0001752724-21-241194.txt : 20211116
0001752724-21-241194.hdr.sgml : 20211116
20211116121131
ACCESSION NUMBER: 0001752724-21-241194
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20210930
FILED AS OF DATE: 20211116
PERIOD START: 20220331
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: 211414962
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
2022-03-31
2021-09-30
N
40399125.34
7146693.42
33252431.92
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
4153448.39000000
1175270.31000000
0.00000000
170000.00000000
AUD
EUR
GBP
USD
N
STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
5493003GCX71N8988W38
GBP/USD FORWARD
000000000
1.00000000
NC
USD
8896.02000000
0.026752990642
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
5493003GCX71N8988W38
-394000.00000000
GBP
539774.37000000
USD
2021-10-04
8896.02000000
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
SWOP IRS EUR
000000000
60000.00000000
NC
8612.19000000
0.025899429012
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
4236.84000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828XL9
120877.05000000
PA
USD
131946.24000000
0.396801774731
Long
DBT
UST
US
N
2
2025-07-15
Fixed
0.37500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS GBP
000000000
1.00000000
NC
-22722.60000000
-0.06833364866
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
-21815.18000000
N
N
N
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
-8172.38000000
-0.02457678890
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
Y
2029-07-25
0.00000000
USD
0.00000000
USD
100000.00000000
USD
-8172.38000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828TE0
261175.20000000
PA
USD
267487.91000000
0.804416081938
Long
DBT
UST
US
N
2
2022-07-15
Fixed
0.12500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
2237.89000000
0.006730004005
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2026-05-13
0.00000000
USD
0.00000000
USD
-100000.00000000
USD
2237.89000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828Z37
1920591.00000000
PA
USD
2111625.33000000
6.350288409221
Long
DBT
UST
US
N
2
2030-01-15
Fixed
0.12500000
N
N
N
N
N
N
WAMU Mortgage Pass-Through Cer
N/A
WaMu Mortgage Pass-Through Certificates Series 2005-AR2 Trust
92922FD39
23724.66000000
PA
USD
23845.79000000
0.071711416648
Long
ABS-MBS
CORP
US
N
2
2045-01-25
Floating
0.82600000
N
N
N
N
N
N
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
4308.68000000
0.012957488373
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
Y
2023-05-10
0.00000000
USD
0.00000000
USD
-180000.00000000
USD
4308.68000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810FH6
58123.45000000
PA
USD
81124.66000000
0.243966096059
Long
DBT
UST
US
N
2
2029-04-15
Fixed
3.87500000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RF7
1909365.70000000
PA
USD
2625556.65000000
7.895833472621
Long
DBT
UST
US
N
2
2044-02-15
Fixed
1.37500000
N
N
N
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
US CPI URBAN CONSUMERS NSA
000000000
-1900000.00000000
NC
USD
-21.23000000
-0.00006384495
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
13801.27000000
N
N
N
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
3198.10000000
0.009617642425
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
Y
2023-05-09
0.00000000
USD
0.00000000
USD
-120000.00000000
USD
3198.10000000
N
N
N
UNITED KINGDOM I/L GILT
ECTRVYYCEF89VWYS6K36
United Kingdom Inflation-Linked Gilt
000000000
126021.30000000
PA
187310.99000000
0.563300123283
Long
DBT
NUSS
GB
N
2
2024-03-22
Fixed
0.12500000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828X39
853153.20000000
PA
USD
865108.94000000
2.601641113291
Long
DBT
UST
US
N
2
2022-04-15
Fixed
0.12500000
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust 2005-A3
466247PW7
10516.60000000
PA
USD
10937.52000000
0.032892391228
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Variable
2.66534000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EUREX 30 YEAR EURO BUXL
000000000
-3.00000000
NC
19387.44000000
0.058303825857
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Short
BUNDESREPUB. DEUTSCHLAND
Bundesrepublik Deutschland Bundesanleihe
2021-12-08
-744650.13000000
USD
19387.44000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWOP CDS ITRAXX.EUR.36.V1
000000000
-100000.00000000
NC
-116.35000000
-0.00034989922
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Put
Written
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS ITRAXX.EUR.36.V1
000000000
0.00000000
NC
0.00000000
0.00000000
DCR
CORP
GB
US
IHS MARKIT LTD
ITRAXX.EUR.36.V1
Default Event
2026-12-20
0.00000000
USD
0.00000000
USD
N/A
N/A
-100000.00000000
USD
0.75000000
EUR
2022-01-19
XXXX
21.71000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RL4
660823.80000000
PA
USD
814040.93000000
2.448064345965
Long
DBT
UST
US
N
2
2045-02-15
Fixed
0.75000000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EURO-BTP ITALIAN BOND
000000000
-4.00000000
NC
7907.20000000
0.023779313401
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Short
BUONI POLIENNALI DEL TES
Italy Buoni Poliennali Del Tesoro
2021-12-08
-726038.59000000
USD
7907.20000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 10 Year US Treasury Note
000000000
1.00000000
NC
USD
-1057.05000000
-0.00317886524
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
2021-12-21
132666.43000000
USD
-1057.05000000
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2003-46
12669E3G9
8496.78000000
PA
USD
8998.80000000
0.027062080817
Long
ABS-MBS
CORP
US
N
2
2034-01-19
Variable
4.36598300
N
N
N
N
N
N
MLCC Mortgage Investors Inc
N/A
Merrill Lynch Mortgage Investors Trust Series MLCC 2004-1
59020UNP6
23869.72000000
PA
USD
24547.81000000
0.073822600581
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Variable
2.06684700
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
NZD/USD FORWARD
000000000
1.00000000
NC
USD
2126.68000000
0.006395562300
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-147000.00000000
NZD
103605.89000000
USD
2021-10-04
2126.68000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 5 Year US Treasury Note
000000000
51.00000000
NC
USD
-45489.96000000
-0.13680190402
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
2021-12-31
6305341.65000000
USD
-45489.96000000
N
N
N
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
AUD/USD FORWARD
000000000
1.00000000
NC
USD
-827.55000000
-0.00248869015
N/A
DFE
CORP
US
N
2
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
-569801.38000000
USD
787000.00000000
AUD
2021-10-05
-827.55000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810FQ6
90744.95000000
PA
USD
132892.70000000
0.399648062793
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
4408.57000000
0.013257887454
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
4408.57000000
N
N
N
BUONI POLIENNALI DEL TES
815600DE60799F5A9309
Italy Buoni Poliennali Del Tesoro
000000000
517555.00000000
PA
663747.31000000
1.996086516609
Long
DBT
NUSS
IT
N
2
2030-05-15
Fixed
0.40000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128285W6
1675844.50000000
PA
USD
1937572.41000000
5.826859264493
Long
DBT
UST
US
N
2
2029-01-15
Fixed
0.87500000
N
N
N
N
N
N
CHEVY CHASE MORTGAGE FUNDING C
549300CK5LJGUSKZWZ58
Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-A
16678RBL0
63113.25000000
PA
USD
65632.67000000
0.197377052475
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
0.44600000
N
N
N
N
N
N
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
3594.42000000
0.010809495102
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
Y
2023-02-05
0.00000000
USD
0.00000000
USD
-120000.00000000
USD
3594.42000000
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust 2005-AR6
362341RX9
5539.47000000
PA
USD
5710.86000000
0.017174262663
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Variable
2.85920800
N
N
N
N
N
N
Asset Backed Funding Certifica
N/A
ABFC 2005-WF1 Trust
04542BLZ3
21722.64000000
PA
USD
21668.21000000
0.065162782836
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Floating
0.68600000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
400.23000000
0.001203611215
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2028-09-10
0.00000000
USD
0.00000000
USD
-100000.00000000
USD
400.23000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
-3532.28000000
-0.01062262155
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
-3532.28000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
91282CBF7
1122151.80000000
PA
USD
1232661.87000000
3.706982613980
Long
DBT
UST
US
N
2
2031-01-15
Fixed
0.12500000
N
N
N
N
N
N
Wind River CLO Ltd
549300QKM4OHZM4I5C40
THL Credit Wind River 2019-3 Clo Ltd
97314JAA3
100000.00000000
PA
USD
100001.57000000
0.300734605639
Long
ABS-CBDO
CORP
KY
N
2
2031-04-15
Floating
1.16431000
N
N
N
N
N
N
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-16916.57000000
-0.05087318136
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
Y
2028-07-09
0.00000000
USD
-287.50000000
USD
500000.00000000
USD
-16629.07000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128286N5
3463840.00000000
PA
USD
3700082.10000000
11.12725261388
Long
DBT
UST
US
N
2
2024-04-15
Fixed
0.50000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWOP IRS EUR
000000000
-600000.00000000
NC
-27484.45000000
-0.08265395465
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
-12758.13000000
N
N
N
BANK OF AMERICA CORP
9DJT3UXIJIZJI4WXO774
Bank of America Corp
060505FL3
10000.00000000
PA
USD
11426.00000000
0.034361396566
Long
DBT
CORP
US
N
2
N/A
Fixed
5.87500000
N
N
N
N
N
N
FRANCE (GOVT OF)
969500KCGF3SUYJHPV70
French Republic Government Bond OAT
000000000
108647.00000000
PA
136365.24000000
0.410091028313
Long
DBT
NUSS
FR
N
2
2024-07-25
Fixed
0.25000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128284H0
1143043.20000000
PA
USD
1196213.60000000
3.597371773823
Long
DBT
UST
US
N
2
2023-04-15
Fixed
0.62500000
N
N
N
N
N
N
AUSTRALIAN SECURITIES EXCHANGE TRADE24
N/A
3 YEAR AUSTRALIAN BOND
000000000
-2.00000000
NC
218.23000000
0.000656282826
N/A
DIR
CORP
AU
N
1
AUSTRALIAN SECURITIES EXCHANGE TRADE24
N/A
Short
AUSTRALIAN GOVERNMENT
Australia Government Bond
2021-12-15
-172073.71000000
USD
218.23000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT US LONG BOND
000000000
5.00000000
NC
USD
-21334.90000000
-0.06416042005
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
2021-12-21
817428.65000000
USD
-21334.90000000
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAF8
100000.00000000
PA
USD
106213.96000000
0.319417118890
Long
DBT
CORP
KY
N
2
2024-07-01
Fixed
3.95000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS EUR
000000000
1.00000000
NC
9752.99000000
0.029330155531
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
9752.99000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS EUR
000000000
1.00000000
NC
-1324.13000000
-0.00398205461
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
-1324.13000000
N
N
N
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
USD/AUD FORWARD
000000000
1.00000000
NC
USD
829.03000000
0.002493140958
N/A
DFE
CORP
US
N
2
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
-787000.00000000
AUD
569870.64000000
USD
2021-11-02
829.03000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS EUR
000000000
1.00000000
NC
-15926.13000000
-0.04789463230
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
-14565.32000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396WLX2
18643.92000000
PA
USD
18830.86000000
0.056630023468
Long
ABS-MBS
USGSE
US
N
2
2037-07-25
Floating
0.46600000
N
N
N
N
N
N
Towd Point Mortgage Funding
635400655NWVVZHH1395
Towd Point Mortgage Funding 2019 - Granite4 PLC
000000000
151010.71000000
PA
205256.28000000
0.617266973115
Long
ABS-MBS
CORP
GB
N
2
2051-10-20
Floating
1.09713000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828UH1
722654.14000000
PA
USD
747188.15000000
2.247018058100
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
9921.48000000
0.029836855312
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
9921.48000000
N
N
N
Hawksmoor Mortgages plc
N/A
Hawksmoor Mortgages
000000000
188217.52000000
PA
254824.63000000
0.766333814660
Long
ABS-MBS
CORP
GB
N
2
2053-05-25
Floating
1.10019000
N
N
N
N
N
N
AUSTRALIAN GOVERNMENT
213800J6B7JSBDETCB42
Australia Government Bond
000000000
696843.49539800
PA
605897.30000000
1.822114248538
Long
DBT
NUSS
AU
N
2
2022-02-21
Fixed
1.25000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396WTU0
13398.49000000
PA
USD
13487.15000000
0.040559890574
Long
ABS-MBS
USGSE
US
N
2
2037-07-25
Floating
0.43600000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS GBP
000000000
1.00000000
NC
15264.53000000
0.045905003389
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
15264.53000000
N
N
N
FRANCE (GOVT OF)
969500KCGF3SUYJHPV70
French Republic Government Bond OAT
000000000
101931.00000000
PA
130624.81000000
0.392827839823
Long
DBT
NUSS
FR
N
2
2026-03-01
Fixed
0.10000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810QP6
373992.00000000
PA
USD
563798.03000000
1.695509162627
Long
DBT
UST
US
N
2
2041-02-15
Fixed
2.12500000
N
N
N
N
N
N
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
-44253.74000000
-0.13308422104
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
Y
2029-11-04
0.00000000
USD
-708.00000000
USD
400000.00000000
USD
-43545.74000000
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
UNITED STATES 10 YEAR ULTRA BOND
000000000
-14.00000000
NC
USD
43329.72000000
0.130305416771
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
2021-12-21
-2076829.72000000
USD
43329.72000000
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EUREX 5 YEAR EURO BOBL
000000000
-7.00000000
NC
3432.98000000
0.010323996777
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Short
BUNDESREPUB. DEUTSCHLAND
Bundesrepublik Deutschland Bundesanleihe
2021-12-08
-1116098.45000000
USD
3432.98000000
N
N
N
TICP CLO Ltd
N/A
TICP CLO II-2 LTD
87249TAC8
289647.85000000
PA
USD
289879.57000000
0.871754495122
Long
ABS-CBDO
CORP
KY
N
2
2028-04-20
Floating
0.97425000
N
N
N
N
N
N
Saxon Asset Securities Trust
N/A
Saxon Asset Securities Trust 2007-3
80557BAA2
16726.15000000
PA
USD
16532.58000000
0.049718408685
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Floating
0.39600000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828WU0
1379700.00000000
PA
USD
1473352.37000000
4.430810875862
Long
DBT
UST
US
N
2
2024-07-15
Fixed
0.12500000
N
N
N
N
N
N
STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
5493003GCX71N8988W38
USD/EUR FORWARD
000000000
1.00000000
NC
USD
30903.02000000
0.092934616254
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
5493003GCX71N8988W38
-1358000.00000000
EUR
1604060.19000000
USD
2021-10-04
30903.02000000
N
N
N
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
IRS IFS GBP
000000000
1.00000000
NC
-8574.47000000
-0.02578599370
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
Y
2030-06-15
2555.29000000
USD
0.00000000
USD
200000.00000000
GBP
-11129.76000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810SG4
43396.40000000
PA
USD
58250.42000000
0.175176420600
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 USD
000000000
1.00000000
NC
USD
-3453.73000000
-0.01038639822
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
-3453.73000000
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
USD/GBP FORWARD
000000000
1.00000000
NC
USD
-391.74000000
-0.00117807924
N/A
DFE
CORP
US
N
2
BARCLAYS PLC
213800LBQA1Y9L22JB70
-742812.98000000
USD
551000.00000000
GBP
2021-10-04
-391.74000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
2487.46000000
0.007480535577
N/A
DIR
CORP
GB
N
2
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
Y
2026-06-01
0.00000000
USD
0.00000000
USD
-100000.00000000
USD
2487.46000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
-7081.66000000
-0.02129666791
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
-7081.66000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
51244.21000000
0.154106653381
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
51244.21000000
N
N
N
J.P. MORGAN SECURITIES LLC
ZBUT11V806EZRVTWT807
US CPI URBAN CONSUMERS NSA
000000000
-200000.00000000
NC
USD
-0.20000000
-0.00000060145
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
1389.80000000
N
N
N
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
IRS IFS EUR
000000000
1.00000000
NC
-5678.57000000
-0.01707715698
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
Y
2049-08-15
0.00000000
USD
0.00000000
USD
20000.00000000
EUR
-5678.57000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810QV3
120819.00000000
PA
USD
147361.73000000
0.443160759954
Long
DBT
UST
US
N
2
2042-02-15
Fixed
0.75000000
N
N
N
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EUREX 10 YEAR EURO BUND
000000000
9.00000000
NC
-24462.66000000
-0.07356652908
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Long
BUNDESREPUB. DEUTSCHLAND
Bundesrepublik Deutschland Bundesanleihe
2021-12-08
1834382.98000000
USD
-24462.66000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828S50
227786.00000000
PA
USD
248599.27000000
0.747612296742
Long
DBT
UST
US
N
2
2026-07-15
Fixed
0.12500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS GBP
000000000
1.00000000
NC
-4623.52000000
-0.01390430634
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
-4211.00000000
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
USD/GBP FORWARD
000000000
1.00000000
NC
USD
-428.86000000
-0.00128971018
N/A
DFE
CORP
US
N
2
BARCLAYS PLC
213800LBQA1Y9L22JB70
-522000.00000000
GBP
702941.43000000
USD
2021-11-02
-428.86000000
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
SWOP IRS EUR
000000000
-1600000.00000000
NC
-436.28000000
-0.00131202433
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
2052.82000000
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
SWOP CDS CDX.NA.IG.36.V1
000000000
-100000.00000000
NC
USD
-61.14000000
-0.00018386625
N/A
DCR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
Put
Written
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CDS CDX.NA.IG.36.V1
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DCR
CORP
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
0.75000000
USD
2021-12-15
XXXX
38.86000000
N
N
N
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
SWOP CDS CDX.NA.IG.36.V1
000000000
-100000.00000000
NC
USD
-52.59000000
-0.00015815384
N/A
DCR
CORP
GB
N
2
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
Put
Written
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
MORGAN STANLEY & CO. INTERNATIONAL PLC
4PQUHN3JPFGFNF3BB653
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
0.80000000
USD
2021-12-15
XXXX
41.41000000
N
N
N
KOMATSU FINANCE AMERICA
549300SRAAFEEQ8Z4D68
Komatsu Finance America Inc
000000000
200000.00000000
PA
USD
203757.41000000
0.612759423100
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 CDS CDX.NA.IG.36.V1
000000000
-200000.00000000
NC
USD
-65.26000000
-0.00019625632
N/A
DCR
CORP
US
N
2
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
Put
Written
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
CDS CDX.NA.IG.36.V1
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DCR
CORP
US
IHS MARKIT LTD
CDX.NA.IG.36.V1
Default Event
2026-06-20
0.00000000
USD
0.00000000
USD
N/A
N/A
-200000.00000000
USD
0.75000000
USD
2021-11-17
XXXX
134.24000000
N
N
N
BlackRock Liquidity Funds T-Fund
5493002L9DNZ83RX7V61
BlackRock Liquidity Funds T-Fund
09248U718
81301.18000000
NS
USD
81301.18000000
0.244496944450
Long
STIV
RF
US
N
1
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828Y38
1152845.40000000
PA
USD
1320816.21000000
3.972089058561
Long
DBT
UST
US
N
2
2028-07-15
Fixed
0.75000000
N
N
N
N
N
N
Government National Mortgage A
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380LJY0
62769.16000000
PA
USD
62120.21000000
0.186814035585
Long
ABS-MBS
USGA
US
N
2
2068-08-20
Floating
0.38238000
N
N
N
N
N
N
STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
5493003GCX71N8988W38
USD/AUD FORWARD
000000000
1.00000000
NC
USD
1822.47000000
0.005480711920
N/A
DFE
CORP
US
N
2
STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC
5493003GCX71N8988W38
-787000.00000000
AUD
570796.30000000
USD
2021-10-05
1822.47000000
N
N
N
Fannie Mae or Freddie Mac
N/A
Fannie Mae or Freddie Mac
01F0326C3
370000.00000000
PA
USD
391794.98000000
1.178244589576
Long
ABS-MBS
USGSE
US
N
2
2051-12-01
Fixed
3.50000000
N
N
N
N
N
N
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
-7504.30000000
-0.02256767269
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
Y
2028-02-05
337.78000000
USD
0.00000000
USD
190000.00000000
USD
-7842.08000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31395B6R9
9694.88000000
PA
USD
9793.24000000
0.029451199309
Long
ABS-MBS
USGSE
US
N
2
2036-05-25
Floating
0.52600000
N
N
N
N
N
N
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
-6665.41000000
-0.02004487977
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
Y
2029-04-16
0.00000000
USD
0.00000000
USD
100000.00000000
USD
-6665.41000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWOP CDS CDX.NA.IG.37.V1
000000000
-200000.00000000
NC
USD
-218.19000000
-0.00065616253
N/A
DCR
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
Put
Written
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
CDS CDX.NA.IG.37.V1
000000000
0.00000000
NC
USD
0.00000000
0.00000000
DCR
CORP
GB
US
IHS MARKIT LTD
CDX.NA.IG.37.V1
Default Event
2026-12-20
0.00000000
USD
0.00000000
USD
N/A
N/A
-200000.00000000
USD
0.85000000
USD
2022-01-19
XXXX
12.31000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810FS2
291603.88000000
PA
USD
340194.90000000
1.023067728755
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
912828YL8
1915326.00000000
PA
USD
2049578.27000000
6.163694357546
Long
DBT
UST
US
N
2
2024-10-15
Fixed
0.12500000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
EUR/USD FORWARD
000000000
1.00000000
NC
USD
1515.86000000
0.004558644022
N/A
DFE
CORP
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
-120000.00000000
EUR
140528.28000000
USD
2021-10-04
1515.86000000
N
N
N
NEW ZEALAND GVT ILB
549300237GPHG2AI7C34
New Zealand Government Inflation Linked Bond
000000000
110000.00000000
PA
93904.79000000
0.282399766206
Long
DBT
NUSS
NZ
N
2
2025-09-20
Fixed
2.00000000
N
N
N
N
N
N
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
IRS IFS GBP
000000000
1.00000000
NC
968.71000000
0.002913200461
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
Y
2024-09-15
0.00000000
USD
0.00000000
USD
200000.00000000
GBP
968.71000000
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
GBP/USD FORWARD
000000000
1.00000000
NC
USD
415.04000000
0.001248149311
N/A
DFE
CORP
US
N
2
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
-12000.00000000
GBP
16583.92000000
USD
2021-10-04
415.04000000
N
N
N
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
USD/EUR FORWARD
000000000
1.00000000
NC
USD
860.38000000
0.002587419777
N/A
DFE
CORP
US
N
2
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
-35000.00000000
EUR
41405.67000000
USD
2021-10-04
860.38000000
N
N
N
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
IRS NZD
000000000
1.00000000
NC
-5290.57000000
-0.01591032503
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCHANGE
SNZ2OJLFK8MNNCLQOF39
Y
2028-03-21
289.99000000
USD
0.00000000
USD
-100000.00000000
NZD
-5580.56000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWOP CDS CDX.NA.IG.36.V1
000000000
-200000.00000000
NC
USD
-105.18000000
-0.00031630769
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
-200000.00000000
USD
0.80000000
USD
2021-12-15
XXXX
102.32000000
N
N
N
BARCLAYS PLC
213800LBQA1Y9L22JB70
GBP/USD FORWARD
000000000
1.00000000
NC
USD
4706.72000000
0.014154513604
N/A
DFE
CORP
US
N
2
BARCLAYS PLC
213800LBQA1Y9L22JB70
-138000.00000000
GBP
190648.88000000
USD
2021-10-04
4706.72000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128283R9
1804035.10000000
PA
USD
2020912.41000000
6.077487549969
Long
DBT
UST
US
N
2
2028-01-15
Fixed
0.50000000
N
N
N
N
N
N
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
IRS IFS GBP
000000000
1.00000000
NC
-1160.07000000
-0.00348867716
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
Y
2028-11-15
0.00000000
USD
0.00000000
USD
45000.00000000
GBP
-1160.07000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128282L3
1852626.40000000
PA
USD
2062021.18000000
6.201113906378
Long
DBT
UST
US
N
2
2027-07-15
Fixed
0.37500000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
47701.34000000
0.143452184534
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
47701.34000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae REMICS
31396PMC2
3108.31000000
PA
USD
3141.24000000
0.009446647413
Long
ABS-MBS
USGSE
US
N
2
2037-02-25
Floating
0.53100000
N
N
N
N
N
N
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
-1740.71000000
-0.00523483516
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
Y
2028-05-10
0.00000000
USD
0.00000000
USD
50000.00000000
USD
-1740.71000000
N
N
N
OZLM Ltd
N/A
OZLM XXIV Ltd
67113DAW4
100000.00000000
PA
USD
100000.42000000
0.300731147245
Long
ABS-CBDO
CORP
KY
N
2
2032-07-20
Floating
0.01000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828B25
1422756.48000000
PA
USD
1518308.34000000
4.566006912375
Long
DBT
UST
US
N
2
2024-01-15
Fixed
0.62500000
N
N
N
N
N
N
FHLMC Structured Pass Through
S6XOOCT0IEG5ABCC6L87
Freddie Mac Structured Pass-Through Certificates
313398VT3
579.57000000
PA
USD
575.46000000
0.001730580191
Long
ABS-MBS
USGSE
US
N
2
2031-09-25
Floating
0.36600000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
-6936.59000000
-0.02086039907
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
-6934.09000000
N
N
N
LoanCore 2019-CRE2 Issuer, Ltd
N/A
LoanCore 2019-CRE2 Issuer Ltd
53946JAA2
37724.56000000
PA
USD
37749.08000000
0.113522764562
Long
ABS-O
CORP
KY
N
2
2036-05-15
Floating
1.21375000
N
N
N
N
N
N
ICE FUTURES EUROPE
549300UF4R84F48NCH34
LONG GILT
000000000
-2.00000000
NC
6209.33000000
0.018673310917
N/A
DIR
CORP
GB
N
1
ICE FUTURES EUROPE
549300UF4R84F48NCH34
Short
UNITED KINGDOM GILT
United Kingdom Gilt
2021-12-29
-347835.23000000
USD
6209.33000000
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
47890.47000000
0.144020954964
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
2021-12-21
-1194265.47000000
USD
47890.47000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828N71
631922.50000000
PA
USD
697758.24000000
2.098367547007
Long
DBT
UST
US
N
2
2026-01-15
Fixed
0.62500000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL SERVICES LLC
I7331LVCZKQKX5T7XV54
SWOP IRS EUR
000000000
-200000.00000000
NC
-9122.82000000
-0.02743504601
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
-4272.11000000
N
N
N
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
IRS IFS EUR
000000000
1.00000000
NC
1728.70000000
0.005198717507
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
Y
2024-03-15
0.00000000
USD
-53.16000000
USD
-140000.00000000
EUR
1781.86000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
-6913.43000000
-0.02079075003
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
-6913.43000000
N
N
N
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
EUREX 2 YEAR EURO SCHATZ
000000000
-42.00000000
NC
3961.18000000
0.011912452026
N/A
DIR
CORP
DE
N
1
EUREX CLEARING AKTIENGESELLSCHAFT
529900LN3S50JPU47S06
Short
BUNDESSCHATZANWEISUNGEN
Bundesschatzanweisungen
2021-12-08
-5590381.58000000
USD
3961.18000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS USD
000000000
1.00000000
NC
USD
12093.54000000
0.036368888835
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
11999.48000000
N
N
N
AVIATION CAPITAL GROUP
549300ODEK8HY3445C77
Aviation Capital Group LLC
05367AAJ2
200000.00000000
PA
USD
201051.21000000
0.604621070975
Long
DBT
CORP
US
N
2
2022-01-20
Fixed
2.87500000
N
N
N
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SWOP CDS CDX.NA.IG.36.V1
000000000
-100000.00000000
NC
USD
-104.03000000
-0.00031284929
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
0.72500000
USD
2022-01-19
XXXX
-4.03000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RW0
480653.75000000
PA
USD
617006.60000000
1.855523233562
Long
DBT
UST
US
N
2
2047-02-15
Fixed
0.87500000
N
N
N
N
N
N
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
IRS USD
000000000
1.00000000
NC
USD
1550.46000000
0.004662696562
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
213800O8SCO4XJGBU385
Y
2023-04-27
0.00000000
USD
0.00000000
USD
-60000.00000000
USD
1550.46000000
N
N
N
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
GBP/USD FORWARD
000000000
1.00000000
NC
USD
229.67000000
0.000690686324
N/A
DFE
CORP
US
N
2
UBS Securities LLC
T6FIZBDPKLYJKFCRVK44
-7000.00000000
GBP
9661.52000000
USD
2021-10-04
229.67000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
91282CCM1
1629744.00000000
PA
USD
1796278.48000000
5.401946192451
Long
DBT
UST
US
N
2
2031-07-15
Fixed
0.12500000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828H45
115262.00000000
PA
USD
123871.10000000
0.372517415562
Long
DBT
UST
US
N
2
2025-01-15
Fixed
0.25000000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RR1
594524.88000000
PA
USD
775356.48000000
2.331728644284
Long
DBT
UST
US
N
2
2046-02-15
Fixed
1.00000000
N
N
N
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
SWOP IRS EUR
000000000
200000.00000000
NC
28415.37000000
0.085453509290
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
13458.66000000
N
N
N
Home Equity Asset Trust
N/A
Home Equity Asset Trust
437084CE4
14311.51000000
PA
USD
14258.34000000
0.042879089367
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Floating
0.94100000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RA8
379977.60000000
PA
USD
453366.56000000
1.363408730798
Long
DBT
UST
US
N
2
2043-02-15
Fixed
0.62500000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC Series 2015-3R
12649WAW1
163222.67000000
PA
USD
160426.29000000
0.482449796111
Long
ABS-MBS
CORP
US
N
2
2036-09-29
Floating
0.23600000
N
N
N
N
N
N
BUONI POLIENNALI DEL TES
815600DE60799F5A9309
Italy Buoni Poliennali Del Tesoro
000000000
605568.00000000
PA
769022.19000000
2.312679541304
Long
DBT
NUSS
IT
N
2
2025-05-26
Fixed
1.40000000
N
N
N
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS GBP
000000000
1.00000000
NC
-21977.86000000
-0.06609399292
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
-24453.54000000
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828ZJ2
1691072.00000000
PA
USD
1814784.11000000
5.457598152117
Long
DBT
UST
US
N
2
2025-04-15
Fixed
0.12500000
N
N
N
N
N
N
TSY INFL IX N/B
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810SV1
209718.00000000
PA
USD
230361.77000000
0.692766684115
Long
DBT
UST
US
N
2
2051-02-15
Fixed
0.12500000
N
N
N
N
N
N
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
549300EX04Q2QBFQTQ27
CBOT 2 YEAR US TREASURY NOTE
000000000
-17.00000000
NC
USD
2184.52000000
0.006569504465
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
2021-12-31
-3743114.22000000
USD
2184.52000000
N
N
N
UK CLEARING HOUSE LIMITED
213800O8SCO4XJGBU385
IRS IFS GBP
000000000
1.00000000
NC
-18090.07000000
-0.05440224655
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
-29350.35000000
N
N
N
2021-11-12
Pacific Funds Series Trust
Trevor Smith
Trevor Smith
VP and Treasurer