
USD
18551.46000000
0.056226938288
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED BANK
RILFO74KP1CM8P6PCT96
-482939.00000000
AUD
385382.42000000
USD
2021-04-07
18551.46000000
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31396WTU0
14569.51000000
PA
USD
14656.19000000
0.044420907609
Long
ABS-MBS
USGSE
US
N
2
2037-07-25
Floating
0.45863000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
SWOP IRS EUR
000000000
60000.00000000
NC
9947.05000000
0.030148148259
N/A
DIR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
Put
Purchased
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
IRS EUR
000000000
0.00000000
NC
0.00000000
0.00000000
DIR
CORP
US
US
2052-11-04
0.00000000
USD
0.00000000
USD
0.00000000
EUR
60000.00000000
USD
0.19000000
EUR
2022-11-02
XXXX
5571.70000000
N
N
N
LoanCore 2019-CRE2 Issuer, Ltd
N/A
LoanCore 2019-CRE2 Issuer Ltd
53946JAA2
100000.00000000
PA
USD
100030.18000000
0.303177796132
Long
ABS-O
CORP
KY
N
2
2036-05-15
Floating
1.23600000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
-1272.74000000
-0.00385750088
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-01-19
0.00000000
USD
-2.50000000
USD
200000.00000000
USD
-1270.24000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810QP6
358347.00000000
PA
USD
519050.47000000
1.573170992757
Long
DBT
UST
US
N
2
2041-02-15
Fixed
2.12500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
4039.68000000
0.012243717640
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-02-24
94.06000000
USD
0.00000000
USD
-200000.00000000
USD
3945.62000000
N
N
N
STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
5493003GCX71N8988W38
USD/EUR FORWARD
000000000
1.00000000
NC
USD
46224.02000000
0.140098683337
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
5493003GCX71N8988W38
-1102000.00000000
EUR
1338700.23000000
USD
2021-04-06
46224.02000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
-1951.52000000
-0.00591479024
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2021-08-14
0.00000000
USD
-5.00000000
USD
100000.00000000
USD
-1946.52000000
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2005-AR2 Trust
92922FD39
30070.77000000
PA
USD
30030.14000000
0.091017247622
Long
ABS-MBS
CORP
US
N
2
2045-01-25
Floating
0.84863000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
91282CBF7
1878845.10000000
PA
USD
2024353.42000000
6.135538379211
Long
DBT
UST
US
N
2
2031-01-15
Fixed
0.12500000
N
N
N
N
N
N
AUSTRALIAN GOVERNMENT
213800J6B7JSBDETCB42
Australia Government Bond
000000000
687117.91777600
PA
629529.33000000
1.908017309079
Long
DBT
NUSS
AU
N
2
2022-02-21
Fixed
1.25000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWOP CDS ITRAXX.EUR.34.V1
000000000
-400000.00000000
NC
-3.61000000
-0.00001094141
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Call
Written
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS ITRAXX.EUR.34.V1
000000000
0.00000000
NC
0.00000000
0.00000000
DCR
CORP
GB
US
IHS MARKIT LTD
ITRAXX.EUR.34.V1
Default Event
2025-12-20
0.00000000
USD
0.00000000
USD
N/A
N/A
-400000.00000000
USD
0.37500000
EUR
2021-04-21
XXXX
156.44000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128286N5
3318944.00000000
PA
USD
3598609.34000000
10.90689278819
Long
DBT
UST
US
N
2
2024-04-15
Fixed
0.50000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380LJY0
72898.23000000
PA
USD
72242.79000000
0.218958017057
Long
ABS-MBS
USGA
US
N
2
2068-08-20
Floating
0.59863000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828UH1
692421.86000000
PA
USD
726309.01000000
2.201343284228
Long
DBT
UST
US
N
2
2023-01-15
Fixed
0.12500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
-4381.36000000
-0.01327930299
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2021-08-07
0.00000000
USD
-10.00000000
USD
200000.00000000
USD
-4371.36000000
N
N
N
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
IRS IFS GBP
000000000
1.00000000
NC
2370.16000000
0.007183630833
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
Y
2028-11-15
0.00000000
USD
0.00000000
USD
45000.00000000
GBP
2370.16000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810SG4
41581.20000000
PA
USD
52161.87000000
0.158095494667
Long
DBT
UST
US
N
2
2049-02-15
Fixed
1.00000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS GBP
000000000
1.00000000
NC
-4521.03000000
-0.01370262366
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2036-03-15
0.00000000
USD
-907.42000000
USD
190000.00000000
GBP
-3613.61000000
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
USD/AUD FORWARD
000000000
1.00000000
NC
USD
25906.32000000
0.078518513147
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-655832.00000000
AUD
524063.41000000
USD
2021-04-07
25906.32000000
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
SWOP IRS EUR
000000000
-1600000.00000000
NC
-1774.62000000
-0.00537863053
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Call
Written
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
IRS EUR
000000000
0.00000000
NC
0.00000000
0.00000000
DIR
CORP
US
US
2023-11-21
0.00000000
USD
0.00000000
USD
0.00000000
EUR
-1600000.00000000
USD
-0.52600000
EUR
2022-11-17
XXXX
714.48000000
N
N
N
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
IRS NZD
000000000
1.00000000
NC
-8202.04000000
-0.02485926158
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Y
2028-03-21
289.99000000
USD
0.00000000
USD
-100000.00000000
NZD
-8492.03000000
N
N
N
BlackRock Liquidity Funds T-Fund
5493002L9DNZ83RX7V61
BlackRock Liquidity Funds T-Fund
09248U718
435231.17000000
NS
USD
435231.17000000
1.319126157014
Long
STIV
RF
US
N
1
N
N
N
BUONI POLIENNALI DEL TES
815600DE60799F5A9309
Italy Buoni Poliennali Del Tesoro
000000000
605292.00000000
PA
759525.10000000
2.302016710611
Long
DBT
NUSS
IT
N
2
2025-05-26
Fixed
1.40000000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWOP CDS CDX.NA.IG.36.V1
000000000
-300000.00000000
NC
USD
-153.91000000
-0.00046648016
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS CDX.NA.IG.36.V1
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DCR
CORP
GB
US
IHS MARKIT LTD
CDX.NA.IG.36.V1
Default Event
2026-06-20
0.00000000
USD
0.00000000
USD
N/A
N/A
-300000.00000000
USD
0.85000000
USD
2021-06-16
XXXX
125.09000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
27276.68000000
0.082671886906
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2027-08-27
0.00000000
USD
0.00000000
USD
-500000.00000000
USD
27276.68000000
N
N
N
BUONI POLIENNALI DEL TES
815600DE60799F5A9309
Italy Buoni Poliennali Del Tesoro
000000000
405236.00000000
PA
519650.02000000
1.574988146816
Long
DBT
NUSS
IT
N
2
2030-05-15
Fixed
0.40000000
N
N
N
N
N
N
CHEVY CHASE MORTGAGE FUNDING C
549300CK5LJGUSKZWZ58
Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-A
16678RBL0
82646.57000000
PA
USD
85283.76000000
0.258483413732
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
0.46863000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS GBP
000000000
1.00000000
NC
6141.30000000
0.018613440457
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-01-15
0.00000000
USD
0.00000000
USD
-120000.00000000
GBP
6141.30000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWOP CDS CDX.NA.IG.36.V1
000000000
-100000.00000000
NC
USD
-79.49000000
-0.00024092331
N/A
DCR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Put
Written
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
CDS CDX.NA.IG.36.V1
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DCR
CORP
GB
US
IHS MARKIT LTD
CDX.NA.IG.36.V1
Default Event
2026-06-20
0.00000000
USD
0.00000000
USD
N/A
N/A
-100000.00000000
USD
0.90000000
USD
2021-07-21
XXXX
49.51000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
-1237.97000000
-0.00375211777
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-01-21
0.00000000
USD
0.00000000
USD
200000.00000000
USD
-1237.97000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
-3553.19000000
-0.01076923297
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2021-08-26
0.00000000
USD
-20.00000000
USD
200000.00000000
USD
-3533.19000000
N
N
N
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
3932.65000000
0.011919324347
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
Y
2028-07-09
0.00000000
USD
-287.50000000
USD
500000.00000000
USD
4220.15000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828ZJ2
1620320.00000000
PA
USD
1754710.12000000
5.318286411495
Long
DBT
UST
US
N
2
2025-04-15
Fixed
0.12500000
N
N
N
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
SWOP CDS CDX.NA.IG.35.V1
000000000
-500000.00000000
NC
USD
-131.54000000
-0.00039867975
N/A
DCR
CORP
DE
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
Put
Written
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
CDS CDX.NA.IG.35.V1
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DCR
CORP
DE
US
IHS MARKIT LTD
CDX.NA.IG.35.V1
Default Event
2025-12-20
0.00000000
USD
0.00000000
USD
N/A
N/A
-500000.00000000
USD
0.90000000
USD
2021-06-16
XXXX
393.46000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 2 Year US Treasury Note
000000000
-13.00000000
NC
USD
1090.66000000
0.003305641308
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
2021-06-30
-2870535.96000000
USD
1090.66000000
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust 2005-AR6
362341RX9
6265.29000000
PA
USD
6395.69000000
0.019384461758
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Variable
2.92925900
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Euro-BTP Italian Bond
000000000
-3.00000000
NC
572.07000000
0.001733865937
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Short
BUONI POLIENNALI DEL TES
Italy Buoni Poliennali Del Tesoro
2021-06-08
-534750.01000000
USD
572.07000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828Z37
2450271.10000000
PA
USD
2653440.47000000
8.042215198093
Long
DBT
UST
US
N
2
2030-01-15
Fixed
0.12500000
N
N
N
N
N
N
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-936.18000000
-0.00283743355
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
Y
2023-05-09
0.00000000
USD
0.00000000
USD
-120000.00000000
USD
-936.18000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWOP CDS ITRAXX.EUR.34.V1
000000000
-400000.00000000
NC
-32.34000000
-0.00009801811
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Put
Written
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS ITRAXX.EUR.34.V1
000000000
0.00000000
NC
0.00000000
0.00000000
DCR
CORP
GB
US
IHS MARKIT LTD
ITRAXX.EUR.34.V1
Default Event
2025-12-20
0.00000000
USD
0.00000000
USD
N/A
N/A
-400000.00000000
USD
0.75000000
EUR
2021-04-21
XXXX
729.11000000
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
SWOP IRS USD
000000000
-400000.00000000
NC
USD
-4066.24000000
-0.01232421736
N/A
DIR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
Put
Written
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
US
2031-10-01
0.00000000
USD
0.00000000
USD
0.00000000
USD
-400000.00000000
USD
2.30000000
USD
2021-09-29
XXXX
-1230.04000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
-11.00000000
NC
USD
30942.23000000
0.093781667681
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
2021-06-21
-1471254.73000000
USD
30942.23000000
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
SWOP CDS CDX.NA.IG.35.V1
000000000
-100000.00000000
NC
USD
-21.86000000
-0.00006625467
N/A
DCR
CORP
DE
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
Put
Written
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
CDS CDX.NA.IG.35.V1
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DCR
CORP
DE
US
IHS MARKIT LTD
CDX.NA.IG.35.V1
Default Event
2025-12-20
0.00000000
USD
0.00000000
USD
N/A
N/A
-100000.00000000
USD
0.75000000
USD
2021-05-19
XXXX
75.14000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828Y38
1104615.40000000
PA
USD
1260437.60000000
3.820213996724
Long
DBT
UST
US
N
2
2028-07-15
Fixed
0.75000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
SWOP IRS EUR
000000000
-200000.00000000
NC
-9982.26000000
-0.03025486495
N/A
DIR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
Put
Written
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
IRS EUR
000000000
0.00000000
NC
0.00000000
0.00000000
DIR
CORP
US
US
2032-11-04
0.00000000
USD
0.00000000
USD
0.00000000
EUR
-200000.00000000
USD
0.00000000
EUR
2022-11-02
XXXX
-5131.55000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RF7
1919286.90000000
PA
USD
2511689.60000000
7.612587696008
Long
DBT
UST
US
N
2
2044-02-15
Fixed
1.37500000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Series 2015-3R
12649WAW1
210342.24000000
PA
USD
205368.38000000
0.622443474996
Long
ABS-MBS
CORP
US
N
2
2036-09-29
Floating
0.25863000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828QV5
1239531.48000000
PA
USD
1259678.70000000
3.817913874606
Long
DBT
UST
US
N
2
2021-07-15
Fixed
0.62500000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
USD/EUR FORWARD
000000000
1.00000000
NC
USD
943.49000000
0.002859589164
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-112000.00000000
EUR
132304.96000000
USD
2021-04-07
943.49000000
N
N
N
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
413.10000000
0.001252049607
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
Y
2028-02-05
337.78000000
USD
0.00000000
USD
190000.00000000
USD
75.32000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS EUR
000000000
1.00000000
NC
-503.70000000
-0.00152664581
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2023-11-21
0.00000000
USD
0.00000000
USD
800000.00000000
EUR
-503.70000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828XL9
226125.25000000
PA
USD
249210.09000000
0.755321702512
Long
DBT
UST
US
N
2
2025-07-15
Fixed
0.37500000
N
N
N
N
N
N
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
363.65000000
0.001102173419
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
Y
2028-05-10
0.00000000
USD
0.00000000
USD
50000.00000000
USD
363.65000000
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
US CPI URBAN CONSUMERS NSA
000000000
-200000.00000000
NC
USD
-0.24000000
-0.00000072740
N/A
DIR
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
Put
Written
BUREAU OF LABOR STATISTICS
US CPI URBAN CONSUMERS
0.01000000
234.78100000
USD
2024-05-16
XXXX
1389.76000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RA8
364080.00000000
PA
USD
412078.50000000
1.248953580446
Long
DBT
UST
US
N
2
2043-02-15
Fixed
0.62500000
N
N
N
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F032658
370000.00000000
PA
USD
391000.39000000
1.185068711535
Long
ABS-MBS
USGSE
US
N
2
2051-05-01
Fixed
3.50000000
N
N
N
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
060505FL3
10000.00000000
PA
USD
10919.20000000
0.033094601964
Long
DBT
CORP
US
N
2
N/A
Fixed
5.87500000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RW0
460547.00000000
PA
USD
555647.31000000
1.684091010062
Long
DBT
UST
US
N
2
2047-02-15
Fixed
0.87500000
N
N
N
N
N
N
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
AUD/USD FORWARD
000000000
1.00000000
NC
USD
-8160.69000000
-0.02473393538
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS & CO. LLC
FOR8UP27PHTHYVLBNG30
-883782.87000000
USD
1152771.00000000
AUD
2021-04-07
-8160.69000000
N
N
N
Hawksmoor Mortgages plc
N/A
Hawksmoor Mortgages
000000000
204232.62000000
PA
282544.47000000
0.856353649709
Long
ABS-MBS
CORP
GB
N
2
2053-05-25
Floating
1.09963200
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828WU0
1321980.00000000
PA
USD
1430666.60000000
4.336154816363
Long
DBT
UST
US
N
2
2024-07-15
Fixed
0.12500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS EUR
000000000
1.00000000
NC
-3143.21000000
-0.00952663966
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2031-03-15
0.00000000
USD
-1360.81000000
USD
200000.00000000
EUR
-1782.40000000
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Eurex 10 Year Euro BUND
000000000
7.00000000
NC
-1801.88000000
-0.00546125186
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Long
BUNDESREPUB. DEUTSCHLAND
BUNDESREPUBLIK DEUTSCHLAND BUNDESANLEIHE
2021-06-08
1449157.50000000
USD
-1801.88000000
N
N
N
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
SWOP IRS USD
000000000
-300000.00000000
NC
USD
-3049.68000000
-0.00924316302
N/A
DIR
CORP
DE
N
2
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
Put
Written
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
DEUTSCHE BANK AKTIENGESELLSCHAFT
7LTWFZYICNSX8D621K86
IRS USD
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DIR
CORP
DE
US
2031-10-01
0.00000000
USD
0.00000000
USD
0.00000000
USD
-300000.00000000
USD
2.30000000
USD
2021-09-29
XXXX
-1002.18000000
N
N
N
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
IRS IFS GBP
000000000
1.00000000
NC
13936.34000000
0.042239140700
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
Y
2024-09-15
0.00000000
USD
0.00000000
USD
200000.00000000
GBP
13936.34000000
N
N
N
STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
5493003GCX71N8988W38
USD/NZD FORWARD
000000000
1.00000000
NC
USD
-6859.51000000
-0.02079023675
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
5493003GCX71N8988W38
-272247.96000000
USD
380000.00000000
NZD
2021-04-07
-6859.51000000
N
N
N
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
USD/EUR FORWARD
000000000
1.00000000
NC
USD
1187.62000000
0.003599513809
N/A
DFE
CORP
US
N
2
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
-114000.00000000
EUR
134894.83000000
USD
2021-04-07
1187.62000000
N
N
N
Crown Point CLO Ltd
549300HR9IYXSX9CWV50
Crown Point CLO 5 Ltd
22845LAA4
157083.44000000
PA
USD
157120.06000000
0.476209415188
Long
ABS-CBDO
CORP
KY
N
2
2028-07-17
Floating
1.16338000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
-4736.32000000
-0.01435513821
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2021-06-18
10.00000000
USD
0.00000000
USD
200000.00000000
USD
-4746.32000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828N71
605484.00000000
PA
USD
673575.32000000
2.041514681339
Long
DBT
UST
US
N
2
2026-01-15
Fixed
0.62500000
N
N
N
N
N
N
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
-27144.76000000
-0.08227205542
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
Y
2029-11-04
0.00000000
USD
-708.00000000
USD
400000.00000000
USD
-26436.76000000
N
N
N
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-1894.79000000
-0.00574284937
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
Y
2023-05-10
0.00000000
USD
0.00000000
USD
-180000.00000000
USD
-1894.79000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
60.00000000
NC
USD
-63829.61000000
-0.19345881900
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
2021-06-30
7467736.01000000
USD
-63829.61000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828S50
218256.00000000
PA
USD
238642.61000000
0.723293115769
Long
DBT
UST
US
N
2
2026-07-15
Fixed
0.12500000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810FS2
279403.28000000
PA
USD
330296.93000000
1.001084825667
Long
DBT
UST
US
N
2
2026-01-15
Fixed
2.00000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828B25
1363233.28000000
PA
USD
1478368.77000000
4.480733570209
Long
DBT
UST
US
N
2
2024-01-15
Fixed
0.62500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS GBP
000000000
1.00000000
NC
7344.49000000
0.022260144807
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2025-01-15
11260.28000000
USD
0.00000000
USD
400000.00000000
GBP
-3915.79000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
-570.73000000
-0.00172980458
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-02-05
0.00000000
USD
0.00000000
USD
100000.00000000
USD
-570.73000000
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EURO-SCHATZ
000000000
53.00000000
NC
322.44000000
0.000977271545
N/A
DIR
CORP
DE
N
2
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Call
Purchased
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Eurex 2 Year Euro SCHATZ
000000000
0.00000000
NC
0.00000000
0.00000000
DIR
CORP
DE
US
Long
BUNDESSCHATZANWEISUNGEN
Bundesschatzanweisungen
2021-06-08
0.00000000
USD
100000.00000000
114.20000000
EUR
2021-05-21
XXXX
-31.70000000
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Eurex 5 Year Euro BOBL
000000000
6.00000000
NC
40.62000000
0.000123113665
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Long
BUNDESREPUB. DEUTSCHLAND
Bundesrepublik Deutschland Bundesanleihe
2021-06-08
974395.43000000
USD
40.62000000
N
N
N
FHLMC Structured Pass Through
N/A
Freddie Mac Structured Pass-Through Certificates
313398VT3
647.54000000
PA
USD
642.51000000
0.001947359944
Long
ABS-MBS
USGSE
US
N
2
2031-09-25
Floating
0.38863000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
31395B6R9
11202.27000000
PA
USD
11305.41000000
0.034265151659
Long
ABS-MBS
USGSE
US
N
2
2036-05-25
Floating
0.54863000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
US CPI URBAN CONSUMERS NSA
000000000
-1900000.00000000
NC
USD
-27.46000000
-0.00008322750
N/A
DIR
CORP
US
N
2
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
Call
Written
BUREAU OF LABOR STATISTICS
US CPI URBAN CONSUMERS
0.01000000
0.04000000
USD
2024-04-22
XXXX
13795.04000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CME Ultra Long Term US Treasury Bond
000000000
-6.00000000
NC
USD
59539.70000000
0.180456688455
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
2021-06-21
-1146852.20000000
USD
59539.70000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
-663.32000000
-0.00201043220
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2022-02-01
0.00000000
USD
0.00000000
USD
100000.00000000
USD
-663.32000000
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EURO-BUND
000000000
7.00000000
NC
85.03000000
0.000257714301
N/A
DIR
CORP
DE
N
2
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Put
Purchased
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Eurex 10 Year Euro BUND
000000000
0.00000000
NC
0.00000000
0.00000000
DIR
CORP
DE
US
Short
BUNDESREPUB. DEUTSCHLAND
BUNDESREPUBLIK DEUTSCHLAND BUNDESANLEIHE
2021-06-08
0.00000000
USD
100000.00000000
151.00000000
EUR
2021-05-21
XXXX
-4.19000000
N
N
N
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
-3952.77000000
-0.01198030531
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
Y
2029-07-25
0.00000000
USD
0.00000000
USD
100000.00000000
USD
-3952.77000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RL4
633178.80000000
PA
USD
733963.91000000
2.224544239296
Long
DBT
UST
US
N
2
2045-02-15
Fixed
0.75000000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EURO-BOBL
000000000
2.00000000
NC
12.19000000
0.000036946222
N/A
DIR
CORP
DE
N
2
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Put
Purchased
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Eurex 5 Year Euro BOBL
000000000
0.00000000
NC
0.00000000
0.00000000
DIR
CORP
DE
US
Short
BUNDESREPUB. DEUTSCHLAND
Bundesrepublik Deutschland Bundesanleihe
2021-06-08
0.00000000
USD
100000.00000000
130.50000000
EUR
2021-05-21
XXXX
-2.02000000
N
N
N
MidOcean Credit CLO
54930034HUS73O8CWR90
MidOcean Credit CLO IV
59801QAJ8
121036.76000000
PA
USD
121299.07000000
0.367640893133
Long
ABS-CBDO
CORP
KY
N
2
2027-04-15
Floating
1.04125000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Eurex 30 Year Euro BUXL
000000000
-3.00000000
NC
-706.88000000
-0.00214245661
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Short
BUNDESREPUB. DEUTSCHLAND
Bundesrepublik Deutschland Bundesanleihe
2021-06-08
-748850.14000000
USD
-706.88000000
N
N
N
STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
5493003GCX71N8988W38
USD/GBP FORWARD
000000000
1.00000000
NC
USD
1144.12000000
0.003467671257
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
5493003GCX71N8988W38
-547551.68000000
USD
398000.00000000
GBP
2021-04-07
1144.12000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810QV3
115764.00000000
PA
USD
134027.53000000
0.406219114736
Long
DBT
UST
US
N
2
2042-02-15
Fixed
0.75000000
N
N
N
N
N
N
FRANCE (GOVT OF)
969500KCGF3SUYJHPV70
French Republic Government Bond OAT
000000000
99762.00000000
PA
128356.45000000
0.389030846794
Long
DBT
NUSS
FR
N
2
2026-03-01
Fixed
0.10000000
N
N
N
N
N
N
BOC AVIATION LTD
254900H06V5RMEB3KE72
BOC Aviation Ltd
09681LAC4
200000.00000000
PA
USD
200825.00000000
0.608673111538
Long
DBT
CORP
SG
N
2
2021-09-15
Fixed
2.37500000
N
N
N
N
N
N
Towd Point Mortgage Funding
635400655NWVVZHH1395
Towd Point Mortgage Funding 2019 - Granite4 PLC
000000000
171457.25000000
PA
237984.67000000
0.721298989604
Long
ABS-MBS
CORP
GB
N
2
2051-10-20
Floating
1.05838000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Eurex 2 Year Euro SCHATZ
000000000
-39.00000000
NC
80.40000000
0.000243681405
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Short
BUNDESSCHATZANWEISUNGEN
Bundesschatzanweisungen
2021-06-08
-5278559.24000000
USD
80.40000000
N
N
N
MLCC Mortgage Investors Inc
N/A
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-1
59020UNP6
25940.16000000
PA
USD
26620.27000000
0.080682397962
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Variable
2.18833800
N
N
N
N
N
N
Saxon Asset Securities Trust
N/A
Saxon Asset Securities Trust 2007-3
80557BAA2
18823.28000000
PA
USD
18350.60000000
0.055618159096
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Floating
0.41863000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128284H0
1095224.00000000
PA
USD
1165455.04000000
3.532334846533
Long
DBT
UST
US
N
2
2023-04-15
Fixed
0.62500000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810SV1
100473.00000000
PA
USD
101158.09000000
0.306596337097
Long
DBT
UST
US
N
2
2051-02-15
Fixed
0.12500000
N
N
N
N
N
N
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
IRS IFS EUR
000000000
1.00000000
NC
-1913.37000000
-0.00579916281
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
Y
2024-03-15
0.00000000
USD
-53.16000000
USD
-140000.00000000
EUR
-1860.21000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828YL8
1835190.00000000
PA
USD
1985724.85000000
6.018460466121
Long
DBT
UST
US
N
2
2024-10-15
Fixed
0.12500000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828X39
925016.00000000
PA
USD
951385.06000000
2.883518011908
Long
DBT
UST
US
N
2
2022-04-15
Fixed
0.12500000
N
N
N
N
N
N
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
AUD/USD FORWARD
000000000
1.00000000
NC
USD
213.02000000
0.000645634488
N/A
DFE
CORP
US
N
2
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
-14000.00000000
AUD
10847.14000000
USD
2021-04-07
213.02000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS GBP
000000000
1.00000000
NC
-7048.18000000
-0.02136206971
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2030-08-15
2475.68000000
USD
0.00000000
USD
200000.00000000
GBP
-9523.86000000
N
N
N
2021-05-26
Pacific Funds Series Trust
Trevor Smith
Trevor Smith
VP and Treasurer