0001752724-20-166877.txt : 20200824
0001752724-20-166877.hdr.sgml : 20200824
20200824141927
ACCESSION NUMBER: 0001752724-20-166877
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20200630
FILED AS OF DATE: 20200824
PERIOD START: 20201231
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: 201126827
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
2020-12-31
2020-06-30
N
812501660.69
395890556.61
416611104.08
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
390466998.80000000
0.00000000
0.00000000
1663563.87000000
JPY
USD
DKK
EUR
GBP
N
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
3175475D5 OTC EPUT FN 2.5 102.5625
000000000
-900000.00000000
NC
USD
-1175.49000000
-0.00028215522
N/A
DIR
US
N
2
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
Put
Written
Uniform Mortgage-Backed Security, TBA
Uniform Mortgage-Backed Security, TBA
1.00000000
102.56250000
USD
2020-08-06
XXXX
3605.76000000
N
N
N
BofA Securities, Inc.
549300HN4UKV1E2R3U73
3175JJ675 CDX.O C 0.55 SEP20 0.55 CALL
000000000
-1300000.00000000
NC
USD
-632.63000000
-0.00015185144
N/A
DCR
US
N
2
BofA Securities, Inc.
549300HN4UKV1E2R3U73
Call
Written
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX Swap
N/A
1300000.00000000
OU
Notional Amount
N/A
-632.63000000
0.00000000
DCR
US
Markit CDX.NA.IG.S34.V1
2I65BYDW2
buy protection
2025-06-20
0.00000000
N/A
0.00000000
N/A
1300000.00000000
USD
1.00000000
0.55000000
USD
2020-09-16
XXXX
277.37000000
N
N
N
Atrium CDO Corp
549300O252OCTN35RH57
Atrium XII
04965CAJ7
297539.82000000
PA
USD
294872.08000000
0.070778737559
Long
ABS-CBDO
CORP
KY
N
2
2027-04-22
Floating
1.93000000
N
N
N
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RFZ0
500000.00000000
PA
USD
502532.50000000
0.120623885220
Long
DBT
CORP
US
N
2
2021-06-01
Floating
1.10000000
N
N
N
N
N
N
Lehman XS Trust
N/A
Lehman XS Trust Series 2007-20N
52525AAA2
50948.37000000
PA
USD
45791.08000000
0.010991324895
Long
ABS-MBS
CORP
US
N
2
2037-12-25
Floating
1.33000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38381RCM9
1286386.43000000
PA
USD
1284090.10000000
0.308222725564
Long
ABS-MBS
USGA
US
N
2
2049-02-20
Floating
0.59000000
N
N
N
N
N
N
Residential Asset Securities Corporation
N/A
RASC Series 2005-KS8 Trust
76110W3U8
600000.00000000
PA
USD
591374.16000000
0.141948727292
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
0.77000000
N
N
N
N
N
N
NEW ZEALAND GVT ILB
549300237GPHG2AI7C34
New Zealand Government Inflation Linked Bond
000000000
800000.00000000
PA
737102.87000000
0.176928282223
Long
DBT
NUSS
NZ
Y
2
2035-09-20
Fixed
2.50000000
N
N
N
N
N
N
Credit Suisse First Boston Mortgage Securities
N/A
Credit Suisse First Boston Mortgage Securities Corp
22540A7A0
954521.50000000
PA
USD
891621.87000000
0.214017788116
Long
ABS-MBS
CORP
US
N
2
2032-01-25
Floating
0.80000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828Y38
18497554.00000000
PA
USD
20854302.75000000
5.005700171159
Long
DBT
UST
US
N
2
2028-07-15
Fixed
0.75000000
N
N
N
N
N
N
Venture XXI CLO
5493001C8B2BF8JNTO68
Venture XXI CLO Ltd
92330MAL3
349741.09000000
PA
USD
345362.33000000
0.082898013667
Long
ABS-CBDO
CORP
KY
N
2
2027-07-15
Floating
2.10000000
N
N
N
N
N
N
MORGAN STANLEY CCP MORGAN STANLEY CCMSCHUS2
N/A
MORGAN STANLEY CCP MORGAN STANLEY CCMSCHUS2
000000000
819000.00000000
NS
USD
819000.00000000
0.196586214812
Long
STIV
CORP
US
N
1
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
16909.66000000
0.004058859649
N/A
DFE
BR
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
2561461.11000000
USD
14021438.11000000
BRL
2020-07-02
16909.66000000
N
N
N
Sempra Energy
PBBKGKLRK5S5C0Y4T545
Sempra Energy
816851BB4
100000.00000000
PA
USD
100167.20000000
0.024043334183
Long
DBT
CORP
US
N
2
2021-03-15
Floating
0.76000000
N
N
N
N
N
N
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
317521A85 OTC EPUT FN 2.5 102.09375
000000000
-2200000.00000000
NC
USD
-2173.60000000
-0.00052173357
N/A
DIR
US
N
2
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
Put
Written
Uniform Mortgage-Backed Security, TBA
Uniform Mortgage-Backed Security, TBA
1.00000000
102.09375000
USD
2020-08-06
XXXX
6420.15000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810FS2
11160900.66000000
PA
USD
12970305.09000000
3.113288379252
Long
DBT
UST
US
N
2
2026-01-15
Fixed
2.00000000
N
N
N
N
N
N
BofA Securities, Inc.
549300HN4UKV1E2R3U73
3175JJ717 CDX.O P 1.10 AUG20 1.1 PUT
000000000
-1500000.00000000
NC
USD
-1906.92000000
-0.00045772183
N/A
DCR
US
N
2
BofA Securities, Inc.
549300HN4UKV1E2R3U73
Put
Written
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX Swap
N/A
1500000.00000000
OU
Notional Amount
N/A
-1906.92000000
0.00000000
DCR
US
Markit CDX.NA.IG.S34.V1
2I65BYDW2
sell protection
2025-06-20
0.00000000
N/A
0.00000000
N/A
1500000.00000000
USD
1.00000000
1.10000000
USD
2020-08-19
XXXX
988.08000000
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
-212253.21000000
-0.05094756426
N/A
DIR
US
N
2
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
New Zealand Bank Bills 3 Months
MNDBB3 Index
Y
2028-03-21
5044.33000000
NZD
0.00000000
NZD
1600000.00000000
NZD
-215956.62000000
N
N
N
ROYAL BK SCOTLND GRP PLC
2138005O9XJIJN4JPN90
Royal Bank of Scotland Group PLC
780097BJ9
200000.00000000
PA
USD
217183.78000000
0.052131058887
Long
DBT
CORP
GB
N
2
2024-06-25
Fixed
4.52000000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NAR0
33000.00000000
PA
USD
34567.50000000
0.008297306447
Long
DBT
CORP
NL
N
2
2022-01-17
Fixed
6.13000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128282L3
19411182.40000000
PA
USD
21095739.94000000
5.063652824757
Long
DBT
UST
US
N
2
2027-07-15
Fixed
0.38000000
N
N
N
N
N
N
Jyske Realkredit A/S
529900R9HQNZRT2OXB26
Jyske Realkredit A/S
000000000
11471.63000000
PA
1816.09000000
0.000435919729
Long
DBT
CORP
DK
N
2
2047-10-01
Fixed
2.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU018A16 IRS GBP R F 3.39000 SWUV18A18 CCPINFLATIONZERO / Short: SWU018A16 IRS GBP P V 01MUKRPI SWU018A16 CCPINFLATIONZERO
000000000
4200000.00000000
OU
Notional Amount
95070.73000000
0.022820018254
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
UK Retail Price Index
UKRPI Index
Y
2030-01-15
0.00000000
GBP
-25426.80000000
GBP
4200000.00000000
GBP
128159.65000000
N
N
N
Jubilee CDO BV
724500KP4E8XGHMPQZ62
Jubilee CLO 2015-XVI BV
000000000
1660000.00000000
PA
1842106.97000000
0.442164635546
Long
ABS-CBDO
CORP
NL
N
2
2029-12-15
Floating
0.44000000
N
N
N
N
N
N
Residential Asset Securities Corporation
N/A
RASC Series 2005-EMX1 Trust
76110WQ66
631322.45000000
PA
USD
599601.34000000
0.143923513830
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Floating
1.28000000
N
N
N
N
N
N
Long Beach Mortgage Loan Trust
N/A
Long Beach Mortgage Loan Trust 2006-7
54251TAC3
274081.84000000
PA
USD
134276.09000000
0.032230559551
Long
ABS-O
CORP
US
N
2
2036-08-25
Floating
0.30000000
N
N
N
N
N
N
Wachovia Mortgage Loan Trust, LLC
N/A
Wachovia Mortgage Loan Trust Series 2005-WMC1
92977YAX9
9195.70000000
PA
USD
9245.85000000
0.002219299944
Long
ABS-O
CORP
US
N
2
2035-10-25
Floating
0.84000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828B25
688017.82000000
PA
USD
724588.72000000
0.173924485666
Long
DBT
UST
US
N
2
2024-01-15
Fixed
0.63000000
N
N
N
N
N
N
FREDDIEMAC STRIP
S6XOOCT0IEG5ABCC6L87
Freddie Mac Strips
3132HTBH8
455352.17000000
PA
USD
460931.30000000
0.110638265635
Long
ABS-MBS
USGSE
US
N
2
2042-09-15
Floating
0.63000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F030694
8500000.00000000
PA
USD
8925336.86000000
2.142366531422
Long
ABS-MBS
USGSE
US
N
2
2050-09-15
Fixed
3.00000000
N
N
N
N
N
N
Soundview Home Equity Loan Trust
N/A
Soundview Home Loan Trust 2007-OPT1
83612TAA0
352020.95000000
PA
USD
274843.45000000
0.065971225276
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Floating
0.38000000
N
N
N
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31402LPB2
240253.86000000
PA
USD
240793.95000000
0.057798255409
Long
ABS-MBS
USGSE
US
N
2
2043-06-01
Floating
2.89000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust 2005-AR14
45660LRU5
1068439.27000000
PA
USD
867734.13000000
0.208283965910
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Floating
0.46000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F040677
800000.00000000
PA
USD
847765.62000000
0.203490884351
Long
ABS-MBS
USGSE
US
N
2
2050-07-15
Fixed
4.00000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED ILS / SOLD USD
000000000
1.00000000
NC
-7.55000000
-0.00000181224
N/A
DFE
IL
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
1422.24000000
USD
4890.69000000
ILS
2020-09-15
-7.55000000
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RFS6
100000.00000000
PA
USD
129873.87000000
0.031173885844
Long
DBT
CORP
US
N
2
2058-08-15
Fixed
5.30000000
N
N
N
N
N
N
NYKREDIT REALKREDIT AS
LIU16F6VZJSD6UKHD557
Nykredit Realkredit A/S
000000000
28468866.84000000
PA
4262281.91000000
1.023084086875
Long
DBT
CORP
DK
Y
2
2050-10-01
Fixed
1.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828PP9
1992927.00000000
PA
USD
2011058.07000000
0.482718307386
Long
DBT
UST
US
N
2
2021-01-15
Fixed
1.13000000
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
1290000.00000000
OU
Notional Amount
USD
7728.65000000
0.001855123381
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Markit CDX.NA.HY.S33.V1
2I65BRSB7
Y
buy protection
2024-12-20
0.00000000
USD
-70934.29000000
USD
1290000.00000000
USD
78662.94000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD DKK
000000000
1.00000000
NC
5440.77000000
0.001305958949
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
8106466.00000000
DKK
1230102.95000000
USD
2020-10-01
5440.77000000
N
N
N
Credit Agricole Securities (USA) Inc.
1VUV7VQFKUOQSJ21A208
REPO CREDIT AGRICOLE REPO
000000000
4700000.00000000
PA
USD
4700000.00000000
1.128150439095
Long
RA
CORP
US
N
2
Repurchase
N
0.12000000
2020-07-01
3363000.00000000
USD
4755228.19200000
USD
UST
N
N
N
LG&E AND KU ENERGY LLC
N/A
LG&E and KU Energy LLC
50188FAE5
100000.00000000
PA
USD
103384.12000000
0.024815497951
Long
DBT
CORP
US
N
2
2021-10-01
Fixed
4.38000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust Inc
N/A
Citigroup Mortgage Loan Trust 2019-B
17327VAA9
274377.82000000
PA
USD
273584.43000000
0.065669020177
Long
ABS-MBS
CORP
US
N
2
2066-04-25
Variable
3.26000000
N
N
N
N
N
N
ROYAL BK SCOTLND GRP PLC
2138005O9XJIJN4JPN90
Royal Bank of Scotland Group PLC
780097BH3
300000.00000000
PA
USD
300174.45000000
0.072051476079
Long
DBT
CORP
GB
N
2
2024-06-25
Floating
1.85000000
N
N
N
N
N
N
NISSAN MOTOR ACCEPTANCE
7D6DIU2QXTUJRFNNJA49
Nissan Motor Acceptance Corp
654740AS8
100000.00000000
PA
USD
98191.49000000
0.023569100544
Long
DBT
CORP
US
N
2
2021-09-14
Fixed
1.90000000
N
N
N
N
N
N
Home Equity Asset Trust
N/A
Home Equity Asset Trust
437084BL9
98596.48000000
PA
USD
96274.84000000
0.023109043195
Long
ABS-MBS
CORP
US
N
2
2034-07-25
Floating
0.98000000
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
100435.00000000
0.024107614755
Long
DBT
CORP
IE
N
2
2020-10-30
Fixed
4.63000000
N
N
N
N
N
N
D.R. HORTON INC
529900ZIUEYVSB8QDD25
DR Horton Inc
23331ABH1
100000.00000000
PA
USD
113012.90000000
0.027126713352
Long
DBT
CORP
US
N
2
2023-08-15
Fixed
5.75000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828X39
45701550.23000000
PA
USD
46365742.74000000
11.12926234704
Long
DBT
UST
US
N
2
2022-04-15
Fixed
0.13000000
N
N
N
N
N
N
Jamestown CLO Ltd
549300UY2VE3PHVMFV71
Jamestown CLO VII Ltd
47048BAK6
1056742.93000000
PA
USD
1046605.60000000
0.251218844085
Long
ABS-CBDO
CORP
KY
N
2
2027-07-25
Floating
1.82000000
N
N
N
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
80526.28000000
0.019328884710
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
US CPI Urban Consumers NSA
CPURNSA Index
Y
2028-05-09
0.00000000
USD
0.00000000
USD
770000.00000000
USD
80526.28000000
N
N
N
Reynolds American Inc
02S2RPPVO9RP4NEU2740
Reynolds American Inc
761713BF2
200000.00000000
PA
USD
211297.92000000
0.050718264091
Long
DBT
CORP
US
N
2
2022-06-12
Fixed
4.00000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
175.31000000
0.000042080011
N/A
DFE
XX
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
229018.60000000
USD
204000.00000000
EUR
2020-07-02
175.31000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F022691
14600000.00000000
PA
USD
15164833.27000000
3.640045385609
Long
ABS-MBS
USGSE
US
N
2
2050-09-15
Fixed
2.50000000
N
N
N
N
N
N
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
3175973A8 OTC EPUT FN 2.5 102.53125
000000000
-900000.00000000
NC
USD
-0.01000000
-0.00000000240
N/A
DIR
US
N
2
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
Put
Written
Uniform Mortgage-Backed Security, TBA
Uniform Mortgage-Backed Security, TBA
1.00000000
102.53125000
USD
2020-07-07
XXXX
3164.05000000
N
N
N
OCP CLO Ltd
254900XV0U0WEM36A370
OCP CLO 2015-9 Ltd
67091YAJ3
169103.26000000
PA
USD
167960.12000000
0.040315804920
Long
ABS-CBDO
CORP
KY
N
2
2027-07-15
Floating
2.02000000
N
N
N
N
N
N
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
3175SG663 OTC EPUT FN 2.0 100.7890625
000000000
-2300000.00000000
NC
USD
-841.11000000
-0.00020189332
N/A
DIR
US
N
2
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
Put
Written
Uniform Mortgage-Backed Security, TBA
Uniform Mortgage-Backed Security, TBA
1.00000000
100.78906250
USD
2020-07-07
XXXX
14072.95000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-14057.66000000
-0.00337428836
N/A
DFE
JP
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
1510323.60000000
USD
161559315.00000000
JPY
2020-07-02
-14057.66000000
N
N
N
Home Equity Asset Trust
N/A
Home Equity Asset Trust 2005-8
437084QA7
300000.00000000
PA
USD
278971.59000000
0.066962111011
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Floating
0.63000000
N
N
N
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
29763.98000000
0.007144307894
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
0.00000000
ILS
0.00000000
ILS
880000.00000000
ILS
29763.98000000
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BOBL FUTURE SEP20 XEUR 20200908
000000000
101.00000000
NC
78995.94000000
0.018961554127
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
Euro-Bobl (FGBM)
OEU0 Comdty
2020-09-08
13562667.61000000
EUR
78995.94000000
N
N
N
Osaka Exchange
3538001249AILNPRUX57
JPN 10Y BOND(OSE) SEP20 XOSE 20200914
000000000
-3.00000000
NC
-889.70000000
-0.00021355647
N/A
DIR
JP
N
1
Osaka Exchange
3538001249AILNPRUX57
Short
Japan Government Ten Year Bond
JBU0 Comdty
2020-09-14
-455753935.00000000
JPY
-889.70000000
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
82968.60000000
0.019915119685
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
US CPI Urban Consumers NSA
CPURNSA Index
Y
2029-11-04
0.00000000
USD
-1322.97000000
USD
2600000.00000000
USD
84291.57000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD DKK
000000000
1.00000000
NC
-291676.49000000
-0.07001169367
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
59113088.01000000
DKK
8620963.99000000
USD
2020-07-01
-291676.49000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
20148.05000000
0.004836176905
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
768000.00000000
GBP
971777.28000000
USD
2020-07-02
20148.05000000
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
-37762.56000000
-0.00906422311
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor Japan 6 Months
JPY0006M Index
Y
2029-03-20
0.00000000
JPY
-479256.00000000
JPY
106980000.00000000
JPY
-33507.51000000
N
N
N
KEURIG DR PEPPER INC
DYTQ8KRTKO7Y2BVU5K74
Keurig Dr Pepper Inc
49271VAG5
100000.00000000
PA
USD
108981.12000000
0.026158957102
Long
DBT
CORP
US
N
2
2023-05-25
Fixed
4.06000000
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
-42488.01000000
-0.01019848236
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
US CPI Urban Consumers NSA
CPURNSA Index
Y
2023-05-10
0.00000000
USD
0.00000000
USD
780000.00000000
USD
-42488.01000000
N
N
N
JYSKE REALKREDIT A/S
529900R9HQNZRT2OXB26
Jyske Realkredit A/S
000000000
18105195.23000000
PA
2712025.85000000
0.650973011386
Long
DBT
CORP
DK
Y
2
2050-10-01
Fixed
1.00000000
N
N
N
N
N
N
Man GLG Euro CLO
635400X2U1WG8KFSIE39
Man GLG Euro CLO II DAC
000000000
250000.00000000
PA
277669.27000000
0.066649512526
Long
ABS-CBDO
CORP
IE
N
2
2030-01-15
Floating
0.87000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
-6286.08000000
-0.00150886040
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
13706000.00000000
BRL
2504614.15000000
USD
2020-10-02
-6286.08000000
N
N
N
Colony American Finance Ltd
N/A
CoreVest American Finance 2017-1 Trust
21871VAA1
66396.62000000
PA
USD
67537.43000000
0.016211144959
Long
ABS-O
CORP
US
N
2
2049-10-15
Fixed
2.97000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD GBP
000000000
1.00000000
NC
2572.19000000
0.000617407931
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
4803000.00000000
GBP
5953972.19000000
USD
2020-07-02
2572.19000000
N
N
N
Securitized Asset Backed Receivables LLC Trust
N/A
Securitized Asset Backed Receivables LLC Trust 2006-HE2
81377AAD4
228194.46000000
PA
USD
121296.22000000
0.029114975288
Long
ABS-O
CORP
US
N
2
2036-07-25
Floating
0.33000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
SHORT EURO-BTP FU SEP20 XEUR 20200908
000000000
-86.00000000
NC
-49603.30000000
-0.01190637971
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Short-Term Euro-BTP Futures (FBTS)
BTSU0 Comdty
2020-09-08
-9577529.29000000
EUR
-49603.30000000
N
N
N
Chicago Board Of Trade
549300EX04Q2QBFQTQ27
US 10YR FUT OPTN Jul20C 159
000000000
428.00000000
NC
USD
0.00000000
0.000000
N/A
DIR
US
N
2
Chicago Board Of Trade
549300EX04Q2QBFQTQ27
Call
Purchased
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Chicago Board of Trade
549300EX04Q2QBFQTQ27
10 Year US Treasury Note Future
N/A
428000.00000000
NC
N/A
0.00000000
0.00000000
DIR
US
Long
10 Year US Treasury Note
TYU0 Comdty
2020-09-21
428000.00000000
USD
1000.00000000
159.00000000
USD
2020-06-26
XXXX
-3535.28000000
N
N
N
REPUBLIC OF ARGENTINA
N/A
Letras del Tesoro en Pesos Badlar
000000000
3628000.00000000
PA
58185.92000000
0.013966483233
Long
STIV
NUSS
AR
N
2
2020-08-28
Variable
30.36000000
N
N
N
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
167830.36000000
0.040284658367
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
UK Retail Price Index
UKRPI Index
Y
2024-09-15
264.33000000
GBP
0.00000000
GBP
2200000.00000000
GBP
167513.91000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
753099.92000000
0.180768086261
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
13706000.00000000
BRL
3273465.49000000
USD
2020-07-02
753099.92000000
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
-0.00000004560
N/A
DIR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Put
Written
US CPI Urban Consumers NSA
CPURNSA Index
1.00000000
0.00001000
USD
2020-10-02
XXXX
35068.11000000
N
N
N
BUONI POLIENNALI DEL TES
815600DE60799F5A9309
Italy Buoni Poliennali Del Tesoro
000000000
7594300.00000000
PA
8713689.56000000
2.091564404948
Long
DBT
NUSS
IT
Y
2
2025-05-26
Fixed
1.40000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUXL 30Y BND SEP20 XEUR 20200908
000000000
-23.00000000
NC
-133084.17000000
-0.03194446060
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Euro-Buxl (FGBX)
UBU0 Comdty
2020-09-08
-4940624.97000000
EUR
-133084.17000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Note/Bond
912828YY0
330000.00000000
PA
USD
352094.53000000
0.084513957153
Long
DBT
UST
US
N
2
2024-12-31
Fixed
1.75000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810PV4
14229054.64000000
PA
USD
16972961.77000000
4.074054100761
Long
DBT
UST
US
N
2
2028-01-15
Fixed
1.75000000
N
N
N
N
N
N
MORGAN STANLEY MCS FUTURES CASH COLL COC
N/A
MORGAN STANLEY MCS FUTURES CASH COLL COC
000000000
1090000.00000000
NS
USD
1090000.00000000
0.261634889066
Long
STIV
CORP
US
N
1
N
N
N
SLM Student Loan Trust
549300Q3EYTM3HF1XJ85
SLM Student Loan Trust 2003-5
000000000
22943.86000000
PA
25701.63000000
0.006169213865
Long
ABS-O
CORP
US
N
2
2024-06-17
None
0.00000000
N
N
N
N
N
N
KEURIG DR PEPPER INC
DYTQ8KRTKO7Y2BVU5K74
Keurig Dr Pepper Inc
49271VAE0
1400000.00000000
PA
USD
1438906.32000000
0.345383573771
Long
DBT
CORP
US
N
2
2021-05-25
Fixed
3.55000000
N
N
N
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
-1607.77000000
-0.00038591626
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
General Electric Co
General Electric Co
Y
sell protection
2023-12-20
0.00000000
USD
-3354.35000000
USD
100000.00000000
USD
1746.58000000
N
N
N
Credit Suisse Mortgage Trust
N/A
CSMC 2019-RPL9 Trust
12654WAC7
973375.25000000
PA
USD
1000342.22000000
0.240114152072
Long
ABS-MBS
CORP
US
N
2
2059-10-27
Variable
3.09000000
N
N
N
N
N
N
CRED SUIS GP FUN LTD
549300PXR5FKNXF0OH19
Credit Suisse Group Funding Guernsey Ltd
225433AH4
300000.00000000
PA
USD
318740.12000000
0.076507831135
Long
DBT
CORP
GG
N
2
2022-09-15
Fixed
3.80000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38375UZZ6
341365.65000000
PA
USD
348027.26000000
0.083537682167
Long
ABS-MBS
USGA
US
N
2
2067-04-20
Floating
1.90000000
N
N
N
N
N
N
Eurosail PLC
213800YCKG3TNT5E1296
Eurosail-UK 2007-3bl PLC
29880YAJ8
45598.52000000
PA
55748.78000000
0.013381491624
Long
ABS-MBS
CORP
GB
N
2
2045-06-13
Floating
1.14000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT SEP20 XCBT 20200921
000000000
14.00000000
NC
USD
-25429.67000000
-0.00610393476
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
US Treasury Ultra Long Bond
WNU0 Comdty
2020-09-21
3079617.17000000
USD
-25429.67000000
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
-31287.66000000
-0.00751003986
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Harmonised Index of Consumer Prices
HICP Index
Y
2033-03-15
0.00000000
EUR
-265.83000000
EUR
200000.00000000
EUR
-30955.66000000
N
N
N
Eurosail PLC
213800YCKG3TNT5E1296
Eurosail-UK 2007-3bl PLC
000000000
171015.15000000
PA
209083.24000000
0.050186670002
Long
ABS-MBS
CORP
GB
Y
2
2045-06-13
Floating
1.14000000
N
N
N
N
N
N
Jamestown CLO Ltd
2549008V3F2S2MZWTX88
Jamestown CLO IV Ltd
470474AQ0
108307.25000000
PA
USD
107972.80000000
0.025916928027
Long
ABS-CBDO
CORP
KY
N
2
2026-07-15
Floating
1.91000000
N
N
N
N
N
N
MORGAN STANLEY CCP MORGAN STANLEY CCP CCMSCZUS2
N/A
MORGAN STANLEY CCP MORGAN STANLEY CCP CCMSCZUS2
000000000
666000.00000000
NS
USD
666000.00000000
0.159861317539
Long
STIV
CORP
US
N
1
N
N
N
AVOLON HOLDINGS FNDG LTD
635400ZRKEX9L1BKCH30
Avolon Holdings Funding Ltd
05401AAA9
100000.00000000
PA
USD
94152.24000000
0.022599551254
Long
DBT
CORP
KY
N
2
2023-01-15
Fixed
5.50000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD DKK
000000000
1.00000000
NC
3669.12000000
0.000880706242
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
12863476.00000000
DKK
1946983.58000000
USD
2020-10-01
3669.12000000
N
N
N
American Tower Corp
5493006ORUSIL88JOE18
American Tower Corp
03027XAH3
300000.00000000
PA
USD
305099.51000000
0.073233648122
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
912810PZ5
6366365.20000000
PA
USD
8159659.88000000
1.958579548190
Long
DBT
UST
US
N
2
2029-01-15
Fixed
2.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810PS1
5061167.00000000
PA
USD
6144825.26000000
1.474954747922
Long
DBT
UST
US
N
2
2027-01-15
Fixed
2.38000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU0ZZ622 IRS USD R F 1.28000 SWUVZZ624 CCPINFLATIONZERO / Short: SWU0ZZ622 IRS USD P V 01MUSCPI SWU0ZZ622 CCPINFLATIONZERO
000000000
2200000.00000000
OU
Notional Amount
USD
-49600.43000000
-0.01190569082
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
US CPI Urban Consumers NSA
CPURNSA Index
Y
2030-05-19
0.00000000
USD
0.00000000
USD
2200000.00000000
USD
-49600.43000000
N
N
N
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
3175ZZ572 OTC EPUT FN 2.0 100.45703125
000000000
-1500000.00000000
NC
USD
-381.60000000
-0.00009159621
N/A
DIR
US
N
2
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
Put
Written
Uniform Mortgage-Backed Security, TBA
Uniform Mortgage-Backed Security, TBA
1.00000000
100.45703000
USD
2020-07-07
XXXX
9930.90000000
N
N
N
Washington Mutual Mortgage Pass-Through CTFS
N/A
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-5 Trust
93934NAQ8
46207.65000000
PA
USD
40059.77000000
0.009615627045
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Fixed
6.00000000
N
N
N
N
N
N
Chicago Board Of Trade
549300EX04Q2QBFQTQ27
US 5YR FUTR OPTN Aug20C 136
000000000
233.00000000
NC
USD
233.00000000
0.000055927457
N/A
DIR
US
N
1
Chicago Board Of Trade
549300EX04Q2QBFQTQ27
Call
Purchased
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Chicago Board of Trade
549300EX04Q2QBFQTQ27
5 Year US Treasury Note Future
N/A
233000.00000000
NC
N/A
233.00000000
0.00000000
DIR
US
Long
5 Year US Treasury Note
FVU0 Comdty
2020-09-30
233000.00000000
USD
1000.00000000
136.00000000
USD
2020-07-24
XXXX
-1880.31000000
N
N
N
Mackay Shields Euro CLO
635400LANDKVH6IVDD64
Mackay Shields Euro CLO-2 DAC
000000000
250000.00000000
PA
280874.89000000
0.067418963932
Long
ABS-CBDO
CORP
IE
N
2
2033-08-15
Floating
1.55000000
N
N
N
N
N
N
OCP CLO Ltd
254900FZYL5HDKV64882
OCP CLO 2015-10 Ltd
67092DAL3
1257784.36000000
PA
USD
1247412.67000000
0.299418968381
Long
ABS-CBDO
CORP
KY
N
2
2027-10-26
Floating
1.81000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
3175529F6 ITRAXX.O C 0.475 SEP20 0.475 CALL
000000000
-1300000.00000000
NC
-578.95000000
-0.00013896653
N/A
DCR
DE
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Call
Written
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX Swap
N/A
1300000.00000000
OU
Notional Amount
N/A
-578.95000000
0.00000000
DCR
DE
iTraxx Europe S32.V1
2I666VCW3
buy protection
2025-06-20
0.00000000
N/A
0.00000000
N/A
1300000.00000000
EUR
1.00000000
0.47500000
EUR
2020-09-16
XXXX
155.78000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
317526H53 INF CAP USD MAY24 4.0 CALL
000000000
-300000.00000000
NC
USD
-3.93000000
-0.00000094332
N/A
DIR
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
Call
Written
US CPI Urban Consumers NSA
CPURNSA Index
1.00000000
4.00000000
USD
2024-05-16
XXXX
2081.07000000
N
N
N
Wind River CLO Ltd
54930043UF2EELTNOD60
THL Credit Wind River 2012-1 CLO Ltd
87244ABL3
95182.02000000
PA
USD
94873.92000000
0.022772777554
Long
ABS-CBDO
CORP
KY
N
2
2026-01-15
Variable
2.10000000
N
N
N
N
N
N
Danone SA
969500KMUQ2B6CBAF162
Danone SA
23636TAA8
200000.00000000
PA
USD
208446.15000000
0.050033748010
Long
DBT
CORP
FR
N
2
2022-06-15
Fixed
3.00000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED USD / SOLD DKK
000000000
1.00000000
NC
-986.82000000
-0.00023686838
N/A
DFE
US
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
8987344.00000000
DKK
1356751.60000000
USD
2020-10-01
-986.82000000
N
N
N
Towd Point Mortgage Funding
635400655NWVVZHH1395
Towd Point Mortgage Funding 2019 - Granite4 PLC
000000000
1110899.62000000
PA
1375763.39000000
0.330227249472
Long
ABS-MBS
CORP
GB
N
2
2051-10-20
Variable
1.68000000
N
N
N
N
N
N
VOLKSWAGEN GROUP AMERICA
5493002SQ1AVQBY41K40
Volkswagen Group of America Finance LLC
928668AP7
600000.00000000
PA
USD
624601.67000000
0.149924393249
Long
DBT
CORP
US
N
2
2021-11-12
Fixed
4.00000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-SCHATZ FUT SEP20 XEUR 20200908
000000000
-594.00000000
NC
-52121.77000000
-0.01251089313
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Euro-Schatz Futures (FGBS)
DUU0 Comdty
2020-09-08
-66564767.66000000
EUR
-52121.77000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810FR4
12366763.20000000
PA
USD
14229206.27000000
3.415464957762
Long
DBT
UST
US
N
2
2025-01-15
Fixed
2.38000000
N
N
N
N
N
N
Symphony CLO Ltd
54930085JMJSZBQ6N270
Symphony CLO XIV Ltd
87159QBV9
258684.22000000
PA
USD
256374.69000000
0.061538131722
Long
ABS-CBDO
CORP
KY
N
2
2026-07-14
Floating
2.26000000
N
N
N
N
N
N
BOC Aviation Ltd
254900H06V5RMEB3KE72
BOC Aviation Ltd
09681LAC4
200000.00000000
PA
USD
199914.00000000
0.047985758910
Long
DBT
CORP
SG
N
2
2021-09-15
Fixed
2.38000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED DKK / SOLD USD
000000000
1.00000000
NC
-4439.90000000
-0.00106571811
N/A
DFE
DK
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
993929.38000000
USD
6562789.00000000
DKK
2020-07-01
-4439.90000000
N
N
N
VOLKSWAGEN GROUP AMERICA
5493002SQ1AVQBY41K40
Volkswagen Group of America Finance LLC
928668AW2
900000.00000000
PA
USD
896803.65000000
0.215261581176
Long
DBT
CORP
US
N
2
2021-09-24
Floating
1.16000000
N
N
N
N
N
N
Amgen Inc
62QBXGPJ34PQ72Z12S66
Amgen Inc
031162BN9
400000.00000000
PA
USD
418527.49000000
0.100459993961
Long
DBT
CORP
US
N
2
2022-05-15
Fixed
3.63000000
N
N
N
N
N
N
ING Bank NV
3TK20IVIUJ8J3ZU0QE75
ING Bank NV
44986L2A6
400000.00000000
PA
USD
419480.00000000
0.100688626849
Long
DBT
CORP
NL
N
2
2022-12-05
Fixed
2.63000000
N
N
N
N
N
N
Paragon Mortgages PLC
FO8K74JMQ503WLB3U634
Paragon Mortgages No 13 PLC
000000000
1942181.27000000
PA
2302753.43000000
0.552734530464
Long
ABS-MBS
CORP
GB
Y
2
2039-01-15
Floating
0.91000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
18082.69000000
0.004340424396
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
185162382.00000000
JPY
1733649.01000000
USD
2020-08-04
18082.69000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD DKK
000000000
1.00000000
NC
-1854.54000000
-0.00044514896
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
6095526.00000000
DKK
919010.38000000
USD
2020-10-01
-1854.54000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US LONG BOND(CBT) SEP20 XCBT 20200921
000000000
-89.00000000
NC
USD
-36279.78000000
-0.00870830845
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
US Treasury Long Bond
USU0 Comdty
2020-09-21
-15855782.72000000
USD
-36279.78000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
4055.56000000
0.000973464211
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
415000.00000000
EUR
470307.88000000
USD
2020-07-02
4055.56000000
N
N
N
CVS Health Corp
549300EJG376EN5NQE29
CVS Health Corp
126650CV0
200000.00000000
PA
USD
214786.87000000
0.051555723766
Long
DBT
CORP
US
N
2
2023-03-09
Fixed
3.70000000
N
N
N
N
N
N
Marlette Funding Trust
549300W2612MGSLICQ35
Marlette Funding Trust 2019-3
57109MAA9
98947.78000000
PA
USD
99469.11000000
0.023875770238
Long
ABS-O
CORP
US
N
2
2029-09-17
Fixed
2.69000000
N
N
N
N
N
N
GreenPoint Mortgage Funding Trust
N/A
GreenPoint Mortgage Funding Trust Series 2006-AR4
39539FAK0
102242.92000000
PA
USD
90647.02000000
0.021758186258
Long
ABS-MBS
CORP
US
N
2
2046-09-25
Floating
0.36000000
N
N
N
N
N
N
UniCredit SpA
549300TRUWO2CD2G5692
UniCredit SpA
904678AG4
1800000.00000000
PA
USD
2074426.22000000
0.497928691694
Long
DBT
CORP
IT
N
2
2023-12-04
Fixed
7.83000000
N
N
N
N
N
N
SLM Student Loan Trust
549300Y3YMECZJOAL893
SLM Student Loan Trust 2004-2
000000000
64574.31000000
PA
72530.12000000
0.017409550367
Long
ABS-O
CORP
US
N
2
2024-01-25
Floating
0.02000000
N
N
N
N
N
N
AUSTRALIAN GOVERNMENT
213800J6B7JSBDETCB42
Australia Government Bond
000000000
980000.00000000
PA
802765.92000000
0.192689515987
Long
DBT
NUSS
AU
Y
2
2022-02-21
Fixed
1.25000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-86089.15000000
-0.02066415156
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
3933000.00000000
NZD
2451875.46000000
USD
2020-07-02
-86089.15000000
N
N
N
Republic of Argentina
N/A
Bonos del Tesoro Nacional en Pesos Badlar
000000000
2854000.00000000
PA
41316.76000000
0.009917344880
Long
DBT
NUSS
AR
N
2
2022-04-03
Floating
26.41000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828UH1
13035480.33000000
PA
USD
13352846.96000000
3.205110672574
Long
DBT
UST
US
N
2
2023-01-15
Fixed
0.13000000
N
N
N
N
N
N
Danone SA
969500KMUQ2B6CBAF162
Danone SA
23636TAC4
200000.00000000
PA
USD
203261.57000000
0.048789282861
Long
DBT
CORP
FR
N
2
2021-11-02
Fixed
2.08000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED DKK / SOLD USD
000000000
1.00000000
NC
2028.00000000
0.000486784912
N/A
DFE
DK
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
917010.97000000
USD
6095526.00000000
DKK
2020-07-01
2028.00000000
N
N
N
NXP BV/NXP FUNDING LLC
N/A
NXP BV / NXP Funding LLC
62947QAW8
400000.00000000
PA
USD
422854.21000000
0.101498545252
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 BRL
000000000
1.00000000
NC
-15585.74000000
-0.00374107647
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
14021438.11000000
BRL
2558539.87000000
USD
2020-08-04
-15585.74000000
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
-10891.03000000
-0.00261419580
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor Japan 6 Months
JPY0006M Index
Y
2028-03-20
0.00000000
JPY
-75528.00000000
JPY
50000000.00000000
JPY
-10210.22000000
N
N
N
New Residential Mortgage Loan Trust
N/A
New Residential Mortgage Loan Trust 2019-RPL3
64830NAA9
369775.00000000
PA
USD
387663.83000000
0.093051727667
Long
ABS-MBS
CORP
US
N
2
2059-07-25
Variable
2.75000000
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
19138.47000000
0.004593845390
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
0.00000000
ILS
0.00000000
ILS
540000.00000000
ILS
19138.47000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU045V16 IRS GBP R F 3.33000 SWUV45V18 CCPINFLATIONZERO / Short: SWU045V16 IRS GBP P V 01MUKRPI SWU045V16 CCPINFLATIONZERO
000000000
6800000.00000000
OU
Notional Amount
122725.35000000
0.029458012232
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
UK Retail Price Index
UKRPI Index
Y
2025-01-15
160340.91000000
GBP
0.00000000
GBP
6800000.00000000
GBP
-76349.94000000
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED DKK / SOLD USD
000000000
1.00000000
NC
-5289.95000000
-0.00126975732
N/A
DFE
DK
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
1227523.80000000
USD
8106466.00000000
DKK
2020-07-01
-5289.95000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD AUD
000000000
1.00000000
NC
-51633.40000000
-0.01239366869
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
3235000.00000000
AUD
2180840.64000000
USD
2020-07-02
-51633.40000000
N
N
N
Ally Financial Inc
549300JBN1OSM8YNAI90
Ally Financial Inc
02005NAY6
200000.00000000
PA
USD
205506.29000000
0.049328087510
Long
DBT
CORP
US
N
2
2022-02-13
Fixed
4.13000000
N
N
N
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
91427.43000000
0.021945509638
Long
ABS-MBS
CORP
US
N
2
2035-04-25
Floating
1.98000000
N
N
N
N
N
N
Halcyon Loan Advisors Funding Ltd
549300SL5F4XH94OUB49
Halcyon Loan Advisors Funding 2015-1 Ltd
40538HAN9
147760.02000000
PA
USD
146423.97000000
0.035146439585
Long
ABS-CBDO
CORP
KY
N
2
2027-04-20
Floating
2.06000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828VM9
6316434.72000000
PA
USD
6577571.48000000
1.578827692201
Long
DBT
UST
US
N
2
2023-07-15
Fixed
0.38000000
N
N
N
N
N
N
Lloyds Banking Group PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
53944YAG8
400000.00000000
PA
USD
401672.00000000
0.096414136845
Long
DBT
CORP
GB
N
2
2021-06-21
Floating
1.11000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RW0
12156585.48000000
PA
USD
15485702.28000000
3.717064218486
Long
DBT
UST
US
N
2
2047-02-15
Fixed
0.88000000
N
N
N
N
N
N
FLORIDA GAS TRANSMISSION
549300Q0UQF87NXNOC32
Florida Gas Transmission Co LLC
340711AT7
700000.00000000
PA
USD
701039.87000000
0.168272007907
Long
DBT
CORP
US
N
2
2020-07-15
Fixed
5.45000000
N
N
N
N
N
N
NYKREDIT REALKREDIT AS
LIU16F6VZJSD6UKHD557
Nykredit Realkredit A/S
000000000
3930.04000000
PA
622.32000000
0.000149376719
Long
DBT
CORP
DK
Y
2
2047-10-01
Fixed
2.50000000
N
N
N
N
N
N
Eurosail PLC
213800YCKG3TNT5E1296
Eurosail-UK 2007-3bl PLC
000000000
45598.52000000
PA
55748.78000000
0.013381491624
Long
ABS-MBS
CORP
GB
Y
2
2045-06-13
Floating
1.14000000
N
N
N
N
N
N
Sprint Corp
549300ZTTY7CXOLJ6539
Sprint Corp
85207UAE5
300000.00000000
PA
USD
314505.00000000
0.075491266776
Long
DBT
CORP
US
N
2
2021-09-15
Fixed
7.25000000
N
N
N
N
N
N
NEW ZEALAND GVT ILB
549300237GPHG2AI7C34
New Zealand Government Inflation Linked Bond
000000000
500000.00000000
PA
454781.58000000
0.109162135993
Long
DBT
NUSS
NZ
Y
2
2030-09-20
Fixed
3.00000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
-2492.52000000
-0.00059828458
N/A
DFE
XX
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
668727.76000000
USD
593000.00000000
EUR
2020-07-02
-2492.52000000
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU0AG100 IRS GBP R F 2.89000 SWUVAG102 CCPINFLATIONZERO / Short: SWU0AG100 IRS GBP P V 01MUKRPI SWU0AG100 CCPINFLATIONZERO
000000000
3400000.00000000
OU
Notional Amount
26335.40000000
0.006321338951
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
UK Retail Price Index
UKRPI Index
Y
2022-06-15
1010.30000000
GBP
0.00000000
GBP
3400000.00000000
GBP
25067.57000000
N
N
N
Springcastle SPV
N/A
SpringCastle Funding Asset-Backed Notes 2019-A
85022WAL8
725312.73000000
PA
USD
733096.50000000
0.175966625186
Long
ABS-O
CORP
US
N
2
2036-05-27
Fixed
3.20000000
N
N
N
N
N
N
Z Capital Credit Partners CLO
549300BNZ44C797ZPY53
Z Capital Credit Partners CLO 2015-1 Ltd
98877EAG8
467805.37000000
PA
USD
460509.95000000
0.110537128149
Long
ABS-CBDO
CORP
KY
N
2
2027-07-16
Floating
2.13000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810SB5
2608169.52000000
PA
USD
3444486.88000000
0.826787103432
Long
DBT
UST
US
N
2
2048-02-15
Fixed
1.00000000
N
N
N
N
N
N
AUSTRALIAN GOVERNMENT
213800J6B7JSBDETCB42
Australia Government Bond
000000000
1450000.00000000
PA
1462172.85000000
0.350968285693
Long
DBT
NUSS
AU
Y
2
2025-09-20
Fixed
3.00000000
N
N
N
N
N
N
MASTR Asset Backed Securities Trust
N/A
Mastr Asset Backed Securities Trust 2006-WMC4
57645MAE2
129912.71000000
PA
USD
53097.66000000
0.012745137966
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
0.33000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RR1
4859571.90000000
PA
USD
6286746.87000000
1.509020476994
Long
DBT
UST
US
N
2
2046-02-15
Fixed
1.00000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR ULTRA FUT SEP20 XCBT 20200921
000000000
84.00000000
NC
USD
-12314.62000000
-0.00295590297
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
US 10 Year Ultra Bond
UXYU0 Comdty
2020-09-21
13241002.12000000
USD
-12314.62000000
N
N
N
JAPAN GOVT CPI LINKED
353800WZS8AXZXFUC241
Japanese Government CPI Linked Bond
000000000
209055510.00000000
PA
1928015.53000000
0.462785439734
Long
DBT
NUSS
JP
N
2
2028-03-10
Fixed
0.10000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust Inc
N/A
Citigroup Mortgage Loan Trust 2007-AR4
17311WAA5
365603.74000000
PA
USD
334418.69000000
0.080271189779
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Variable
4.00000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
6729.24000000
0.001615232991
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
746000.00000000
EUR
844859.92000000
USD
2020-07-02
6729.24000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828S50
17124616.20000000
PA
USD
18182448.10000000
4.364369533585
Long
DBT
UST
US
N
2
2026-07-15
Fixed
0.13000000
N
N
N
N
N
N
Telstra Corp Ltd
PCTXNQGRJVR3OG33JG65
Telstra Corp Ltd
87969NAC9
300000.00000000
PA
USD
314175.11000000
0.075412082616
Long
DBT
CORP
AU
N
2
2021-10-12
Fixed
4.80000000
N
N
N
N
N
N
PARK AEROSPACE HOLDINGS
635400CPI3EOIFF6OC33
Park Aerospace Holdings Ltd
70014LAA8
200000.00000000
PA
USD
187734.60000000
0.045062313068
Long
DBT
CORP
KY
N
2
2022-08-15
Fixed
5.25000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810FQ6
472439.79000000
PA
USD
703033.56000000
0.168750557321
Long
DBT
UST
US
N
2
2032-04-15
Fixed
3.38000000
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
58.85000000
0.000014125883
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
General Electric Co
General Electric Co
Y
sell protection
2020-12-20
0.00000000
USD
-657.74000000
USD
100000.00000000
USD
716.59000000
N
N
N
Onslow Bay Financial LLC
N/A
OBX 2018-1 Trust
67112FAD2
62436.91000000
PA
USD
61617.45000000
0.014790160270
Long
ABS-MBS
CORP
US
N
2
2057-06-25
Floating
0.83000000
N
N
N
N
N
N
NEW ZEALAND GVT ILB
549300237GPHG2AI7C34
New Zealand Government Inflation Linked Bond
000000000
1800000.00000000
PA
1410132.63000000
0.338476967173
Long
DBT
NUSS
NZ
Y
2
2025-09-20
Fixed
2.00000000
N
N
N
N
N
N
First Franklin Mtg Loan Asset Backed Certificates
N/A
First Franklin Mortgage Loan Trust 2006-FF17
32028KAB2
566908.75000000
PA
USD
469180.99000000
0.112618455294
Long
ABS-O
CORP
US
N
2
2036-12-25
Floating
0.30000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810QF8
4105255.40000000
PA
USD
6048026.51000000
1.451719949557
Long
DBT
UST
US
N
2
2040-02-15
Fixed
2.13000000
N
N
N
N
N
N
REALKREDIT DANMARK
549300NLOMBOWE943Y30
Realkredit Danmark A/S
000000000
20079.89000000
PA
3170.09000000
0.000760923069
Long
DBT
CORP
DK
Y
2
2047-07-01
Fixed
2.50000000
N
N
N
N
N
N
Cox Communications Inc
5493001NEDZNIFRP2R92
Cox Communications Inc
224044BW6
200000.00000000
PA
USD
210765.91000000
0.050590564662
Long
DBT
CORP
US
N
2
2022-12-15
Fixed
3.25000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828N71
39061342.30000000
PA
USD
42290823.93000000
10.15115140135
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-HE1
81376YAD3
633439.63000000
PA
USD
294824.34000000
0.070767278431
Long
ABS-O
CORP
US
N
2
2036-07-25
Floating
0.34000000
N
N
N
N
N
N
SOUTHERN CO GAS CAPITAL
E8CD46SWUD2TSN8PA636
Southern Co Gas Capital Corp
001192AJ2
1400000.00000000
PA
USD
1438505.94000000
0.345287469755
Long
DBT
CORP
US
N
2
2021-09-15
Fixed
3.50000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD PEN
000000000
1.00000000
NC
34886.94000000
0.008373982272
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
4457841.37000000
PEN
1291341.90000000
USD
2020-10-05
34886.94000000
N
N
N
BONOS DE TESORERIA
254900STKLK2DBJJZ530
Peru Government Bond
000000000
1300000.00000000
PA
423696.30000000
0.101700673806
Long
DBT
NUSS
PE
Y
2
2029-02-12
Fixed
5.94000000
N
N
N
N
N
N
Stanwich Mortgage Loan Trust
N/A
Stanwich Mortgage Loan Co 2019-NPL-B-1 LLC
85502HAA4
198608.92000000
PA
USD
198390.39000000
0.047620043742
Long
ABS-O
CORP
US
N
2
2024-08-15
Variable
3.38000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)SEP20 XCBT 20200921
000000000
-476.00000000
NC
USD
-234269.59000000
-0.05623220017
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
10 Year US Treasury Note
TYU0 Comdty
2020-09-21
-66011542.91000000
USD
-234269.59000000
N
N
N
GSAA Home Equity Trust
N/A
GSAA Home Equity Trust 2006-17
362257AC1
1289145.07000000
PA
USD
609187.31000000
0.146224453461
Long
ABS-MBS
CORP
US
N
2
2036-11-25
Floating
0.42000000
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
639955.91000000
0.153609902312
Long
DBT
CORP
US
N
2
2022-07-23
Fixed
4.46000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
3175699A1 SWAPTION SEP20 1 PUT
000000000
-1300000.00000000
NC
-2681.58000000
-0.00064366503
N/A
DCR
DE
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
Put
Written
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX Swap
N/A
1300000.00000000
OU
Notional Amount
N/A
-2681.58000000
0.00000000
DCR
DE
iTraxx Europe S32.V1
2I666VCW3
sell protection
2025-06-20
0.00000000
N/A
0.00000000
N/A
1300000.00000000
EUR
1.00000000
1.00000000
EUR
2020-09-16
XXXX
-146.77000000
N
N
N
Legacy Mortgage Asset Trust
N/A
Legacy Mortgage Asset Trust 2019-GS3
52474WAA5
175079.14000000
PA
USD
177739.75000000
0.042663229150
Long
ABS-O
CORP
US
N
2
2059-04-25
Variable
3.75000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED DKK / SOLD USD
000000000
1.00000000
NC
12821.86000000
0.003077656806
N/A
DFE
DK
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
462112.18000000
USD
3150000.00000000
DKK
2020-07-01
12821.86000000
N
N
N
MITSUBISHI UFJ LEASE&FIN
353800MZ3QX9RLMH7B09
Mitsubishi UFJ Lease & Finance Co Ltd
60682LAA0
200000.00000000
PA
USD
205246.08000000
0.049265628781
Long
DBT
CORP
JP
N
2
2022-09-19
Fixed
2.65000000
N
N
N
N
N
N
PETROBRAS GLOBAL FINANCE
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NBF5
543000.00000000
PA
USD
540828.00000000
0.129816030994
Long
DBT
CORP
NL
N
2
2030-01-15
Fixed
5.09000000
N
N
N
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
52874.27000000
0.012691517216
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
US CPI Urban Consumers NSA
CPURNSA Index
Y
2028-05-09
0.00000000
USD
0.00000000
USD
510000.00000000
USD
52874.27000000
N
N
N
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Long: BWPC0J6K6 CDS USD R V 03MEVENT 2 CCPCDX / Short: BWPC0J6K6 CDS USD P F 5.00000 1 CCPCDX
000000000
4750000.00000000
OU
Notional Amount
USD
34602.32000000
0.008305664362
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Markit CDX.NA.HY.S34.V1
2I65BRTL4
Y
buy protection
2025-06-20
268870.19000000
USD
0.00000000
USD
4750000.00000000
USD
-234267.87000000
N
N
N
Structured Asset Securities Corporation
N/A
Structured Asset Securities Corp Mortgage Loan Trust 2005-OPT1
86359DVC8
1201876.02000000
PA
USD
1188991.07000000
0.285395914404
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Floating
0.39000000
N
N
N
N
N
N
Chicago Board Of Trade
549300EX04Q2QBFQTQ27
US 5YR FUTR OPTN Aug20P 106.75
000000000
118.00000000
NC
USD
118.00000000
0.000028323776
N/A
DIR
US
N
1
Chicago Board Of Trade
549300EX04Q2QBFQTQ27
Put
Purchased
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Chicago Board of Trade
549300EX04Q2QBFQTQ27
5 Year US Treasury Note Future
N/A
118000.00000000
NC
N/A
118.00000000
0.00000000
DIR
US
Long
5 Year US Treasury Note
FVU0 Comdty
2020-09-30
118000.00000000
USD
1000.00000000
106.75000000
USD
2020-07-24
XXXX
-952.26000000
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
55124.06000000
0.013231538828
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Harmonised Index of Consumer Prices
HICP Index
Y
2027-06-15
0.00000000
EUR
-7457.04000000
EUR
800000.00000000
EUR
63872.77000000
N
N
N
Credit-Based Asset Servicing and Securitization
N/A
Credit-Based Asset Servicing and Securitization LLC
1248RHAC1
1107400.45000000
PA
USD
838860.05000000
0.201353262499
Long
ABS-O
CORP
US
N
2
2037-07-25
Floating
0.40000000
N
N
N
N
N
N
Toyota Tsusho Corp
549300CEE2ENIUJNXB84
Toyota Tsusho Corp
000000000
200000.00000000
PA
USD
214106.53000000
0.051392420389
Long
DBT
CORP
JP
Y
2
2023-09-13
Fixed
3.63000000
N
N
N
N
N
N
JP MORGAN JPM CASH COLL BROKER
N/A
JP MORGAN JPM CASH COLL BROKER
000000000
-680000.00000000
NS
USD
-680000.00000000
-0.16322176565
Short
STIV
CORP
US
N
2
N
N
N
Lloyds Banking Group PLC
549300PPXHEU2JF0AM85
Lloyds Banking Group PLC
000000000
200000.00000000
PA
217678.04000000
0.052249697107
Long
DBT
CORP
GB
Y
2
2025-06-27
Fixed
6.38000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828Q60
19995621.52000000
PA
USD
20089918.07000000
4.822223381290
Long
DBT
UST
US
N
2
2021-04-15
Fixed
0.13000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED EUR / SOLD USD
000000000
1.00000000
NC
4822.96000000
0.001157664774
N/A
DFE
XX
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
479405.35000000
USD
431000.00000000
EUR
2020-07-02
4822.96000000
N
N
N
Black Diamond CLO Ltd
635400M6BTF6EBHINU93
Black Diamond CLO 2015-1 Designated Activity Co
000000000
257139.39000000
PA
287852.79000000
0.069093883283
Long
ABS-CBDO
CORP
IE
N
2
2029-10-03
Floating
0.65000000
N
N
N
N
N
N
BofA Securities, Inc.
549300HN4UKV1E2R3U73
3175JJ758 CDX.O C 0.60 AUG20 0.6 CALL
000000000
-1500000.00000000
NC
USD
-787.61000000
-0.00018905161
N/A
DCR
US
N
2
BofA Securities, Inc.
549300HN4UKV1E2R3U73
Call
Written
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX Swap
N/A
1500000.00000000
OU
Notional Amount
N/A
-787.61000000
0.00000000
DCR
US
Markit CDX.NA.IG.S34.V1
2I65BYDW2
buy protection
2025-06-20
0.00000000
N/A
0.00000000
N/A
1500000.00000000
USD
1.00000000
0.60000000
USD
2020-08-19
XXXX
112.39000000
N
N
N
Marathon CLO LTD
635400LRBGQZIPTCBI09
Marathon CLO V Ltd
56576QAN8
1516328.88000000
PA
USD
1483307.79000000
0.356041347787
Long
ABS-CBDO
CORP
KY
N
2
2027-11-21
Floating
1.24000000
N
N
N
N
N
N
CANADIAN GOVERNMENT RRB
4BFD7AQU0A75QLAHK410
Canadian Government Real Return Bond
135087VS0
927270.00000000
PA
886158.93000000
0.212706507657
Long
DBT
NUSS
CA
N
2
2026-12-01
Fixed
4.25000000
N
N
N
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F040685
5000000.00000000
PA
USD
5301269.55000000
1.272474376722
Long
ABS-MBS
USGSE
US
N
2
2050-08-15
Fixed
4.00000000
N
N
N
N
N
N
BANCO BILBAO VIZCAYA ARG
K8MS7FD7N5Z2WQ51AZ71
Banco Bilbao Vizcaya Argentaria SA
000000000
400000.00000000
PA
435951.99000000
0.104642431690
Long
DBT
CORP
ES
Y
2
2023-09-24
Fixed
5.88000000
N
N
N
N
N
N
Credit Suisse Mortgage Trust
N/A
Credit Suisse Mortgage Capital Certificates 19-RPL4
22946AAC2
277137.22000000
PA
USD
282971.60000000
0.067922241445
Long
ABS-MBS
CORP
US
N
2
2058-08-26
Fixed
3.52000000
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
292808.14000000
0.070283325896
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
UK Retail Price Index
UKRPI Index
Y
2030-06-15
8032.51000000
GBP
0.00000000
GBP
3460000.00000000
GBP
281762.24000000
N
N
N
Bank of America Corp
9DJT3UXIJIZJI4WXO774
Bank of America Corp
060505FL3
190000.00000000
PA
USD
194093.31000000
0.046588607000
Long
DBT
CORP
US
N
2
2028-03-15
Fixed
5.88000000
N
N
N
N
N
N
Residential Asset Securities Corporation
N/A
RASC Series 2006-EMX4 Trust
75406DAD5
821944.15000000
PA
USD
783545.39000000
0.188075973570
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
0.41000000
N
N
N
N
N
N
New Residential Mortgage Loan Trust
549300U48YU2VDL8N523
New Residential Mortgage Loan Trust 2018-3
64830KAA5
214370.74000000
PA
USD
231819.47000000
0.055644092951
Long
ABS-MBS
CORP
US
N
2
2058-05-25
Variable
4.50000000
N
N
N
N
N
N
MainStay US Government Liquidity Fund
549300Y3ZLEL13IJCK58
MainStay US Government Liquidity Fund
56064L488
1860439.48000000
NS
USD
1860439.48000000
0.446565024738
Long
STIV
RF
US
N
1
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
-21511.01000000
-0.00516333093
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
US CPI Urban Consumers NSA
CPURNSA Index
Y
2020-11-23
0.00000000
USD
0.00000000
USD
1300000.00000000
USD
-21511.01000000
N
N
N
Residential Asset Securities Corporation
N/A
RASC Series 2006-KS6 Trust
75406WAD3
295551.20000000
PA
USD
291276.82000000
0.069915760081
Long
ABS-MBS
CORP
US
N
2
2036-08-25
Floating
0.43000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828Z37
956880.00000000
PA
USD
1033719.30000000
0.248125719616
Long
DBT
UST
US
N
2
2030-01-15
Fixed
0.13000000
N
N
N
N
N
N
Campbell Soup Co
5493007JDSMX8Z5Z1902
Campbell Soup Co
134429BD0
300000.00000000
PA
USD
305071.25000000
0.073226864817
Long
DBT
CORP
US
N
2
2021-03-15
Fixed
3.30000000
N
N
N
N
N
N
NISSAN MOTOR ACCEPTANCE
7D6DIU2QXTUJRFNNJA49
Nissan Motor Acceptance Corp
654740AZ2
200000.00000000
PA
USD
196908.39000000
0.047264316306
Long
DBT
CORP
US
N
2
2022-07-13
Fixed
2.65000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-2775.73000000
-0.00066626404
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
302000.00000000
EUR
336521.14000000
USD
2020-07-02
-2775.73000000
N
N
N
ERAC USA Finance LLC
LTKX5ODQW6Z7BQ2K1V47
ERAC USA Finance LLC
26884TAD4
400000.00000000
PA
USD
412801.05000000
0.099085465067
Long
DBT
CORP
US
N
2
2021-08-16
Fixed
4.50000000
N
N
N
N
N
N
Venture CDO Ltd
549300NGP7BCR2JAC076
Venture 35 CLO Ltd
92331XAC8
200000.00000000
PA
USD
195161.40000000
0.046844982788
Long
ABS-CBDO
CORP
KY
N
2
2031-10-22
Floating
2.25000000
N
N
N
N
N
N
CVS Health Corp
549300EJG376EN5NQE29
CVS Health Corp
126650CT5
800000.00000000
PA
USD
810538.71000000
0.194555234380
Long
DBT
CORP
US
N
2
2021-06-01
Fixed
2.13000000
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
-102678.12000000
-0.02464603535
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
France CPI Ex Tobacco
FRCPXTOB Index
Y
2024-03-15
0.00000000
EUR
-731.27000000
EUR
2800000.00000000
EUR
-101843.48000000
N
N
N
AMERICAN ELECTRIC POWER
1B4S6S7G0TW5EE83BO58
American Electric Power Co Inc
025537AL5
100000.00000000
PA
USD
104287.33000000
0.025032297262
Long
DBT
CORP
US
N
2
2021-12-01
Fixed
3.65000000
N
N
N
N
N
N
Fannie Mae
N/A
Fannie Mae REMICS
3136B3L32
1407207.31000000
PA
USD
1405893.82000000
0.337459517096
Long
ABS-MBS
USGSE
US
N
2
2049-03-25
Variable
0.58000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD DKK
000000000
1.00000000
NC
-1218.54000000
-0.00029248860
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
1470000.00000000
DKK
220417.34000000
USD
2020-07-01
-1218.54000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128285W6
11161646.53000000
PA
USD
12715988.07000000
3.052244154192
Long
DBT
UST
US
N
2
2029-01-15
Fixed
0.88000000
N
N
N
N
N
N
Morgan Stanley Capital Inc
N/A
Morgan Stanley ABS Capital I Inc Trust 2005-WMC1
61744CLW4
269563.22000000
PA
USD
258876.28000000
0.062138593394
Long
ABS-O
CORP
US
N
2
2035-01-25
Floating
0.96000000
N
N
N
N
N
N
WESTINGHOUSE AIR BRAKE
06BTX5UWZD0GQ5N5Y745
Westinghouse Air Brake Technologies Corp
960386AP5
600000.00000000
PA
USD
600000.00000000
0.144019204990
Long
DBT
CORP
US
N
2
2021-09-15
Floating
1.61000000
N
N
N
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
0.00000000
0.000000
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
0.00000000
ILS
0.00000000
ILS
2570000.00000000
ILS
0.00000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) SEP20 XCBT 20200930
000000000
249.00000000
NC
USD
71793.78000000
0.017232805198
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
5 Year US Treasury Note
FVU0 Comdty
2020-09-30
31238011.03000000
USD
71793.78000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RA8
1985447.60000000
PA
USD
2334844.56000000
0.560437428847
Long
DBT
UST
US
N
2
2043-02-15
Fixed
0.63000000
N
N
N
N
N
N
Societe Generale
O2RNE8IBXP4R0TD8PU41
PURCHASED DKK / SOLD USD
000000000
1.00000000
NC
1088.25000000
0.000261214833
N/A
DFE
DK
N
2
Societe Generale
O2RNE8IBXP4R0TD8PU41
1353957.96000000
USD
8987344.00000000
DKK
2020-07-01
1088.25000000
N
N
N
ARGENT LETRAS DEL TESORO
549300KPBYGYF7HCHO27
Argentina Treasury Bill
000000000
1126250.00000000
PA
21195.83000000
0.005087677642
Long
STIV
NUSS
AR
N
2
2020-05-29
None
0.00000000
N
N
N
N
N
N
BONOS DE TESORERIA
254900STKLK2DBJJZ530
Peru Government Bond
000000000
2600000.00000000
PA
838851.36000000
0.201351176621
Long
DBT
NUSS
PE
Y
2
2032-08-12
Fixed
6.15000000
N
N
N
N
N
N
JAPAN GOVT CPI LINKED
353800WZS8AXZXFUC241
Japanese Government CPI Linked Bond
000000000
263778480.00000000
PA
2441248.76000000
0.585977842667
Long
DBT
NUSS
JP
N
2
2029-03-10
Fixed
0.10000000
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
552.90000000
0.000132713697
N/A
DCR
US
N
2
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Daimler AG
Daimler AG
Y
sell protection
2020-12-20
341.90000000
EUR
0.00000000
EUR
150000.00000000
EUR
-21.65000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31407UMR5
280631.52000000
PA
USD
294600.83000000
0.070713628877
Long
ABS-MBS
USGSE
US
N
2
2034-11-01
Floating
4.32000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2005-29CB
12667GUG6
47968.14000000
PA
USD
39429.47000000
0.009464334871
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Fixed
5.00000000
N
N
N
N
N
N
Countrywide Alternative Loan Trust
N/A
Alternative Loan Trust 2007-1T1
23246KAA9
714769.45000000
PA
USD
444501.90000000
0.106694683758
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Fixed
6.00000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
8409.28000000
0.002018496366
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
507600000.00000000
JPY
4709497.49000000
USD
2020-07-02
8409.28000000
N
N
N
KVK CLO Ltd
5493007VGL59COTLZY21
KVK CLO 2013-1 Ltd
482739AF6
1364825.83000000
PA
USD
1349434.69000000
0.323907518734
Long
ABS-CBDO
CORP
KY
N
2
2028-01-14
Floating
2.21000000
N
N
N
N
N
N
NORDEA KREDIT REALKREDIT
52990080NNXXLC14OC65
Nordea Kredit Realkreditaktieselskab
000000000
4594.90000000
PA
727.29000000
0.000174572879
Long
DBT
CORP
DK
N
2
2047-10-01
Fixed
2.50000000
N
N
N
N
N
N
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
317575AI9 OTC EPUT FN 2.5 102.50390625
000000000
-1400000.00000000
NC
USD
-0.01000000
-0.00000000240
N/A
DIR
US
N
2
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
Put
Written
Uniform Mortgage-Backed Security, TBA
Uniform Mortgage-Backed Security, TBA
1.00000000
102.50390630
USD
2020-07-07
XXXX
6507.80000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED JPY / SOLD USD
000000000
1.00000000
NC
-18055.42000000
-0.00433387872
N/A
DFE
JP
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
1732918.88000000
USD
185162382.00000000
JPY
2020-07-02
-18055.42000000
N
N
N
Countrywide Home Loans
N/A
CHL Mortgage Pass-Through Trust 2007-1
170255AA1
41744.36000000
PA
USD
32921.19000000
0.007902139351
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Fixed
6.00000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD JPY
000000000
1.00000000
NC
14087.09000000
0.003381352504
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
161559315.00000000
JPY
1510966.29000000
USD
2020-08-04
14087.09000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F032682
12900000.00000000
PA
USD
13562921.33000000
3.255535245502
Long
ABS-MBS
USGSE
US
N
2
2050-08-15
Fixed
3.50000000
N
N
N
N
N
N
SLM Student Loan Trust
549300NCDXZHFMZO1S26
SLM Private Education Loan Trust 2011-B
83149UAC5
55558.62000000
PA
USD
55713.08000000
0.013372922481
Long
ABS-O
CORP
US
N
2
2042-06-16
Floating
2.43000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128284H0
10159111.20000000
PA
USD
10563109.39000000
2.535484360966
Long
DBT
UST
US
N
2
2023-04-15
Fixed
0.63000000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust Inc
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust Inc
17307GGX0
244184.98000000
PA
USD
246819.47000000
0.059244573076
Long
ABS-MBS
CORP
US
N
2
2034-08-25
Fixed
5.50000000
N
N
N
N
N
N
Conagra Brands Inc
54930035UDEIH090K650
Conagra Brands Inc
205887BJ0
200000.00000000
PA
USD
209821.32000000
0.050363832827
Long
DBT
CORP
US
N
2
2022-09-15
Fixed
3.25000000
N
N
N
N
N
N
Pernod Ricard SA
52990097YFPX9J0H5D87
Pernod Ricard SA
714264AA6
794000.00000000
PA
USD
824775.36000000
0.197972486072
Long
DBT
CORP
FR
N
2
2021-04-07
Fixed
5.75000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828YL8
5996043.00000000
PA
USD
6279764.06000000
1.507344379086
Long
DBT
UST
US
N
2
2024-10-15
Fixed
0.13000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RF7
16380489.00000000
PA
USD
22331307.54000000
5.360228597198
Long
DBT
UST
US
N
2
2044-02-15
Fixed
1.38000000
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
-72328.28000000
-0.01736110230
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
US CPI Urban Consumers NSA
CPURNSA Index
Y
2021-09-20
0.00000000
USD
0.00000000
USD
4600000.00000000
USD
-72328.28000000
N
N
N
FCE Bank PLC
TU5V87TL5Q0UV1EW4H93
FCE Bank PLC
000000000
900000.00000000
PA
987832.50000000
0.237111418857
Long
DBT
CORP
GB
Y
2
2021-06-24
Fixed
1.88000000
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
659094.48000000
PA
USD
531887.27000000
0.127669969617
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Floating
0.34000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED DKK / SOLD USD
000000000
1.00000000
NC
633.75000000
0.000152120285
N/A
DFE
DK
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
2211462.14000000
USD
14671726.00000000
DKK
2020-07-01
633.75000000
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
-2925.12000000
-0.00070212242
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
ICE Libor Japan 6 Months
JPY0006M Index
Y
2027-09-20
0.00000000
JPY
-21022.00000000
JPY
14000000.00000000
JPY
-2742.14000000
N
N
N
Soundview Home Equity Loan Trust
N/A
Soundview Home Loan Trust 2007-OPT2
83613DAD8
231523.23000000
PA
USD
213599.35000000
0.051270680955
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Floating
0.36000000
N
N
N
N
N
N
SLM Student Loan Trust
549300YK6GOQU7FJ5N55
SLM Student Loan Trust 2004-3
78442GLL8
479464.39000000
PA
USD
455566.69000000
0.109350587523
Long
ABS-O
CORP
US
N
2
2064-10-25
Floating
1.54000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
-2958.87000000
-0.00071022350
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
506000.00000000
EUR
565531.91000000
USD
2020-07-02
-2958.87000000
N
N
N
YPF SOCIEDAD ANONIMA
5493003N7447U18U5U53
YPF SA
000000000
3130000.00000000
PA
47857.64000000
0.011487365442
Long
DBT
CORP
AR
N
2
2021-03-04
Floating
33.09000000
N
N
N
N
N
N
Argent Securities Inc.
N/A
Argent Securities Trust 2006-W4
040104TG6
322037.93000000
PA
USD
113914.70000000
0.027343174217
Long
ABS-O
CORP
US
N
2
2036-05-25
Floating
0.34000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828QV5
2025319.60000000
PA
USD
2060493.73000000
0.494584448139
Long
DBT
UST
US
N
2
2021-07-15
Fixed
0.63000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RL4
1644435.30000000
PA
USD
2009509.90000000
0.482346697032
Long
DBT
UST
US
N
2
2045-02-15
Fixed
0.75000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) SEP20 XCBT 20200930
000000000
-63.00000000
NC
USD
-1555.47000000
-0.00037336258
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
2 Year US Treasury Note
TUU0 Comdty
2020-09-30
-13910616.47000000
USD
-1555.47000000
N
N
N
UMBS, TBA
N/A
Uniform Mortgage-Backed Security, TBA
01F020695
2700000.00000000
PA
USD
2751510.17000000
0.660450512013
Long
ABS-MBS
USGSE
US
N
2
2050-09-15
Fixed
2.00000000
N
N
N
N
N
N
Venture CDO Ltd
549300LQ92YS70N4PB21
Venture XX CLO Ltd
92330JCC8
661478.77000000
PA
USD
654420.13000000
0.157081778087
Long
ABS-CBDO
CORP
KY
N
2
2027-04-15
Floating
2.04000000
N
N
N
N
N
N
PANASONIC CORP
254900GE1G59KGWPHX32
Panasonic Corp
69832AAA4
800000.00000000
PA
USD
823076.90000000
0.197564801307
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 EUR
000000000
1.00000000
NC
-82321.84000000
-0.01975987658
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
9022000.00000000
EUR
10053891.25000000
USD
2020-07-02
-82321.84000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810QV3
3892775.60000000
PA
USD
4657850.93000000
1.118033313174
Long
DBT
UST
US
N
2
2042-02-15
Fixed
0.75000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828SA9
10229093.70000000
PA
USD
10366966.03000000
2.488403676347
Long
DBT
UST
US
N
2
2022-01-15
Fixed
0.13000000
N
N
N
N
N
N
BMW US Capital LLC
KK5MZM9DIXLXZL9DZL15
BMW US Capital LLC
05565EBC8
600000.00000000
PA
USD
615884.24000000
0.147831931018
Long
DBT
CORP
US
N
2
2021-08-13
Fixed
3.40000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828TE0
4262141.52000000
PA
USD
4362414.45000000
1.047119101549
Long
DBT
UST
US
N
2
2022-07-15
Fixed
0.13000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD CAD
000000000
1.00000000
NC
-8088.12000000
-0.00194140768
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
1159000.00000000
CAD
845624.31000000
USD
2020-07-02
-8088.12000000
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED ILS / SOLD USD
000000000
1.00000000
NC
-9.57000000
-0.00000229710
N/A
DFE
IL
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
1196.00000000
USD
4101.59000000
ILS
2020-09-15
-9.57000000
N
N
N
Residential Asset Securitization Trust
N/A
Residential Asset Securitization Trust 2006-A10
76113LAE7
258297.45000000
PA
USD
156230.28000000
0.037500267868
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Fixed
6.50000000
N
N
N
N
N
N
LCH Limited
F226TOH6YD6XJB17KS62
Long: SWU0JI826 IRS GBP R F 2.60000 SWUVJI828 CCPINFLATIONZERO / Short: SWU0JI826 IRS GBP P V 01MUKRPI SWU0JI826 CCPINFLATIONZERO
000000000
3300000.00000000
OU
Notional Amount
23047.63000000
0.005532168915
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
UK Retail Price Index
UKRPI Index
Y
2022-05-15
354.37000000
GBP
0.00000000
GBP
3300000.00000000
GBP
22610.24000000
N
N
N
Textron Inc
3PPKBHUG1HD6BO7RNR87
Textron Inc
883203BZ3
580000.00000000
PA
USD
578245.30000000
0.138797380659
Long
DBT
CORP
US
N
2
2020-11-10
Floating
1.00000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED BRL / SOLD USD
000000000
1.00000000
NC
5108.67000000
0.001226244319
N/A
DFE
BR
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
2511107.24000000
USD
13706000.00000000
BRL
2020-08-04
5108.67000000
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
-27290.71000000
-0.00655064392
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
US CPI Urban Consumers NSA
CPURNSA Index
Y
2023-05-09
0.00000000
USD
0.00000000
USD
510000.00000000
USD
-27290.71000000
N
N
N
LETRA TESOURO NACIONAL
254900ZFY40OYEADAP90
Brazil Letras do Tesouro Nacional
000000000
13706000.00000000
PA
2507176.17000000
0.601802531292
Long
DBT
NUSS
BR
N
2
2020-10-01
None
0.00000000
N
N
N
N
N
N
Merrill Lynch Mortgage Investors Trust
N/A
Merrill Lynch Mortgage Investors Trust MLMI Series 2005-A4
59020UXH3
202682.39000000
PA
USD
141674.12000000
0.034006323550
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Variable
3.50000000
N
N
N
N
N
N
Intesa Sanpaolo SpA
2W8N8UU78PMDQKZENC08
Intesa Sanpaolo SpA
46115HAD9
400000.00000000
PA
USD
411260.32000000
0.098715640551
Long
DBT
CORP
IT
N
2
2021-02-24
Fixed
6.50000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810QP6
3782459.20000000
PA
USD
5643575.32000000
1.354638718154
Long
DBT
UST
US
N
2
2041-02-15
Fixed
2.13000000
N
N
N
N
N
N
CIGNA CORP
549300VIWYMSIGT1U456
Cigna Corp
125523AF7
133000.00000000
PA
USD
144369.64000000
0.034653334629
Long
DBT
CORP
US
N
2
2023-07-15
Fixed
3.75000000
N
N
N
N
N
N
CCBPSDUS2 FWBC BNP PARIBAS BOC
N/A
CCBPSDUS2 FWBC BNP PARIBAS BOC
000000000
-1010000.00000000
NS
USD
-1010000.00000000
-0.24243232840
Short
STIV
CORP
US
N
2
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828V49
16285404.20000000
PA
USD
17547422.38000000
4.211943034679
Long
DBT
UST
US
N
2
2027-01-15
Fixed
0.38000000
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
204706.56000000
0.049136126712
Long
DBT
CORP
US
N
2
2021-07-29
Fixed
3.65000000
N
N
N
N
N
N
Catamaran CLO Ltd
549300MB476AHX5W1918
Catamaran CLO 2013-1 Ltd
14889EAL0
1096781.53000000
PA
USD
1078532.18000000
0.258882245201
Long
ABS-CBDO
CORP
KY
N
2
2028-01-27
Floating
1.84000000
N
N
N
N
N
N
BofA Securities, Inc.
549300HN4UKV1E2R3U73
3175JJ782 SWAPTION AUG20 1.15 PUT
000000000
-4600000.00000000
NC
USD
-5052.13000000
-0.00121267291
N/A
DCR
US
N
2
BofA Securities, Inc.
549300HN4UKV1E2R3U73
Put
Written
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX Swap
N/A
4600000.00000000
OU
Notional Amount
N/A
-5052.13000000
0.00000000
DCR
US
Markit CDX.NA.IG.S34.V1
2I65BYDW2
sell protection
2025-06-20
0.00000000
N/A
0.00000000
N/A
4600000.00000000
USD
1.00000000
1.15000000
USD
2020-08-19
XXXX
1387.87000000
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD DKK
000000000
1.00000000
NC
4611.93000000
0.001107010820
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
6562789.00000000
DKK
996067.33000000
USD
2020-10-01
4611.93000000
N
N
N
Fannie Mae
B1V7KEBTPIMZEU4LTD58
Fannie Mae Pool
31385HJE3
205765.88000000
PA
USD
212359.65000000
0.050973113275
Long
ABS-MBS
USGSE
US
N
2
2036-12-01
Floating
4.13000000
N
N
N
N
N
N
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
PURCHASED USD / SOLD DKK
000000000
1.00000000
NC
-466.86000000
-0.00011206134
N/A
DFE
US
N
2
Morgan Stanley & Co. International PLC
4PQUHN3JPFGFNF3BB653
14671726.00000000
DKK
2216024.03000000
USD
2020-10-01
-466.86000000
N
N
N
Freddie Mac
N/A
Freddie Mac REMICS
3137F4BX9
330636.49000000
PA
USD
331559.53000000
0.079584899862
Long
ABS-MBS
USGSE
US
N
2
2044-07-15
Floating
0.72000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BTP FUTURE SEP20 XEUR 20200908
000000000
-14.00000000
NC
-58701.77000000
-0.01409030374
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Long-Term Euro-BTP (FBTP)
IKU0 Comdty
2020-09-08
-1962070.96000000
EUR
-58701.77000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128287D6
26903195.60000000
PA
USD
29430780.96000000
7.064329460202
Long
DBT
UST
US
N
2
2029-07-15
Fixed
0.25000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUND FUTURE SEP20 XEUR 20200908
000000000
61.00000000
NC
31369.84000000
0.007529765695
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
Euro-Bund (FGBL)
RXU0 Comdty
2020-09-08
10739798.46000000
EUR
31369.84000000
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
93533.44000000
0.022451019448
N/A
DIR
DE
N
2
LCH Limited
F226TOH6YD6XJB17KS62
Harmonised Index of Consumer Prices
HICP Index
Y
2028-03-15
80.71000000
EUR
0.00000000
EUR
1000000.00000000
EUR
93429.81000000
N
N
N
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
DUU0C116 SEP20 116 CALL FSO
000000000
577.00000000
NC
3241.30000000
0.000778015748
N/A
DIR
DE
N
1
Morgan Stanley & Co. LLC
9R7GPTSO7KV3UQJZQ078
Call
Purchased
Euro-Schatz Futures (FGBS)
DUU0 Comdty
100000.00000000
116.00000000
EUR
2020-08-21
XXXX
-330.61000000
N
N
N
BofA Securities, Inc.
549300HN4UKV1E2R3U73
3175SH026 CDX.O P 1.10 SEP20 1.1 PUT
000000000
-1300000.00000000
NC
USD
-2856.30000000
-0.00068560342
N/A
DCR
US
N
2
BofA Securities, Inc.
549300HN4UKV1E2R3U73
Put
Written
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
Intercontinental Exchange, Inc.
5493000F4ZO33MV32P92
CDX Swap
N/A
1300000.00000000
OU
Notional Amount
N/A
-2856.30000000
0.00000000
DCR
US
Markit CDX.NA.IG.S34.V1
2I65BYDW2
sell protection
2025-06-20
0.00000000
N/A
0.00000000
N/A
1300000.00000000
USD
1.00000000
1.10000000
USD
2020-09-16
XXXX
-223.80000000
N
N
N
Trinity Square
213800ZEQXAVEJ72CR83
Trinity Square 2015-1 PLC
000000000
528161.45000000
PA
654605.49000000
0.157126270420
Long
ABS-MBS
CORP
GB
N
2
2051-07-15
Floating
1.82000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust 2005-AR12
45660LMG1
150532.84000000
PA
USD
137213.84000000
0.032935713584
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Floating
0.66000000
N
N
N
N
N
N
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
3175SG705 OTC EPUT FN 2.0 100.8671875
000000000
-800000.00000000
NC
USD
-318.16000000
-0.00007636858
N/A
DIR
US
N
2
J.P. Morgan Securities LLC
ZBUT11V806EZRVTWT807
Put
Written
Uniform Mortgage-Backed Security, TBA
Uniform Mortgage-Backed Security, TBA
1.00000000
100.86718750
USD
2020-07-07
XXXX
4931.84000000
N
N
N
Cooperatieve Rabobank UA
DG3RU1DBUFHT4ZF9WN62
Cooperatieve Rabobank UA
000000000
200000.00000000
PA
230598.29000000
0.055350970663
Long
DBT
CORP
NL
Y
2
2021-06-29
Fixed
6.63000000
N
N
N
N
N
N
AREIT CRE Trust
N/A
AREIT 2020-CRE4 Trust
04002RAA8
400000.00000000
PA
USD
400651.44000000
0.096169169778
Long
ABS-CBDO
CORP
KY
N
2
2037-04-14
Floating
2.80000000
N
N
N
N
N
N
Bank of America, National Association
B4TYDEB6GKMZO031MB27
PURCHASED USD / SOLD BRL
000000000
1.00000000
NC
1413.88000000
0.000339376455
N/A
DFE
US
N
2
Bank of America, National Association
B4TYDEB6GKMZO031MB27
315438.11000000
BRL
59419.09000000
USD
2020-07-02
1413.88000000
N
N
N
NORDEA KREDIT REALKREDIT
52990080NNXXLC14OC65
Nordea Kredit Realkreditaktieselskab
000000000
11630325.35000000
PA
1740384.16000000
0.417747905170
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 GBP
000000000
1.00000000
NC
-269.18000000
-0.00006461181
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
50000.00000000
GBP
61685.85000000
USD
2020-07-02
-269.18000000
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
-21380.44000000
-0.00513198995
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
US CPI Urban Consumers NSA
CPURNSA Index
Y
2020-11-25
0.00000000
USD
0.00000000
USD
1300000.00000000
USD
-21380.44000000
N
N
N
Saxon Asset Securities Trust
N/A
Saxon Asset Securities Trust 2007-3
80557BAA2
172733.01000000
PA
USD
161410.22000000
0.038743619269
Long
ABS-O
CORP
US
N
2
2037-09-25
Variable
0.49000000
N
N
N
N
N
N
New Century Home Equity Loan Trust
N/A
New Century Home Equity Loan Trust 2004-4
64352VJJ1
76231.61000000
PA
USD
72617.39000000
0.017430497960
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Floating
0.95000000
N
N
N
N
N
N
Countrywide Asset-Backed Certificates
N/A
Countrywide Asset-Backed Certificates
12669WAA4
757186.96000000
PA
USD
700151.02000000
0.168058655456
Long
ABS-O
CORP
US
N
2
2037-11-25
Floating
0.37000000
N
N
N
N
N
N
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
AUST 10Y BOND FUT SEP20 XSFE 20200915
000000000
-7.00000000
NC
-11553.78000000
-0.00277327701
N/A
DIR
AU
N
1
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
Short
10 Year Commonwealth Treasury Bond
XMU0 Comdty
2020-09-15
-1024776.41000000
AUD
-11553.78000000
N
N
N
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
AUST 3YR BOND FUT SEP20 XSFE 20200915
000000000
-13.00000000
NC
-464.09000000
-0.00011139645
N/A
DIR
AU
N
1
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
Short
3 Year Commonwealth Treasury Bond
YMU0 Comdty
2020-09-15
-1521104.65000000
AUD
-464.09000000
N
N
N
AT&T Inc
549300Z40J86GGSTL398
AT&T Inc
00206RFU1
300000.00000000
PA
USD
384684.23000000
0.092336528295
Long
DBT
CORP
US
N
2
2050-02-15
Fixed
5.15000000
N
N
N
N
N
N
ACTIVISION BLIZZARD
549300TPQQDBP9GNOF40
Activision Blizzard Inc
00507VAL3
200000.00000000
PA
USD
207540.00000000
0.049816243006
Long
DBT
CORP
US
N
2
2022-06-15
Fixed
2.60000000
N
N
N
N
N
N
FCE Bank PLC
TU5V87TL5Q0UV1EW4H93
FCE Bank PLC
000000000
800000.00000000
PA
892004.73000000
0.214109686771
Long
DBT
CORP
GB
Y
2
2020-08-26
Floating
0.22000000
N
N
N
N
N
N
Government National Mortgage Association
549300M8ZYFG0OCMTT87
Government National Mortgage Association
38380LJY0
615985.56000000
PA
USD
609504.84000000
0.146300670824
Long
ABS-MBS
USGA
US
N
2
2068-08-20
Floating
2.27000000
N
N
N
N
N
N
SILVERSTONE MASTER ISSUER
549300P6OXWKM20QS303
Silverstone Master Issuer PLC
000000000
219000.00000000
PA
272953.76000000
0.065517639190
Long
ABS-MBS
CORP
GB
N
2
2070-01-21
Variable
1.24000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128283R9
17058961.04000000
PA
USD
18700011.60000000
4.488601339922
Long
DBT
UST
US
N
2
2028-01-15
Fixed
0.50000000
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
-59135.81000000
-0.01419448723
N/A
DIR
US
N
2
LCH Limited
F226TOH6YD6XJB17KS62
US CPI Urban Consumers NSA
CPURNSA Index
Y
2023-04-27
0.00000000
USD
0.00000000
USD
1100000.00000000
USD
-59135.81000000
N
N
N
Ally Financial Inc
549300JBN1OSM8YNAI90
Ally Financial Inc
02005NBG4
100000.00000000
PA
USD
101802.63000000
0.024435889730
Long
DBT
CORP
US
N
2
2021-04-15
Fixed
4.25000000
N
N
N
N
N
N
RELX Capital Inc
2R15C3RTKJN1RCBOV146
RELX Capital Inc
74949LAB8
100000.00000000
PA
USD
106638.09000000
0.025596554905
Long
DBT
CORP
US
N
2
2023-03-16
Fixed
3.50000000
N
N
N
N
N
N
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
PURCHASED USD / SOLD EUR
000000000
1.00000000
NC
13201.39000000
0.003168756154
N/A
DFE
US
N
2
JPMorgan Chase Bank, National Association
7H6GLXDRUGQFU57RNE97
1356000.00000000
EUR
1536666.80000000
USD
2020-07-02
13201.39000000
N
N
N
Republic of Argentina
549300KPBYGYF7HCHO27
Argentina Bocon
000000000
63170.28000000
PA
1255.20000000
0.000301288176
Long
DBT
NUSS
AR
N
2
2022-10-04
Floating
30.02000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810SG4
3107858.50000000
PA
USD
4141675.70000000
0.994134736073
Long
DBT
UST
US
N
2
2049-02-15
Fixed
1.00000000
N
N
N
N
N
N
Voya CLO Ltd
5493000X4YEVJOIVRG48
Voya CLO 2014-3 Ltd
92912QAG1
224492.27000000
PA
USD
223237.36000000
0.053584111852
Long
ABS-CBDO
CORP
KY
N
2
2026-07-25
Floating
1.71000000
N
N
N
N
N
N
State of Qatar
52990074F6OJOAXK4P65
Qatar Government International Bond
000000000
300000.00000000
PA
USD
321708.00000000
0.077220217332
Long
DBT
NUSS
QA
Y
2
2023-04-23
Fixed
3.88000000
N
N
N
N
N
N
DEUTSCHE BANK NY
7LTWFZYICNSX8D621K86
Deutsche Bank AG/New York NY
251526BX6
1400000.00000000
PA
USD
1436417.16000000
0.344786095697
Long
DBT
CORP
DE
N
2
2021-10-14
Fixed
4.25000000
N
N
N
N
N
N
2020-07-21
MAINSTAY VP FUNDS TRUST
Jack Benintende
Jack Benintende
Treasurer