0001752724-20-030277.txt : 20200221
0001752724-20-030277.hdr.sgml : 20200221
20200221162214
ACCESSION NUMBER: 0001752724-20-030277
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20191231
FILED AS OF DATE: 20200221
PERIOD START: 20191231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: MAINSTAY VP FUNDS TRUST
CENTRAL INDEX KEY: 0000887340
IRS NUMBER: 133186036
STATE OF INCORPORATION: DE
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-03833-01
FILM NUMBER: 20640319
BUSINESS ADDRESS:
STREET 1: 51 MADISON AVE
CITY: NEW YORK
STATE: NY
ZIP: 10010
BUSINESS PHONE: 2125767000
MAIL ADDRESS:
STREET 1: 51 MADISON AVE
CITY: NEW YORK
STATE: NY
ZIP: 10010
FORMER COMPANY:
FORMER CONFORMED NAME: MAINSTAY VP SERIES FUND INC
DATE OF NAME CHANGE: 20010518
FORMER COMPANY:
FORMER CONFORMED NAME: NEW YORK LIFE MFA SERIES FUND INC
DATE OF NAME CHANGE: 19920929
0000887340
S000033931
MainStay VP Pimco Real Return Portfolio
C000104633
Initial Class
C000104634
Service Class
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000887340
XXXXXXXX
S000033931
C000104633
C000104634
MAINSTAY VP FUNDS TRUST
811-03833-01
0000887340
549300AG6K4RXYNOVN04
51 MADISON AVE
NEW YORK
10010
212-576-7000
MainStay VP Pimco Real Return Portfolio
S000033931
FL0D50RT2GXIMU1UV517
2019-12-31
2019-12-31
N
795774509.41
403334359.48
392440149.93
0
0
0
0
0
0
0
0
0
0
384606531.98
0
0
2287066.09
GBP
AUD
EUR
DKK
USD
JPY
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RW0
9490687.03000000
PA
USD
10169650.02000000
2.591388781655
Long
DBT
UST
US
N
2
2047-02-15
Fixed
0.88000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
317U933T1 IRO USD 5Y C 1.4040 MAR20 1.404 CALL
000000000
-10100000.00000000
NC
USD
-10383.31000000
-0.00264583274
N/A
DIR
US
N
1
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Call
Written
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Bank of America, National Association
B4TYDEB6GKMZO031MB27
IRS Swap
N/A
10100000.00000000
OU
Notional Amount
N/A
-10383.31000000
0.00000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2025-03-10
0.00000000
N/A
0.00000000
N/A
10100000.00000000
USD
1.00000000
1.404
USD
2020-03-10
XXXX
59526.32
N
N
N
Citigroup Mortgage Loan Trust Inc
N/A
Citigroup Mortgage Loan Trust 2019-B
17327VAA9
288988.08000000
PA
USD
289327.29000000
0.073725201168
Long
ABS-MBS
CORP
US
N
2
2066-04-25
Variable
3.26000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402LPB2
266187.75000000
PA
USD
268110.53000000
0.068318832832
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Floating
3.53000000
N
N
N
N
N
N
MORGAN STANLEY CCP MORGAN STANLEY CCMSCHUS2
N/A
MORGAN STANLEY CCP MORGAN STANLEY CCMSCHUS2
000000000
760000.00000000
NS
USD
760000.00000000
0.193660103364
Long
STIV
CORP
US
N
1
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
11441.51000000
0.002915478959
N/A
DFE
RU
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
251333.34000000
USD
16339075.00000000
RUB
2020-01-24
11441.51
N
N
N
CRED SUIS GP FUN LTD
549300PXR5FKNXF0OH19
Credit Suisse Group Funding Guernsey Ltd
225433AH4
300000.00000000
PA
USD
312344.07000000
0.079590243265
Long
DBT
CORP
GG
N
2
2022-09-15
Fixed
3.80000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828VM9
6338159.00000000
PA
USD
6425718.64000000
1.637375442126
Long
DBT
UST
US
N
2
2023-07-15
Fixed
0.38000000
N
N
N
N
N
N
Jubilee CDO BV
724500KP4E8XGHMPQZ62
Jubilee CLO 2015-XVI BV
000000000
1660000.00000000
PA
1857692.73000000
0.473369692252
Long
ABS-CBDO
CORP
NL
N
2
2029-12-15
Floating
0.41000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2005-29CB
12667GUG6
55751.65000000
PA
USD
47704.26000000
0.012155805161
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Fixed
5.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU00KXL1 IRS JPY R V 06MLIBOR SWUV0KXL3 CCPVANILLA / Short: BWU00KXL1 IRS JPY P F .45000 SWU00KXL1 CCPVANILLA
000000000
106980000.00000000
OU
Notional Amount
-30556.94000000
-0.00778639494
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor Japan 6 Months
JPY0006M Index
Y
2029-03-20
0
JPY
-506651
JPY
106980000
JPY
-26048.94
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
3175409R5 ITRAXX.O P 0.80 EU3 MAR20 0.8 PUT
000000000
-400000.00000000
NC
-76.80000000
-0.00001956986
N/A
DCR
DE
N
1
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Put
Written
Intercontinental Exchange
5493000F4ZO33MV32P92
Intercontinental Exchange
5493000F4ZO33MV32P92
CDX Swap
N/A
400000.00000000
OU
Notional Amount
N/A
-76.80000000
0.00000000
DCR
US
iTraxx Europe S32.V1
2I666VCV5
sell protection
2024-06-20
0.00000000
N/A
0.00000000
N/A
400000.00000000
EUR
1.00000000
0.8
EUR
2020-03-18
XXXX
411.64
N
N
N
ROYAL BK SCOTLND GRP PLC
2138005O9XJIJN4JPN90
Royal Bank of Scotland Group PLC
780097BJ9
200000.00000000
PA
USD
212474.48000000
0.054141881262
Long
DBT
CORP
GB
N
2
2024-06-25
Variable
4.52000000
N
N
N
N
N
N
Man GLG Euro CLO
635400X2U1WG8KFSIE39
Man GLG Euro CLO II DAC
000000000
250000.00000000
PA
279865.54000000
0.071314196585
Long
ABS-CBDO
CORP
IE
N
2
2030-01-15
Floating
0.87000000
N
N
N
N
N
N
Amgen Inc
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162BN9
400000.00000000
PA
USD
413371.25000000
0.105333577635
Long
DBT
CORP
US
N
2
2022-05-15
Fixed
3.63000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
3140HAQZ6
180124.89000000
PA
USD
186477.85000000
0.047517525929
Long
ABS-MBS
USGSE
US
N
2
2048-03-01
Fixed
3.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828Y38
18566009.80000000
PA
USD
19531808.99000000
4.977015984089
Long
DBT
UST
US
N
2
2028-07-15
Fixed
0.75000000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NBF5
543000.00000000
PA
USD
581829.93000000
0.148259532085
Long
DBT
CORP
NL
N
2
2030-01-15
Fixed
5.09000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380LJY0
671051.16000000
PA
USD
657335.01000000
0.167499428923
Long
ABS-MBS
USGA
US
N
2
2068-08-20
Floating
2.27000000
N
N
N
N
N
N
MORGAN STANLEY + CO INC CASH COLL (CCP)
N/A
MORGAN STANLEY + CO INC CASH COLL (CCP)
000000000
450000.00000000
NS
USD
450000.00000000
0.114667166466
Long
STIV
CORP
US
N
1
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BWU00VPI3 IRS USD R V 03MLIBOR SWUV0VPI5 CCPVANILLA / Short: BWU00VPI3 IRS USD P F 1.62500 SWU00VPI3 CCPVANILLA
000000000
290000.00000000
OU
Notional Amount
USD
32298.95000000
0.008230286836
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
ICE Libor USD 3 Months
US0003M Index
Y
2050-01-16
0
USD
-1315.94
USD
290000
USD
33614.89
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407UMR5
312192.71000000
PA
USD
331276.53000000
0.084414535581
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Floating
4.54000000
N
N
N
N
N
N
Saxon Asset Securities Trust
N/A
Saxon Asset Securities Trust 2007-3
80557BAA2
185301.15000000
PA
USD
177499.51000000
0.045229701912
Long
ABS-O
CORP
US
N
2
2047-09-25
Variable
2.10000000
N
N
N
N
N
N
Pernod Ricard SA
52990097YFPX9J0H5D87
Pernod Ricard SA
714264AA6
1600000.00000000
PA
USD
1674825.57000000
0.426772227637
Long
DBT
CORP
FR
N
2
2021-04-07
Fixed
5.75000000
N
N
N
N
N
N
Venture CDO Ltd
549300NGP7BCR2JAC076
Venture 35 CLO Ltd
92331XAC8
200000.00000000
PA
USD
199769.60000000
0.050904475506
Long
ABS-CBDO
CORP
KY
N
2
2031-10-22
Floating
3.10000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136B3L32
1549853.23000000
PA
USD
1540638.27000000
0.392579166600
Long
ABS-MBS
USGSE
US
N
2
2049-03-25
Variable
2.19000000
N
N
N
N
N
N
Ally Financial Inc
549300JBN1OSM8YNAI90
Ally Financial Inc
02005NAZ3
400000.00000000
PA
USD
401500.00000000
0.102308594080
Long
DBT
CORP
US
N
2
2020-03-30
Fixed
4.13000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU0C8247 IRS GBP R F 3.40000 INFLATIONZERO CCP LCH / Short: SWU0C8247 IRS GBP P V 12MRPI UKRPI/INFLATIONZERO CCP LCH
000000000
3460000.00000000
OU
Notional Amount
182599.25000000
0.046529196880
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
UK Retail Price Index
UKRPI Index
Y
2030-06-15
8434.58
GBP
0
GBP
3460000
GBP
171046.29
N
N
N
IPALCO Enterprises Inc
5493000YFVK2DZX0JV43
IPALCO Enterprises Inc
462613AK6
500000.00000000
PA
USD
502162.36000000
0.127958966504
Long
DBT
CORP
US
N
2
2020-07-15
Fixed
3.45000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD DKK
000000000
1.00000000
NC
-17992.99000000
-0.00458490039
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
57880000.00000000
DKK
8723999.21000000
USD
2020-04-01
-17992.99
N
N
N
Paragon Mortgages PLC
FO8K74JMQ503WLB3U634
Paragon Mortgages No 13 PLC
000000000
2008046.90000000
PA
2526902.85000000
0.643895088321
Long
ABS-MBS
CORP
GB
Y
2
2039-01-15
Floating
1.01000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828B25
690377.84000000
PA
USD
704992.22000000
0.179643244995
Long
DBT
UST
US
N
2
2024-01-15
Fixed
0.63000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) MAR20 XCBT 20200331
000000000
103.00000000
NC
USD
-33066.42000000
-0.00842585041
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
5 Year US Treasury Note
FVH0 Comdty
2020-03-31
12249832.05
USD
-33066.42
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828S50
14825449.30000000
PA
USD
14872212.18000000
3.789676510584
Long
DBT
UST
US
N
2
2026-07-15
Fixed
0.13000000
N
N
N
N
N
N
Soundview Home Equity Loan Trust
N/A
Soundview Home Loan Trust 2007-OPT1
83612TAA0
365111.15000000
PA
USD
288181.68000000
0.073433281495
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
1.99000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: SWPC0HQI3 CDS USD R V 03MEVENT FLO SOVEREIGN / Short: SWPC0HQI3 CDS USD P F 1.00000 FIX SOVEREIGN
000000000
2300000.00000000
OU
Notional Amount
USD
-38970.58000000
-0.00993032440
N/A
DCR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Mexico Government International Bond
Mexico Government International Bond
Y
buy protection
2023-12-20
18126.08
USD
0
USD
2300000
USD
-57096.66
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
SHORT EURO-BTP FU MAR20 XEUR 20200306
000000000
147.00000000
NC
4754.75000000
0.001211586021
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
Short-Term Euro-BTP Futures (FBTS)
BTSH0 Comdty
2020-03-06
16522971.12
EUR
4754.75
N
N
N
WESTINGHOUSE AIR BRAKE
06BTX5UWZD0GQ5N5Y745
Westinghouse Air Brake Technologies Corp
960386AP5
600000.00000000
PA
USD
600090.86000000
0.152912707863
Long
DBT
CORP
US
N
2
2021-09-15
Floating
3.19000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
28840.18000000
0.007348937157
N/A
DFE
KR
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
1036000.00000000
USD
1229162200.00000000
KRW
2020-03-18
28840.18
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175AX2
800000.00000000
PA
USD
805098.41000000
0.205151896446
Long
DBT
CORP
US
N
2
2020-07-23
Fixed
3.58000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: SWU00OD43 IRS ILS R V 03MTELBO FLO VANILLA / Short: SWU00OD43 IRS ILS P F .97000 FIX VANILLA
000000000
4190000.00000000
OU
Notional Amount
-177.89000000
-0.00004532920
N/A
DIR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Tel Aviv Inter-Bank Offered Rate 3 Month
TELBOR03 Index
Y
2020-02-16
0
ILS
0
ILS
4190000
ILS
-177.89
N
N
N
Residential Asset Securities Corporation
N/A
RASC Series 2006-EMX4 Trust
75406DAD5
923372.17000000
PA
USD
896975.64000000
0.228563677839
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
2.02000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU09TP24 IRS EUR R F 1.36000 INFLATIONZERO CCP LCH / Short: SWU09TP24 IRS EUR P V 12MHICP CPTFEMU/INFLATIONZERO CCP LCH
000000000
800000.00000000
OU
Notional Amount
18040.32000000
0.004596960836
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Harmonised Index of Consumer Prices
HICP Index
Y
2027-06-15
0
EUR
-7991.36
EUR
800000
EUR
27377.83
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BWU00V5U8 IRS USD R V 03MLIBOR SWUV0V5U0 CCPVANILLA / Short: BWU00V5U8 IRS USD P F 2.25000 SWU00V5U8 CCPVANILLA
000000000
1100000.00000000
OU
Notional Amount
USD
-35831.16000000
-0.00913035019
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
ICE Libor USD 3 Months
US0003M Index
Y
2049-12-11
0
USD
-4793.64
USD
1100000
USD
-31037.52
N
N
N
Opteum Mortgage Acceptance Corporation
N/A
Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates 2005-2
68383NBC6
100000.00000000
PA
USD
99449.62000000
0.025341346958
Long
ABS-MBS
CORP
US
N
2
2035-04-25
Floating
3.59000000
N
N
N
N
N
N
NISSAN MOTOR ACCEPTANCE
7D6DIU2QXTUJRFNNJA49
Nissan Motor Acceptance Corp
654740AZ2
200000.00000000
PA
USD
200626.43000000
0.051122809436
Long
DBT
CORP
US
N
2
2022-07-13
Fixed
2.65000000
N
N
N
N
N
N
UniCredit SpA
549300TRUWO2CD2G5692
UniCredit SpA
904678AG4
1800000.00000000
PA
USD
2097432.00000000
0.534459076211
Long
DBT
CORP
IT
N
2
2023-12-04
Fixed
7.83000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BWU00VGI3 IRS USD R V 03MLIBOR SWUV0VGI5 CCPVANILLA / Short: BWU00VGI3 IRS USD P F 1.75000 SWU00VGI3 CCPVANILLA
000000000
900000.00000000
OU
Notional Amount
USD
12884.16000000
0.003283089154
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
ICE Libor USD 3 Months
US0003M Index
Y
2029-09-12
2135.5
USD
0
USD
900000
USD
10748.66
N
N
N
AMERICAN ELECTRIC POWER
1B4S6S7G0TW5EE83BO58
American Electric Power Co Inc
025537AL5
100000.00000000
PA
USD
103173.54000000
0.026290261080
Long
DBT
CORP
US
N
2
2021-12-01
Fixed
3.65000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT MAR20 XCBT 20200320
000000000
19.00000000
NC
USD
-116379.11000000
-0.02965525062
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
US Treasury Ultra Long Bond
WNH0 Comdty
2020-03-20
3567847.86
USD
-116379.11
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD SGD
000000000
1.00000000
NC
-14472.40000000
-0.00368779799
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
1172458.00000000
SGD
857905.37000000
USD
2020-03-18
-14472.4
N
N
N
CHUGOKU ELECTRIC POWER
353800MV866ELME96Q46
Chugoku Electric Power Co Inc/The
000000000
500000.00000000
PA
USD
500250.00000000
0.127471666721
Long
DBT
CORP
JP
Y
2
2020-03-16
Fixed
2.70000000
N
N
N
N
N
N
FREDDIEMAC STRIP
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
3132HTBH8
517266.22000000
PA
USD
517631.19000000
0.131900670737
Long
ABS-MBS
USGSE
US
N
2
2042-09-15
Floating
2.19000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810QP6
3219664.40000000
PA
USD
4240589.62000000
1.080569768602
Long
DBT
UST
US
N
2
2041-02-15
Fixed
2.13000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust 2005-AR12
45660LMG1
174252.16000000
PA
USD
168880.33000000
0.043033397584
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Floating
2.27000000
N
N
N
N
N
N
STATE BANK INDIA/LONDON
5493001JZ37UBBZF6L49
State Bank of India/London
000000000
700000.00000000
PA
USD
700539.00000000
0.178508493619
Long
DBT
CORP
IN
Y
2
2020-04-06
Floating
2.99000000
N
N
N
N
N
N
ACTIVISION BLIZZARD
549300TPQQDBP9GNOF40
Activision Blizzard Inc
00507VAL3
200000.00000000
PA
USD
202415.55000000
0.051578705704
Long
DBT
CORP
US
N
2
2022-06-15
Fixed
2.60000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
17756.88000000
0.004524735810
N/A
DFE
MX
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
1849802.43000000
USD
35955780.76000000
MXN
2020-05-05
17756.88
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: SWU00OF09 IRS ILS R V 03MTELBO FLO VANILLA / Short: SWU00OF09 IRS ILS P F .37000 FIX VANILLA
000000000
2570000.00000000
OU
Notional Amount
-753.34000000
-0.00019196302
N/A
DIR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Tel Aviv Inter-Bank Offered Rate 3 Month
TELBOR03 Index
Y
2020-06-20
0
ILS
0
ILS
2570000
ILS
-753.34
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810PV4
16746348.32000000
PA
USD
18812420.84000000
4.793704426867
Long
DBT
UST
US
N
2
2028-01-15
Fixed
1.75000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU02Y100 IRS USD R V 12MCPI CPURNSA INFLATIONZERO CCP LCH / Short: BWU02Y100 IRS USD P F 2.26325 INFLATIONZERO CCP LCH
000000000
1100000.00000000
OU
Notional Amount
USD
-25266.80000000
-0.00643838302
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
US CPI Urban Consumers NSA
CPURNSA Index
Y
2023-04-27
0
USD
0
USD
1100000
USD
-25266.8
N
N
N
NEW ZEALAND GVT ILB
549300237GPHG2AI7C34
New Zealand Government Inflation Linked Bond
000000000
500000.00000000
PA
454881.14000000
0.115910958672
Long
DBT
NUSS
NZ
Y
2
2030-09-20
Fixed
3.00000000
N
N
N
N
N
N
Cooperatieve Rabobank UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
000000000
200000.00000000
PA
229387.64000000
0.058451623780
Long
DBT
CORP
NL
Y
2
2020-06-29
Variable
5.50000000
N
N
N
N
N
N
Sprint Corp
549300ZTTY7CXOLJ6539
Sprint Corp
85207UAE5
300000.00000000
PA
USD
317250.00000000
0.080840352358
Long
DBT
CORP
US
N
2
2021-09-15
Fixed
7.25000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128285W6
5666234.28000000
PA
USD
6016957.64000000
1.533216629611
Long
DBT
UST
US
N
2
2029-01-15
Fixed
0.88000000
N
N
N
N
N
N
Credit Suisse International
E58DKGMJYYYJLN8C3868
PURCHASED SGD / SOLD USD
000000000
1.00000000
NC
9224.24000000
0.002350483252
N/A
DFE
SG
N
2
Credit Suisse International
E58DKGMJYYYJLN8C3868
855372.17000000
USD
1162000.00000000
SGD
2020-03-18
9224.24
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
3175BB530 INF FLR FWD US YOY OCT20 0.0000001 PUT
000000000
-1900000.00000000
NC
USD
-0.19000000
-0.00000004841
N/A
DIR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Put
Written
US CPI Urban Consumers NSA
CPURNSA Index
1.00000000
0.00001
USD
2020-10-02
XXXX
35068.11
N
N
N
Jamestown CLO Ltd
2549008V3F2S2MZWTX88
Jamestown CLO IV Ltd
470474AQ0
201479.74000000
PA
USD
201481.75000000
0.051340758593
Long
ABS-CBDO
CORP
KY
N
2
2026-07-15
Floating
2.69000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F022626
7300000.00000000
PA
USD
7213933.22000000
1.838225069806
Long
ABS-MBS
USGSE
US
N
2
2050-02-15
Fixed
2.50000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
3175469E1 ITRAXX.O C 0.425 EU MAR20 0.425 CALL
000000000
-1200000.00000000
NC
-1025.19000000
-0.00026123473
N/A
DCR
DE
N
1
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Call
Written
Intercontinental Exchange
5493000F4ZO33MV32P92
Intercontinental Exchange
5493000F4ZO33MV32P92
CDX Swap
N/A
1200000.00000000
OU
Notional Amount
N/A
-1025.19000000
0.00000000
DCR
US
iTraxx Europe S32.V1
2I666VCV5
buy protection
2024-06-20
0.00000000
N/A
0.00000000
N/A
1200000.00000000
EUR
1.00000000
0.425
EUR
2020-03-18
XXXX
-284.03
N
N
N
ARGENT LETRAS DEL TESORO
549300KPBYGYF7HCHO27
Argentina Treasury Bill
000000000
3720000.00000000
PA
62598.13000000
0.015951000429
Long
STIV
NUSS
AR
N
2
2020-04-03
None
0.00000000
N
N
N
N
N
N
ROYAL BK SCOTLND GRP PLC
2138005O9XJIJN4JPN90
Royal Bank of Scotland Group PLC
780097BH3
300000.00000000
PA
USD
304547.85000000
0.077603642250
Long
DBT
CORP
GB
N
2
2024-06-25
Floating
3.50000000
N
N
N
N
N
N
VOLKSWAGEN GROUP AMERICA
5493002SQ1AVQBY41K40
Volkswagen Group of America Finance LLC
928668AW2
900000.00000000
PA
USD
906295.83000000
0.230938610680
Long
DBT
CORP
US
N
2
2021-09-24
Floating
2.79000000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
000000000
100000.00000000
PA
159036.75000000
0.040525096636
Long
DBT
CORP
NL
N
2
2034-01-16
Fixed
6.63000000
N
N
N
N
N
N
Colony American Finance Ltd
N/A
CoreVest American Finance 2017-1 Trust
21871VAA1
69397.79000000
PA
USD
69687.45000000
0.017757472066
Long
ABS-O
CORP
US
N
2
2049-10-15
Fixed
2.97000000
N
N
N
N
N
N
OCP CLO Ltd
254900FZYL5HDKV64882
OCP CLO 2015-10 Ltd
67092DAL3
1660000.00000000
PA
USD
1658555.80000000
0.422626431137
Long
ABS-CBDO
CORP
KY
N
2
2027-10-26
Floating
2.76000000
N
N
N
N
N
N
Osaka Exchange
3538001249AILNPRUX57
JPN 10Y BOND(OSE) MAR20 XOSE 20200313
000000000
-3.00000000
NC
3441.49000000
0.000876946459
N/A
DIR
JP
N
1
Osaka Exchange
3538001249AILNPRUX57
Short
Japan Government Ten Year Bond
JBH0 Comdty
2020-03-13
-456913935
JPY
3441.49
N
N
N
FCE Bank PLC
TU5V87TL5Q0UV1EW4H93
FCE Bank PLC
000000000
800000.00000000
PA
895735.75000000
0.228247734121
Long
DBT
CORP
GB
Y
2
2020-08-26
Floating
0.10000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED IDR / SOLD USD
000000000
1.00000000
NC
33458.05000000
0.008525643975
N/A
DFE
ID
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
1832677.73000000
USD
26087434400.00000000
IDR
2020-03-18
33458.05
N
N
N
Marlette Funding Trust
549300W2612MGSLICQ35
Marlette Funding Trust 2019-3
57109MAA9
150178.25000000
PA
USD
150578.58000000
0.038369820220
Long
ABS-O
CORP
US
N
2
2029-09-17
Fixed
2.69000000
N
N
N
N
N
N
Residential Asset Securities Corporation
N/A
RASC Series 2006-KS6 Trust
75406WAD3
337878.43000000
PA
USD
336182.92000000
0.085664761890
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
2.04000000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
251526BX6
1400000.00000000
PA
USD
1439930.53000000
0.366917230629
Long
DBT
CORP
DE
N
2
2021-10-14
Fixed
4.25000000
N
N
N
N
N
N
Credit Suisse International
E58DKGMJYYYJLN8C3868
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
161.05000000
0.000041038104
N/A
DFE
KR
N
2
Credit Suisse International
E58DKGMJYYYJLN8C3868
6000.00000000
USD
7111800.00000000
KRW
2020-03-18
161.05
N
N
N
Republic of Argentina
549300KPBYGYF7HCHO27
Argentina POM Politica Monetaria
000000000
21453000.00000000
PA
240071.45000000
0.061174028713
Long
DBT
NUSS
AR
N
2
2020-06-21
Floating
56.59000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128283R9
15660818.64000000
PA
USD
16065507.35000000
4.093747123699
Long
DBT
UST
US
N
2
2028-01-15
Fixed
0.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828K33
4627215.24000000
PA
USD
4621611.96000000
1.177660328797
Long
DBT
UST
US
N
2
2020-04-15
Fixed
0.13000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU0Z3003 IRS USD R V 12MCPI CPURNSA INFLATIONZERO CCP LCH / Short: BWU0Z3003 IRS USD P F 2.28100 INFLATION CCP LCH
000000000
780000.00000000
OU
Notional Amount
USD
-18325.37000000
-0.00466959611
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
US CPI Urban Consumers NSA
CPURNSA Index
Y
2023-05-10
0
USD
0
USD
780000
USD
-18325.37
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU0FC880 IRS USD R F 1.76000 SWUVFC882 CCPINFLATIONZERO / Short: SWU0FC880 IRS USD P V 12MUSCPI SWU0FC880 CCPINFLATIONZERO
000000000
2600000.00000000
OU
Notional Amount
USD
-59986.32000000
-0.01528546964
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
US CPI Urban Consumers NSA
CPURNSA Index
Y
2029-11-04
0
USD
-1393.52
USD
2600000
USD
-58592.8
N
N
N
D.R. HORTON INC
529900ZIUEYVSB8QDD25
DR Horton Inc
23331ABH1
100000.00000000
PA
USD
110550.09000000
0.028169923495
Long
DBT
CORP
US
N
2
2023-08-15
Fixed
5.75000000
N
N
N
N
N
N
AUSTRALIAN GOVERNMENT
213800J6B7JSBDETCB42
Australia Government Bond
000000000
1450000.00000000
PA
1495210.21000000
0.381003373448
Long
DBT
NUSS
AU
Y
2
2025-09-20
Fixed
3.00000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED RUB / SOLD USD
000000000
1.00000000
NC
58622.32000000
0.014937900724
N/A
DFE
RU
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
1511693.44000000
USD
97934908.10000000
RUB
2020-02-18
58622.32
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828N71
69101345.00000000
PA
USD
71218839.63000000
18.14769453194
Long
DBT
UST
US
N
2
2026-01-15
Fixed
0.63000000
N
N
N
N
N
N
Securitized Asset Backed Receivables LLC Trust
N/A
Securitized Asset Backed Receivables LLC Trust 2006-HE2
81377AAD4
232554.25000000
PA
USD
125837.50000000
0.032065399022
Long
ABS-O
CORP
US
N
2
2036-07-25
Floating
1.94000000
N
N
N
N
N
N
NEW ZEALAND GVT ILB
549300237GPHG2AI7C34
New Zealand Government Inflation Linked Bond
000000000
1800000.00000000
PA
1446053.47000000
0.368477453251
Long
DBT
NUSS
NZ
Y
2
2025-09-20
Fixed
2.00000000
N
N
N
N
N
N
ARGENT LETRAS DEL TESORO
549300KPBYGYF7HCHO27
Argentina Treasury Bill
000000000
790000.00000000
PA
10160.04000000
0.002588939995
Long
STIV
NUSS
AR
N
2
2020-02-26
None
0.00000000
N
N
N
N
N
N
NXP BV/NXP FUNDING LLC
N/A
NXP BV / NXP Funding LLC
62947QAW8
400000.00000000
PA
USD
415019.74000000
0.105753639140
Long
DBT
CORP
NL
N
2
2022-09-01
Fixed
3.88000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-18672.70000000
-0.00475810133
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
35955780.76000000
MXN
1877738.84000000
USD
2020-01-22
-18672.7
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-105596.75000000
-0.02690773357
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
13706000.00000000
BRL
3273465.49000000
USD
2020-07-02
-105596.75
N
N
N
JYSKE REALKREDIT A/S
529900R9HQNZRT2OXB26
Jyske Realkredit A/S
000000000
18371046.72000000
PA
2710079.96000000
0.690571533132
Long
DBT
CORP
DK
Y
2
2050-10-01
Fixed
1.00000000
N
N
N
N
N
N
CGGS Commercial Mortgage Trust
N/A
CGGS Commercial Mortgage Trust 2018-WSS
12533AAA6
1000000.00000000
PA
USD
997482.50000000
0.254174426387
Long
ABS-MBS
CORP
US
N
2
2037-02-15
Floating
2.64000000
N
N
N
N
N
N
BONOS DE TESORERIA
254900STKLK2DBJJZ530
Peru Government Bond
000000000
2600000.00000000
PA
888866.91000000
0.226497444300
Long
DBT
NUSS
PE
Y
2
2032-08-12
Fixed
6.15000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU09FL10 IRS GBP R F 3.14000 INFLATIONZERO CCP LCH / Short: SWU09FL10 IRS GBP P V 12MUKRPI INFLATIONZERO CCP LCH UKRPI
000000000
2070000.00000000
OU
Notional Amount
-114166.90000000
-0.02909154428
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
UK Retail Price Index
UKRPI Index
Y
2031-04-15
0
GBP
-133257.55
GBP
2070000
GBP
49225.32
N
N
N
Eurosail PLC
213800YCKG3TNT5E1296
Eurosail-UK 2007-3bl PLC
000000000
183590.15000000
PA
242258.89000000
0.061731423261
Long
ABS-MBS
CORP
GB
Y
2
2045-06-13
Floating
1.73000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD KRW
000000000
1.00000000
NC
-34387.80000000
-0.00876255908
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
2107950170.00000000
KRW
1791758.54000000
USD
2020-03-18
-34387.8
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828V49
16342008.80000000
PA
USD
16589960.71000000
4.227386191998
Long
DBT
UST
US
N
2
2027-01-15
Fixed
0.38000000
N
N
N
N
N
N
Lloyds Banking Group PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
000000000
200000.00000000
PA
229668.07000000
0.058523081810
Long
DBT
CORP
GB
Y
2
2020-06-27
Variable
6.38000000
N
N
N
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2007-1
170255AA1
42880.29000000
PA
USD
35492.45000000
0.009044041494
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Fixed
6.00000000
N
N
N
N
N
N
BRISTOL-MYERS SQUIBB CO
HLYYNH7UQUORYSJQCN42
Bristol-Myers Squibb Co
110122BG2
600000.00000000
PA
USD
619997.57000000
0.157985254595
Long
DBT
CORP
US
N
2
2022-08-15
Fixed
3.25000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
61812.60000000
0.015750834875
N/A
DFE
MX
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
1889357.62000000
USD
36994000.00000000
MXN
2020-01-22
61812.6
N
N
N
FCE Bank PLC
TU5V87TL5Q0UV1EW4H93
FCE Bank PLC
000000000
900000.00000000
PA
1030968.34000000
0.262707151697
Long
DBT
CORP
GB
Y
2
2021-06-24
Fixed
1.88000000
N
N
N
N
N
N
Trinity Square
213800ZEQXAVEJ72CR83
Trinity Square 2015-1 PLC
000000000
584615.27000000
PA
777855.92000000
0.198210076145
Long
ABS-MBS
CORP
GB
N
2
2051-07-15
Floating
1.94000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SWPC0HMY2 CDS USD R F 1.00000 1 CCPCORPORATE / Short: SWPC0HMY2 CDS USD P V 03MEVENT 2 CCPCORPORATE
000000000
100000.00000000
OU
Notional Amount
USD
634.28000000
0.000161624645
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
General Electric Co
General Electric Co
Y
sell protection
2020-12-20
0
USD
-1353.72
USD
100000
USD
1988
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
RXH0P172 MAR20 172 PUT FSO
000000000
-23.00000000
NC
-53404.14000000
-0.01360822535
N/A
DIR
DE
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Put
Written
Euro-Bund (FGBL)
RXH0 Comdty
100000.00000000
172
EUR
2020-02-21
XXXX
-24531.33
N
N
N
ASX - Trade24
549300USWUR0S7VMM868
AUST 10Y BOND FUT MAR20 XSFE 20200316
000000000
-7.00000000
NC
12691.93000000
0.003234105889
N/A
DIR
AU
N
1
ASX - Trade24
549300USWUR0S7VMM868
Short
10 Year Commonwealth Treasury Bond
XMH0 Comdty
2020-03-16
-1018793.09
AUD
12691.93
N
N
N
American Tower Corp
5493006ORUSIL88JOE18
American Tower Corp
03027XAH3
300000.00000000
PA
USD
304079.39000000
0.077484271182
Long
DBT
US
N
2
2021-02-15
Fixed
3.30000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810SG4
5972100.80000000
PA
USD
6635879.44000000
1.690927760878
Long
DBT
UST
US
N
2
2049-02-15
Fixed
1.00000000
N
N
N
N
N
N
Long Beach Mortgage Loan Trust
N/A
Long Beach Mortgage Loan Trust 2006-7
54251TAC3
283018.57000000
PA
USD
153623.07000000
0.039145604757
Long
ABS-O
CORP
US
N
2
2036-08-25
Floating
1.91000000
N
N
N
N
N
N
MainStay US Government Liquidity Fund
549300Y3ZLEL13IJCK58
MainStay US Government Liquidity Fund
56064L488
1528467.82000000
NS
USD
1528467.82000000
0.389477942119
Long
STIV
RF
US
N
1
N
N
N
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
RXH0P157 MAR20 157 PUT FSO
000000000
23.00000000
NC
257.99000000
0.000065739960
N/A
DIR
DE
N
1
Citigroup Global Markets Inc.
MBNUM2BPBDO7JBLYG310
Put
Purchased
Euro-Bund (FGBL)
RXH0 Comdty
100000.00000000
157
EUR
2020-02-21
XXXX
-13.16
N
N
N
Reynolds American Inc
02S2RPPVO9RP4NEU2740
Reynolds American Inc
761713BF2
200000.00000000
PA
USD
208186.09000000
0.053049131195
Long
DBT
CORP
US
N
2
2022-06-12
Fixed
4.00000000
N
N
N
N
N
N
Argent Securities Inc.
N/A
Argent Securities Trust 2006-W4
040104TG6
325768.03000000
PA
USD
118887.28000000
0.030294372281
Long
ABS-O
CORP
US
N
2
2036-05-25
Floating
1.95000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BWU00INI4 IRS USD R V 03MLIBOR SWUV0INI6 CCPVANILLA / Short: BWU00INI4 IRS USD P F 2.25000 SWU00INI4 CCPVANILLA
000000000
2310000.00000000
OU
Notional Amount
USD
-69681.82000000
-0.01775603745
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
ICE Libor USD 3 Months
US0003M Index
Y
2046-12-21
0
USD
-166768.7
USD
2310000
USD
97086.88
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU0JD561 IRS GBP R F 3.85000 SWUVJD563 CCPINFLATIONZERO / Short: SWU0JD561 IRS GBP P V 01MUKRPI SWU0JD561 CCPINFLATIONZERO
000000000
2200000.00000000
OU
Notional Amount
104556.33000000
0.026642617993
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
UK Retail Price Index
UKRPI Index
Y
2024-09-15
295.63
GBP
0
GBP
2200000
GBP
104200.48
N
N
N
Countrywide Asset-Backed Certificates
N/A
Countrywide Asset-Backed Certificates
12669WAA4
804177.46000000
PA
USD
770706.47000000
0.196388282426
Long
ABS-O
CORP
US
N
2
2037-11-25
Floating
1.98000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828UH1
13080300.39000000
PA
USD
13078997.20000000
3.332736775870
Long
DBT
UST
US
N
2
2023-01-15
Fixed
0.13000000
N
N
N
N
N
N
ICE Futures Europe - Financial Products Division
5R6J7JCQRIPQR1EEP713
LONG GILT FUTURE MAR20 IFLL 20200327
000000000
-1.00000000
NC
1032.11000000
0.000262998064
N/A
DIR
GB
N
1
ICE Futures Europe - Financial Products Division
5R6J7JCQRIPQR1EEP713
Short
United Kingdom Gilt
G H0 Comdty
2020-03-27
-132159.19
GBP
1032.11
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810FS2
11199253.38000000
PA
USD
12448490.56000000
3.172073642877
Long
DBT
UST
US
N
2
2026-01-15
Fixed
2.00000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BWU00XLU6 IRS USD R V 03MLIBOR SWUV0XLU8 CCPVANILLA / Short: BWU00XLU6 IRS USD P F 2.00000 SWU00XLU6 CCPVANILLA
000000000
220000.00000000
OU
Notional Amount
USD
5539.71000000
0.001411606330
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
ICE Libor USD 3 Months
US0003M Index
Y
2050-03-20
0
USD
-4752.38
USD
220000
USD
10292.09
N
N
N
KVK CLO Ltd
5493007VGL59COTLZY21
KVK CLO 2013-1 Ltd
482739AF6
1660000.00000000
PA
USD
1655820.12000000
0.421929336306
Long
ABS-CBDO
CORP
KY
N
2
2028-01-14
Floating
2.90000000
N
N
N
N
N
N
Soundview Home Equity Loan Trust
N/A
Soundview Home Loan Trust 2007-OPT2
83613DAD8
244746.03000000
PA
USD
221970.36000000
0.056561582712
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Floating
1.97000000
N
N
N
N
N
N
Wachovia Mortgage Loan Trust, LLC
N/A
Wachovia Mortgage Loan Trust Series 2005-WMC1
92977YAX9
19282.59000000
PA
USD
19314.32000000
0.004921596325
Long
ABS-O
CORP
US
N
2
2035-10-25
Floating
2.45000000
N
N
N
N
N
N
MORGAN STANLEY MCS FUTURES CASH COLL COC
N/A
MORGAN STANLEY MCS FUTURES CASH COLL COC
000000000
903000.00000000
NS
USD
903000.00000000
0.230098780708
Long
STIV
CORP
US
N
1
N
N
N
CANADIAN GOVERNMENT RRB
4BFD7AQU0A75QLAHK410
Canadian Government Real Return Bond
135087VS0
933126.00000000
PA
911640.14000000
0.232300425978
Long
DBT
NUSS
CA
N
2
2026-12-01
Fixed
4.25000000
N
N
N
N
N
N
Home Equity Asset Trust
N/A
Home Equity Asset Trust
437084BL9
111158.63000000
PA
USD
111019.87000000
0.028289630920
Long
ABS-MBS
CORP
US
N
2
2034-07-25
Floating
2.59000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828X39
45900932.39000000
PA
USD
45833171.60000000
11.67902203894
Long
DBT
UST
US
N
2
2022-04-15
Fixed
0.13000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUND FUTURE MAR20 XEUR 20200306
000000000
117.00000000
NC
-343439.38000000
-0.08751382346
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
Euro-Bund (FGBL)
RXH0 Comdty
2020-03-06
20253507.58
EUR
-343439.38
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RFS6
100000.00000000
PA
USD
122601.24000000
0.031240748435
Long
DBT
CORP
US
N
2
2058-08-15
Fixed
5.30000000
N
N
N
N
N
N
Credit Suisse International
E58DKGMJYYYJLN8C3868
PURCHASED TWD / SOLD USD
000000000
1.00000000
NC
3613.58000000
0.000920797731
N/A
DFE
TW
N
2
Credit Suisse International
E58DKGMJYYYJLN8C3868
268000.00000000
USD
8112896.00000000
TWD
2020-03-18
3613.58
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SWPC0HJ26 CDS USD R F 1.00000 1 CCPCORPORATE / Short: SWPC0HJ26 CDS USD P V 03MEVENT 2 CCPCORPORATE
000000000
100000.00000000
OU
Notional Amount
USD
1330.96000000
0.000339149804
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
General Electric Co
General Electric Co
Y
sell protection
2023-12-20
0
USD
-3836.19
USD
100000
USD
5167.15
N
N
N
SLM Student Loan Trust
549300NCDXZHFMZO1S26
SLM Private Education Loan Trust 2011-B
83149UAC5
119672.73000000
PA
USD
120471.35000000
0.030698018544
Long
ABS-O
CORP
US
N
2
2042-06-16
Floating
3.99000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD TWD
000000000
1.00000000
NC
-27057.89000000
-0.00689478128
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
56574045.00000000
TWD
1866998.03000000
USD
2020-03-18
-27057.89
N
N
N
ERAC USA Finance LLC
LTKX5ODQW6Z7BQ2K1V47
ERAC USA Finance LLC
26884TAD4
400000.00000000
PA
USD
415414.07000000
0.105854120704
Long
DBT
CORP
US
N
2
2021-08-16
Fixed
4.50000000
N
N
N
N
N
N
Venture CDO Ltd
549300LQ92YS70N4PB21
Venture XX CLO Ltd
92330JCC8
842822.55000000
PA
USD
842704.55000000
0.214734539814
Long
ABS-CBDO
CORP
KY
N
2
2027-04-15
Floating
2.82000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828PP9
4822994.00000000
PA
USD
4867658.83000000
1.240356989688
Long
DBT
UST
US
N
2
2021-01-15
Fixed
1.13000000
N
N
N
N
N
N
Merrill Lynch Mortgage Investors Trust
N/A
Merrill Lynch Mortgage Investors Trust MLMI Series 2005-A4
59020UXH3
220057.79000000
PA
USD
165372.53000000
0.042139554280
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Variable
4.22000000
N
N
N
N
N
N
SLM Student Loan Trust
549300Q3EYTM3HF1XJ85
SLM Student Loan Trust 2003-5
000000000
32440.32000000
PA
36236.61000000
0.009233665313
Long
ABS-O
CORP
US
N
2
2024-06-17
None
0.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RA8
1992265.00000000
PA
USD
2014709.44000000
0.513380050527
Long
DBT
UST
US
N
2
2043-02-15
Fixed
0.63000000
N
N
N
N
N
N
BOC Aviation Ltd
254900H06V5RMEB3KE72
BOC Aviation Ltd
09681LAC4
200000.00000000
PA
USD
199250.00000000
0.050772073151
Long
DBT
CORP
SG
N
2
2021-09-15
Fixed
2.38000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-33350.76000000
-0.00849830477
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
2749000.00000000
EUR
3051549.44000000
USD
2020-01-10
-33350.76
N
N
N
Republic of Argentina
549300KPBYGYF7HCHO27
Argentina Bocon
000000000
82453.08000000
PA
1928.02000000
0.000491290200
Long
DBT
NUSS
AR
N
2
2022-10-04
Floating
59.93000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU0N0150 IRS USD R F 2.06700 INFLATIONZERO CCP LCH / Short: SWU0N0150 IRS USD P V 12MCPI CPURNSA/INFLATIONZERO CCP LCH
000000000
1100000.00000000
OU
Notional Amount
USD
10201.97000000
0.002599624427
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
US CPI Urban Consumers NSA
CPURNSA Index
Y
2027-07-25
0
USD
0
USD
1100000
USD
10201.97
N
N
N
ASX - Trade24
549300USWUR0S7VMM868
AUST 3YR BOND FUT MAR20 XSFE 20200316
000000000
-13.00000000
NC
7041.12000000
0.001794189509
N/A
DIR
AU
N
1
ASX - Trade24
549300USWUR0S7VMM868
Short
3 Year Commonwealth Treasury Bond
YMH0 Comdty
2020-03-16
-1505211.37
AUD
7041.12
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU01ZT16 IRS EUR R F 1.52000 INFLATIONZERO CCP LCH / Short: SWU01ZT16 IRS EUR P V 12MHICP CPTFEMU/INFLATIONZERO CCP LCH
000000000
3900000.00000000
OU
Notional Amount
157710.44000000
0.040187131726
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Harmonised Index of Consumer Prices
HICP Index
Y
2027-11-15
0
EUR
-2377.15
EUR
3900000
EUR
160534.15
N
N
N
Cooperatieve Rabobank UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
000000000
200000.00000000
PA
243408.89000000
0.062024461575
Long
DBT
CORP
NL
Y
2
2021-06-29
Variable
6.63000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828NM8
5651912.60000000
PA
USD
5705919.79000000
1.453959232004
Long
DBT
UST
US
N
2
2020-07-15
Fixed
1.25000000
N
N
N
N
N
N
Ally Financial Inc
549300JBN1OSM8YNAI90
Ally Financial Inc
02005NAY6
200000.00000000
PA
USD
206500.00000000
0.052619488611
Long
DBT
CORP
US
N
2
2022-02-13
Fixed
4.13000000
N
N
N
N
N
N
ARGENT LETRAS DEL TESORO
549300KPBYGYF7HCHO27
Argentina Treasury Bill
000000000
1325000.00000000
PA
18811.03000000
0.004793350018
Long
STIV
NUSS
AR
N
2
2020-05-29
None
0.00000000
N
N
N
N
N
N
Credit Suisse International
E58DKGMJYYYJLN8C3868
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
39524.69000000
0.010071520461
N/A
DFE
BR
N
2
Credit Suisse International
E58DKGMJYYYJLN8C3868
794979.75000000
USD
3356961.00000000
BRL
2020-01-03
39524.69
N
N
N
Ally Financial Inc
549300JBN1OSM8YNAI90
Ally Financial Inc
02005NBG4
100000.00000000
PA
USD
102250.00000000
0.026054928380
Long
DBT
CORP
US
N
2
2021-04-15
Fixed
4.25000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD PEN
000000000
1.00000000
NC
-16529.00000000
-0.00421185243
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
4457841.70000000
PEN
1328478.28000000
USD
2020-01-15
-16529
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-143423.24000000
-0.03654652563
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
4520000.00000000
GBP
5844988.28000000
USD
2020-01-10
-143423.24
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2018-1 Trust
67112FAD2
77372.43000000
PA
USD
76955.93000000
0.019609596524
Long
ABS-MBS
CORP
US
N
2
2057-06-25
Floating
2.44000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
1422.52000000
0.000362480750
N/A
DFE
JP
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
912641.88000000
USD
99300000.00000000
JPY
2020-01-10
1422.52
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US LONG BOND(CBT) MAR20 XCBT 20200320
000000000
-80.00000000
NC
USD
192586.27000000
0.049074048624
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
US Treasury Long Bond
USH0 Comdty
2020-03-20
-12665086.27
USD
192586.27
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU0C8403 IRS USD R V 12MCPI CPURNSA/INFLATIONZERO CCP LCH / Short: BWU0C8403 IRS USD P F 2.02650 INFLATIONZERO CCP LCH
000000000
1300000.00000000
OU
Notional Amount
USD
1391.79000000
0.000354650256
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
US CPI Urban Consumers NSA
CPURNSA Index
Y
2020-11-23
0
USD
0
USD
1300000
USD
1391.79
N
N
N
LG&E AND KU ENERGY LLC
N/A
LG&E & KU Energy LLC
50188FAE5
100000.00000000
PA
USD
103322.06000000
0.026328106341
Long
DBT
CORP
US
N
2
2021-10-01
Fixed
4.38000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828QV5
2032279.40000000
PA
USD
2055071.31000000
0.523664897785
Long
DBT
UST
US
N
2
2021-07-15
Fixed
0.63000000
N
N
N
N
N
N
MITSUBISHI UFJ LEASE&FIN
353800MZ3QX9RLMH7B09
Mitsubishi UFJ Lease & Finance Co Ltd
60682LAA0
200000.00000000
PA
USD
201338.65000000
0.051304294434
Long
DBT
CORP
JP
N
2
2022-09-19
Fixed
2.65000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU0A1962 IRS USD R F 2.15000 INFLATIONZERO CCP LCH / Short: SWU0A1962 IRS USD P V 12MCPI CPURNSA/INFLATIONZERO CCP LCH
000000000
600000.00000000
OU
Notional Amount
USD
9350.03000000
0.002382536547
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
US CPI Urban Consumers NSA
CPURNSA Index
Y
2027-09-25
0
USD
0
USD
600000
USD
9350.03
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU09TP81 IRS EUR R F 1.53500 INFLATIONZERO CCP LCH / Short: SWU09TP81 IRS EUR P V 12MHICP CPTFEMU/INFLATIONZERO CCP
000000000
1000000.00000000
OU
Notional Amount
43992.22000000
0.011209918253
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Harmonised Index of Consumer Prices
HICP Index
Y
2028-03-15
85.93
EUR
0
EUR
1000000
EUR
43883.1
N
N
N
Lloyds Banking Group PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
53944YAG8
400000.00000000
PA
USD
402196.95000000
0.102486188039
Long
DBT
CORP
GB
N
2
2021-06-21
Floating
2.73000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
3300.36000000
0.000840984287
N/A
DFE
MX
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
99073.58000000
USD
1941000.00000000
MXN
2020-01-22
3300.36
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
DUH0C114 MAR20 114 CALL FSO
000000000
485.00000000
NC
2720.12000000
0.000693129895
N/A
DIR
DE
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Call
Purchased
Euro-Schatz Futures (FGBS)
DUH0 Comdty
100000.00000000
114
EUR
2020-02-21
XXXX
-277.45
N
N
N
Legacy Mortgage Asset Trust
N/A
Legacy Mortgage Asset Trust 2019-GS3
52474WAA5
184092.11000000
PA
USD
185589.26000000
0.047291099046
Long
ABS-O
CORP
US
N
2
2059-04-25
Variable
3.75000000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NAR0
33000.00000000
PA
USD
35223.87000000
0.008975603033
Long
DBT
CORP
NL
N
2
2022-01-17
Fixed
6.13000000
N
N
N
N
N
N
Lehman XS Trust
N/A
Lehman XS Trust Series 2007-20N
52525AAA2
55016.12000000
PA
USD
54003.22000000
0.013760880483
Long
ABS-MBS
CORP
US
N
2
2037-12-25
Floating
2.94000000
N
N
N
N
N
N
Eurosail PLC
213800YCKG3TNT5E1296
Eurosail-UK 2007-3bl PLC
000000000
48951.52000000
PA
64236.92000000
0.016368590219
Long
ABS-MBS
CORP
GB
Y
2
2045-06-13
Floating
1.73000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
9135.83000000
0.002327954976
N/A
DFE
BR
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
824603.54000000
USD
3356961.00000000
BRL
2020-02-04
9135.83
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: SWU00OD68 IRS ILS R F 1.96250 FIX VANILLA / Short: SWU00OD68 IRS ILS P V 03MTELBO FLO VANILLA
000000000
880000.00000000
OU
Notional Amount
25436.36000000
0.006481589614
N/A
DIR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Tel Aviv Inter-Bank Offered Rate 3 Month
TELBOR03 Index
Y
2028-02-16
0
ILS
0
ILS
880000
ILS
25436.36
N
N
N
DEUTSCHE TELEKOM INT FIN
529900ERDFHS6C1M4U58
Deutsche Telekom International Finance BV
25156PAU7
250000.00000000
PA
USD
250008.57000000
0.063706165142
Long
DBT
CORP
NL
N
2
2021-09-19
Fixed
1.95000000
N
N
N
N
N
N
NYKREDIT REALKREDIT AS
LIU16F6VZJSD6UKHD557
Nykredit Realkredit A/S
000000000
6489.66000000
PA
1025.05000000
0.000261199064
Long
DBT
CORP
DK
Y
2
2047-10-01
Fixed
2.50000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RFZ0
500000.00000000
PA
USD
502967.46000000
0.128164118806
Long
DBT
CORP
US
N
2
2021-06-01
Floating
2.66000000
N
N
N
N
N
N
Voya CLO Ltd
5493000X4YEVJOIVRG48
Voya CLO 2014-3 Ltd
92912QAG1
344895.14000000
PA
USD
344977.23000000
0.087905692132
Long
ABS-CBDO
CORP
KY
N
2
2026-07-25
Floating
2.66000000
N
N
N
N
N
N
Argent Letras DEL Tesoro
549300KPBYGYF7HCHO27
Argentina Treasury Bill
000000000
1126250.00000000
PA
17682.36000000
0.004505746928
Long
STIV
NUSS
AR
N
2
2019-10-11
None
0.00000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU0FA918 IRS USD R V 12MUSCPI SWU0FA918 CCPINFLATIONZERO / Short: BWU0FA918 IRS USD P F 1.58000 SWUVFA910 CCPINFLATIONZERO
000000000
4600000.00000000
OU
Notional Amount
USD
20642.32000000
0.005259991874
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
US CPI Urban Consumers NSA
CPURNSA Index
Y
2021-09-20
0
USD
0
USD
4600000
USD
20642.32
N
N
N
New Residential Mortgage Loan Trust
549300U48YU2VDL8N523
New Residential Mortgage Loan Trust 2018-3
64830KAA5
234743.28000000
PA
USD
247579.79000000
0.063087273319
Long
ABS-MBS
CORP
US
N
2
2058-05-25
Variable
4.50000000
N
N
N
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAA9
100000.00000000
PA
USD
107808.00000000
0.027471195294
Long
DBT
CORP
KY
N
2
2023-01-15
Fixed
5.50000000
N
N
N
N
N
N
New Century Home Equity Loan Trust
N/A
New Century Home Equity Loan Trust 2004-4
64352VJJ1
81800.55000000
PA
USD
80910.82000000
0.020617365479
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Floating
2.56000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BWU00XPH1 IRS USD R V 03MLIBOR SWUV0XPH3 CCPVANILLA / Short: BWU00XPH1 IRS USD P F 2.00000 SWU00XPH1 CCPVANILLA
000000000
700000.00000000
OU
Notional Amount
USD
14780.18000000
0.003766225245
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
ICE Libor USD 3 Months
US0003M Index
Y
2045-02-12
0
USD
-12779.3
USD
700000
USD
27559.48
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-SCHATZ FUT MAR20 XEUR 20200306
000000000
-518.00000000
NC
59004.47000000
0.015035278630
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Euro-Schatz Futures (FGBS)
DUH0 Comdty
2020-03-06
-58019392.72
EUR
59004.47
N
N
N
Campbell Soup Co
5493007JDSMX8Z5Z1902
Campbell Soup Co
134429BD0
300000.00000000
PA
USD
304453.00000000
0.077579472960
Long
DBT
CORP
US
N
2
2021-03-15
Fixed
3.30000000
N
N
N
N
N
N
Credit Suisse International
E58DKGMJYYYJLN8C3868
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
10575.65000000
0.002694844042
N/A
DFE
KR
N
2
Credit Suisse International
E58DKGMJYYYJLN8C3868
394000.00000000
USD
467008200.00000000
KRW
2020-03-18
10575.65
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BWU00WO50 IRS USD R V 03MLIBOR SWUV0WO52 CCPVANILLA / Short: BWU00WO50 IRS USD P F 1.75000 SWU00WO50 CCPVANILLA
000000000
600000.00000000
OU
Notional Amount
USD
49557.35000000
0.012628002004
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
ICE Libor USD 3 Months
US0003M Index
Y
2050-01-22
0
USD
-3384.08
USD
600000
USD
52941.43
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
317526H53 INF CAP USD MAY24 4.0 CALL
000000000
-300000.00000000
NC
USD
-6.72000000
-0.00000171236
N/A
DIR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Call
Written
US CPI Urban Consumers NSA
CPURNSA Index
1.00000000
4
USD
2024-05-16
XXXX
2078.28
N
N
N
Jyske Realkredit A/S
529900R9HQNZRT2OXB26
Jyske Realkredit A/S
000000000
21317.40000000
PA
3367.09000000
0.000857988154
Long
DBT
CORP
DK
N
2
2047-10-01
Fixed
2.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828Q60
35239541.00000000
PA
USD
35166766.41000000
8.961052128910
Long
DBT
UST
US
N
2
2021-04-15
Fixed
0.13000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BWU00MYL6 IRS NZD R V 03MNZDBB SWUV0MYL8 CCPVANILLA / Short: BWU00MYL6 IRS NZD P F 3.25000 SWU00MYL6 CCPVANILLA
000000000
1600000.00000000
OU
Notional Amount
-132768.91000000
-0.03383163267
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
New Zealand Bank Bills 3 Months
MNDBB3 Index
Y
2028-03-21
5369.88
NZD
0
NZD
1600000
NZD
-136676.48
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR FUT OPTN Feb20P 129.5
000000000
-48.00000000
NC
USD
-58500.00000000
-0.01490673164
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Put
Written
Chicago Board Of Trade
549300EX04Q2QBFQTQ27
Chicago Board Of Trade
549300EX04Q2QBFQTQ27
10 Year US Treasury Note Future
N/A
48000.00000000
NC
N/A
-58500.00000000
-0.01000000
DIR
US
Short
10 Year US Treasury Note
TYH0 Comdty
2020-03-20
48000.00000000
USD
1000.00000000
129.5
USD
2020-01-24
XXXX
-16193.28
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F040628
5800000.00000000
PA
USD
6034945.36000000
1.537800187130
Long
ABS-MBS
USGSE
US
N
2
2050-02-15
Fixed
4.00000000
N
N
N
N
N
N
ARGENT LETRAS DEL TESORO
549300KPBYGYF7HCHO27
Argentina Treasury Bill
000000000
1170000.00000000
PA
22228.12000000
0.005664078969
Long
STIV
NUSS
AR
N
2
2020-06-22
None
0.00000000
N
N
N
N
N
N
Residential Asset Securities Corporation
N/A
RASC Series 2005-KS8 Trust
76110W3U8
600000.00000000
PA
USD
600681.84000000
0.153063298978
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
2.38000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375UZZ6
360897.15000000
PA
USD
365411.22000000
0.093112598205
Long
ABS-MBS
USGA
US
N
2
2067-04-20
Floating
3.63000000
N
N
N
N
N
N
Stanwich Mortgage Loan Trust
N/A
Stanwich Mortgage Loan Co 2019-NPL-B-1 LLC
85502HAA4
221843.83000000
PA
USD
221375.70000000
0.056410053874
Long
ABS-O
CORP
US
N
2
2024-08-15
Variable
3.38000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
1656.30000000
0.000422051617
N/A
DFE
BR
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
832848.14000000
USD
3356961.00000000
BRL
2020-01-03
1656.3
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
3175499U9 ITRAXX.O P 0.70 EU MAR20 0.7 PUT
000000000
-1200000.00000000
NC
-354.29000000
-0.00009027873
N/A
DCR
DE
N
1
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Put
Written
Intercontinental Exchange
5493000F4ZO33MV32P92
Intercontinental Exchange
5493000F4ZO33MV32P92
CDX Swap
N/A
1200000.00000000
OU
Notional Amount
N/A
-354.29000000
0.00000000
DCR
US
iTraxx Europe S32.V1
2I666VCV5
buy protection
2024-06-20
0.00000000
N/A
0.00000000
N/A
1200000.00000000
EUR
1.00000000
0.7
EUR
2020-03-18
XXXX
979.79
N
N
N
REALKREDIT DANMARK
549300NLOMBOWE943Y30
Realkredit Danmark A/S
000000000
33020.10000000
PA
5201.45000000
0.001325412295
Long
DBT
CORP
DK
Y
2
2047-07-01
Fixed
2.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128282L3
19482854.80000000
PA
USD
19873135.93000000
5.063991524196
Long
DBT
UST
US
N
2
2027-07-15
Fixed
0.38000000
N
N
N
N
N
N
EMC Corp
KDMDXRWU7UTJ30FC8R59
EMC Corp
268648AQ5
1100000.00000000
PA
USD
1100198.00000000
0.280347971581
Long
DBT
CORP
US
N
2
2020-06-01
Fixed
2.65000000
N
N
N
N
N
N
SLM Student Loan Trust
549300YK6GOQU7FJ5N55
SLM Student Loan Trust 2004-3
78442GLL8
500000.00000000
PA
USD
491241.75000000
0.125176221160
Long
ABS-O
CORP
US
N
2
2064-10-25
Floating
2.49000000
N
N
N
N
N
N
KEURIG DR PEPPER INC
DYTQ8KRTKO7Y2BVU5K74
Keurig Dr Pepper Inc
49271VAE0
1400000.00000000
PA
USD
1429902.95000000
0.364362043551
Long
DBT
CORP
US
N
2
2021-05-25
Fixed
3.55000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED TWD / SOLD USD
000000000
1.00000000
NC
10626.15000000
0.002707712246
N/A
DFE
TW
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
794000.00000000
USD
24033586.00000000
TWD
2020-03-18
10626.15
N
N
N
Credit Suisse Mortgage Trust
N/A
Credit Suisse Mortgage Capital Certificates 19-RPL4
22946AAC2
285009.33000000
PA
USD
287249.79000000
0.073195821082
Long
ABS-MBS
CORP
US
N
2
2058-08-26
Fixed
3.83000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU00MO45 IRS JPY R V 06MLIBOR SWUV0MO47 CCPVANILLA / Short: BWU00MO45 IRS JPY P F .30000 SWU00MO45 CCPVANILLA
000000000
50000000.00000000
OU
Notional Amount
-7977.65000000
-0.00203283226
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor Japan 6 Months
JPY0006M Index
Y
2028-03-20
0
JPY
-80405
JPY
50000000
JPY
-7251.78
N
N
N
Southern Power Co
5LADC78JBG2BMZD5XF57
Southern Power Co
843646AV2
300000.00000000
PA
USD
300073.15000000
0.076463417429
Long
DBT
CORP
US
N
2
2020-12-20
Floating
2.46000000
N
N
N
N
N
N
RELX Capital Inc
2R15C3RTKJN1RCBOV146
RELX Capital Inc
74949LAB8
100000.00000000
PA
USD
103839.50000000
0.026459958293
Long
DBT
CORP
US
N
2
2023-03-16
Fixed
3.50000000
N
N
N
N
N
N
Sempra Energy
PBBKGKLRK5S5C0Y4T545
Sempra Energy
816851BB4
100000.00000000
PA
USD
100031.58000000
0.025489639634
Long
DBT
CORP
US
N
2
2021-03-15
Floating
2.34000000
N
N
N
N
N
N
Washington Mutual Mortgage Pass-Through CTFS
N/A
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-5 Trust
93934NAQ8
48216.55000000
PA
USD
43309.33000000
0.011035907005
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Fixed
6.00000000
N
N
N
N
N
N
SLM Student Loan Trust
549300Y3YMECZJOAL893
SLM Student Loan Trust 2004-2
000000000
113310.18000000
PA
126699.89000000
0.032285149728
Long
ABS-O
CORP
US
N
2
2024-01-25
None
0.00000000
N
N
N
N
N
N
Jamestown CLO Ltd
549300UY2VE3PHVMFV71
Jamestown CLO VII Ltd
47048BAK6
1356678.18000000
PA
USD
1354211.74000000
0.345074717824
Long
ABS-CBDO
CORP
KY
N
2
2027-07-25
Floating
2.77000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RR1
5191175.60000000
PA
USD
5708559.72000000
1.454631928210
Long
DBT
UST
US
N
2
2046-02-15
Fixed
1.00000000
N
N
N
N
N
N
Cox Communications Inc
5493001NEDZNIFRP2R92
Cox Communications Inc
224044BW6
200000.00000000
PA
USD
205742.13000000
0.052426371266
Long
DBT
CORP
US
N
2
2022-12-15
Fixed
3.25000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU00INB9 IRS USD R V 03MLIBOR SWUV0INB1 CCPVANILLA / Short: BWU00INB9 IRS USD P F 1.75000 SWU00INB9 CCPVANILLA
000000000
50000.00000000
OU
Notional Amount
USD
147.11000000
0.000037485970
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2026-12-21
0
USD
-889.03
USD
50000
USD
1036.14
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810PZ5
6951532.00000000
PA
USD
8377694.33000000
2.134769934089
Long
DBT
UST
US
N
2
2029-01-15
Fixed
2.50000000
N
N
N
N
N
N
Securitized Asset Backed Receivables LLC Trust
N/A
Securitized Asset Backed Receivables LLC Trust 2006-HE1
81376YAD3
659757.76000000
PA
USD
341530.40000000
0.087027384955
Long
ABS-O
CORP
US
N
2
2036-07-25
Floating
1.95000000
N
N
N
N
N
N
Intesa Sanpaolo SpA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
46115HAD9
400000.00000000
PA
USD
417854.27000000
0.106475922525
Long
DBT
CORP
IT
N
2
2021-02-24
Fixed
6.50000000
N
N
N
N
N
N
OCP CLO Ltd
254900XV0U0WEM36A370
OCP CLO 2015-9 Ltd
67091YAJ3
251109.54000000
PA
USD
251119.33000000
0.063989204479
Long
ABS-CBDO
CORP
KY
N
2
2027-07-15
Floating
2.80000000
N
N
N
N
N
N
Credit Suisse International
E58DKGMJYYYJLN8C3868
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-1656.30000000
-0.00042205161
N/A
DFE
US
N
2
Credit Suisse International
E58DKGMJYYYJLN8C3868
3356961.00000000
BRL
832848.14000000
USD
2020-01-03
-1656.3
N
N
N
SOUTHERN CO GAS CAPITAL
E8CD46SWUD2TSN8PA636
Southern Co Gas Capital Corp
001192AJ2
1400000.00000000
PA
USD
1428916.47000000
0.364110672736
Long
DBT
CORP
US
N
2
2021-09-15
Fixed
3.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU0R0008 IRS EUR R F 1.62000 SWUVR0000 CCPINFLATIONZERO / Short: SWU0R0008 IRS EUR P V 12MCPTFE SWU0R0008 CCPINFLATIONZERO
000000000
850000.00000000
OU
Notional Amount
45425.62000000
0.011575171400
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
European Union Consumer Price Index (cpi)
CPTFEMU Index
Y
2028-05-15
38.38
EUR
0
EUR
850000
EUR
45379.89
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU02Y712 IRS USD R F 2.36000 INFLATIONZERO CCP LCH / Short: SWU02Y712 IRS USD P V 12MCPI CPURNSA/INFLATIONZERO CCP LCH
000000000
770000.00000000
OU
Notional Amount
USD
35681.11000000
0.009092115066
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
US CPI Urban Consumers NSA
CPURNSA Index
Y
2028-05-09
0
USD
0
USD
770000
USD
35681.11
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR ULTRA FUT MAR20 XCBT 20200320
000000000
-26.00000000
NC
USD
43643.26000000
0.011120997687
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
US 10 Year Ultra Bond
UXYH0 Comdty
2020-03-20
-3701924.51
USD
43643.26
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-99573.20000000
-0.02537283711
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
3863000.00000000
NZD
2501130.25000000
USD
2020-01-10
-99573.2
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BOBL FUTURE MAR20 XEUR 20200306
000000000
-76.00000000
NC
32739.10000000
0.008342444065
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Euro-Bobl (FGBM)
OEH0 Comdty
2020-03-06
-10185067.04
EUR
32739.1
N
N
N
Danone SA
969500KMUQ2B6CBAF162
Danone SA
23636TAA8
200000.00000000
PA
USD
204498.02000000
0.052109352225
Long
DBT
CORP
FR
N
2
2022-06-15
Fixed
3.00000000
N
N
N
N
N
N
BANCO BILBAO VIZCAYA ARG
K8MS7FD7N5Z2WQ51AZ71
Banco Bilbao Vizcaya Argentaria SA
000000000
400000.00000000
PA
489622.03000000
0.124763490709
Long
DBT
CORP
ES
Y
2
2023-09-24
Variable
5.88000000
N
N
N
N
N
N
ING Bank NV
3TK20IVIUJ8J3ZU0QE75
ING Bank NV
44986L2A6
400000.00000000
PA
USD
408115.20000000
0.103994252390
Long
DBT
CORP
NL
N
2
2022-12-05
Fixed
2.63000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810PS1
5078559.60000000
PA
USD
5861888.82000000
1.493702624730
Long
DBT
UST
US
N
2
2027-01-15
Fixed
2.38000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU00NBN5 IRS USD R V 03MLIBOR SWUV0NBN7 CCPVANILLA / Short: BWU00NBN5 IRS USD P F 2.25000 SWU00NBN5 CCPVANILLA
000000000
3700000.00000000
OU
Notional Amount
USD
-118147.92000000
-0.03010597157
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor USD 3 Months
US0003M Index
Y
2028-06-20
168825.82
USD
0
USD
3700000
USD
-286973.74
N
N
N
MORGAN STANLEY CCP MORGAN STANLEY CCP CCMSCZUS2
N/A
MORGAN STANLEY CCP MORGAN STANLEY CCP CCMSCZUS2
000000000
614000.00000000
NS
USD
614000.00000000
0.156456978244
Long
STIV
CORP
US
N
1
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RF7
16452109.90000000
PA
USD
19400837.19000000
4.943642283660
Long
DBT
UST
US
N
2
2044-02-15
Fixed
1.38000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
317U932T2 IRO USD 1Y C 1.50 MAR20 1.5 CALL
000000000
47060000.00000000
NC
USD
4347.87000000
0.001107906517
N/A
DIR
US
N
1
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Call
Purchased
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Bank of America, National Association
B4TYDEB6GKMZO031MB27
IRS Swap
N/A
47060000.00000000
OU
Notional Amount
N/A
4347.87000000
0.00000000
DIR
US
ICE Libor USD 3 Months
US0003M Index
2021-03-10
0.00000000
N/A
0.00000000
N/A
47060000.00000000
USD
1.00000000
1.5
USD
2020-03-10
XXXX
-62481.77
N
N
N
AUSTRALIAN GOVERNMENT
213800J6B7JSBDETCB42
Australia Government Bond
000000000
980000.00000000
PA
821977.55000000
0.209452970127
Long
DBT
NUSS
AU
Y
2
2022-02-21
Fixed
1.25000000
N
N
N
N
N
N
BMW US Capital LLC
KK5MZM9DIXLXZL9DZL15
BMW US Capital LLC
05565EBC8
600000.00000000
PA
USD
613672.57000000
0.156373543866
Long
DBT
CORP
US
N
2
2021-08-13
Fixed
3.40000000
N
N
N
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137F4BX9
386524.13000000
PA
USD
384204.10000000
0.097901323314
Long
ABS-MBS
USGSE
US
N
2
2044-07-15
Floating
2.13000000
N
N
N
N
N
N
JAPAN GOVT CPI LINKED
353800WZS8AXZXFUC241
Japanese Government CPI Linked Bond
000000000
209407410.00000000
PA
1981232.50000000
0.504849593078
Long
DBT
NUSS
JP
N
2
2028-03-10
Fixed
0.10000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810FR4
40720278.60000000
PA
USD
45382188.97000000
11.56410448270
Long
DBT
UST
US
N
2
2025-01-15
Fixed
2.38000000
N
N
N
N
N
N
DISH DBS Corp
N/A
DISH DBS Corp
25470XAQ8
300000.00000000
PA
USD
301875.00000000
0.076922557504
Long
DBT
CORP
US
N
2
2020-05-01
Fixed
5.13000000
N
N
N
N
N
N
PENSKE TRUCK LEASING/PTL
N/A
Penske Truck Leasing Co Lp / PTL Finance Corp
709599BD5
200000.00000000
PA
USD
204617.57000000
0.052139815469
Long
DBT
CORP
US
N
2
2021-07-29
Fixed
3.65000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
317546489 ITRAXX.O C 0.45 EU MAR20 0.45 CALL
000000000
-400000.00000000
NC
-612.15000000
-0.00015598556
N/A
DCR
DE
N
1
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Call
Written
Intercontinental Exchange
5493000F4ZO33MV32P92
Intercontinental Exchange
5493000F4ZO33MV32P92
CDX Swap
N/A
400000.00000000
OU
Notional Amount
N/A
-612.15000000
0.00000000
DCR
US
iTraxx Europe S32.V1
2I666VCV5
buy protection
2024-06-20
0.00000000
N/A
0.00000000
N/A
400000.00000000
EUR
1.00000000
0.45
EUR
2020-03-18
XXXX
-301.32
N
N
N
Halcyon Loan Advisors Funding Ltd
549300SL5F4XH94OUB49
Halcyon Loan Advisors Funding 2015-1 Ltd
40538HAN9
216029.88000000
PA
USD
216037.87000000
0.055049889782
Long
ABS-CBDO
CORP
KY
N
2
2027-04-20
Floating
2.89000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUXL 30Y BND MAR20 XEUR 20200306
000000000
-29.00000000
NC
165217.61000000
0.042100078197
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Euro-Buxl (FGBX)
UBH0 Comdty
2020-03-06
-5900312.16
EUR
165217.61
N
N
N
Wind River CLO Ltd
54930043UF2EELTNOD60
THL Credit Wind River 2012-1 CLO Ltd
87244ABL3
287110.88000000
PA
USD
287143.61000000
0.073168764727
Long
ABS-CBDO
CORP
KY
N
2
2026-01-15
Variable
2.88000000
N
N
N
N
N
N
AERCAP IRELAND CAP/GLOBA
N/A
AerCap Ireland Capital DAC / AerCap Global Aviation Trust
00772BAQ4
100000.00000000
PA
USD
102000.55000000
0.025991364547
Long
DBT
CORP
IE
N
2
2020-10-30
Fixed
4.63000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: SWU00D991 IRS USD R F 2.25000 CCP CME / Short: SWU00D991 IRS USD P V 03MLIBOR CCP CME
000000000
4800000.00000000
OU
Notional Amount
USD
78377.71000000
0.019971888710
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
ICE Libor USD 3 Months
US0003M Index
Y
2022-12-16
5492.09
USD
0
USD
4800000
USD
72885.62
N
N
N
FLORIDA GAS TRANSMISSION
549300Q0UQF87NXNOC32
Florida Gas Transmission Co LLC
340711AT7
700000.00000000
PA
USD
711768.24000000
0.181369882803
Long
DBT
CORP
US
N
2
2020-07-15
Fixed
5.45000000
N
N
N
N
N
N
Credit Suisse International
E58DKGMJYYYJLN8C3868
PURCHASED KRW / SOLD USD
000000000
1.00000000
NC
8921.28000000
0.002273284219
N/A
DFE
KR
N
2
Credit Suisse International
E58DKGMJYYYJLN8C3868
324000.00000000
USD
384296400.00000000
KRW
2020-03-18
8921.28
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2019-RPL9 Trust
12654WAC7
995330.47000000
PA
USD
994120.15000000
0.253317646060
Long
ABS-MBS
CORP
US
N
2
2059-10-27
Variable
3.32000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust Inc
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust Inc
17307GGX0
260153.82000000
PA
USD
263607.23000000
0.067171320275
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Fixed
5.50000000
N
N
N
N
N
N
Marathon CLO LTD
635400LRBGQZIPTCBI09
Marathon CLO V Ltd
56576QAN8
1660000.00000000
PA
USD
1650064.90000000
0.420462814595
Long
ABS-CBDO
CORP
KY
N
2
2027-11-21
Floating
2.76000000
N
N
N
N
N
N
Republic of Argentina
549300KPBYGYF7HCHO27
Argentina Bonar Bonds
000000000
2854000.00000000
PA
33606.31000000
0.008563422984
Long
DBT
NUSS
AR
N
2
2022-04-03
Floating
42.84000000
N
N
N
N
N
N
NORDEA KREDIT REALKREDIT
52990080NNXXLC14OC65
Nordea Kredit Realkreditaktieselskab
000000000
7821.02000000
PA
1235.33000000
0.000314781757
Long
DBT
CORP
DK
N
2
2047-10-01
Fixed
2.50000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F032617
3600000.00000000
PA
USD
3703359.35000000
0.943674940155
Long
ABS-MBS
USGSE
US
N
2
2050-01-15
Fixed
3.50000000
N
N
N
N
N
N
Credit Suisse International
E58DKGMJYYYJLN8C3868
PURCHASED TWD / SOLD USD
000000000
1.00000000
NC
9818.02000000
0.002501787852
N/A
DFE
TW
N
2
Credit Suisse International
E58DKGMJYYYJLN8C3868
791000.00000000
USD
23919840.00000000
TWD
2020-03-18
9818.02
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RL4
1650082.70000000
PA
USD
1711154.13000000
0.436029323275
Long
DBT
UST
US
N
2
2045-02-15
Fixed
0.75000000
N
N
N
N
N
N
Duke Energy Corp
I1BZKREC126H0VB1BL91
Duke Energy Corp
26441CBA2
700000.00000000
PA
USD
702565.40000000
0.179024852611
Long
DBT
CORP
US
N
2
2021-05-14
Floating
2.41000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU074A19 IRS EUR R V 12MHICP CPTFEMU INFLATIONZERO CCP / Short: BWU074A19 IRS EUR P F 1.71000 INFLATIONZERO CCP LCH
000000000
200000.00000000
OU
Notional Amount
-16871.98000000
-0.00429924919
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Harmonised Index of Consumer Prices
HICP Index
Y
2033-03-15
0
EUR
-276.25
EUR
200000
EUR
-16528.38
N
N
N
Telstra Corp Ltd
PCTXNQGRJVR3OG33JG65
Telstra Corp Ltd
87969NAC9
300000.00000000
PA
USD
314240.34000000
0.080073443060
Long
DBT
CORP
AU
N
2
2021-10-12
Fixed
4.80000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385HJE3
249281.23000000
PA
USD
258206.29000000
0.065795074751
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Floating
4.19000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU0B3678 IRS GBP R F 3.53000 INFLATIONZERO / Short: SWU0B3678 IRS GBP P V 12MUKRPI INFLATIONZERO UKPRI CCP LCH
000000000
2690000.00000000
OU
Notional Amount
127404.76000000
0.032464761829
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
UK Retail Price Index
UKRPI Index
Y
2031-10-15
0
GBP
-2796.88
GBP
2690000
GBP
130242.07
N
N
N
First Franklin Mtg Loan Asset Backed Certificates
N/A
First Franklin Mortgage Loan Trust 2006-FF17
32028KAB2
591235.77000000
PA
USD
507793.54000000
0.129393880847
Long
ABS-O
CORP
US
N
2
2036-12-25
Floating
1.91000000
N
N
N
N
N
N
CHARTER COMM OPT LLC/CAP
N/A
Charter Communications Operating LLC / Charter Communications Operating Capital
161175BB9
600000.00000000
PA
USD
630701.49000000
0.160712783876
Long
DBT
CORP
US
N
2
2022-07-23
Fixed
4.46000000
N
N
N
N
N
N
New Residential Mortgage Loan Trust
N/A
New Residential Mortgage Loan Trust 2019-RPL3
64830NAA9
389773.35000000
PA
USD
389912.23000000
0.099355845743
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Variable
2.75000000
N
N
N
N
N
N
NEW ZEALAND GVT ILB
549300237GPHG2AI7C34
New Zealand Government Inflation Linked Bond
000000000
800000.00000000
PA
717038.62000000
0.182712859560
Long
DBT
NUSS
NZ
Y
2
2035-09-20
Fixed
2.50000000
N
N
N
N
N
N
PANASONIC CORP
254900GE1G59KGWPHX32
Panasonic Corp
69832AAA4
800000.00000000
PA
USD
806952.60000000
0.205624373587
Long
DBT
CORP
JP
N
2
2022-07-19
Fixed
2.54000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
155704.46000000
0.039675976076
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
13706000.00000000
BRL
3562868.80000000
USD
2020-01-03
155704.46
N
N
N
Citigroup Mortgage Loan Trust Inc
N/A
Citigroup Mortgage Loan Trust 2007-AR4
17311WAA5
410758.03000000
PA
USD
404380.40000000
0.103042565872
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Variable
4.54000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BWU00VSX7 IRS USD R V 03MLIBOR SWUV0VSX9 CCPVANILLA / Short: BWU00VSX7 IRS USD P F 1.62500 SWU00VSX7 CCPVANILLA
000000000
1400000.00000000
OU
Notional Amount
USD
155877.54000000
0.039720079616
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
ICE Libor USD 3 Months
US0003M Index
Y
2050-02-03
13848.58
USD
0
USD
1400000
USD
142028.96
N
N
N
Catamaran CLO Ltd
549300MB476AHX5W1918
Catamaran CLO 2013-1 Ltd
14889EAL0
1180000.00000000
PA
USD
1174489.40000000
0.299278603427
Long
ABS-CBDO
CORP
KY
N
2
2028-01-27
Floating
2.79000000
N
N
N
N
N
N
JP MORGAN JPM CASH COLL BROKER
N/A
JP MORGAN JPM CASH COLL BROKER
000000000
-360000.00000000
NS
USD
-360000.00000000
-0.09173373317
Short
STIV
CORP
US
N
2
N
N
N
Atrium CDO Corp
549300O252OCTN35RH57
Atrium XII
04965CAJ7
300000.00000000
PA
USD
299442.60000000
0.076302743247
Long
ABS-CBDO
CORP
KY
N
2
2027-04-22
Floating
2.78000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BWPC0ILG0 CDS USD R V 03MEVENT 2 CCPCDX / Short: BWPC0ILG0 CDS USD P F 5.00000 1 CCPCDX
000000000
13365000.00000000
OU
Notional Amount
USD
-1287882.27000000
-0.32817291253
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Markit CDX.NA.HY.S33.V1
2I65BRSB7
Y
buy protection
2024-12-20
0
USD
-780279.89
USD
13365000
USD
-507602.38
N
N
N
Danone SA
969500KMUQ2B6CBAF162
Danone SA
23636TAC4
200000.00000000
PA
USD
200208.38000000
0.051016283638
Long
DBT
CORP
FR
N
2
2021-11-02
Fixed
2.08000000
N
N
N
N
N
N
Textron Inc
3PPKBHUG1HD6BO7RNR87
Textron Inc
883203BZ3
580000.00000000
PA
USD
580022.77000000
0.147799038937
Long
DBT
CORP
US
N
2
2020-11-10
Floating
2.45000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU00MME5 IRS USD R V 12MFEDL SWUV0MME7 CCPOIS / Short: BWU00MME5 IRS USD P F 2.00000 SWU00MME5 CCPOIS
000000000
1170000.00000000
OU
Notional Amount
USD
-36576.07000000
-0.00932016512
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
US Federal Funds Effective Rate
FEDL01 Index
Y
2047-12-15
2103.04
USD
0
USD
1170000
USD
-38679.11
N
N
N
Venture XXI CLO
5493001C8B2BF8JNTO68
Venture XXI CLO Ltd
92330MAL3
383789.26000000
PA
USD
383787.72000000
0.097795223059
Long
ABS-CBDO
CORP
KY
N
2
2027-07-15
Floating
2.88000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU0C8452 IRS USD R V 12MCPI INFLATIONZERO CCP LCH / Short: BWU0C8452 IRS USD P F 2.02125 CPURNSA/INFLATIONZERO CCP LCH
000000000
1300000.00000000
OU
Notional Amount
USD
1558.69000000
0.000397179034
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
US CPI Urban Consumers NSA
CPURNSA Index
Y
2020-11-25
0
USD
0
USD
1300000
USD
1558.69
N
N
N
CVS Health Corp
549300EJG376EN5NQE29
CVS Health Corp
126650CV0
200000.00000000
PA
USD
208467.20000000
0.053120762500
Long
DBT
CORP
US
N
2
2023-03-09
Fixed
3.70000000
N
N
N
N
N
N
CIFC Funding Ltd
549300RWVPXQ5M3BFY62
CIFC Funding 2015-II Ltd
12550LAJ1
1278307.81000000
PA
USD
1278335.93000000
0.325740353077
Long
ABS-CBDO
CORP
KY
N
2
2027-04-15
Floating
2.78000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Long: SWU00OF33 IRS ILS R F 1.99750 FIX VANILLA / Short: SWU00OF33 IRS ILS P V 03MTELBO FLO VANILLA
000000000
540000.00000000
OU
Notional Amount
16266.35000000
0.004144925029
N/A
DIR
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Tel Aviv Inter-Bank Offered Rate 3 Month
TELBOR03 Index
Y
2028-06-20
0
ILS
0
ILS
540000
ILS
16266.35
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
RXH0C172 MAR20 172 CALL FSO
000000000
-23.00000000
NC
-14447.50000000
-0.00368145308
N/A
DIR
DE
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Call
Written
Euro-Bund (FGBL)
RXH0 Comdty
100000.00000000
172
EUR
2020-02-21
XXXX
17521.2
N
N
N
Conagra Brands Inc
54930035UDEIH090K650
Conagra Brands Inc
205887BJ0
200000.00000000
PA
USD
204862.75000000
0.052202291237
Long
DBT
CORP
US
N
2
2022-09-15
Fixed
3.25000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-8886.88000000
-0.00226451855
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
3356961.00000000
BRL
825617.56000000
USD
2020-01-03
-8886.88
N
N
N
Argent Letras DEL Tesoro
549300KPBYGYF7HCHO27
Argentina Treasury Bill
000000000
6264500.00000000
PA
94168.71000000
0.023995686989
Long
STIV
NUSS
AR
N
2
2019-11-15
None
0.00000000
N
N
N
N
N
N
SOFI PROFESSIONAL LOAN PROGRAM 2017-F LLC
N/A
SOFI PROFESSIONAL LOAN PROGRAM 2017-F LLC
83401BAA4
116938.35000000
PA
USD
116854.41000000
0.029776364630
Long
ABS-O
CORP
US
N
2
2041-01-25
Fixed
2.05000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
104513.74000000
0.026631765383
N/A
DFE
BR
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
3302650.60000000
USD
13706000.00000000
BRL
2020-01-03
104513.74
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828TE0
4276779.78000000
PA
USD
4294640.38000000
1.094342763034
Long
DBT
UST
US
N
2
2022-07-15
Fixed
0.13000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust 2005-AR14
45660LRU5
1141359.16000000
PA
USD
1029768.36000000
0.262401377683
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Floating
2.07000000
N
N
N
N
N
N
NISSAN MOTOR ACCEPTANCE
7D6DIU2QXTUJRFNNJA49
Nissan Motor Acceptance Corp
654740AS8
100000.00000000
PA
USD
99249.60000000
0.025290378677
Long
DBT
CORP
US
N
2
2021-09-14
Fixed
1.90000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F030629
14300000.00000000
PA
USD
14489758.57000000
3.692221239999
Long
ABS-MBS
USGSE
US
N
2
2050-02-15
Fixed
3.00000000
N
N
N
N
N
N
BONOS DE TESORERIA
254900STKLK2DBJJZ530
Peru Government Bond
000000000
1300000.00000000
PA
442658.15000000
0.112796346163
Long
DBT
NUSS
PE
Y
2
2029-02-12
Fixed
5.94000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD MXN
000000000
1.00000000
NC
-8886.93000000
-0.00226453129
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
2979219.24000000
MXN
148245.68000000
USD
2020-01-22
-8886.93
N
N
N
NORDEA KREDIT REALKREDIT
52990080NNXXLC14OC65
Nordea Kredit Realkreditaktieselskab
000000000
11785832.40000000
PA
1738192.89000000
0.442919229928
Long
DBT
CORP
DK
Y
2
2050-10-01
Fixed
1.00000000
N
N
N
N
N
N
Symphony CLO Ltd
54930085JMJSZBQ6N270
Symphony CLO XIV Ltd
87159QBV9
300000.00000000
PA
USD
300010.50000000
0.076447453211
Long
ABS-CBDO
CORP
KY
N
2
2026-07-14
Floating
2.95000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F032625
9200000.00000000
PA
USD
9459652.34000000
2.410470065738
Long
ABS-MBS
USGSE
US
N
2
2050-02-15
Fixed
3.50000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BWU00WD03 IRS USD R V 03MLIBOR SWUV0WD05 CCPVANILLA / Short: BWU00WD03 IRS USD P F 2.00000 SWU00WD03 CCPVANILLA
000000000
100000.00000000
OU
Notional Amount
USD
2502.86000000
0.000637768587
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
ICE Libor USD 3 Months
US0003M Index
Y
2050-01-15
0
USD
-712.99
USD
100000
USD
3215.85
N
N
N
Toyota Tsusho Corp
549300CEE2ENIUJNXB84
Toyota Tsusho Corp
000000000
200000.00000000
PA
USD
208603.39000000
0.053155465881
Long
DBT
CORP
JP
Y
2
2023-09-13
Fixed
3.63000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BWU00V603 IRS USD R V 03MLIBOR SWUV0V605 CCPVANILLA / Short: BWU00V603 IRS USD P F 2.25000 SWU00V603 CCPVANILLA
000000000
500000.00000000
OU
Notional Amount
USD
-16119.58000000
-0.00410752569
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
ICE Libor USD 3 Months
US0003M Index
Y
2050-03-12
0
USD
-1228.45
USD
500000
USD
-14891.13
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128287D6
10914991.50000000
PA
USD
11020908.94000000
2.808303111179
Long
DBT
UST
US
N
2
2029-07-15
Fixed
0.25000000
N
N
N
N
N
N
JAPAN GOVT CPI LINKED
353800WZS8AXZXFUC241
Japanese Government CPI Linked Bond
000000000
264220320.00000000
PA
2499825.03000000
0.636995228558
Long
DBT
NUSS
JP
N
2
2029-03-10
Fixed
0.10000000
N
N
N
N
N
N
KEURIG DR PEPPER INC
DYTQ8KRTKO7Y2BVU5K74
Keurig Dr Pepper Inc
49271VAG5
100000.00000000
PA
USD
105470.16000000
0.026875476430
Long
DBT
CORP
US
N
2
2023-05-25
Fixed
4.06000000
N
N
N
N
N
N
Z Capital Credit Partners CLO
549300BNZ44C797ZPY53
Z Capital Credit Partners CLO 2015-1 Ltd
98877EAG8
570000.00000000
PA
USD
568726.05000000
0.144920454775
Long
ABS-CBDO
CORP
KY
N
2
2027-07-16
Floating
2.95000000
N
N
N
N
N
N
Eurosail PLC
213800YCKG3TNT5E1296
Eurosail-UK 2007-3bl PLC
29880YAJ8
48951.52000000
PA
64236.92000000
0.016368590219
Long
ABS-MBS
CORP
GB
N
2
2045-06-13
Floating
1.73000000
N
N
N
N
N
N
CVS Health Corp
549300EJG376EN5NQE29
CVS Health Corp
126650CT5
800000.00000000
PA
USD
801382.70000000
0.204205074364
Long
DBT
CORP
US
N
2
2021-06-01
Fixed
2.13000000
N
N
N
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: SWPC0GNL1 CDS EUR R F 1.00000 1 CCPCORPORATE / Short: SWPC0GNL1 CDS EUR P V 03MEVENT 2 CCPCORPORATE
000000000
150000.00000000
OU
Notional Amount
1440.69000000
0.000367110755
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Daimler AG
Daimler AG
Y
sell protection
2020-12-20
703.67
EUR
0
EUR
150000
EUR
467.5
N
N
N
Springcastle SPV
N/A
SpringCastle Funding Asset-Backed Notes 2019-A
85022WAL8
845107.38000000
PA
USD
848246.11000000
0.216146617554
Long
ABS-O
CORP
US
N
2
2036-05-27
Fixed
3.20000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-73809.43000000
-0.01880781821
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
3222000.00000000
AUD
2187647.78000000
USD
2020-01-10
-73809.43
N
N
N
PARK AEROSPACE HOLDINGS
635400CPI3EOIFF6OC33
Park Aerospace Holdings Ltd
70014LAA8
400000.00000000
PA
USD
426160.00000000
0.108592354802
Long
DBT
CORP
KY
N
2
2022-08-15
Fixed
5.25000000
N
N
N
N
N
N
Residential Asset Securitization Trust
N/A
Residential Asset Securitization Trust 2006-A10
76113LAE7
263955.27000000
PA
USD
176505.70000000
0.044976463298
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Fixed
6.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU0Y5728 IRS USD R F 2.15500 INFLATIONZERO CCP LCH / Short: SWU0Y5728 IRS USD P V 12MCPI CPURNSA/INFLATIONZERO CCP LCH
000000000
1200000.00000000
OU
Notional Amount
USD
19979.60000000
0.005091120264
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
US CPI Urban Consumers NSA
CPURNSA Index
Y
2027-10-17
0
USD
0
USD
1200000
USD
19979.6
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD DKK
000000000
1.00000000
NC
-104516.62000000
-0.02663249925
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
58209889.93000000
DKK
8633279.93000000
USD
2020-01-02
-104516.62
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
-35083.10000000
-0.00893973259
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
599700000.00000000
JPY
5485203.12000000
USD
2020-01-10
-35083.1
N
N
N
Towd Point Mortgage Funding
635400655NWVVZHH1395
Towd Point Mortgage Funding 2019 - Granite4 PLC
000000000
1244498.08000000
PA
1654196.92000000
0.421515719096
Long
ABS-MBS
CORP
GB
N
2
2051-10-20
Variable
1.82000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381RCM9
1521607.80000000
PA
USD
1518575.08000000
0.386957114421
Long
ABS-MBS
USGA
US
N
2
2049-02-20
Floating
2.16000000
N
N
N
N
N
N
LETRA TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Letras do Tesouro Nacional
000000000
13706000.00000000
PA
3337569.47000000
0.850465853352
Long
DBT
NUSS
BR
N
2
2020-07-01
None
0.00000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)MAR20 XCBT 20200320
000000000
-197.00000000
NC
USD
153173.72000000
0.039031103221
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
10 Year US Treasury Note
TYH0 Comdty
2020-03-20
-25452283.1
USD
153173.72
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long: BWU00X369 IRS USD R V 03MLIBOR SWUV0X361 CCPVANILLA / Short: BWU00X369 IRS USD P F 1.87500 SWU00X369 CCPVANILLA
000000000
500000.00000000
OU
Notional Amount
USD
26919.05000000
0.006859402638
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
ICE Libor USD 3 Months
US0003M Index
Y
2050-02-07
896.29
USD
0
USD
500000
USD
26022.76
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU00LCF5 IRS JPY R V 06MLIBOR SWUV0LCF5 CCPVANILLA / Short: BWU00LCF5 IRS JPY P F .30000 SWU00LCF5 CCPVANILLA
000000000
14000000.00000000
OU
Notional Amount
-2228.11000000
-0.00056775791
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor Japan 6 Months
JPY0006M Index
Y
2027-09-20
0
JPY
-22473
JPY
14000000
JPY
-2032.04
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828H45
9205406.12000000
PA
USD
9287182.90000000
2.366522105767
Long
DBT
UST
US
N
2
2025-01-15
Fixed
0.25000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RDV1
800000.00000000
PA
USD
807614.55000000
0.205793048989
Long
DBT
CORP
US
N
2
2021-07-15
Floating
2.95000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU09TW18 IRS EUR R F 1.38500 INFLATIONZERO CCP LCH / Short: SWU09TW18 IRS EUR P V 12MHICP CPTFEMU/INFLATIONZERO CCP LCH
000000000
560000.00000000
OU
Notional Amount
12741.01000000
0.003246612254
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Harmonised Index of Consumer Prices
HICP Index
Y
2026-12-15
0
EUR
-1326.81
EUR
560000
EUR
14110.89
N
N
N
GreenPoint Mortgage Funding Trust
N/A
GreenPoint Mortgage Funding Trust Series 2006-AR4
39539FAK0
109252.32000000
PA
USD
104493.13000000
0.026626513627
Long
ABS-MBS
CORP
US
N
2
2046-09-25
Floating
1.97000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523AF7
200000.00000000
PA
USD
209759.13000000
0.053449966838
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
3.75000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU086584 IRS EUR R V 01MFRCPX SWU086584 CCPINFLATIONZERO / Short: BWU086584 IRS EUR P F 1.03000 SWUV86586 CCPINFLATIONZERO
000000000
2800000.00000000
OU
Notional Amount
-10285.93000000
-0.00262101877
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
France CPI Ex Tobacco
FRCPXTOB Index
Y
2024-03-15
0
EUR
-829.64
EUR
2800000
EUR
-9342.9
N
N
N
Home Equity Asset Trust
N/A
Home Equity Asset Trust 2005-8
437084QA7
300000.00000000
PA
USD
292504.47000000
0.074534797230
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
2.24000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RFU1
300000.00000000
PA
USD
361966.72000000
0.092234884749
Long
DBT
CORP
US
N
2
2050-02-15
Fixed
5.15000000
N
N
N
N
N
N
State of Qatar
52990074F6OJOAXK4P65
Qatar Government International Bond
000000000
300000.00000000
PA
USD
316698.60000000
0.080699846857
Long
DBT
NUSS
QA
Y
2
2023-04-23
Fixed
3.88000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: BWU080207 IRS USD R V 12MCPI CPURNSA/INFLATIONZERO CCP LCH / Short: BWU080207 IRS USD P F 2.26250 INFLATIONZERO CCP LCH
000000000
510000.00000000
OU
Notional Amount
USD
-11521.43000000
-0.00293584384
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
US CPI Urban Consumers NSA
CPURNSA Index
Y
2023-05-09
0
USD
0
USD
510000
USD
-11521.43
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128284H0
10193944.80000000
PA
USD
10351707.31000000
2.637779878497
Long
DBT
UST
US
N
2
2023-04-15
Fixed
0.63000000
N
N
N
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
OEH0C139 MAR20 139 CALL FSO
000000000
21.00000000
NC
117.78000000
0.000030012219
N/A
DIR
DE
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Call
Purchased
Euro-Bobl (FGBM)
OEH0 Comdty
100000.00000000
139
EUR
2020-02-21
XXXX
-12.01
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-105660.90000000
-0.02692408002
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
5978000.00000000
EUR
6602790.67000000
USD
2020-01-10
-105660.9
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810QV3
3906118.30000000
PA
USD
4056811.46000000
1.033740166678
Long
DBT
UST
US
N
2
2042-02-15
Fixed
0.75000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) MAR20 XCBT 20200331
000000000
-7.00000000
NC
USD
2124.09000000
0.000541251959
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
2 Year US Treasury Note
TUH0 Comdty
2020-03-31
-1510624.09
USD
2124.09
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU080215 IRS USD R F 2.35250 INFLATIONZERO CCP LCH / Short: SWU080215 IRS USD P V 12MCPI CPURNSA/INFLATIONZERO CCP LCH
000000000
510000.00000000
OU
Notional Amount
USD
23221.22000000
0.005917136665
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
US CPI Urban Consumers NSA
CPURNSA Index
Y
2028-05-09
0
USD
0
USD
510000
USD
23221.22
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
-1363.00000000
-0.00034731410
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
58000.00000000
GBP
75479.45000000
USD
2020-01-10
-1363
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810QF8
3857414.40000000
PA
USD
5041610.07000000
1.284682535897
Long
DBT
UST
US
N
2
2040-02-15
Fixed
2.13000000
N
N
N
N
N
N
Broadcom Inc
549300WV6GIDOZJTV909
Broadcom Inc
11135FAA9
400000.00000000
PA
USD
404856.15000000
0.103163794548
Long
DBT
CORP
US
N
2
2021-04-15
Fixed
3.13000000
N
N
N
N
N
N
Black Diamond CLO Ltd
635400M6BTF6EBHINU93
Black Diamond CLO 2015-1 Designated Activity Co
000000000
260000.00000000
PA
290667.03000000
0.074066588256
Long
ABS-CBDO
CORP
IE
N
2
2029-10-03
Floating
0.65000000
N
N
N
N
N
N
Credit-Based Asset Servicing and Securitization
N/A
Credit-Based Asset Servicing & Securitization LLC
1248RHAC1
1165938.40000000
PA
USD
776182.45000000
0.197783649338
Long
ABS-O
CORP
US
N
2
2037-07-25
Floating
2.01000000
N
N
N
N
N
N
GENERALITAT DE CATALUNYA
95980020140005848404
Autonomous Community of Catalonia
000000000
500000.00000000
PA
563631.80000000
0.143622358747
Long
DBT
NUSS
ES
N
2
2020-02-11
Fixed
4.95000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR FUT OPTN Feb20C 129.5
000000000
-48.00000000
NC
USD
-6750.00000000
-0.00172000749
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Call
Written
Chicago Board Of Trade
549300EX04Q2QBFQTQ27
Chicago Board Of Trade
549300EX04Q2QBFQTQ27
10 Year US Treasury Note Future
N/A
48000.00000000
NC
N/A
-6750.00000000
0.00000000
DIR
US
Short
10 Year US Treasury Note
TYH0 Comdty
2020-03-20
48000.00000000
USD
1000.00000000
129.5
USD
2020-01-24
XXXX
35556.72
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810FQ6
474061.71000000
PA
USD
650836.95000000
0.165843619750
Long
DBT
UST
US
N
2
2032-04-15
Fixed
3.38000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810SB5
2617123.08000000
PA
USD
2895770.01000000
0.737888315075
Long
DBT
UST
US
N
2
2048-02-15
Fixed
1.00000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BTP FUTURE MAR20 XEUR 20200306
000000000
3.00000000
NC
-5488.34000000
-0.00139851643
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
Long-Term Euro-BTP (FBTP)
IKH0 Comdty
2020-03-06
432272.88
EUR
-5488.34
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828SA9
10266477.90000000
PA
USD
10260981.95000000
2.614661611924
Long
DBT
UST
US
N
2
2022-01-15
Fixed
0.13000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2007-1T1
23246KAA9
794515.86000000
PA
USD
545170.48000000
0.138918120405
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Fixed
6.00000000
N
N
N
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
060505FL3
190000.00000000
PA
USD
210672.00000000
0.053682580652
Long
DBT
CORP
US
N
2
2028-03-15
Variable
5.88000000
N
N
N
N
N
N
Washington Mutual Mortgage Pass-Through CTFS
N/A
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-HY1 Trust
93936AAB7
723595.75000000
PA
USD
626986.02000000
0.159766022949
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
1.95000000
N
N
N
N
N
N
MASTR Asset Backed Securities Trust
N/A
Mastr Asset Backed Securities Trust 2006-WMC4
57645MAE2
132350.03000000
PA
USD
60703.47000000
0.015468210887
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
1.94000000
N
N
N
N
N
N
NYKREDIT REALKREDIT AS
LIU16F6VZJSD6UKHD557
Nykredit Realkredit A/S
000000000
28887116.35000000
PA
4261357.54000000
1.085861765357
Long
DBT
CORP
DK
Y
2
2050-10-01
Fixed
1.00000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-20800.92000000
-0.00530040568
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
1179000.00000000
CAD
887187.72000000
USD
2020-01-10
-20800.92
N
N
N
VOLKSWAGEN GROUP AMERICA
5493002SQ1AVQBY41K40
Volkswagen Group of America Finance LLC
928668AP7
600000.00000000
PA
USD
620570.21000000
0.158131172386
Long
DBT
CORP
US
N
2
2021-11-12
Fixed
4.00000000
N
N
N
N
N
N
SG Americas Securities, LLC
549300F35UE0BOM1WJ55
REPO SOCIETE GENERALE REPO
000000000
14400000.00000000
PA
USD
14400000.00000000
3.669349326914
Long
RA
CORP
US
N
2
Repurchase
N
1.55000000
2020-01-02
14131000.00000000
USD
14550535.26000000
USD
UST
N
N
N
SILVERSTONE MASTER ISSUER
549300P6OXWKM20QS303
Silverstone Master Issuer PLC
000000000
279000.00000000
PA
370901.91000000
0.094511713459
Long
ABS-MBS
CORP
GB
N
2
2070-01-21
Variable
1.46000000
N
N
N
N
N
N
2020-01-21
MAINSTAY VP FUNDS TRUST
Jack Benintende
Jack Benintende
Treasurer