0001752724-20-128032.txt : 20200625
0001752724-20-128032.hdr.sgml : 20200625
20200625110555
ACCESSION NUMBER: 0001752724-20-128032
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20200430
FILED AS OF DATE: 20200625
PERIOD START: 20201031
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: PRINCIPAL FUNDS INC
CENTRAL INDEX KEY: 0000898745
IRS NUMBER: 000000000
STATE OF INCORPORATION: MD
FISCAL YEAR END: 1031
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-07572
FILM NUMBER: 20987717
BUSINESS ADDRESS:
STREET 1: 711 HIGH STREET
CITY: DES MOINES
STATE: IA
ZIP: 50392
BUSINESS PHONE: 515-248-4745
MAIL ADDRESS:
STREET 1: PRINCIPAL FINANCIAL GROUP
CITY: DES MOINES
STATE: IA
ZIP: 50392
FORMER COMPANY:
FORMER CONFORMED NAME: PRINCIPAL INVESTORS FUND INC
DATE OF NAME CHANGE: 20001012
FORMER COMPANY:
FORMER CONFORMED NAME: PRINCIPAL SPECIAL MARKETS FUND INC
DATE OF NAME CHANGE: 19930714
0000898745
S000006997
Inflation Protection Fund
C000019080
R-2
PBSAX
C000019081
R-3
PIFPX
C000019082
R-5
PBPPX
C000019083
R-4
PIFSX
C000019084
R-1
PISPX
C000019085
Class J
PIPJX
C000019086
Institutional Class
PIPIX
C000019087
Class A
PITAX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000898745
XXXXXXXX
S000006997
C000019086
C000019082
C000019084
C000019080
C000019081
C000019085
C000019083
C000019087
Principal Funds, Inc
811-07572
0000898745
549300HZGBXSW6DSXF23
801 Grand Ave
Des Moines
50309
515-248-0156
Inflation Protection Fund
S000006997
5493006ECFME6VCZ0U45
2020-10-31
2020-04-30
N
1651367378.25
28900923.73
1622466454.52
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
EUR
USD
JPY
GBP
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828ZJ2
20816873.35000000
PA
USD
21347372.63000000
1.315735839747
Long
DBT
UST
US
N
2
2025-04-15
Fixed
0.13000000
N
N
N
N
N
N
Japanese Government CPI Linked Bond
353800WZS8AXZXFUC241
Japanese Government CPI Linked Bond
N/A
3166373977.00000000
PA
29343138.61000000
1.808551328026
Long
DBT
NUSS
JP
N
2
2029-03-10
Fixed
0.10000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
7180000.00000000
OU
Notional Amount
USD
-405415.85000000
-0.02498762602
N/A
DIR
N/A
N
2
JPMorgan Chase
N/A
Call
Written
JPMorgan Chase
N/A
N/A
N/A
Interest Rate Swap
N/A
7180000.00000000
OU
Notional Amount
USD
-405415.85000000
-0.02498800
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
7180000.00000000
USD
7180000.00000000
USD
1.20000000
USD
2020-08-18
XXXX
-271867.85000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-135302.33000000
-0.00833929907
N/A
DFE
N/A
N
2
Deutsche Bank AG
N/A
6887333000.00000000
JPY
64047361.32000000
USD
2020-05-07
-135302.33000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
5530000.00000000
OU
Notional Amount
USD
23782.95000000
0.001465851570
N/A
DIR
N/A
N
2
JPMorgan Chase
N/A
Put
Purchased
JPMorgan Chase
N/A
N/A
N/A
Interest Rate Swap
N/A
5530000.00000000
OU
Notional Amount
USD
23782.95000000
0.00146600
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
5530000.00000000
USD
5530000.00000000
USD
2.25000000
USD
2022-08-03
XXXX
-125527.05000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
4870000.00000000
OU
Notional Amount
USD
23970.60000000
0.001477417294
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Purchased
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
4870000.00000000
OU
Notional Amount
USD
23970.60000000
0.00147700
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
4870000.00000000
USD
4870000.00000000
USD
2.95000000
USD
2024-03-13
XXXX
-195544.65000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
4950000.00000000
OU
Notional Amount
USD
1529.74000000
0.000094284846
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2032-05-03
102.71000000
USD
0.00000000
USD
4950000.00000000
USD
1427.03000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
3705000.00000000
OU
Notional Amount
USD
106340.51000000
0.006554250148
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Purchased
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
3705000.00000000
OU
Notional Amount
USD
106340.51000000
0.00655400
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
3705000.00000000
USD
3705000.00000000
USD
3.08800000
USD
2038-12-07
XXXX
-65941.99000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
940000.00000000
OU
Notional Amount
USD
85614.78000000
0.005276828976
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-01-29
19.23000000
USD
0.00000000
USD
940000.00000000
USD
85595.55000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
2150000.00000000
OU
Notional Amount
USD
-5231.48000000
-0.00032243994
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2045-11-15
55.30000000
USD
0.00000000
USD
2150000.00000000
USD
-5286.78000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1760000.00000000
OU
Notional Amount
USD
160130.52000000
0.009869573546
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-01-29
36.01000000
USD
0.00000000
USD
1760000.00000000
USD
160094.51000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1940000.00000000
OU
Notional Amount
USD
-192650.13000000
-0.01187390527
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2034-10-22
38.54000000
USD
0.00000000
USD
1940000.00000000
USD
-192688.67000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1535000.00000000
OU
Notional Amount
USD
-32116.36000000
-0.00197947759
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Put
Written
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
1535000.00000000
OU
Notional Amount
USD
-32116.36000000
-0.00197900
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1535000.00000000
USD
1535000.00000000
USD
0.76500000
USD
2021-04-16
XXXX
9981.02000000
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810SB5
29424169.50000000
PA
USD
38797710.07000000
2.391279644760
Long
DBT
UST
US
N
2
2048-02-15
Fixed
1.00000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
6970000.00000000
OU
Notional Amount
USD
-2549.15000000
-0.00015711572
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
6970000.00000000
OU
Notional Amount
USD
-2549.15000000
-0.00015700
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
6970000.00000000
USD
6970000.00000000
USD
1.76250000
USD
2020-09-17
XXXX
172746.35000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
5390000.00000000
OU
Notional Amount
USD
49960.70000000
0.003079305575
N/A
DIR
N/A
N
2
Morgan Stanley & Co
N/A
Put
Purchased
Morgan Stanley & Co
N/A
N/A
N/A
Interest Rate Swap
N/A
5390000.00000000
OU
Notional Amount
USD
49960.70000000
0.00307900
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
5390000.00000000
USD
5390000.00000000
USD
2.50000000
USD
2024-06-21
XXXX
-167958.66000000
N
N
N
N/A
N/A
Futures
N/A
16.00000000
NC
-1408.59000000
-0.00008681781
N/A
DIR
N/A
N
1
EUX
N/A
Long
N/A
Euro-BTP; June 2020
2020-06-09
2430166.68000000
USD
-1408.59000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
2270000.00000000
OU
Notional Amount
USD
205171.27000000
0.012645640187
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-04-29
46.47000000
USD
0.00000000
USD
2270000.00000000
USD
205124.80000000
N
N
N
Indonesia Government International Bond
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CQ7
2065000.00000000
PA
USD
2000730.63000000
0.123314144611
Long
DBT
NUSS
ID
N
2
2030-02-14
Fixed
2.85000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
940000.00000000
OU
Notional Amount
USD
94639.45000000
0.005833060507
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-01-27
19.21000000
USD
0.00000000
USD
940000.00000000
USD
94620.24000000
N
N
N
Fannie Mae REMIC Trust 2004-W5
N/A
Fannie Mae REMIC Trust 2004-W5
31393YKN4
18600.65000000
PA
USD
18549.54000000
0.001143292667
Long
ABS-MBS
CORP
US
N
2
2047-02-25
Floating
0.94000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
7060000.00000000
OU
Notional Amount
-2253.38000000
-0.00013888607
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
7060000.00000000
OU
Notional Amount
-2253.38000000
-0.00013900
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
7060000.00000000
EUR
7060000.00000000
EUR
0.00010000
EUR
2021-07-02
XXXX
12329.12000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
32305000.00000000
OU
Notional Amount
-169548.63000000
-0.01045005457
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
32305000.00000000
OU
Notional Amount
-169548.63000000
-0.01045000
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
32305000.00000000
EUR
32305000.00000000
EUR
0.29300000
EUR
2020-08-21
XXXX
-13577.59000000
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828VM9
26180559.46000000
PA
USD
26583312.81000000
1.638450689439
Long
DBT
UST
US
N
2
2023-07-15
Fixed
0.38000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
2710000.00000000
OU
Notional Amount
USD
178605.94000000
0.011008297860
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Put
Purchased
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
2710000.00000000
OU
Notional Amount
USD
178605.94000000
0.01100800
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
2710000.00000000
USD
2710000.00000000
USD
1.15000000
USD
2022-04-08
XXXX
-73092.02000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
12600000.00000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Put
Written
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
12600000.00000000
OU
Notional Amount
USD
0.00000000
0.00000000
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
12600000.00000000
USD
12600000.00000000
USD
2.90000000
USD
2020-06-01
XXXX
92610.00000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
5200000.00000000
OU
Notional Amount
-439782.98000000
-0.02710582883
N/A
DIR
N/A
N
2
LCH
N/A
N/A
United Kingdom Retail Prices Index
Y
2035-01-15
21761.28000000
USD
0.00000000
USD
5200000.00000000
GBP
-461544.26000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
2150000.00000000
OU
Notional Amount
USD
-8045.82000000
-0.00049590054
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2045-11-15
55.30000000
USD
0.00000000
USD
2150000.00000000
USD
-8101.12000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-174088.78000000
-0.01072988470
N/A
DFE
N/A
N
2
Bank of America NA
N/A
17402000.00000000
EUR
18904332.06000000
USD
2020-06-03
-174088.78000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
369250.54000000
0.022758593188
N/A
DFE
N/A
N
2
Morgan Stanley & Co
N/A
6885520000.00000000
JPY
64571040.60000000
USD
2020-06-03
369250.54000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
19480000.00000000
OU
Notional Amount
-1696.16000000
-0.00010454206
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
19480000.00000000
OU
Notional Amount
-1696.16000000
-0.00010500
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
19480000.00000000
EUR
19480000.00000000
EUR
0.16000000
EUR
2021-04-13
XXXX
64879.75000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
960000.00000000
OU
Notional Amount
USD
-3338.56000000
-0.00020577066
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-03-11
19.87000000
USD
0.00000000
USD
960000.00000000
USD
-3358.43000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
5710000.00000000
OU
Notional Amount
USD
-377192.51000000
-0.02324809298
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-08-27
117.88000000
USD
0.00000000
USD
5710000.00000000
USD
-377310.39000000
N
N
N
Spain Government Bond
9598007A56S18711AH60
Spain Government Bond
N/A
7940000.00000000
PA
8500367.20000000
0.523916360570
Long
DBT
NUSS
ES
N
2
2030-04-30
Fixed
0.50000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
6490000.00000000
OU
Notional Amount
USD
-64121.18000000
-0.00395208047
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2025-04-14
116.96000000
USD
0.00000000
USD
6490000.00000000
USD
-64238.14000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
3440000.00000000
OU
Notional Amount
USD
-69565.47000000
-0.00428763687
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2025-09-08
61.42000000
USD
0.00000000
USD
3440000.00000000
USD
-69626.89000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
16250000.00000000
OU
Notional Amount
-18265.97000000
-0.00112581495
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Put
Written
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
16250000.00000000
OU
Notional Amount
-18265.97000000
-0.00112600
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
16250000.00000000
EUR
16250000.00000000
EUR
0.18000000
EUR
2020-07-17
XXXX
203439.29000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
5500000.00000000
OU
Notional Amount
USD
-25029.84000000
-0.00154270308
N/A
DIR
N/A
N
2
Morgan Stanley & Co
N/A
Put
Written
Morgan Stanley & Co
N/A
N/A
N/A
Interest Rate Swap
N/A
5500000.00000000
OU
Notional Amount
USD
-25029.84000000
-0.00154300
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
5500000.00000000
USD
5500000.00000000
USD
1.95000000
USD
2022-01-31
XXXX
103532.66000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1600000.00000000
OU
Notional Amount
USD
1892.41000000
0.000116637850
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-05-05
32.99000000
USD
0.00000000
USD
1600000.00000000
USD
1859.42000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
13390000.00000000
OU
Notional Amount
-2941.00000000
-0.00018126723
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
13390000.00000000
OU
Notional Amount
-2941.00000000
-0.00018100
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
13390000.00000000
EUR
13390000.00000000
EUR
0.05000000
EUR
2021-06-11
XXXX
30778.37000000
N
N
N
N/A
N/A
Capped Options
N/A
26890000.00000000
OU
Notional Amount
USD
10263.76000000
0.000632602293
N/A
DIR
N/A
N
2
JPMorgan Chase
N/A
Call
Purchased
JPMorgan Chase
N/A
N/A
N/A
Interest Rate Swap
N/A
26890000.00000000
OU
Notional Amount
USD
10263.76000000
0.00063300
DIR
N/A
Max (0, 5Y CMS-0.40%)
N/A
N/A
N/A
N/A
N/A
26890000.00000000
USD
26890000.00000000
USD
0.40000000
USD
2020-06-30
XXXX
-11024.79000000
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810PS1
31798509.17100000
PA
USD
37703202.64000000
2.323820164969
Long
DBT
UST
US
N
2
2027-01-15
Fixed
2.38000000
N
N
N
N
N
N
New Zealand Government Inflation Linked Bond
549300237GPHG2AI7C34
New Zealand Government Inflation Linked Bond
N/A
7698057.50000000
PA
6157413.41000000
0.379509443344
Long
DBT
NUSS
NZ
N
2
2035-09-20
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
28450000.00000000
OU
Notional Amount
USD
-415496.10000000
-0.02560891775
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2021-06-15
249.18000000
USD
0.00000000
USD
28450000.00000000
USD
-415745.28000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
14120000.00000000
OU
Notional Amount
861566.34000000
0.053102259069
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Harmonised Indices of Consumer Prices Excluding Food and Energy
Y
2030-01-15
0.00000000
USD
16152.52000000
USD
14120000.00000000
EUR
877718.86000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
13235000.00000000
OU
Notional Amount
26473.76000000
0.001631698450
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Eurozone Harmonised Index of Consumer Prices ex-Tobacco
Y
2025-04-15
692.10000000
USD
0.00000000
USD
13235000.00000000
EUR
25781.66000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
3170000.00000000
OU
Notional Amount
USD
-19439.67000000
-0.00119815543
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-07-22
65.63000000
USD
0.00000000
USD
3170000.00000000
USD
-19505.30000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1860000.00000000
OU
Notional Amount
USD
175369.30000000
0.010808808990
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-01-30
38.07000000
USD
0.00000000
USD
1860000.00000000
USD
175331.23000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
3576000.00000000
OU
Notional Amount
8337.97000000
0.000513907081
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2022-06-24
19.89000000
USD
0.00000000
USD
3576000.00000000
EUR
8318.08000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
3200000.00000000
OU
Notional Amount
-6197.77000000
-0.00038199680
N/A
DIR
N/A
N
2
CME
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2022-03-06
0.00000000
USD
39.30000000
USD
3200000.00000000
EUR
-6158.47000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
4530000.00000000
OU
Notional Amount
USD
63261.75000000
0.003899109890
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2023-03-02
72.05000000
USD
0.00000000
USD
4530000.00000000
USD
63189.70000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
6049.68000000
0.000372869342
N/A
DFE
N/A
N
2
Bank of America NA
N/A
2452500.00000000
USD
3420940.75000000
CAD
2020-07-08
6049.68000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
940000.00000000
OU
Notional Amount
USD
102702.77000000
0.006330039657
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-01-23
19.20000000
USD
0.00000000
USD
940000.00000000
USD
102683.57000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1765000.00000000
OU
Notional Amount
USD
-127598.02000000
-0.00786444734
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2034-08-22
34.54000000
USD
0.00000000
USD
1765000.00000000
USD
-127632.56000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1870000.00000000
OU
Notional Amount
USD
-181447.51000000
-0.01118343676
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-02-10
38.37000000
USD
0.00000000
USD
1870000.00000000
USD
-181485.88000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
150000.00000000
OU
Notional Amount
USD
41973.63000000
0.002587026060
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2056-12-01
4.04000000
USD
0.00000000
USD
150000.00000000
USD
41969.59000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
600000.00000000
OU
Notional Amount
USD
-40027.05000000
-0.00246704946
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2049-08-17
12.02000000
USD
0.00000000
USD
600000.00000000
USD
-40039.07000000
N
N
N
Impac CMB Trust Series 2005-1
N/A
Impac CMB Trust Series 2005-1
45254NMM6
66221.22000000
PA
USD
59647.63000000
0.003676355208
Long
ABS-MBS
CORP
US
N
2
2035-04-25
Floating
1.11000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
8375000.00000000
OU
Notional Amount
-525794.64000000
-0.03240711932
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Harmonised Indices of Consumer Prices Excluding Food and Energy
Y
2030-02-15
10296.73000000
USD
0.00000000
USD
8375000.00000000
EUR
-536091.37000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
24120000.00000000
OU
Notional Amount
USD
-1229510.09000000
-0.07578030883
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Consumer Price All Urban Non-Seasonally Adjusted Index
Y
2024-08-01
739.23000000
USD
0.00000000
USD
24120000.00000000
USD
-1230249.32000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1791000.00000000
OU
Notional Amount
USD
30863.54000000
0.001902260593
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2025-09-08
31.99000000
USD
0.00000000
USD
1791000.00000000
USD
30831.55000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1680000.00000000
OU
Notional Amount
USD
-40445.65000000
-0.00249284969
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Call
Written
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
1680000.00000000
OU
Notional Amount
USD
-40445.65000000
-0.00249300
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1680000.00000000
USD
1680000.00000000
USD
0.68800000
USD
2021-04-07
XXXX
5208.35000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
6420000.00000000
OU
Notional Amount
USD
-85661.85000000
-0.00527973011
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Call
Written
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
6420000.00000000
OU
Notional Amount
USD
-85661.85000000
-0.00528000
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
6420000.00000000
USD
6420000.00000000
USD
0.66300000
USD
2020-07-23
XXXX
10959.15000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
7307000.00000000
OU
Notional Amount
USD
-1420.43000000
-0.00008754757
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
7307000.00000000
OU
Notional Amount
USD
-1420.43000000
-0.00008800
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
7307000.00000000
USD
7307000.00000000
USD
2.78750000
USD
2021-03-09
XXXX
216419.51000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
3390000.00000000
OU
Notional Amount
USD
58616.33000000
0.003612791490
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-04-14
69.96000000
USD
0.00000000
USD
3390000.00000000
USD
58546.37000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
8420000.00000000
OU
Notional Amount
USD
12275.05000000
0.000756567260
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2022-10-02
137.43000000
USD
0.00000000
USD
8420000.00000000
USD
12137.62000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
862500.00000000
OU
Notional Amount
USD
79810.51000000
0.004919085370
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-02-11
17.72000000
USD
0.00000000
USD
862500.00000000
USD
79792.79000000
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810FH6
8524913.48100000
PA
USD
11754001.44000000
0.724452663243
Long
DBT
UST
US
N
2
2029-04-15
Fixed
3.88000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
25030000.00000000
OU
Notional Amount
-2736.71000000
-0.00016867590
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
25030000.00000000
OU
Notional Amount
-2736.71000000
-0.00016900
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
25030000.00000000
EUR
25030000.00000000
EUR
0.10000000
EUR
2021-03-30
XXXX
84333.93000000
N
N
N
Fannie Mae REMIC Trust 2003-W16
N/A
Fannie Mae REMIC Trust 2003-W16
31393T4M5
763.74000000
PA
USD
747.26000000
0.000046057038
Long
ABS-MBS
CORP
US
N
2
2033-11-25
Floating
1.25000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
710000.00000000
OU
Notional Amount
USD
-2307.59000000
-0.00014222728
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2027-04-20
12.89000000
USD
0.00000000
USD
710000.00000000
USD
-2320.48000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1290000.00000000
OU
Notional Amount
USD
113370.89000000
0.006987564499
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-02-12
26.50000000
USD
0.00000000
USD
1290000.00000000
USD
113344.39000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
8890000.00000000
OU
Notional Amount
526152.37000000
0.032429167859
N/A
DIR
N/A
N
2
LCH
N/A
N/A
United Kingdom Retail Prices Index
Y
2029-03-15
0.00000000
USD
28169.86000000
USD
8890000.00000000
GBP
554322.23000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
5450000.00000000
OU
Notional Amount
USD
-77.36000000
-0.00000476804
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
5450000.00000000
OU
Notional Amount
USD
-77.36000000
-0.00000500
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
5450000.00000000
USD
5450000.00000000
USD
2.30000000
USD
2020-07-27
XXXX
69410.14000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
18410000.00000000
OU
Notional Amount
-2148.18000000
-0.00013240212
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month JPY LIBOR
Y
2045-01-30
26.49000000
USD
0.00000000
USD
18410000.00000000
JPY
-2174.67000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
21225.80000000
0.001308242764
N/A
DFE
N/A
N
2
Goldman Sachs & Co
N/A
3642000.00000000
USD
5097183.32000000
CAD
2020-07-08
21225.80000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
3540000.00000000
OU
Notional Amount
-68912.67000000
-0.00424740183
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
3540000.00000000
OU
Notional Amount
-68912.67000000
-0.00424700
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
3540000.00000000
EUR
3540000.00000000
EUR
0.03500000
EUR
2022-09-14
XXXX
-13821.34000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
5740000.00000000
OU
Notional Amount
USD
-441711.92000000
-0.02722471819
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
5740000.00000000
OU
Notional Amount
USD
-441711.92000000
-0.02722500
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
5740000.00000000
USD
5740000.00000000
USD
1.41700000
USD
2020-08-18
XXXX
-292471.92000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
840000.00000000
OU
Notional Amount
USD
-107860.48000000
-0.00664793282
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2049-07-05
16.69000000
USD
0.00000000
USD
840000.00000000
USD
-107877.17000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
4870000.00000000
OU
Notional Amount
USD
1000705.48000000
0.061678038224
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Purchased
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
4870000.00000000
OU
Notional Amount
USD
1000705.48000000
0.06167800
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
4870000.00000000
USD
4870000.00000000
USD
2.95000000
USD
2024-03-13
XXXX
781190.23000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
2350000.00000000
OU
Notional Amount
-6091.41000000
-0.00037544135
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2023-09-14
183.21000000
USD
0.00000000
USD
2350000.00000000
EUR
-6274.62000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
16790000.00000000
OU
Notional Amount
USD
317661.57000000
0.019578929913
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2021-07-02
156.92000000
USD
0.00000000
USD
16790000.00000000
USD
317504.65000000
N
N
N
N/A
N/A
Futures
N/A
335.00000000
NC
USD
1316838.22000000
0.081162739379
N/A
DIR
N/A
N
1
CBT
N/A
Long
N/A
US 5 Year Note; June 2020
2020-07-01
42037265.63000000
USD
1316838.22000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
14170000.00000000
OU
Notional Amount
USD
27990.06000000
0.001725154928
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Consumer Price All Urban Non-Seasonally Adjusted Index
Y
2025-04-27
509.22000000
USD
0.00000000
USD
14170000.00000000
USD
27480.84000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1341000.00000000
OU
Notional Amount
1980.93000000
0.000122093741
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2022-06-25
0.00000000
USD
17.84000000
USD
1341000.00000000
EUR
1998.77000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1830000.00000000
OU
Notional Amount
-1990.72000000
-0.00012269714
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2023-09-14
112.99000000
USD
0.00000000
USD
1830000.00000000
EUR
-2103.71000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
6030000.00000000
OU
Notional Amount
-1724.59000000
-0.00010629433
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
6030000.00000000
OU
Notional Amount
-1724.59000000
-0.00010600
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
6030000.00000000
EUR
6030000.00000000
EUR
0.00010000
EUR
2021-06-15
XXXX
14931.74000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
12460000.00000000
OU
Notional Amount
-982994.44000000
-0.06058642613
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Harmonised Indices of Consumer Prices Excluding Food and Energy
Y
2029-03-15
20678.56000000
USD
0.00000000
USD
12460000.00000000
EUR
-1003673.00000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
940000.00000000
OU
Notional Amount
USD
84525.71000000
0.005209704629
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-01-31
19.24000000
USD
0.00000000
USD
940000.00000000
USD
84506.47000000
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828SA9
90091835.46000000
PA
USD
89281176.51000000
5.502805698156
Long
DBT
UST
US
N
2
2022-01-15
Fixed
0.13000000
N
N
N
N
N
N
N/A
N/A
Options
N/A
1.00000000
NC
N/A
0.00000000
0.000000
N/A
DFE
N/A
N
2
Deutsche Bank AG
N/A
Call
Written
Deutsche Bank AG
N/A
N/A
N/A
FX FORWARD
N/A
1.00000000
NC
N/A
0.00000000
0.00000000
DFE
18258750.00000000
USD
13525000.00000000
GBP
N/A
13525000.00000000
GBP
1.35000000
GBP
2020-05-04
XXXX
172633.63000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
19300000.00000000
OU
Notional Amount
-1819.07000000
-0.00011211757
N/A
DIR
N/A
N
2
Morgan Stanley & Co
N/A
Put
Written
Morgan Stanley & Co
N/A
N/A
N/A
Interest Rate Swap
N/A
19300000.00000000
OU
Notional Amount
-1819.07000000
-0.00011200
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
19300000.00000000
EUR
19300000.00000000
EUR
0.15000000
EUR
2021-04-20
XXXX
67537.56000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
15447000.00000000
OU
Notional Amount
106.62000000
0.000006571476
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Purchased
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
15447000.00000000
OU
Notional Amount
106.62000000
0.00000700
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
15447000.00000000
EUR
15447000.00000000
EUR
0.00000100
EUR
2020-06-29
XXXX
-7148.30000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
17665000.00000000
OU
Notional Amount
USD
-431861.00000000
-0.02661756110
N/A
DIR
N/A
N
2
Morgan Stanley & Co
N/A
Call
Written
Morgan Stanley & Co
N/A
N/A
N/A
Interest Rate Swap
N/A
17665000.00000000
OU
Notional Amount
USD
-431861.00000000
-0.02661800
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
17665000.00000000
USD
17665000.00000000
USD
1.50750000
USD
2020-12-15
XXXX
-347510.62000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
5740000.00000000
OU
Notional Amount
USD
460612.38000000
0.028389639657
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Purchased
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
5740000.00000000
OU
Notional Amount
USD
460612.38000000
0.02839000
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
5740000.00000000
USD
5740000.00000000
USD
1.45750000
USD
2021-08-17
XXXX
255694.38000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
12400000.00000000
OU
Notional Amount
2250.07000000
0.000138682066
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month JPY LIBOR
Y
2044-08-28
98.07000000
USD
0.00000000
USD
12400000.00000000
JPY
2152.00000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
4030000.00000000
OU
Notional Amount
USD
-23079.09000000
-0.00142246947
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
4030000.00000000
OU
Notional Amount
USD
-23079.09000000
-0.00142200
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
4030000.00000000
USD
4030000.00000000
USD
1.85000000
USD
2022-02-23
XXXX
46236.91000000
N
N
N
Commercial Mortgage Trust 2007-GG9
N/A
Commercial Mortgage Trust 2007-GG9
20173QBC4
305475.88000000
PA
USD
5.19000000
0.000000319883
Long
ABS-MBS
CORP
US
N
2
2039-03-10
Variable
0.84000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1690000.00000000
OU
Notional Amount
USD
-41076.96000000
-0.00253176020
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
1690000.00000000
OU
Notional Amount
USD
-41076.96000000
-0.00253200
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1690000.00000000
USD
1690000.00000000
USD
0.69250000
USD
2021-04-07
XXXX
6243.04000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
4000000.00000000
OU
Notional Amount
869342.56000000
0.053581542939
N/A
DIR
N/A
N
2
LCH
N/A
N/A
United Kingdom Retail Prices Index
Y
2045-01-15
0.00000000
USD
30131.15000000
USD
4000000.00000000
GBP
899473.71000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
13235000.00000000
OU
Notional Amount
-119626.08000000
-0.00737310036
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Eurozone Harmonised Index of Consumer Prices ex-Tobacco
Y
2030-04-15
0.00000000
USD
260.57000000
USD
13235000.00000000
EUR
-119365.51000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
3190000.00000000
OU
Notional Amount
-123209.33000000
-0.00759395238
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2030-01-16
1387.71000000
USD
0.00000000
USD
3190000.00000000
EUR
-124597.04000000
N
N
N
N/A
N/A
Futures
N/A
398.00000000
NC
USD
-645364.07000000
-0.03977672809
N/A
DIR
N/A
N
1
CBT
N/A
Short
N/A
US 10 Year Ultra Note; June 2020
2020-06-22
62498437.50000000
USD
-645364.07000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
3270000.00000000
OU
Notional Amount
USD
-112985.24000000
-0.00696379513
N/A
DIR
N/A
N
2
Morgan Stanley & Co
N/A
Call
Written
Morgan Stanley & Co
N/A
N/A
N/A
Interest Rate Swap
N/A
3270000.00000000
OU
Notional Amount
USD
-112985.24000000
-0.00696400
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
3270000.00000000
USD
3270000.00000000
USD
0.87000000
USD
2021-04-12
XXXX
-24368.24000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
8375000.00000000
OU
Notional Amount
USD
482054.27000000
0.029711201033
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Consumer Price All Urban Non-Seasonally Adjusted Index
Y
2029-11-25
326.92000000
USD
0.00000000
USD
8375000.00000000
USD
481727.35000000
N
N
N
Principal Government Money Market Fund - Institutional Class
549300WWK3YB7DNN4U34
Principal Government Money Market Fund - Institutional Class
742537228
25569857.74000000
NS
USD
25569857.74000000
1.575986835892
Long
STIV
RF
US
N
1
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1630000.00000000
OU
Notional Amount
USD
-6348.23000000
-0.00039127033
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-05-01
33.83000000
USD
0.00000000
USD
1630000.00000000
USD
-6382.06000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
6630000.00000000
OU
Notional Amount
-2040.43000000
-0.00012576099
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
6630000.00000000
OU
Notional Amount
-2040.43000000
-0.00012600
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
6630000.00000000
EUR
6630000.00000000
EUR
0.00000100
EUR
2021-06-28
XXXX
13106.88000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
6270000.00000000
OU
Notional Amount
8101.80000000
0.000499350848
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2022-10-02
126.02000000
USD
0.00000000
USD
6270000.00000000
EUR
7975.78000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
4080000.00000000
OU
Notional Amount
USD
-98514.29000000
-0.00607188455
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2023-10-26
59.42000000
USD
0.00000000
USD
4080000.00000000
USD
-98573.71000000
N
N
N
N/A
N/A
Capped Options
N/A
54600000.00000000
OU
Notional Amount
USD
-58524.69000000
-0.00360714329
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
54600000.00000000
OU
Notional Amount
USD
-58524.69000000
-0.00360700
DIR
N/A
Max (0, 5Y CMS-0.55%)
N/A
N/A
N/A
N/A
N/A
54600000.00000000
USD
54600000.00000000
USD
0.55000000
USD
2022-02-15
XXXX
-2286.69000000
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810PV4
18428793.00000000
PA
USD
21472852.00000000
1.323469705039
Long
DBT
UST
US
N
2
2028-01-15
Fixed
1.75000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
2060000.00000000
OU
Notional Amount
USD
-239227.83000000
-0.01474470115
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2034-11-12
41.11000000
USD
0.00000000
USD
2060000.00000000
USD
-239268.94000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
4920000.00000000
OU
Notional Amount
USD
-134096.54000000
-0.00826498074
N/A
DIR
N/A
N
2
Morgan Stanley & Co
N/A
Call
Written
Morgan Stanley & Co
N/A
N/A
N/A
Interest Rate Swap
N/A
4920000.00000000
OU
Notional Amount
USD
-134096.54000000
-0.00826500
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
4920000.00000000
USD
4920000.00000000
USD
0.74250000
USD
2021-04-20
XXXX
2556.46000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
16180000.00000000
OU
Notional Amount
USD
-70.39000000
-0.00000433845
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
16180000.00000000
OU
Notional Amount
USD
-70.39000000
-0.00000400
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
16180000.00000000
USD
16180000.00000000
USD
1.05000000
USD
2020-10-05
XXXX
28406.41000000
N
N
N
Merrill Lynch Alternative Note Asset Trust Series 2007-A3
N/A
Merrill Lynch Alternative Note Asset Trust Series 2007-A3
59024HAC4
1737344.13000000
PA
USD
754061.73000000
0.046476260134
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Floating
0.70000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
8140000.00000000
OU
Notional Amount
-158245.29000000
-0.00975337823
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
8140000.00000000
OU
Notional Amount
-158245.29000000
-0.00975300
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
8140000.00000000
EUR
8140000.00000000
EUR
0.02000000
EUR
2022-04-08
XXXX
-53948.90000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
8670000.00000000
OU
Notional Amount
-1561.76000000
-0.00009625838
N/A
DIR
N/A
N
2
Morgan Stanley & Co
N/A
Put
Written
Morgan Stanley & Co
N/A
N/A
N/A
Interest Rate Swap
N/A
8670000.00000000
OU
Notional Amount
-1561.76000000
-0.00009600
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
8670000.00000000
EUR
8670000.00000000
EUR
0.08000000
EUR
2021-06-01
XXXX
23731.81000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1350000.00000000
OU
Notional Amount
USD
-23281.32000000
-0.00143493382
N/A
DIR
N/A
N
2
Morgan Stanley & Co
N/A
Put
Written
Morgan Stanley & Co
N/A
N/A
N/A
Interest Rate Swap
N/A
1350000.00000000
OU
Notional Amount
USD
-23281.32000000
-0.00143500
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1350000.00000000
USD
1350000.00000000
USD
0.85000000
USD
2021-04-08
XXXX
11953.68000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
3855000.00000000
OU
Notional Amount
-26918.69000000
-0.00165912151
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2024-01-03
263.49000000
USD
0.00000000
USD
3855000.00000000
EUR
-27182.18000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
13011200.00000000
OU
Notional Amount
-1782.41000000
-0.00010985804
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
13011200.00000000
OU
Notional Amount
-1782.41000000
-0.00011000
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
13011200.00000000
EUR
13011200.00000000
EUR
0.11000000
EUR
2021-05-18
XXXX
41262.03000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
12700000.00000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Put
Written
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
12700000.00000000
OU
Notional Amount
USD
0.00000000
0.00000000
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
12700000.00000000
USD
12700000.00000000
USD
3.15000000
USD
2020-05-06
XXXX
69850.00000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
6700000.00000000
OU
Notional Amount
USD
326569.93000000
0.020127992729
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Consumer Price All Urban Non-Seasonally Adjusted Index
Y
2030-03-24
270.44000000
USD
0.00000000
USD
6700000.00000000
USD
326299.49000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
3730000.00000000
OU
Notional Amount
-1544.08000000
-0.00009516868
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2022-03-20
229.05000000
USD
0.00000000
USD
3730000.00000000
EUR
-1773.13000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
2250000.00000000
OU
Notional Amount
USD
-12997.41000000
-0.00080108959
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
2250000.00000000
OU
Notional Amount
USD
-12997.41000000
-0.00080100
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
2250000.00000000
USD
2250000.00000000
USD
0.55000000
USD
2020-06-23
XXXX
2977.59000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1535000.00000000
OU
Notional Amount
USD
-39598.04000000
-0.00244060762
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Call
Written
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
1535000.00000000
OU
Notional Amount
USD
-39598.04000000
-0.00244100
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1535000.00000000
USD
1535000.00000000
USD
0.71700000
USD
2021-04-19
XXXX
2767.96000000
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RL4
37672411.79100000
PA
USD
45896203.22000000
2.828792120301
Long
DBT
UST
US
N
2
2045-02-15
Fixed
0.75000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
7190000.00000000
OU
Notional Amount
-2566.51000000
-0.00015818570
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
7190000.00000000
OU
Notional Amount
-2566.51000000
-0.00015800
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
7190000.00000000
EUR
7190000.00000000
EUR
0.00010000
EUR
2021-07-20
XXXX
10588.83000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
4530000.00000000
OU
Notional Amount
USD
53307.69000000
0.003285595819
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2023-03-02
72.25000000
USD
0.00000000
USD
4530000.00000000
USD
53235.44000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
4500000.00000000
OU
Notional Amount
USD
232441.64000000
0.014326437341
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Consumer Price All Urban Non-Seasonally Adjusted Index
Y
2030-03-23
181.49000000
USD
0.00000000
USD
4500000.00000000
USD
232260.15000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
8300000.00000000
OU
Notional Amount
USD
52438.54000000
0.003232026144
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Consumer Price All Urban Non-Seasonally Adjusted Index
Y
2030-03-11
333.82000000
USD
0.00000000
USD
8300000.00000000
USD
52104.72000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
14210000.00000000
OU
Notional Amount
USD
-20245.10000000
-0.00124779775
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
14210000.00000000
OU
Notional Amount
USD
-20245.10000000
-0.00124800
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
14210000.00000000
USD
14210000.00000000
USD
2.75000000
USD
2022-05-10
XXXX
391983.36000000
N
N
N
Fannie Mae REMIC Trust 2005-W2
5493003LPQ4JJCYQN327
Fannie Mae REMIC Trust 2005-W2
31394DJP6
6223.01000000
PA
USD
6213.37000000
0.000382958302
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
0.69000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
13030000.00000000
OU
Notional Amount
1860.48000000
0.000114669859
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Eurozone Harmonised Index of Consumer Prices ex-Tobacco
Y
2025-04-15
862.82000000
USD
0.00000000
USD
13030000.00000000
EUR
997.66000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
7170000.00000000
OU
Notional Amount
USD
-1.83000000
-0.00000011279
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
7170000.00000000
OU
Notional Amount
USD
-1.83000000
0.00000000
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
7170000.00000000
USD
7170000.00000000
USD
2.20300000
USD
2020-06-12
XXXX
156393.80000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
5390000.00000000
OU
Notional Amount
USD
-16100.73000000
-0.00099236134
N/A
DIR
N/A
N
2
Morgan Stanley & Co
N/A
Put
Written
Morgan Stanley & Co
N/A
N/A
N/A
Interest Rate Swap
N/A
5390000.00000000
OU
Notional Amount
USD
-16100.73000000
-0.00099200
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
5390000.00000000
USD
5390000.00000000
USD
3.50000000
USD
2024-06-21
XXXX
62896.14000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1695000.00000000
OU
Notional Amount
USD
-59316.37000000
-0.00365593814
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2032-03-08
35.14000000
USD
0.00000000
USD
1695000.00000000
USD
-59351.51000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
780000.00000000
OU
Notional Amount
USD
-54908.64000000
-0.00338426966
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2049-08-16
15.63000000
USD
0.00000000
USD
780000.00000000
USD
-54924.27000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
12690000.00000000
OU
Notional Amount
2085938.37000000
0.128565885857
N/A
DIR
N/A
N
2
LCH
N/A
N/A
United Kingdom Retail Prices Index
Y
2039-10-15
0.00000000
USD
117114.57000000
USD
12690000.00000000
GBP
2203052.94000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
16060000.00000000
OU
Notional Amount
USD
92470.53000000
0.005699380085
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2020-11-22
112.54000000
USD
0.00000000
USD
16060000.00000000
USD
92357.99000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
18530000.00000000
OU
Notional Amount
USD
-82168.48000000
-0.00506441780
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Call
Written
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
18530000.00000000
OU
Notional Amount
USD
-82168.48000000
-0.00506400
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
18530000.00000000
USD
18530000.00000000
USD
0.68500000
USD
2023-04-12
XXXX
-11059.60000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
9060000.00000000
OU
Notional Amount
USD
106705.87000000
0.006576768949
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2023-03-02
144.51000000
USD
0.00000000
USD
9060000.00000000
USD
106561.36000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
8610000.00000000
OU
Notional Amount
USD
92578.75000000
0.005706050177
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2021-09-28
94.78000000
USD
0.00000000
USD
8610000.00000000
USD
92483.97000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
8780000.00000000
OU
Notional Amount
USD
-445329.84000000
-0.02744770708
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2022-04-21
145.28000000
USD
0.00000000
USD
8780000.00000000
USD
-445475.12000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
7310000.00000000
OU
Notional Amount
-33508.11000000
-0.00206525749
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2023-12-13
173.96000000
USD
0.00000000
USD
7310000.00000000
EUR
-33682.07000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
4100000.00000000
OU
Notional Amount
-1209990.99000000
-0.07457725776
N/A
DIR
N/A
N
2
LCH
N/A
N/A
United Kingdom Retail Prices Index
Y
2050-01-15
37428.07000000
USD
0.00000000
USD
4100000.00000000
GBP
-1247419.06000000
N
N
N
Mexico Government International Bond
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAF7
3015000.00000000
PA
USD
3033120.15000000
0.186945014582
Long
DBT
NUSS
MX
N
2
2029-04-22
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
26235000.00000000
OU
Notional Amount
USD
35080.41000000
0.002162165504
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2022-03-15
425.79000000
USD
0.00000000
USD
26235000.00000000
USD
34654.62000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
375000.00000000
OU
Notional Amount
-3422.81000000
-0.00021096337
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2025-03-18
3.30000000
USD
0.00000000
USD
375000.00000000
EUR
-3426.11000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-13345.73000000
-0.00082255814
N/A
DFE
N/A
N
2
Goldman Sachs & Co
N/A
86671695.00000000
JPY
795000.00000000
USD
2020-06-17
-13345.73000000
N
N
N
CD 2007-CD4 Commercial Mortgage Trust
5493006ZXL5DGZK5G872
CD 2007-CD4 Commercial Mortgage Trust
12513YBL3
4086.31000000
PA
USD
154.59000000
0.000009528086
Long
ABS-MBS
CORP
US
N
2
2049-12-11
Variable
1.38000000
N
N
N
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
6849.46000000
0.000422163427
N/A
DFE
N/A
N
2
Morgan Stanley & Co
N/A
3399513.67000000
CAD
2450000.00000000
USD
2020-07-08
6849.46000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1690000.00000000
OU
Notional Amount
USD
-4618.98000000
-0.00028468878
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2045-11-15
43.53000000
USD
0.00000000
USD
1690000.00000000
USD
-4662.51000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
800000.00000000
OU
Notional Amount
USD
1685.34000000
0.000103875183
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-04-30
16.60000000
USD
0.00000000
USD
800000.00000000
USD
1668.74000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
3740000.00000000
OU
Notional Amount
USD
-246882.99000000
-0.01521652354
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-02-27
77.14000000
USD
0.00000000
USD
3740000.00000000
USD
-246960.13000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
2490000.00000000
OU
Notional Amount
USD
-259448.44000000
-0.01599098947
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2044-11-15
50.34000000
USD
0.00000000
USD
2490000.00000000
USD
-259498.78000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
591000.00000000
OU
Notional Amount
USD
69457.48000000
0.004280980959
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2050-09-08
16.54000000
USD
0.00000000
USD
591000.00000000
USD
69440.94000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1630000.00000000
OU
Notional Amount
USD
-26990.71000000
-0.00166356043
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
1630000.00000000
OU
Notional Amount
USD
-26990.71000000
-0.00166400
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1630000.00000000
USD
1630000.00000000
USD
0.87700000
USD
2021-04-15
XXXX
17182.29000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
24710000.00000000
OU
Notional Amount
1149.86000000
0.000070871110
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month JPY LIBOR
Y
2039-08-08
196.84000000
USD
0.00000000
USD
24710000.00000000
JPY
953.02000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
16290000.00000000
OU
Notional Amount
USD
128577.51000000
0.007924817776
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Consumer Price All Urban Non-Seasonally Adjusted Index
Y
2030-03-13
655.53000000
USD
0.00000000
USD
16290000.00000000
USD
127921.98000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
3280000.00000000
OU
Notional Amount
USD
6743.02000000
0.000415603045
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2022-09-28
53.12000000
USD
0.00000000
USD
3280000.00000000
USD
6689.90000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
13710000.00000000
OU
Notional Amount
USD
-1423639.72000000
-0.08774540244
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2025-02-07
12734.90000000
USD
0.00000000
USD
13710000.00000000
USD
-1436374.62000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-8719.81000000
-0.00053744162
N/A
DFE
N/A
N
2
JPMorgan Chase
N/A
1155952.54000000
USD
1045000.00000000
EUR
2020-08-05
-8719.81000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
54580000.00000000
OU
Notional Amount
USD
-768114.36000000
-0.04734238774
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2023-07-12
683.10000000
USD
0.00000000
USD
54580000.00000000
USD
-768797.46000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
850000.00000000
OU
Notional Amount
USD
-88344.48000000
-0.00544507282
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2034-10-23
16.90000000
USD
0.00000000
USD
850000.00000000
USD
-88361.38000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
63350000.00000000
OU
Notional Amount
USD
-5.01000000
-0.00000030878
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
63350000.00000000
OU
Notional Amount
USD
-5.01000000
0.00000000
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
63350000.00000000
USD
63350000.00000000
USD
2.35000000
USD
2021-05-18
XXXX
129070.62000000
N
N
N
Argent Securities Trust 2006-W3
N/A
Argent Securities Trust 2006-W3
040104SQ5
26749.95000000
PA
USD
10422.76000000
0.000642402187
Long
ABS-O
CORP
US
N
2
2036-04-25
Floating
0.61000000
N
N
N
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-719591.08000000
-0.04435167691
N/A
DFE
N/A
N
2
JPMorgan Chase
N/A
6555521.50000000
GBP
7538366.12000000
USD
2020-08-05
-719591.08000000
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RF7
15941115.00800000
PA
USD
21658016.19000000
1.334882217728
Long
DBT
UST
US
N
2
2044-02-15
Fixed
1.38000000
N
N
N
N
N
N
ML-CFC Commercial Mortgage Trust 2006-3
N/A
ML-CFC Commercial Mortgage Trust 2006-3
60687VBC8
64630.35550000
PA
USD
1.36000000
0.000000083822
Long
ABS-MBS
CORP
US
N
2
2046-07-12
Variable
0.99000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
7180000.00000000
OU
Notional Amount
USD
-2536.61000000
-0.00015634283
N/A
DIR
N/A
N
2
JPMorgan Chase
N/A
Put
Written
JPMorgan Chase
N/A
N/A
N/A
Interest Rate Swap
N/A
7180000.00000000
OU
Notional Amount
USD
-2536.61000000
-0.00015600
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
7180000.00000000
USD
7180000.00000000
USD
1.60000000
USD
2020-08-18
XXXX
131011.39000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
3930000.00000000
OU
Notional Amount
USD
-825537.14000000
-0.05088161531
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
3930000.00000000
OU
Notional Amount
USD
-825537.14000000
-0.05088200
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
3930000.00000000
USD
3930000.00000000
USD
3.05000000
USD
2029-03-13
XXXX
-617050.64000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
4871500.00000000
OU
Notional Amount
USD
1013823.48000000
0.062486560333
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Purchased
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
4871500.00000000
OU
Notional Amount
USD
1013823.48000000
0.06248700
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
4871500.00000000
USD
4871500.00000000
USD
2.97750000
USD
2024-03-08
XXXX
789856.27000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
590000.00000000
OU
Notional Amount
USD
81128.27000000
0.005000304923
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2031-06-22
11.19000000
USD
0.00000000
USD
590000.00000000
USD
81117.08000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
27160000.00000000
OU
Notional Amount
USD
3349805.74000000
0.206463790401
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2024-11-29
451.40000000
USD
0.00000000
USD
27160000.00000000
USD
3349354.34000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
15460000.00000000
OU
Notional Amount
14465.84000000
0.000891595629
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2022-01-16
0.00000000
USD
240.63000000
USD
15460000.00000000
EUR
14706.47000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1865000.00000000
OU
Notional Amount
USD
144698.01000000
0.008918397640
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-02-25
38.45000000
USD
0.00000000
USD
1865000.00000000
USD
144659.56000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1610000.00000000
OU
Notional Amount
USD
-19796.91000000
-0.00122017376
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-03-11
33.33000000
USD
0.00000000
USD
1610000.00000000
USD
-19830.24000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
3540000.00000000
OU
Notional Amount
-34877.56000000
-0.00214966293
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
3540000.00000000
OU
Notional Amount
-34877.56000000
-0.00215000
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
3540000.00000000
EUR
3540000.00000000
EUR
0.03500000
EUR
2022-09-14
XXXX
20213.77000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
3740000.00000000
OU
Notional Amount
-3033.38000000
-0.00018696103
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2022-03-20
190.37000000
USD
0.00000000
USD
3740000.00000000
EUR
-3223.75000000
N
N
N
Uruguay Government International Bond
549300RDR012H2V82H43
Uruguay Government International Bond
917288BK7
940000.00000000
PA
USD
1035184.40000000
0.063803131159
Long
DBT
NUSS
UY
N
2
2031-01-23
Fixed
4.38000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1420000.00000000
OU
Notional Amount
USD
21645.64000000
0.001334119416
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Purchased
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
1420000.00000000
OU
Notional Amount
USD
21645.64000000
0.00133400
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1420000.00000000
USD
1420000.00000000
USD
3.08250000
USD
2029-01-30
XXXX
-59010.36000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
2645000.00000000
OU
Notional Amount
-158750.73000000
-0.00978453080
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Harmonised Indices of Consumer Prices Excluding Food and Energy
Y
2030-02-15
3255.18000000
USD
0.00000000
USD
2645000.00000000
EUR
-162005.91000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
110475.79000000
0.006809126296
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
6013215.04000000
USD
4861249.09000000
GBP
2020-08-05
110475.79000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
4530000.00000000
OU
Notional Amount
USD
55705.71000000
0.003433396717
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2023-03-02
72.25000000
USD
0.00000000
USD
4530000.00000000
USD
55633.46000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
7420000.00000000
OU
Notional Amount
USD
13392.19000000
0.000825421688
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2022-09-29
120.43000000
USD
0.00000000
USD
7420000.00000000
USD
13271.76000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
14065000.00000000
OU
Notional Amount
USD
10846.64000000
0.000668527843
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Consumer Price All Urban Non-Seasonally Adjusted Index
Y
2025-04-29
506.56000000
USD
0.00000000
USD
14065000.00000000
USD
10340.08000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
7980000.00000000
OU
Notional Amount
USD
33055.21000000
0.002037343201
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Consumer Price All Urban Non-Seasonally Adjusted Index
Y
2030-03-30
322.46000000
USD
0.00000000
USD
7980000.00000000
USD
32732.75000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
8020000.00000000
OU
Notional Amount
16065.13000000
0.000990167159
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2023-04-29
199.49000000
USD
0.00000000
USD
8020000.00000000
EUR
15865.64000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
9745000.00000000
OU
Notional Amount
-3380874.18000000
-0.20837867991
N/A
DIR
N/A
N
2
LCH
N/A
N/A
United Kingdom Retail Prices Index
Y
2049-10-15
5839.54000000
USD
0.00000000
USD
9745000.00000000
GBP
-3386713.72000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
3870000.00000000
OU
Notional Amount
USD
-19.29000000
-0.00000118893
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Put
Written
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
3870000.00000000
OU
Notional Amount
USD
-19.29000000
-0.00000100
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
3870000.00000000
USD
3870000.00000000
USD
2.35000000
USD
2020-07-13
XXXX
38487.21000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1880000.00000000
OU
Notional Amount
-2283.57000000
-0.00014074682
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2023-10-06
106.70000000
USD
0.00000000
USD
1880000.00000000
EUR
-2390.27000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
5740000.00000000
OU
Notional Amount
USD
41140.85000000
0.002535698034
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Purchased
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
5740000.00000000
OU
Notional Amount
USD
41140.85000000
0.00253600
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
5740000.00000000
USD
5740000.00000000
USD
1.45750000
USD
2021-08-17
XXXX
-163777.15000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
16180000.00000000
OU
Notional Amount
USD
-70.39000000
-0.00000433845
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Put
Written
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
16180000.00000000
OU
Notional Amount
USD
-70.39000000
-0.00000400
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
16180000.00000000
USD
16180000.00000000
USD
1.05000000
USD
2020-10-05
XXXX
20963.61000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
4480000.00000000
OU
Notional Amount
USD
-630733.63000000
-0.03887498741
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Consumer Price All Urban Non-Seasonally Adjusted Index
Y
2049-12-12
252.05000000
USD
0.00000000
USD
4480000.00000000
USD
-630985.68000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
15448000.00000000
OU
Notional Amount
94.65000000
0.000005833710
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Purchased
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
15448000.00000000
OU
Notional Amount
94.65000000
0.00000600
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
15448000.00000000
EUR
15448000.00000000
EUR
0.00000100
EUR
2020-06-25
XXXX
-8058.12000000
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810QV3
28020223.47700000
PA
USD
33218596.98000000
2.047413485034
Long
DBT
UST
US
N
2
2042-02-15
Fixed
0.75000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1690000.00000000
OU
Notional Amount
USD
-187230.30000000
-0.01153985646
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-07-09
34.44000000
USD
0.00000000
USD
1690000.00000000
USD
-187264.74000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
36220000.00000000
OU
Notional Amount
USD
-4.88000000
-0.00000030077
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
36220000.00000000
OU
Notional Amount
USD
-4.88000000
0.00000000
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
36220000.00000000
USD
36220000.00000000
USD
2.00000000
USD
2020-11-30
XXXX
49073.22000000
N
N
N
N/A
N/A
Options
N/A
1.00000000
NC
N/A
0.00000000
0.000000
N/A
DFE
N/A
N
2
Citigroup Inc
N/A
Call
Purchased
Citigroup Inc
N/A
N/A
N/A
FX FORWARD
N/A
1.00000000
NC
N/A
0.00000000
0.00000000
DFE
18258750.00000000
USD
13525000.00000000
GBP
N/A
13525000.00000000
GBP
1.35000000
GBP
2020-05-04
XXXX
-299027.63000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
5130000.00000000
OU
Notional Amount
USD
1575.08000000
0.000097079356
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Purchased
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
5130000.00000000
OU
Notional Amount
USD
1575.08000000
0.00009700
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
5130000.00000000
USD
5130000.00000000
USD
3.80000000
USD
2021-06-08
XXXX
-198555.19000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
2250000.00000000
OU
Notional Amount
USD
-6134.69000000
-0.00037810889
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
2250000.00000000
OU
Notional Amount
USD
-6134.69000000
-0.00037800
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
2250000.00000000
USD
2250000.00000000
USD
0.85000000
USD
2020-06-23
XXXX
8265.31000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
340000.00000000
OU
Notional Amount
USD
-12168.52000000
-0.00075000133
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2050-03-11
9.51000000
USD
0.00000000
USD
340000.00000000
USD
-12178.03000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
106820000.00000100
OU
Notional Amount
USD
-10.09000000
-0.00000062189
N/A
DIR
N/A
N
2
Morgan Stanley & Co
N/A
Put
Written
Morgan Stanley & Co
N/A
N/A
N/A
Interest Rate Swap
N/A
106820000.00000100
OU
Notional Amount
USD
-10.09000000
-0.00000100
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
106820000.00000100
USD
106820000.00000100
USD
2.40000000
USD
2021-06-02
XXXX
193334.11000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
113410000.00000100
OU
Notional Amount
USD
-959561.59000000
-0.05914215282
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
113410000.00000100
OU
Notional Amount
USD
-959561.59000000
-0.05914200
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
113410000.00000100
USD
113410000.00000100
USD
0.70000000
USD
2020-09-24
XXXX
-834810.59000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
5400000.00000000
OU
Notional Amount
706971.17000000
0.043573854364
N/A
DIR
N/A
N
2
LCH
N/A
N/A
United Kingdom Retail Prices Index
Y
2040-01-15
0.00000000
USD
30396.47000000
USD
5400000.00000000
GBP
737367.64000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
940000.00000000
OU
Notional Amount
USD
80462.18000000
0.004959250761
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-02-03
19.25000000
USD
0.00000000
USD
940000.00000000
USD
80442.93000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
10650000.00000000
OU
Notional Amount
USD
310677.54000000
0.019148472323
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2022-06-16
125.59000000
USD
0.00000000
USD
10650000.00000000
USD
310551.95000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
3535000.00000000
OU
Notional Amount
-56281.01000000
-0.00346885507
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
3535000.00000000
OU
Notional Amount
-56281.01000000
-0.00346900
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
3535000.00000000
EUR
3535000.00000000
EUR
0.13800000
EUR
2022-09-13
XXXX
-3084.88000000
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128285W6
55994422.45000000
PA
USD
62332760.37000000
3.841852026977
Long
DBT
UST
US
N
2
2029-01-15
Fixed
0.88000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
320000.00000000
OU
Notional Amount
USD
100612.13000000
0.006201183988
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2050-01-10
8.91000000
USD
0.00000000
USD
320000.00000000
USD
100603.22000000
N
N
N
N/A
N/A
Options
N/A
319.00000000
NC
USD
-330962.50000000
-0.02039872683
N/A
DIR
N/A
N
1
CME
N/A
Call
Written
CME
N/A
N/A
N/A
FUTURE
N/A
319.00000000
NC
USD
-330962.50000000
-0.02039900
DIR
Long
N/A
90 Day Eurodollar Future; December 2021
N/A
797500.00000000
USD
319.00000000
99.37500000
USD
2021-12-14
XXXX
-191919.97000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1630000.00000000
OU
Notional Amount
USD
-57230.60000000
-0.00352738263
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
1630000.00000000
OU
Notional Amount
USD
-57230.60000000
-0.00352700
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1630000.00000000
USD
1630000.00000000
USD
0.87700000
USD
2021-04-15
XXXX
-13057.60000000
N
N
N
N/A
N/A
Futures
N/A
220.00000000
NC
-261699.93000000
-0.01612975906
N/A
DIR
N/A
N
1
EUX
N/A
Short
N/A
Euro Bond 10 Year Bond; June 2020
2020-06-09
42052973.60000000
USD
-261699.93000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
186030000.00000100
OU
Notional Amount
USD
-6963979.27000000
-0.42922177223
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2022-02-26
2860.12000000
USD
0.00000000
USD
186030000.00000100
USD
-6966839.39000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
850000.00000000
OU
Notional Amount
USD
-87894.57000000
-0.00541734282
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2034-10-23
16.90000000
USD
0.00000000
USD
850000.00000000
USD
-87911.47000000
N
N
N
Mexico Government International Bond
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAL4
460000.00000000
PA
USD
440450.00000000
0.027146940312
Long
DBT
NUSS
MX
N
2
2051-04-27
Fixed
5.00000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
4920000.00000000
OU
Notional Amount
USD
-108313.51000000
-0.00667585512
N/A
DIR
N/A
N
2
Morgan Stanley & Co
N/A
Put
Written
Morgan Stanley & Co
N/A
N/A
N/A
Interest Rate Swap
N/A
4920000.00000000
OU
Notional Amount
USD
-108313.51000000
-0.00667600
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
4920000.00000000
USD
4920000.00000000
USD
0.74250000
USD
2021-04-20
XXXX
28339.49000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1445000.00000000
OU
Notional Amount
USD
14334.49000000
0.000883499930
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Put
Purchased
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
1445000.00000000
OU
Notional Amount
USD
14334.49000000
0.00088300
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1445000.00000000
USD
1445000.00000000
USD
1.35000000
USD
2020-09-07
XXXX
-44188.01000000
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828V49
43307696.19200000
PA
USD
45478580.21000000
2.803052111388
Long
DBT
UST
US
N
2
2027-01-15
Fixed
0.38000000
N
N
N
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-89980.37000000
-0.00554590017
N/A
DFE
N/A
N
2
Morgan Stanley & Co
N/A
6668000.00000000
NZD
4000426.59000000
USD
2020-05-05
-89980.37000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
2440000.00000000
OU
Notional Amount
3611.19000000
0.000222574093
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2023-02-12
0.00000000
USD
25.66000000
USD
2440000.00000000
EUR
3636.85000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1610000.00000000
OU
Notional Amount
USD
97272.29000000
0.005995334432
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Put
Purchased
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
1610000.00000000
OU
Notional Amount
USD
97272.29000000
0.00599500
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1610000.00000000
USD
1610000.00000000
USD
0.82800000
USD
2020-11-24
XXXX
-14139.71000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
420000.00000000
OU
Notional Amount
USD
-58258.42000000
-0.00359073186
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2034-06-24
8.09000000
USD
0.00000000
USD
420000.00000000
USD
-58266.51000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
6420000.00000000
OU
Notional Amount
USD
-70147.60000000
-0.00432351619
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Put
Written
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
6420000.00000000
OU
Notional Amount
USD
-70147.60000000
-0.00432400
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
6420000.00000000
USD
6420000.00000000
USD
0.66300000
USD
2020-07-23
XXXX
26473.40000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1910000.00000000
OU
Notional Amount
USD
212291.73000000
0.013084506580
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-01-07
38.84000000
USD
0.00000000
USD
1910000.00000000
USD
212252.89000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
86280000.00000000
OU
Notional Amount
USD
-17.39000000
-0.00000107182
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
86280000.00000000
OU
Notional Amount
USD
-17.39000000
-0.00000100
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
86280000.00000000
USD
86280000.00000000
USD
2.15000000
USD
2021-05-28
XXXX
241998.01000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
22110000.00000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
22110000.00000000
OU
Notional Amount
USD
0.00000000
0.00000000
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
22110000.00000000
USD
22110000.00000000
USD
3.50000000
USD
2020-08-25
XXXX
74621.25000000
N
N
N
Option One Mortgage Loan Trust 2005-1
N/A
Option One Mortgage Loan Trust 2005-1
68389FGN8
23084.14000000
PA
USD
11728.65000000
0.000722890138
Long
ABS-O
CORP
US
N
2
2035-02-25
Floating
1.99000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
14395000.00000000
OU
Notional Amount
USD
-118340.11000000
-0.00729384016
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Consumer Price All Urban Non-Seasonally Adjusted Index
Y
2025-04-16
514.75000000
USD
0.00000000
USD
14395000.00000000
USD
-118854.86000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
25700000.00000000
OU
Notional Amount
USD
21282.36000000
0.001311728815
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2022-03-15
414.76000000
USD
0.00000000
USD
25700000.00000000
USD
20867.60000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-64301.89000000
-0.00396321845
N/A
DFE
N/A
N
2
Goldman Sachs & Co
N/A
680000.00000000
GBP
792127.04000000
USD
2020-06-17
-64301.89000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1341000.00000000
OU
Notional Amount
2440.91000000
0.000150444404
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2022-06-30
0.70000000
USD
0.00000000
USD
1341000.00000000
EUR
2440.21000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
16775000.00000000
OU
Notional Amount
USD
-941996.22000000
-0.05805951903
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Consumer Price All Urban Non-Seasonally Adjusted Index
Y
2030-02-03
667.38000000
USD
0.00000000
USD
16775000.00000000
USD
-942663.60000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1410000.00000000
OU
Notional Amount
USD
296259.40000000
0.018259816662
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Purchased
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
1410000.00000000
OU
Notional Amount
USD
296259.40000000
0.01826000
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1410000.00000000
USD
1410000.00000000
USD
3.05200000
USD
2029-01-11
XXXX
216594.40000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
24845000.00000000
OU
Notional Amount
USD
-526675.38000000
-0.03246140334
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Consumer Price All Urban Non-Seasonally Adjusted Index
Y
2030-03-10
998.97000000
USD
0.00000000
USD
24845000.00000000
USD
-527674.35000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
22950000.00000000
OU
Notional Amount
-348153.33000000
-0.02145827601
N/A
DIR
N/A
N
2
LCH
N/A
N/A
3 Month Johannesburg Interbank Agreed Rate
Y
2030-09-16
0.00000000
USD
13370.76000000
USD
22950000.00000000
NZD
-334782.57000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
7480000.00000000
OU
Notional Amount
10017.10000000
0.000617399513
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2022-07-20
211.76000000
USD
0.00000000
USD
7480000.00000000
EUR
9805.34000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-14393.96000000
-0.00088716533
N/A
DFE
N/A
N
2
Deutsche Bank AG
N/A
1908151.33000000
USD
1725000.00000000
EUR
2020-08-05
-14393.96000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
2230000.00000000
OU
Notional Amount
USD
-9521.97000000
-0.00058688239
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
2230000.00000000
OU
Notional Amount
USD
-9521.97000000
-0.00058700
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
2230000.00000000
USD
2230000.00000000
USD
0.80000000
USD
2020-06-30
XXXX
624.53000000
N
N
N
N/A
N/A
Futures
N/A
232.00000000
NC
USD
-430910.15000000
-0.02655895589
N/A
DIR
N/A
N
1
CBT
N/A
Short
N/A
US 10 Year Note; June 2020
2020-06-22
32262500.00000000
USD
-430910.15000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1580000.00000000
OU
Notional Amount
-2377.23000000
-0.00014651951
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2023-09-28
81.54000000
USD
0.00000000
USD
1580000.00000000
EUR
-2458.77000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1190000.00000000
OU
Notional Amount
USD
204841.96000000
0.012625343311
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2031-05-18
22.37000000
USD
0.00000000
USD
1190000.00000000
USD
204819.59000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
2020000.00000000
OU
Notional Amount
USD
-53098.14000000
-0.00327268029
N/A
DIR
N/A
N
2
Morgan Stanley & Co
N/A
Call
Written
Morgan Stanley & Co
N/A
N/A
N/A
Interest Rate Swap
N/A
2020000.00000000
OU
Notional Amount
USD
-53098.14000000
-0.00327300
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
2020000.00000000
USD
2020000.00000000
USD
0.73000000
USD
2021-04-07
XXXX
-174.14000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
17665000.00000000
OU
Notional Amount
USD
-440175.01000000
-0.02712999142
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
17665000.00000000
OU
Notional Amount
USD
-440175.01000000
-0.02713000
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
17665000.00000000
USD
17665000.00000000
USD
1.53100000
USD
2020-12-14
XXXX
-355824.63000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
3410000.00000000
OU
Notional Amount
USD
-1316.40000000
-0.00008113572
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-04-07
70.31000000
USD
0.00000000
USD
3410000.00000000
USD
-1386.71000000
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128287D6
9677949.60000000
PA
USD
10329074.02000000
0.636627893983
Long
DBT
UST
US
N
2
2029-07-15
Fixed
0.25000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
3810000.00000000
OU
Notional Amount
USD
-34077.57000000
-0.00210035590
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Put
Written
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
3810000.00000000
OU
Notional Amount
USD
-34077.57000000
-0.00210000
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
3810000.00000000
USD
3810000.00000000
USD
1.60000000
USD
2022-03-04
XXXX
33740.43000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
5390000.00000000
OU
Notional Amount
USD
-15942.87000000
-0.00098263171
N/A
DIR
N/A
N
2
Morgan Stanley & Co
N/A
Put
Written
Morgan Stanley & Co
N/A
N/A
N/A
Interest Rate Swap
N/A
5390000.00000000
OU
Notional Amount
USD
-15942.87000000
-0.00098300
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
5390000.00000000
USD
5390000.00000000
USD
3.50000000
USD
2024-06-14
XXXX
74266.70000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
7460000.00000000
OU
Notional Amount
11075.46000000
0.000682631062
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2022-07-16
209.60000000
USD
0.00000000
USD
7460000.00000000
EUR
10865.86000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
4871500.00000000
OU
Notional Amount
USD
23082.93000000
0.001422706148
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Purchased
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
4871500.00000000
OU
Notional Amount
USD
23082.93000000
0.00142300
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
4871500.00000000
USD
4871500.00000000
USD
2.97750000
USD
2024-03-08
XXXX
-200884.28000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-8913.34000000
-0.00054936975
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
362000.00000000
GBP
447021.56000000
USD
2020-05-05
-8913.34000000
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810QF8
12861039.94100000
PA
USD
18744158.94000000
1.155287919067
Long
DBT
UST
US
N
2
2040-02-15
Fixed
2.13000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1630000.00000000
OU
Notional Amount
USD
3153.84000000
0.000194385528
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-04-30
33.82000000
USD
0.00000000
USD
1630000.00000000
USD
3120.02000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
5530000.00000000
OU
Notional Amount
USD
-4751.00000000
-0.00029282577
N/A
DIR
N/A
N
2
JPMorgan Chase
N/A
Put
Written
JPMorgan Chase
N/A
N/A
N/A
Interest Rate Swap
N/A
5530000.00000000
OU
Notional Amount
USD
-4751.00000000
-0.00029300
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
5530000.00000000
USD
5530000.00000000
USD
3.25000000
USD
2022-08-03
XXXX
31470.50000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1100000.00000000
OU
Notional Amount
USD
65126.26000000
0.004014028137
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-03-02
22.70000000
USD
0.00000000
USD
1100000.00000000
USD
65103.56000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
5280000.00000000
OU
Notional Amount
USD
90153.93000000
0.005556597472
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Put
Purchased
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
5280000.00000000
OU
Notional Amount
USD
90153.93000000
0.00555700
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
5280000.00000000
USD
5280000.00000000
USD
1.20000000
USD
2022-03-01
XXXX
-95570.07000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-79371.61000000
-0.00489203396
N/A
DFE
N/A
N
2
Goldman Sachs & Co
N/A
3200000.00000000
EUR
3433685.54000000
USD
2020-08-05
-79371.61000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1295000.00000000
OU
Notional Amount
USD
41716.07000000
0.002571151464
N/A
DIR
N/A
N
2
JPMorgan Chase
N/A
Put
Purchased
JPMorgan Chase
N/A
N/A
N/A
Interest Rate Swap
N/A
1295000.00000000
OU
Notional Amount
USD
41716.07000000
0.00257100
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1295000.00000000
USD
1295000.00000000
USD
2.86000000
USD
2039-02-23
XXXX
-22354.06000000
N
N
N
Countrywide Asset-Backed Certificates
N/A
Countrywide Asset-Backed Certificates
126671SL1
14526.33000000
PA
USD
14167.31000000
0.000873195865
Long
ABS-O
CORP
US
N
2
2032-12-25
Floating
1.61000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1235000.00000000
OU
Notional Amount
USD
96009.13000000
0.005917480126
N/A
DIR
N/A
N
2
LCH
N/A
N/A
3 Month USD LIBOR
Y
2050-08-21
40.60000000
USD
0.00000000
USD
1235000.00000000
USD
95968.53000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1535000.00000000
OU
Notional Amount
USD
-43597.42000000
-0.00268710763
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Call
Written
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
1535000.00000000
OU
Notional Amount
USD
-43597.42000000
-0.00268700
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1535000.00000000
USD
1535000.00000000
USD
0.76500000
USD
2021-04-16
XXXX
-1500.04000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
20317500.00000000
OU
Notional Amount
USD
491490.19000000
0.030292779775
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Purchased
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
20317500.00000000
OU
Notional Amount
USD
491490.19000000
0.03029300
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
20317500.00000000
USD
20317500.00000000
USD
1.50000000
USD
2020-06-02
XXXX
430447.98000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1680000.00000000
OU
Notional Amount
USD
-40217.68000000
-0.00247879886
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Put
Written
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
1680000.00000000
OU
Notional Amount
USD
-40217.68000000
-0.00247900
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1680000.00000000
USD
1680000.00000000
USD
0.68800000
USD
2021-04-07
XXXX
5436.32000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
5390000.00000000
OU
Notional Amount
USD
-1.79000000
-0.00000011032
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
5390000.00000000
OU
Notional Amount
USD
-1.79000000
0.00000000
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
5390000.00000000
USD
5390000.00000000
USD
2.30000000
USD
2020-06-16
XXXX
77075.21000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
12690000.00000000
OU
Notional Amount
-1310385.88000000
-0.08076505226
N/A
DIR
N/A
N
2
LCH
N/A
N/A
United Kingdom Retail Prices Index
Y
2034-10-15
105530.29000000
USD
0.00000000
USD
12690000.00000000
GBP
-1415916.17000000
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810SG4
19079494.40000000
PA
USD
25501722.05000000
1.571787322872
Long
DBT
UST
US
N
2
2049-02-15
Fixed
1.00000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
730000.00000000
OU
Notional Amount
USD
202179.45000000
0.012461240689
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2050-02-10
20.37000000
USD
0.00000000
USD
730000.00000000
USD
202159.08000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
5730000.00000000
OU
Notional Amount
USD
-73965.03000000
-0.00455880180
N/A
DIR
N/A
N
2
Morgan Stanley & Co
N/A
Put
Written
Morgan Stanley & Co
N/A
N/A
N/A
Interest Rate Swap
N/A
5730000.00000000
OU
Notional Amount
USD
-73965.03000000
-0.00455900
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
5730000.00000000
USD
5730000.00000000
USD
2.25000000
USD
2024-08-21
XXXX
95910.45000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
3705000.00000000
OU
Notional Amount
USD
812326.19000000
0.050067364273
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Purchased
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
3705000.00000000
OU
Notional Amount
USD
812326.19000000
0.05006700
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
3705000.00000000
USD
3705000.00000000
USD
3.08800000
USD
2038-12-07
XXXX
640043.69000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
14740000.00000000
OU
Notional Amount
-71511.28000000
-0.00440756601
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2023-03-24
384.81000000
USD
0.00000000
USD
14740000.00000000
EUR
-71896.09000000
N
N
N
N/A
N/A
Capped Options
N/A
27080000.00000000
OU
Notional Amount
USD
5681.54000000
0.000350179196
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Call
Purchased
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
27080000.00000000
OU
Notional Amount
USD
5681.54000000
0.00035000
DIR
N/A
Max (0, 5Y CMS-0.35%)
N/A
N/A
N/A
N/A
N/A
27080000.00000000
USD
27080000.00000000
USD
0.35000000
USD
2020-07-09
XXXX
-16659.46000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
32443.01000000
0.001999610525
N/A
DFE
N/A
N
2
BNP Paribas
N/A
1447456.18000000
USD
1175000.00000000
GBP
2020-05-05
32443.01000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
5400000.00000000
OU
Notional Amount
-409501.88000000
-0.02523946666
N/A
DIR
N/A
N
2
LCH
N/A
N/A
United Kingdom Retail Prices Index
Y
2035-01-15
21113.03000000
USD
0.00000000
USD
5400000.00000000
GBP
-430614.91000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
29770000.00000000
OU
Notional Amount
USD
-3086.26000000
-0.00019022026
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Put
Written
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
29770000.00000000
OU
Notional Amount
USD
-3086.26000000
-0.00019000
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
29770000.00000000
USD
29770000.00000000
USD
0.60000000
USD
2020-09-25
XXXX
31521.37000000
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810QP6
13405779.27000000
PA
USD
19743610.63000000
1.216888680502
Long
DBT
UST
US
N
2
2041-02-15
Fixed
2.13000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
3470000.00000000
OU
Notional Amount
USD
302435.70000000
0.018640490172
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Purchased
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
3470000.00000000
OU
Notional Amount
USD
302435.70000000
0.01864000
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
3470000.00000000
USD
3470000.00000000
USD
1.49500000
USD
2025-02-26
XXXX
120173.95000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1800000.00000000
OU
Notional Amount
USD
-35807.50000000
-0.00220697937
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Put
Written
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
1800000.00000000
OU
Notional Amount
USD
-35807.50000000
-0.00220700
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1800000.00000000
USD
1800000.00000000
USD
0.79000000
USD
2021-04-16
XXXX
13017.50000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1610000.00000000
OU
Notional Amount
USD
97810.53000000
0.006028508615
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Call
Purchased
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
1610000.00000000
OU
Notional Amount
USD
97810.53000000
0.00602900
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1610000.00000000
USD
1610000.00000000
USD
0.82800000
USD
2020-11-24
XXXX
-13601.47000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
7950000.00000000
OU
Notional Amount
-15773.95000000
-0.00097222040
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2022-03-05
0.00000000
USD
47.61000000
USD
7950000.00000000
EUR
-15726.34000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1690000.00000000
OU
Notional Amount
USD
-40100.32000000
-0.00247156542
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
1690000.00000000
OU
Notional Amount
USD
-40100.32000000
-0.00247200
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1690000.00000000
USD
1690000.00000000
USD
0.69250000
USD
2021-04-07
XXXX
7219.68000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
14395000.00000000
OU
Notional Amount
USD
221834.60000000
0.013672677138
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Consumer Price All Urban Non-Seasonally Adjusted Index
Y
2030-04-16
584.75000000
USD
0.00000000
USD
14395000.00000000
USD
221249.85000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
5125000.00000000
OU
Notional Amount
-231328.15000000
-0.01425780787
N/A
DIR
N/A
N
2
LCH
N/A
N/A
United Kingdom Retail Prices Index
Y
2029-12-15
8877.79000000
USD
0.00000000
USD
5125000.00000000
GBP
-240205.94000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
5200000.00000000
OU
Notional Amount
753038.50000000
0.046413193807
N/A
DIR
N/A
N
2
LCH
N/A
N/A
United Kingdom Retail Prices Index
Y
2040-01-15
0.00000000
USD
31404.06000000
USD
5200000.00000000
GBP
784442.56000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
5590000.00000000
OU
Notional Amount
USD
-18462.82000000
-0.00113794771
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
5590000.00000000
OU
Notional Amount
USD
-18462.82000000
-0.00113800
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
5590000.00000000
USD
5590000.00000000
USD
2.10000000
USD
2022-01-07
XXXX
109757.81000000
N
N
N
Chase Mortgage Finance Trust Series 2007-A2
N/A
Chase Mortgage Finance Trust Series 2007-A2
16163LAA0
34401.29000000
PA
USD
31347.97000000
0.001932118221
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Variable
4.39000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
945000.00000000
OU
Notional Amount
USD
104163.34000000
0.006420061241
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-01-22
19.30000000
USD
0.00000000
USD
945000.00000000
USD
104144.04000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1535000.00000000
OU
Notional Amount
USD
-35379.56000000
-0.00218060348
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Put
Written
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
1535000.00000000
OU
Notional Amount
USD
-35379.56000000
-0.00218100
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1535000.00000000
USD
1535000.00000000
USD
0.71700000
USD
2021-04-19
XXXX
6986.44000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
3990000.00000000
OU
Notional Amount
-6534.09000000
-0.00040272573
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2023-03-04
10.75000000
USD
0.00000000
USD
3990000.00000000
EUR
-6544.84000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
9010000.00000000
OU
Notional Amount
USD
106746.93000000
0.006579299664
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2023-03-02
143.71000000
USD
0.00000000
USD
9010000.00000000
USD
106603.22000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
6060000.00000000
OU
Notional Amount
-1776.62000000
-0.00010950118
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
6060000.00000000
OU
Notional Amount
-1776.62000000
-0.00011000
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
6060000.00000000
EUR
6060000.00000000
EUR
0.00000100
EUR
2021-06-21
XXXX
12266.55000000
N
N
N
Italy Buoni Poliennali Del Tesoro
815600DE60799F5A9309
Italy Buoni Poliennali Del Tesoro
N/A
11559951.57000000
PA
12512206.91000000
0.771184320954
Long
DBT
NUSS
IT
N
2
2028-05-15
Fixed
1.30000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
5610000.00000000
OU
Notional Amount
USD
-4933.08000000
-0.00030404819
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
5610000.00000000
OU
Notional Amount
USD
-4933.08000000
-0.00030400
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
5610000.00000000
USD
5610000.00000000
USD
3.25000000
USD
2022-08-09
XXXX
28446.42000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
11350000.00000000
OU
Notional Amount
USD
114883.63000000
0.007080801558
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Consumer Price All Urban Non-Seasonally Adjusted Index
Y
2030-04-09
460.16000000
USD
0.00000000
USD
11350000.00000000
USD
114423.47000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
177190.67000000
0.010921068322
N/A
DFE
N/A
N
2
Bank of America NA
N/A
18893146.06000000
USD
17402000.00000000
EUR
2020-05-05
177190.67000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
10270000.00000000
OU
Notional Amount
140702.72000000
0.008672149714
N/A
DIR
N/A
N
2
LCH
N/A
N/A
United Kingdom Retail Prices Index
Y
2030-03-15
0.00000000
USD
5665.49000000
USD
10270000.00000000
GBP
146368.21000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
32305000.00000000
OU
Notional Amount
-112507.86000000
-0.00693437202
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
32305000.00000000
OU
Notional Amount
-112507.86000000
-0.00693400
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
32305000.00000000
EUR
32305000.00000000
EUR
0.29300000
EUR
2020-08-21
XXXX
43463.18000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
14780000.00000000
OU
Notional Amount
-75390.56000000
-0.00464666371
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2023-03-24
308.02000000
USD
0.00000000
USD
14780000.00000000
EUR
-75698.58000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
19480000.00000000
OU
Notional Amount
-2272.14000000
-0.00014004234
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
19480000.00000000
OU
Notional Amount
-2272.14000000
-0.00014000
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
19480000.00000000
EUR
19480000.00000000
EUR
0.10000000
EUR
2021-04-13
XXXX
63528.30000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
5910000.00000000
OU
Notional Amount
8306.97000000
0.000511996409
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2022-07-20
170.52000000
USD
0.00000000
USD
5910000.00000000
EUR
8136.45000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
3930000.00000000
OU
Notional Amount
USD
-62355.60000000
-0.00384325973
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
3930000.00000000
OU
Notional Amount
USD
-62355.60000000
-0.00384300
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
3930000.00000000
USD
3930000.00000000
USD
3.05000000
USD
2029-03-13
XXXX
146130.90000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
17665000.00000000
OU
Notional Amount
USD
-27.13000000
-0.00000167214
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
17665000.00000000
OU
Notional Amount
USD
-27.13000000
-0.00000200
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
17665000.00000000
USD
17665000.00000000
USD
1.53100000
USD
2020-12-14
XXXX
84323.25000000
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128283R9
55480005.32000000
PA
USD
59271254.79000000
3.653157489011
Long
DBT
UST
US
N
2
2028-01-15
Fixed
0.50000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
4420000.00000000
OU
Notional Amount
6800.44000000
0.000419142101
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2022-09-29
81.90000000
USD
0.00000000
USD
4420000.00000000
EUR
6718.54000000
N
N
N
N/A
N/A
Futures
N/A
13.00000000
NC
-7783.42000000
-0.00047972763
N/A
DIR
N/A
N
1
OSE
N/A
Short
N/A
Japan 10 Year Bond TSE; June 2020
2020-06-16
18508782.55000000
USD
-7783.42000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
29530000.00000000
OU
Notional Amount
-40566.71000000
-0.00250031117
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
29530000.00000000
OU
Notional Amount
-40566.71000000
-0.00250000
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
29530000.00000000
EUR
29530000.00000000
EUR
0.25000000
EUR
2021-09-07
XXXX
8018.35000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
25728.80000000
0.001585783171
N/A
DFE
N/A
N
2
Morgan Stanley & Co
N/A
3643000.00000000
USD
5104840.45000000
CAD
2020-07-08
25728.80000000
N
N
N
Ginnie Mae
549300M8ZYFG0OCMTT87
Ginnie Mae
38373MYV6
152642.97000000
PA
USD
5314.74000000
0.000327571641
Long
ABS-MBS
CORP
US
N
2
2047-03-16
Variable
1.46000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
3740000.00000000
OU
Notional Amount
USD
-3415.86000000
-0.00021053501
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
3740000.00000000
OU
Notional Amount
USD
-3415.86000000
-0.00021100
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
3740000.00000000
USD
3740000.00000000
USD
1.62400000
USD
2020-11-03
XXXX
87840.14000000
N
N
N
N/A
N/A
Options
N/A
50.00000000
NC
USD
19687.50000000
0.001213430326
N/A
DIR
N/A
N
1
CME
N/A
Call
Purchased
CME
N/A
N/A
N/A
FUTURE
N/A
50.00000000
NC
USD
19687.50000000
0.00121300
DIR
Long
N/A
90 Day Eurodollar Future; June 2020
N/A
125000.00000000
USD
50.00000000
99.50000000
USD
2020-05-18
XXXX
16210.15000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
15025000.00000000
OU
Notional Amount
USD
-96.20000000
-0.00000592924
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Put
Written
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
15025000.00000000
OU
Notional Amount
USD
-96.20000000
-0.00000600
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
15025000.00000000
USD
15025000.00000000
USD
1.00000000
USD
2020-10-06
XXXX
15680.05000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
2660000.00000000
OU
Notional Amount
USD
-424.15000000
-0.00002614229
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
2660000.00000000
OU
Notional Amount
USD
-424.15000000
-0.00002600
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
2660000.00000000
USD
2660000.00000000
USD
1.75000000
USD
2020-08-10
XXXX
43931.35000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
9180000.00000000
OU
Notional Amount
-7250.56000000
-0.00044688504
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
9180000.00000000
OU
Notional Amount
-7250.56000000
-0.00044700
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
9180000.00000000
EUR
9180000.00000000
EUR
0.15000000
EUR
2021-08-10
XXXX
5194.04000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
2020000.00000000
OU
Notional Amount
USD
-44487.20000000
-0.00274194883
N/A
DIR
N/A
N
2
Morgan Stanley & Co
N/A
Put
Written
Morgan Stanley & Co
N/A
N/A
N/A
Interest Rate Swap
N/A
2020000.00000000
OU
Notional Amount
USD
-44487.20000000
-0.00274200
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
2020000.00000000
USD
2020000.00000000
USD
0.73000000
USD
2021-04-07
XXXX
8436.80000000
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RA8
29472518.40000000
PA
USD
34334103.15000000
2.116167212847
Long
DBT
UST
US
N
2
2043-02-15
Fixed
0.63000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
5740000.00000000
OU
Notional Amount
USD
-3945.11000000
-0.00024315510
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
5740000.00000000
OU
Notional Amount
USD
-3945.11000000
-0.00024300
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
5740000.00000000
USD
5740000.00000000
USD
1.41700000
USD
2020-08-18
XXXX
145294.89000000
N
N
N
Long Beach Mortgage Loan Trust 2004-2
N/A
Long Beach Mortgage Loan Trust 2004-2
542514FX7
28908.40000000
PA
USD
26397.80000000
0.001627016689
Long
ABS-O
CORP
US
N
2
2034-06-25
Floating
1.28000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
11540000.00000000
OU
Notional Amount
USD
-25895.42000000
-0.00159605272
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Put
Written
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
11540000.00000000
OU
Notional Amount
USD
-25895.42000000
-0.00159600
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
11540000.00000000
USD
11540000.00000000
USD
0.61000000
USD
2023-04-07
XXXX
17091.08000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
9490000.00000000
OU
Notional Amount
728813.49000000
0.044920096065
N/A
DIR
N/A
N
2
LCH
N/A
N/A
United Kingdom Retail Prices Index
Y
2028-10-15
0.00000000
USD
42331.26000000
USD
9490000.00000000
GBP
771144.75000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
2290000.00000000
OU
Notional Amount
-9671.92000000
-0.00059612449
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2023-08-17
184.58000000
USD
0.00000000
USD
2290000.00000000
EUR
-9856.50000000
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828X39
148012118.17600100
PA
USD
146750187.58000100
9.044882695181
Long
DBT
UST
US
N
2
2022-04-15
Fixed
0.13000000
N
N
N
N
N
N
N/A
N/A
Capped Options
N/A
109200000.00000100
OU
Notional Amount
USD
240017.56000000
0.014793375809
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Purchased
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
109200000.00000100
OU
Notional Amount
USD
240017.56000000
0.01479300
DIR
N/A
Max (0, 5Y CMS-0.30%)
N/A
N/A
N/A
N/A
N/A
109200000.00000100
USD
109200000.00000100
USD
0.30000000
USD
2022-02-15
XXXX
46317.09000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
37540000.00000000
OU
Notional Amount
USD
736699.78000000
0.045406164050
N/A
DIR
N/A
N
2
JPMorgan Chase
N/A
Call
Purchased
JPMorgan Chase
N/A
N/A
N/A
Interest Rate Swap
N/A
37540000.00000000
OU
Notional Amount
USD
736699.78000000
0.04540600
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
37540000.00000000
USD
37540000.00000000
USD
1.25000000
USD
2020-08-11
XXXX
557633.98000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
4480000.00000000
OU
Notional Amount
5435.01000000
0.000334984429
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2023-05-03
84.61000000
USD
0.00000000
USD
4480000.00000000
EUR
5350.40000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
2040000.00000000
OU
Notional Amount
USD
-214889.70000000
-0.01324463130
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2034-11-07
40.66000000
USD
0.00000000
USD
2040000.00000000
USD
-214930.36000000
N
N
N
Indonesia Government International Bond
529900FWX0GRR7WG5W79
Indonesia Government International Bond
455780CS3
825000.00000000
PA
USD
854956.58000000
0.052694869445
Long
DBT
NUSS
ID
N
2
2030-10-15
Fixed
3.85000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
18070000.00000000
OU
Notional Amount
USD
291182.10000000
0.017946879529
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2023-03-01
286.90000000
USD
0.00000000
USD
18070000.00000000
USD
290895.20000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
6780000.00000000
OU
Notional Amount
USD
-165093.28000000
-0.01017545105
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Put
Written
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
6780000.00000000
OU
Notional Amount
USD
-165093.28000000
-0.01017500
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
6780000.00000000
USD
6780000.00000000
USD
1.00000000
USD
2022-04-08
XXXX
82660.44000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
3710000.00000000
OU
Notional Amount
USD
2127.90000000
0.000131152172
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2022-07-30
62.18000000
USD
0.00000000
USD
3710000.00000000
USD
2065.72000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
3740000.00000000
OU
Notional Amount
USD
-358846.70000000
-0.02211735712
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
3740000.00000000
OU
Notional Amount
USD
-358846.70000000
-0.02211700
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
3740000.00000000
USD
3740000.00000000
USD
1.62400000
USD
2020-11-03
XXXX
-267590.70000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
3855000.00000000
OU
Notional Amount
-27478.08000000
-0.00169359926
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2024-01-03
276.73000000
USD
0.00000000
USD
3855000.00000000
EUR
-27754.81000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
17710000.00000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Put
Written
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
17710000.00000000
OU
Notional Amount
USD
0.00000000
0.00000000
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
17710000.00000000
USD
17710000.00000000
USD
3.35000000
USD
2020-06-01
XXXX
64420.13000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
2830000.00000000
OU
Notional Amount
USD
498500.09000000
0.030724831851
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2029-03-26
51.07000000
USD
0.00000000
USD
2830000.00000000
USD
498449.02000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
33110000.00000000
OU
Notional Amount
USD
-14193.61000000
-0.00087481685
N/A
DIR
N/A
N
2
Morgan Stanley & Co
N/A
Put
Written
Morgan Stanley & Co
N/A
N/A
N/A
Interest Rate Swap
N/A
33110000.00000000
OU
Notional Amount
USD
-14193.61000000
-0.00087500
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
33110000.00000000
USD
33110000.00000000
USD
0.41000000
USD
2021-03-18
XXXX
42093.39000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
95909.40000000
0.005911333311
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
5390000.00000000
EUR
6013215.04000000
USD
2020-08-05
95909.40000000
N
N
N
Abu Dhabi Government International Bond
213800FER4348CINTA77
Abu Dhabi Government International Bond
29135LAH3
805000.00000000
PA
USD
855473.50000000
0.052726729579
Long
DBT
NUSS
AE
N
2
2030-04-16
Fixed
3.13000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
5530000.00000000
OU
Notional Amount
USD
-10653.63000000
-0.00065663175
N/A
DIR
N/A
N
2
JPMorgan Chase
N/A
Put
Written
JPMorgan Chase
N/A
N/A
N/A
Interest Rate Swap
N/A
5530000.00000000
OU
Notional Amount
USD
-10653.63000000
-0.00065700
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
5530000.00000000
USD
5530000.00000000
USD
2.75000000
USD
2022-08-03
XXXX
65107.37000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
3940000.00000000
OU
Notional Amount
USD
-140629.09000000
-0.00866761156
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Consumer Price All Urban Non-Seasonally Adjusted Index
Y
2030-03-25
159.08000000
USD
0.00000000
USD
3940000.00000000
USD
-140788.17000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-75991.01000000
-0.00468367218
N/A
DFE
N/A
N
2
Deutsche Bank AG
N/A
1575097.50000000
GBP
1908151.33000000
USD
2020-08-05
-75991.01000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
2680000.00000000
OU
Notional Amount
USD
-360422.19000000
-0.02221446175
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Consumer Price All Urban Non-Seasonally Adjusted Index
Y
2049-11-25
150.56000000
USD
0.00000000
USD
2680000.00000000
USD
-360572.75000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
6870000.00000000
OU
Notional Amount
-2843.39000000
-0.00017525108
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
6870000.00000000
OU
Notional Amount
-2843.39000000
-0.00017500
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
6870000.00000000
EUR
6870000.00000000
EUR
0.05000000
EUR
2021-07-06
XXXX
11649.14000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1770000.00000000
OU
Notional Amount
USD
23976.43000000
0.001477776624
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2045-11-15
45.66000000
USD
0.00000000
USD
1770000.00000000
USD
23930.77000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
5280000.00000000
OU
Notional Amount
USD
322013.60000000
0.019847165351
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Call
Purchased
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
5280000.00000000
OU
Notional Amount
USD
322013.60000000
0.01984700
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
5280000.00000000
USD
5280000.00000000
USD
1.20000000
USD
2022-03-01
XXXX
136289.60000000
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828UH1
33567728.04000000
PA
USD
33557853.09000000
2.068323384838
Long
DBT
UST
US
N
2
2023-01-15
Fixed
0.13000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
33170000.00000000
OU
Notional Amount
USD
-533441.21000000
-0.03287841227
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2022-06-03
360.77000000
USD
0.00000000
USD
33170000.00000000
USD
-533801.98000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
3930000.00000000
OU
Notional Amount
USD
-104189.09000000
-0.00642164833
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Consumer Price All Urban Non-Seasonally Adjusted Index
Y
2030-03-26
158.72000000
USD
0.00000000
USD
3930000.00000000
USD
-104347.81000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
5390000.00000000
OU
Notional Amount
USD
-28207.30000000
-0.00173854441
N/A
DIR
N/A
N
2
Morgan Stanley & Co
N/A
Put
Written
Morgan Stanley & Co
N/A
N/A
N/A
Interest Rate Swap
N/A
5390000.00000000
OU
Notional Amount
USD
-28207.30000000
-0.00173900
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
5390000.00000000
USD
5390000.00000000
USD
3.00000000
USD
2024-06-14
XXXX
119806.76000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
5390000.00000000
OU
Notional Amount
USD
49599.20000000
0.003057024683
N/A
DIR
N/A
N
2
Morgan Stanley & Co
N/A
Put
Purchased
Morgan Stanley & Co
N/A
N/A
N/A
Interest Rate Swap
N/A
5390000.00000000
OU
Notional Amount
USD
49599.20000000
0.00305700
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
5390000.00000000
USD
5390000.00000000
USD
2.50000000
USD
2024-06-14
XXXX
-192726.22000000
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828TE0
19657665.68500000
PA
USD
19638847.79000000
1.210431669344
Long
DBT
UST
US
N
2
2022-07-15
Fixed
0.13000000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828H45
82665714.81000000
PA
USD
84800347.75000000
5.226631805776
Long
DBT
UST
US
N
2
2025-01-15
Fixed
0.25000000
N
N
N
N
N
N
N/A
N/A
Futures
N/A
203.00000000
NC
334010.25000000
0.020586573550
N/A
DIR
N/A
N
1
MSE
N/A
Long
N/A
Canada 10 Year Bond; June 2020
2020-06-22
21786824.24000000
USD
334010.25000000
N
N
N
New Zealand Government Inflation Linked Bond
549300237GPHG2AI7C34
New Zealand Government Inflation Linked Bond
N/A
3601625.60000000
PA
2964826.74000000
0.182735780560
Long
DBT
NUSS
NZ
N
2
2040-09-20
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
75070000.00000000
OU
Notional Amount
USD
-723754.46000000
-0.04460828499
N/A
DIR
N/A
N
2
JPMorgan Chase
N/A
Call
Written
JPMorgan Chase
N/A
N/A
N/A
Interest Rate Swap
N/A
75070000.00000000
OU
Notional Amount
USD
-723754.46000000
-0.04460800
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
75070000.00000000
USD
75070000.00000000
USD
0.75000000
USD
2020-08-11
XXXX
-581101.33000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
7120000.00000000
OU
Notional Amount
-63410.00000000
-0.00390824721
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
7120000.00000000
OU
Notional Amount
-63410.00000000
-0.00390800
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
7120000.00000000
EUR
7120000.00000000
EUR
0.11500000
EUR
2022-04-05
XXXX
26641.56000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
3960000.00000000
OU
Notional Amount
USD
11736.98000000
0.000723403554
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2022-09-29
64.21000000
USD
0.00000000
USD
3960000.00000000
USD
11672.77000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-74202.01000000
-0.00457340796
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
1749276.25000000
USD
1330000.00000000
GBP
2020-06-17
-74202.01000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
4100000.00000000
OU
Notional Amount
841278.52000000
0.051851828286
N/A
DIR
N/A
N
2
LCH
N/A
N/A
United Kingdom Retail Prices Index
Y
2045-01-15
0.00000000
USD
29226.76000000
USD
4100000.00000000
GBP
870505.28000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
26235000.00000000
OU
Notional Amount
USD
36521.92000000
0.002251012333
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2022-03-15
425.79000000
USD
0.00000000
USD
26235000.00000000
USD
36096.13000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
5610000.00000000
OU
Notional Amount
USD
24494.51000000
0.001509708255
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Purchased
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
5610000.00000000
OU
Notional Amount
USD
24494.51000000
0.00151000
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
5610000.00000000
USD
5610000.00000000
USD
2.25000000
USD
2022-08-09
XXXX
-108322.24000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
15448000.00000000
OU
Notional Amount
87.60000000
0.000005399187
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Purchased
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
15448000.00000000
OU
Notional Amount
87.60000000
0.00000500
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
15448000.00000000
EUR
15448000.00000000
EUR
0.00000100
EUR
2020-06-24
XXXX
-8197.55000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
4510000.00000000
OU
Notional Amount
USD
69333.94000000
0.004273366626
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2023-03-02
71.68000000
USD
0.00000000
USD
4510000.00000000
USD
69262.26000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
36.73000000
0.000002263837
N/A
DFE
N/A
N
2
Deutsche Bank AG
N/A
15000.00000000
EUR
16474.79000000
USD
2020-05-05
36.73000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
3870000.00000000
OU
Notional Amount
USD
-19.29000000
-0.00000118893
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
3870000.00000000
OU
Notional Amount
USD
-19.29000000
-0.00000100
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
3870000.00000000
USD
3870000.00000000
USD
2.35000000
USD
2020-07-13
XXXX
41002.71000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
4030000.00000000
OU
Notional Amount
USD
-23079.09000000
-0.00142246947
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
4030000.00000000
OU
Notional Amount
USD
-23079.09000000
-0.00142200
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
4030000.00000000
USD
4030000.00000000
USD
1.85000000
USD
2022-02-23
XXXX
47848.91000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
29390000.00000000
OU
Notional Amount
USD
-288656.52000000
-0.01779121652
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2021-03-27
277.69000000
USD
0.00000000
USD
29390000.00000000
USD
-288934.21000000
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828N71
93924359.23200000
PA
USD
99099604.58000000
6.107960155596
Long
DBT
UST
US
N
2
2026-01-15
Fixed
0.63000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
17590000.00000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Put
Written
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
17590000.00000000
OU
Notional Amount
USD
0.00000000
0.00000000
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
17590000.00000000
USD
17590000.00000000
USD
3.45000000
USD
2020-06-09
XXXX
73438.25000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
151300000.00000100
OU
Notional Amount
159644.47000000
0.009839616070
N/A
DIR
N/A
N
2
JPMorgan Chase
N/A
Call
Purchased
JPMorgan Chase
N/A
N/A
N/A
Interest Rate Swap
N/A
151300000.00000100
OU
Notional Amount
159644.47000000
0.00984000
DIR
N/A
6 Month JPY LIBOR
N/A
N/A
N/A
N/A
N/A
151300000.00000100
JPY
151300000.00000100
JPY
0.78000000
JPY
2021-04-19
XXXX
112281.48000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-36136.19000000
-0.00222723803
N/A
DFE
N/A
N
2
Morgan Stanley & Co
N/A
1684595.95000000
USD
2530000.00000000
AUD
2020-06-17
-36136.19000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
9745000.00000000
OU
Notional Amount
2411028.02000000
0.148602642186
N/A
DIR
N/A
N
2
LCH
N/A
N/A
United Kingdom Retail Prices Index
Y
2044-10-15
0.00000000
USD
68773.84000000
USD
9745000.00000000
GBP
2479801.86000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-38834.70000000
-0.00239355950
N/A
DFE
N/A
N
2
JPMorgan Chase
N/A
1447939.00000000
GBP
1784828.07000000
USD
2020-05-05
-38834.70000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
13440000.00000000
OU
Notional Amount
20973.75000000
0.001292707774
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Eurozone Harmonised Index of Consumer Prices ex-Tobacco
Y
2030-04-15
524.33000000
USD
0.00000000
USD
13440000.00000000
EUR
20449.42000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
3370000.00000000
OU
Notional Amount
USD
-76858.87000000
-0.00473716234
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
3370000.00000000
OU
Notional Amount
USD
-76858.87000000
-0.00473700
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
3370000.00000000
USD
3370000.00000000
USD
0.71250000
USD
2021-04-07
XXXX
17501.13000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1060000.00000000
OU
Notional Amount
USD
114155.45000000
0.007035920507
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-01-09
21.57000000
USD
0.00000000
USD
1060000.00000000
USD
114133.88000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
95099.86000000
0.005861437673
N/A
DFE
N/A
N
2
UBS AG
N/A
10644000.00000000
EUR
11759544.42000000
USD
2020-05-05
95099.86000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
2280000.00000000
OU
Notional Amount
-3353.45000000
-0.00020668840
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2023-08-11
88.42000000
USD
0.00000000
USD
2280000.00000000
EUR
-3441.87000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
3370000.00000000
OU
Notional Amount
USD
-85429.45000000
-0.00526540624
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
3370000.00000000
OU
Notional Amount
USD
-85429.45000000
-0.00526500
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
3370000.00000000
USD
3370000.00000000
USD
0.71250000
USD
2021-04-07
XXXX
8930.55000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
2680000.00000000
OU
Notional Amount
76154.61000000
0.004693755595
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Harmonised Indices of Consumer Prices Excluding Food and Energy
Y
2050-04-15
637.83000000
USD
0.00000000
USD
2680000.00000000
EUR
75516.78000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-98159.30000000
-0.00605000490
N/A
DFE
N/A
N
2
Goldman Sachs & Co
N/A
1370000.00000000
AUD
794484.92000000
USD
2020-06-17
-98159.30000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
35890000.00000000
OU
Notional Amount
USD
-50779.60000000
-0.00312977811
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2021-03-12
486.50000000
USD
0.00000000
USD
35890000.00000000
USD
-51266.10000000
N
N
N
Japanese Government CPI Linked Bond
353800WZS8AXZXFUC241
Japanese Government CPI Linked Bond
N/A
1906024708.00000000
PA
17633148.49000000
1.086811282962
Long
DBT
NUSS
JP
N
2
2027-03-10
Fixed
0.10000000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RR1
24613591.60400000
PA
USD
31937618.57000000
1.968460949132
Long
DBT
UST
US
N
2
2046-02-15
Fixed
1.00000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
7830000.00000000
OU
Notional Amount
USD
-753872.38000000
-0.04646458963
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2025-04-27
117.43000000
USD
0.00000000
USD
7830000.00000000
USD
-753989.81000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1345000.00000000
OU
Notional Amount
USD
170410.40000000
0.010503169389
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2024-10-29
21.93000000
USD
0.00000000
USD
1345000.00000000
USD
170388.47000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
2135000.00000000
OU
Notional Amount
80300.98000000
0.004949315270
N/A
DIR
N/A
N
2
LCH
N/A
N/A
United Kingdom Retail Prices Index
Y
2030-02-15
0.00000000
USD
2917.44000000
USD
2135000.00000000
GBP
83218.42000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1460000.00000000
OU
Notional Amount
USD
-5830.21000000
-0.00035934240
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-05-01
30.30000000
USD
0.00000000
USD
1460000.00000000
USD
-5860.51000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
157520000.00000100
OU
Notional Amount
USD
5990299.18000000
0.369209431930
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2022-02-07
0.00000000
USD
71345.50000000
USD
157520000.00000100
USD
6061644.68000000
N
N
N
WaMu Mortgage Pass-Through Certificates Series 2005-AR2 Trust
N/A
WaMu Mortgage Pass-Through Certificates Series 2005-AR2 Trust
92922FD39
31678.41000000
PA
USD
28940.94000000
0.001783761995
Long
ABS-MBS
CORP
US
N
2
2045-01-25
Floating
0.86000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
16785000.00000000
OU
Notional Amount
USD
-999291.81000000
-0.06159090730
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Consumer Price All Urban Non-Seasonally Adjusted Index
Y
2030-02-10
669.10000000
USD
0.00000000
USD
16785000.00000000
USD
-999960.91000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
7120000.00000000
OU
Notional Amount
-113223.88000000
-0.00697850360
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
7120000.00000000
OU
Notional Amount
-113223.88000000
-0.00697900
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
7120000.00000000
EUR
7120000.00000000
EUR
0.11500000
EUR
2022-04-05
XXXX
-23172.32000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
590000.00000000
OU
Notional Amount
USD
3696.76000000
0.000227848162
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-05-05
12.16000000
USD
0.00000000
USD
590000.00000000
USD
3684.60000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-9032.26000000
-0.00055669933
N/A
DFE
N/A
N
2
BMO Capital Markets
N/A
602433.00000000
GBP
749725.28000000
USD
2020-05-05
-9032.26000000
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810SM1
4361703.60000000
PA
USD
4917139.29000000
0.303065698295
Long
DBT
UST
US
N
2
2050-02-15
Fixed
0.25000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
11345000.00000000
OU
Notional Amount
USD
70.35000000
0.000004335991
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Purchased
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
11345000.00000000
OU
Notional Amount
USD
70.35000000
0.00000400
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
11345000.00000000
USD
11345000.00000000
USD
2.35000000
USD
2020-07-14
XXXX
-42530.86000000
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128282L3
43880132.60000000
PA
USD
46529308.28000000
2.867813269752
Long
DBT
UST
US
N
2
2027-07-15
Fixed
0.38000000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810FS2
16441255.65000000
PA
USD
18639503.16000000
1.148837506505
Long
DBT
UST
US
N
2
2026-01-15
Fixed
2.00000000
N
N
N
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810FQ6
9407858.37000000
PA
USD
13672873.80000000
0.842721509705
Long
DBT
UST
US
N
2
2032-04-15
Fixed
3.38000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
3370000.00000000
OU
Notional Amount
USD
-77030.56000000
-0.00474774438
N/A
DIR
N/A
N
2
Morgan Stanley & Co
N/A
Put
Written
Morgan Stanley & Co
N/A
N/A
N/A
Interest Rate Swap
N/A
3370000.00000000
OU
Notional Amount
USD
-77030.56000000
-0.00474800
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
3370000.00000000
USD
3370000.00000000
USD
0.70750000
USD
2021-04-02
XXXX
18171.94000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
13440000.00000000
OU
Notional Amount
-26846.37000000
-0.00165466410
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Eurozone Harmonised Index of Consumer Prices ex-Tobacco
Y
2025-04-15
497.01000000
USD
0.00000000
USD
13440000.00000000
EUR
-27343.38000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
940000.00000000
OU
Notional Amount
USD
86022.15000000
0.005301937045
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-01-29
19.23000000
USD
0.00000000
USD
940000.00000000
USD
86002.92000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
940000.00000000
OU
Notional Amount
USD
77789.89000000
0.004794545353
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-02-04
19.25000000
USD
0.00000000
USD
940000.00000000
USD
77770.64000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1305000.00000000
OU
Notional Amount
USD
356171.13000000
0.021952449556
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2050-05-07
36.43000000
USD
0.00000000
USD
1305000.00000000
USD
356134.70000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
3155000.00000000
OU
Notional Amount
USD
18134.02000000
0.001117682276
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Consumer Price All Urban Non-Seasonally Adjusted Index
Y
2050-04-09
179.46000000
USD
0.00000000
USD
3155000.00000000
USD
17954.56000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
17950000.00000000
OU
Notional Amount
USD
163456.26000000
0.010074554055
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2022-09-04
283.38000000
USD
0.00000000
USD
17950000.00000000
USD
163172.88000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-142639.26000000
-0.00879150749
N/A
DFE
N/A
N
2
Bank of America NA
N/A
6529500.00000000
NZD
3862806.49000000
USD
2020-05-05
-142639.26000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
33110000.00000000
OU
Notional Amount
USD
-64378.59000000
-0.00396794582
N/A
DIR
N/A
N
2
Morgan Stanley & Co
N/A
Call
Written
Morgan Stanley & Co
N/A
N/A
N/A
Interest Rate Swap
N/A
33110000.00000000
OU
Notional Amount
USD
-64378.59000000
-0.00396800
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
33110000.00000000
USD
33110000.00000000
USD
0.41000000
USD
2021-03-18
XXXX
-8091.59000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
3470000.00000000
OU
Notional Amount
USD
108909.91000000
0.006712613977
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Purchased
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
3470000.00000000
OU
Notional Amount
USD
108909.91000000
0.00671300
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
3470000.00000000
USD
3470000.00000000
USD
1.49500000
USD
2025-02-26
XXXX
-73351.84000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
3490000.00000000
OU
Notional Amount
USD
-332882.91000000
-0.02051709045
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
3490000.00000000
OU
Notional Amount
USD
-332882.91000000
-0.02051700
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
3490000.00000000
USD
3490000.00000000
USD
1.62000000
USD
2020-09-15
XXXX
-246069.16000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
4560000.00000000
OU
Notional Amount
USD
-115366.63000000
-0.00711057104
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2023-11-01
66.73000000
USD
0.00000000
USD
4560000.00000000
USD
-115433.36000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
25534.92000000
0.001573833463
N/A
DFE
N/A
N
2
JPMorgan Chase
N/A
1480813.53000000
USD
1196000.00000000
GBP
2020-05-05
25534.92000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
5610000.00000000
OU
Notional Amount
USD
-11017.05000000
-0.00067903098
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
5610000.00000000
OU
Notional Amount
USD
-11017.05000000
-0.00067900
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
5610000.00000000
USD
5610000.00000000
USD
2.75000000
USD
2022-08-09
XXXX
56583.45000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1410000.00000000
OU
Notional Amount
USD
294548.04000000
0.018154337747
N/A
DIR
N/A
N
2
Morgan Stanley & Co
N/A
Call
Purchased
Morgan Stanley & Co
N/A
N/A
N/A
Interest Rate Swap
N/A
1410000.00000000
OU
Notional Amount
USD
294548.04000000
0.01815400
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1410000.00000000
USD
1410000.00000000
USD
3.03660000
USD
2029-01-12
XXXX
214283.79000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
33410000.00000000
OU
Notional Amount
-6200.72000000
-0.00038217862
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month JPY LIBOR
Y
2039-06-17
316.86000000
USD
0.00000000
USD
33410000.00000000
JPY
-6517.58000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
38710000.00000000
OU
Notional Amount
-4018.90000000
-0.00024770311
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
38710000.00000000
OU
Notional Amount
-4018.90000000
-0.00024800
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
38710000.00000000
EUR
38710000.00000000
EUR
0.12000000
EUR
2021-04-09
XXXX
143148.34000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
18530000.00000000
OU
Notional Amount
USD
-37143.02000000
-0.00228929355
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Put
Written
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
18530000.00000000
OU
Notional Amount
USD
-37143.02000000
-0.00228900
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
18530000.00000000
USD
18530000.00000000
USD
0.68500000
USD
2023-04-12
XXXX
33965.86000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
40635000.00000000
OU
Notional Amount
USD
-576898.48000000
-0.03555688183
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
40635000.00000000
OU
Notional Amount
USD
-576898.48000000
-0.03555700
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
40635000.00000000
USD
40635000.00000000
USD
1.00000000
USD
2020-06-02
XXXX
-521239.83000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
4160000.00000000
OU
Notional Amount
USD
26665.17000000
0.001643495921
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2022-03-06
64.73000000
USD
0.00000000
USD
4160000.00000000
USD
26600.44000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
6010000.00000000
OU
Notional Amount
USD
-53836.35000000
-0.00331817954
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Put
Written
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
6010000.00000000
OU
Notional Amount
USD
-53836.35000000
-0.00331800
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
6010000.00000000
USD
6010000.00000000
USD
1.60000000
USD
2022-03-07
XXXX
47131.65000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
4530000.00000000
OU
Notional Amount
USD
62492.57000000
0.003851701822
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2023-03-02
72.05000000
USD
0.00000000
USD
4530000.00000000
USD
62420.52000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
2990000.00000000
OU
Notional Amount
USD
-175.75000000
-0.00001083227
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
2990000.00000000
OU
Notional Amount
USD
-175.75000000
-0.00001100
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
2990000.00000000
USD
2990000.00000000
USD
2.00000000
USD
2020-08-04
XXXX
44375.25000000
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828Y38
46433170.16000000
PA
USD
50973253.24000000
3.141713845484
Long
DBT
UST
US
N
2
2028-07-15
Fixed
0.75000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
8140000.00000000
OU
Notional Amount
-58233.50000000
-0.00358919593
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
8140000.00000000
OU
Notional Amount
-58233.50000000
-0.00358900
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
8140000.00000000
EUR
8140000.00000000
EUR
0.02000000
EUR
2022-04-08
XXXX
46062.89000000
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810RW0
6944032.80000000
PA
USD
8852400.50000000
0.545613776811
Long
DBT
UST
US
N
2
2047-02-15
Fixed
0.88000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
7490000.00000000
OU
Notional Amount
-2389.52000000
-0.00014727700
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2023-03-02
0.00000000
USD
140.84000000
USD
7490000.00000000
EUR
-2248.68000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
19820000.00000000
OU
Notional Amount
-43806.83000000
-0.00270001452
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2023-07-26
1275.20000000
USD
0.00000000
USD
19820000.00000000
EUR
-45082.03000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
23760000.00000000
OU
Notional Amount
USD
-1170326.49000000
-0.07213255391
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2022-04-16
390.43000000
USD
0.00000000
USD
23760000.00000000
USD
-1170716.92000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1000000.00000000
OU
Notional Amount
USD
106336.22000000
0.006553985735
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-01-08
20.34000000
USD
0.00000000
USD
1000000.00000000
USD
106315.88000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1880000.00000000
OU
Notional Amount
USD
172406.39000000
0.010626191347
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-01-29
38.46000000
USD
0.00000000
USD
1880000.00000000
USD
172367.93000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1800000.00000000
OU
Notional Amount
USD
-53694.33000000
-0.00330942620
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Call
Written
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
1800000.00000000
OU
Notional Amount
USD
-53694.33000000
-0.00330900
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1800000.00000000
USD
1800000.00000000
USD
0.79000000
USD
2021-04-16
XXXX
-4869.33000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
3535000.00000000
OU
Notional Amount
-42773.76000000
-0.00263634171
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
3535000.00000000
OU
Notional Amount
-42773.76000000
-0.00263600
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
3535000.00000000
EUR
3535000.00000000
EUR
0.13800000
EUR
2022-09-13
XXXX
10422.37000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
33110000.00000000
OU
Notional Amount
USD
404310.46000000
0.024919495800
N/A
DIR
N/A
N
2
JPMorgan Chase
N/A
Call
Purchased
JPMorgan Chase
N/A
N/A
N/A
Interest Rate Swap
N/A
33110000.00000000
OU
Notional Amount
USD
404310.46000000
0.02491900
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
33110000.00000000
USD
33110000.00000000
USD
1.77200000
USD
2024-11-06
XXXX
225185.36000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-83969.70000000
-0.00517543520
N/A
DFE
N/A
N
2
Goldman Sachs & Co
N/A
1700000.00000000
USD
173272500.00000000
JPY
2020-06-17
-83969.70000000
N
N
N
N/A
N/A
Capped Options
N/A
54160000.00000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Put
Written
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
54160000.00000000
OU
Notional Amount
USD
0.00000000
0.00000000
DIR
N/A
Max (0, 5Y CMS-0.25%)
N/A
N/A
N/A
N/A
N/A
54160000.00000000
USD
54160000.00000000
USD
0.25000000
USD
2020-07-09
XXXX
26324.37000000
N
N
N
Impac CMB Trust Series 2004-6
N/A
Impac CMB Trust Series 2004-6
45254NKE6
6379.50000000
PA
USD
6070.57000000
0.000374156888
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Floating
1.47000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
10870000.00000000
OU
Notional Amount
USD
-509.16000000
-0.00003138185
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
10870000.00000000
OU
Notional Amount
USD
-509.16000000
-0.00003100
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
10870000.00000000
USD
10870000.00000000
USD
3.87000000
USD
2021-06-08
XXXX
212442.48000000
N
N
N
N/A
N/A
Futures
N/A
69.00000000
NC
USD
-123806.87000000
-0.00763078149
N/A
DIR
N/A
N
1
CBT
N/A
Long
N/A
US Ultra Bond; June 2020
2020-06-22
15509906.25000000
USD
-123806.87000000
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810PZ5
12817810.82400000
PA
USD
16089008.95000000
0.991638927583
Long
DBT
UST
US
N
2
2029-01-15
Fixed
2.50000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
21695000.00000000
OU
Notional Amount
1170281.37000000
0.072129772960
N/A
DIR
N/A
N
2
LCH
N/A
N/A
United Kingdom Retail Prices Index
Y
2028-08-15
0.00000000
USD
169502.80000000
USD
21695000.00000000
GBP
1339784.17000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
7450000.00000000
OU
Notional Amount
USD
-799606.25000000
-0.04928337641
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
7450000.00000000
OU
Notional Amount
USD
-799606.25000000
-0.04928300
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
7450000.00000000
USD
7450000.00000000
USD
1.74400000
USD
2020-11-20
XXXX
-620061.25000000
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828B25
56940345.43000000
PA
USD
58467172.89000000
3.603598257894
Long
DBT
UST
US
N
2
2024-01-15
Fixed
0.63000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
38580000.00000000
OU
Notional Amount
-11777.53000000
-0.00072590283
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month JPY LIBOR
Y
2034-02-08
89.99000000
USD
0.00000000
USD
38580000.00000000
JPY
-11867.52000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
24070000.00000000
OU
Notional Amount
USD
-1190326.85000000
-0.07336526722
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2022-04-16
395.53000000
USD
0.00000000
USD
24070000.00000000
USD
-1190722.38000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
20240000.00000000
OU
Notional Amount
USD
-0.12000000
-0.00000000739
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
20240000.00000000
OU
Notional Amount
USD
-0.12000000
0.00000000
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
20240000.00000000
USD
20240000.00000000
USD
3.25000000
USD
2020-12-30
XXXX
75292.68000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
14130000.00000000
OU
Notional Amount
-21585.91000000
-0.00133043798
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2022-03-23
467.95000000
USD
0.00000000
USD
14130000.00000000
EUR
-22053.86000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
5390000.00000000
OU
Notional Amount
USD
-28450.85000000
-0.00175355551
N/A
DIR
N/A
N
2
Morgan Stanley & Co
N/A
Put
Written
Morgan Stanley & Co
N/A
N/A
N/A
Interest Rate Swap
N/A
5390000.00000000
OU
Notional Amount
USD
-28450.85000000
-0.00175400
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
5390000.00000000
USD
5390000.00000000
USD
3.00000000
USD
2024-06-21
XXXX
103195.14000000
N
N
N
BlackRock Liquidity FedFund - Institutional Class
549300T8K043VZEOVK74
BlackRock Liquidity FedFund - Institutional Class
09248U700
2.19000000
NS
USD
2.19000000
0.000000134979
Long
STIV
RF
US
N
1
N
N
N/A
N/A
Interest Rate Swaps
N/A
10455000.00000000
OU
Notional Amount
-40871.62000000
-0.00251910416
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Harmonised Indices of Consumer Prices Excluding Food and Energy
Y
2030-04-15
0.00000000
USD
148.82000000
USD
10455000.00000000
EUR
-40722.80000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1860000.00000000
OU
Notional Amount
USD
123980.06000000
0.007641455985
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-02-26
38.35000000
USD
0.00000000
USD
1860000.00000000
USD
123941.71000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
7963.81000000
0.000490845895
N/A
DFE
N/A
N
2
Royal Bank of Scotland
N/A
2452500.00000000
USD
3423604.16000000
CAD
2020-07-08
7963.81000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
15060000.00000000
OU
Notional Amount
USD
-644830.89000000
-0.03974386577
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Consumer Price All Urban Non-Seasonally Adjusted Index
Y
2024-08-12
464.32000000
USD
0.00000000
USD
15060000.00000000
USD
-645295.21000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
5500000.00000000
OU
Notional Amount
USD
-438718.58000000
-0.02704022500
N/A
DIR
N/A
N
2
Morgan Stanley & Co
N/A
Call
Written
Morgan Stanley & Co
N/A
N/A
N/A
Interest Rate Swap
N/A
5500000.00000000
OU
Notional Amount
USD
-438718.58000000
-0.02704000
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
5500000.00000000
USD
5500000.00000000
USD
1.45000000
USD
2022-01-31
XXXX
-310156.08000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1590000.00000000
OU
Notional Amount
USD
170817.81000000
0.010528279923
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-01-23
32.48000000
USD
0.00000000
USD
1590000.00000000
USD
170785.33000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
29060000.00000000
OU
Notional Amount
USD
1094892.22000000
0.067483196151
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2022-04-27
320.88000000
USD
0.00000000
USD
29060000.00000000
USD
1094571.34000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
650000.00000000
OU
Notional Amount
USD
-75712.04000000
-0.00466647799
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2050-03-06
18.18000000
USD
0.00000000
USD
650000.00000000
USD
-75730.22000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
7070000.00000000
OU
Notional Amount
14490.80000000
0.000893134028
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2021-12-16
123.46000000
USD
0.00000000
USD
7070000.00000000
EUR
14367.34000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
7080000.00000000
OU
Notional Amount
-2121.02000000
-0.00013072812
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
7080000.00000000
OU
Notional Amount
-2121.02000000
-0.00013100
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
7080000.00000000
EUR
7080000.00000000
EUR
0.00001000
EUR
2021-06-22
XXXX
15131.57000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
56710000.00000000
OU
Notional Amount
USD
1044740.63000000
0.064392125155
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Purchased
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
56710000.00000000
OU
Notional Amount
USD
1044740.63000000
0.06439200
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
56710000.00000000
USD
56710000.00000000
USD
1.20000000
USD
2020-09-24
XXXX
866104.13000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
3740000.00000000
OU
Notional Amount
USD
-363501.35000000
-0.02240424441
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
3740000.00000000
OU
Notional Amount
USD
-363501.35000000
-0.02240400
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
3740000.00000000
USD
3740000.00000000
USD
1.63700000
USD
2020-11-03
XXXX
-273367.35000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1310000.00000000
OU
Notional Amount
USD
276957.85000000
0.017070174192
N/A
DIR
N/A
N
2
JPMorgan Chase
N/A
Call
Purchased
JPMorgan Chase
N/A
N/A
N/A
Interest Rate Swap
N/A
1310000.00000000
OU
Notional Amount
USD
276957.85000000
0.01707000
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1310000.00000000
USD
1310000.00000000
USD
2.98500000
USD
2038-04-28
XXXX
215387.85000000
N
N
N
Impac CMB Trust Series 2004-5
N/A
Impac CMB Trust Series 2004-5
45254NJQ1
8521.13000000
PA
USD
7786.78000000
0.000479934730
Long
ABS-MBS
CORP
US
N
2
2034-10-25
Floating
2.81000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
5520000.00000000
OU
Notional Amount
USD
-16834.50000000
-0.00103758693
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
5520000.00000000
OU
Notional Amount
USD
-16834.50000000
-0.00103800
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
5520000.00000000
USD
5520000.00000000
USD
2.15000000
USD
2022-01-11
XXXX
111505.50000000
N
N
N
N/A
N/A
Capped Options
N/A
54600000.00000000
OU
Notional Amount
USD
-58524.69000000
-0.00360714329
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
54600000.00000000
OU
Notional Amount
USD
-58524.69000000
-0.00360700
DIR
N/A
Max (0, 5Y CMS-0.55%)
N/A
N/A
N/A
N/A
N/A
54600000.00000000
USD
54600000.00000000
USD
0.55000000
USD
2022-02-15
XXXX
-13479.69000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
138698.76000000
0.008548636528
N/A
DFE
N/A
N
2
JPMorgan Chase
N/A
6382413.58000000
USD
5940000.00000000
EUR
2020-08-05
138698.76000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
3370000.00000000
OU
Notional Amount
USD
-84002.61000000
-0.00517746359
N/A
DIR
N/A
N
2
Morgan Stanley & Co
N/A
Call
Written
Morgan Stanley & Co
N/A
N/A
N/A
Interest Rate Swap
N/A
3370000.00000000
OU
Notional Amount
USD
-84002.61000000
-0.00517700
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
3370000.00000000
USD
3370000.00000000
USD
0.70750000
USD
2021-04-02
XXXX
11199.89000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-378954.28000000
-0.02335667889
N/A
DFE
N/A
N
2
Morgan Stanley & Co
N/A
64544722.69000000
USD
6885520000.00000000
JPY
2020-05-07
-378954.28000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
7307000.00000000
OU
Notional Amount
USD
-1514383.18000000
-0.09333833533
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
7307000.00000000
OU
Notional Amount
USD
-1514383.18000000
-0.09333800
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
7307000.00000000
USD
7307000.00000000
USD
2.78750000
USD
2021-03-09
XXXX
-1296543.24000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
13030000.00000000
OU
Notional Amount
-19573.99000000
-0.00120643418
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Eurozone Harmonised Index of Consumer Prices ex-Tobacco
Y
2030-04-15
0.00000000
USD
49.65000000
USD
13030000.00000000
EUR
-19524.34000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
297430.07000000
0.018331970388
N/A
DFE
N/A
N
2
Goldman Sachs & Co
N/A
3433685.54000000
USD
2961920.00000000
GBP
2020-08-05
297430.07000000
N
N
N
N/A
N/A
Futures
N/A
158.00000000
NC
USD
48717.28000000
0.003002667935
N/A
DIR
N/A
N
1
CBT
N/A
Long
N/A
US 2 Year Note; June 2020
2020-07-01
34827890.70000000
USD
48717.28000000
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828XL9
63814457.53900000
PA
USD
66351035.00000000
4.089516600799
Long
DBT
UST
US
N
2
2025-07-15
Fixed
0.38000000
N
N
N
N
N
N
N/A
N/A
Options
N/A
638.00000000
NC
USD
199375.00000000
0.012288389657
N/A
DIR
N/A
N
1
CME
N/A
Call
Purchased
CME
N/A
N/A
N/A
FUTURE
N/A
638.00000000
NC
USD
199375.00000000
0.01228800
DIR
Long
N/A
90 Day Eurodollar Future; December 2021
N/A
1595000.00000000
USD
638.00000000
99.75000000
USD
2021-12-14
XXXX
86685.06000000
N
N
N
N/A
N/A
Capped Options
N/A
53790000.00000000
OU
Notional Amount
USD
-6934.43000000
-0.00042740051
N/A
DIR
N/A
N
2
JPMorgan Chase
N/A
Put
Written
JPMorgan Chase
N/A
N/A
N/A
Interest Rate Swap
N/A
53790000.00000000
OU
Notional Amount
USD
-6934.43000000
-0.00042700
DIR
N/A
Max (0, 5Y CMS-0.30%)
N/A
N/A
N/A
N/A
N/A
53790000.00000000
USD
53790000.00000000
USD
0.30000000
USD
2020-06-30
XXXX
19960.57000000
N
N
N
Saudi Government International Bond
635400FMICXSM3SI3H65
Saudi Government International Bond
80413TAK5
955000.00000000
PA
USD
1063679.00000000
0.065559383187
Long
DBT
NUSS
SA
N
2
2029-04-16
Fixed
4.38000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
3740000.00000000
OU
Notional Amount
USD
-3283.38000000
-0.00020236966
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
3740000.00000000
OU
Notional Amount
USD
-3283.38000000
-0.00020200
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
3740000.00000000
USD
3740000.00000000
USD
1.63700000
USD
2020-11-03
XXXX
86850.62000000
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828S50
50193707.53800000
PA
USD
51892893.03000000
3.198395435876
Long
DBT
UST
US
N
2
2026-07-15
Fixed
0.13000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
5350000.00000000
OU
Notional Amount
USD
62422.84000000
0.003847404045
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2023-03-02
85.33000000
USD
0.00000000
USD
5350000.00000000
USD
62337.51000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
4490000.00000000
OU
Notional Amount
4948.88000000
0.000305022022
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2022-11-02
84.79000000
USD
0.00000000
USD
4490000.00000000
EUR
4864.09000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
935000.00000000
OU
Notional Amount
USD
82352.56000000
0.005075763493
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-02-12
19.21000000
USD
0.00000000
USD
935000.00000000
USD
82333.35000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
3490000.00000000
OU
Notional Amount
USD
-1988.31000000
-0.00012254860
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
3490000.00000000
OU
Notional Amount
USD
-1988.31000000
-0.00012300
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
3490000.00000000
USD
3490000.00000000
USD
1.62000000
USD
2020-09-15
XXXX
84825.44000000
N
N
N
N/A
N/A
Options
N/A
1.00000000
NC
N/A
104579.81000000
0.006445730184
N/A
DFE
N/A
N
2
Wells Fargo Securities LLC
N/A
Call
Purchased
Wells Fargo Securities LLC
N/A
N/A
N/A
FX FORWARD
N/A
1.00000000
NC
N/A
104579.81000000
0.00644600
DFE
6628500.00000000
GBP
7365000.00000000
EUR
N/A
7365000.00000000
EUR
0.90000000
EUR
2020-11-03
XXXX
-13249.30000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
7910000.00000000
OU
Notional Amount
USD
372763.96000000
0.022975141270
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Consumer Price All Urban Non-Seasonally Adjusted Index
Y
2029-08-22
300.30000000
USD
0.00000000
USD
7910000.00000000
USD
372463.66000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
7170000.00000000
OU
Notional Amount
USD
-1109783.91000000
-0.06840103885
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
7170000.00000000
OU
Notional Amount
USD
-1109783.91000000
-0.06840100
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
7170000.00000000
USD
7170000.00000000
USD
2.20300000
USD
2020-06-12
XXXX
-953388.28000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
5670000.00000000
OU
Notional Amount
USD
-150.08000000
-0.00000925011
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
5670000.00000000
OU
Notional Amount
USD
-150.08000000
-0.00000900
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
5670000.00000000
USD
5670000.00000000
USD
1.95000000
USD
2020-07-14
XXXX
60899.55000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1660000.00000000
OU
Notional Amount
USD
-160748.15000000
-0.00990764089
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2034-10-21
32.98000000
USD
0.00000000
USD
1660000.00000000
USD
-160781.13000000
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828WU0
36931664.82600000
PA
USD
37539546.73000000
2.313733305574
Long
DBT
UST
US
N
2
2024-07-15
Fixed
0.13000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
7950000.00000000
OU
Notional Amount
USD
-847662.65000000
-0.05224531130
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Consumer Price All Urban Non-Seasonally Adjusted Index
Y
2028-10-30
275.54000000
USD
0.00000000
USD
7950000.00000000
USD
-847938.19000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
3771000.00000000
OU
Notional Amount
USD
-33779.84000000
-0.00208200544
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
3771000.00000000
OU
Notional Amount
USD
-33779.84000000
-0.00208200
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
3771000.00000000
USD
3771000.00000000
USD
1.60000000
USD
2022-03-07
XXXX
28441.66000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1310000.00000000
OU
Notional Amount
USD
38900.05000000
0.002397587320
N/A
DIR
N/A
N
2
JPMorgan Chase
N/A
Put
Purchased
JPMorgan Chase
N/A
N/A
N/A
Interest Rate Swap
N/A
1310000.00000000
OU
Notional Amount
USD
38900.05000000
0.00239800
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1310000.00000000
USD
1310000.00000000
USD
2.98500000
USD
2038-04-28
XXXX
-22669.95000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
14065000.00000000
OU
Notional Amount
USD
39289.47000000
0.002421589049
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Consumer Price All Urban Non-Seasonally Adjusted Index
Y
2030-04-29
573.38000000
USD
0.00000000
USD
14065000.00000000
USD
38716.09000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1100000.00000000
OU
Notional Amount
USD
-115377.43000000
-0.00711123670
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2039-10-23
22.06000000
USD
0.00000000
USD
1100000.00000000
USD
-115399.49000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1341000.00000000
OU
Notional Amount
2260.16000000
0.000139303958
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2022-06-26
0.00000000
USD
8.37000000
USD
1341000.00000000
EUR
2268.53000000
N
N
N
Panama Government International Bond
549300SHS4T08CL0LP14
Panama Government International Bond
698299BM5
255000.00000000
PA
USD
286237.50000000
0.017642121302
Long
DBT
NUSS
PA
N
2
2056-04-01
Fixed
4.50000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
5370000.00000000
OU
Notional Amount
-11965.17000000
-0.00073746794
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2022-03-09
2.27000000
USD
0.00000000
USD
5370000.00000000
EUR
-11967.44000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
17665000.00000000
OU
Notional Amount
USD
-32.52000000
-0.00000200435
N/A
DIR
N/A
N
2
Morgan Stanley & Co
N/A
Put
Written
Morgan Stanley & Co
N/A
N/A
N/A
Interest Rate Swap
N/A
17665000.00000000
OU
Notional Amount
USD
-32.52000000
-0.00000200
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
17665000.00000000
USD
17665000.00000000
USD
1.50750000
USD
2020-12-15
XXXX
84317.86000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
4000000.00000000
OU
Notional Amount
-1255258.46000000
-0.07736729819
N/A
DIR
N/A
N
2
LCH
N/A
N/A
United Kingdom Retail Prices Index
Y
2050-01-15
38870.90000000
USD
0.00000000
USD
4000000.00000000
GBP
-1294129.36000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
7295000.00000000
OU
Notional Amount
USD
-1202117.08000000
-0.07409195281
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Call
Written
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
7295000.00000000
OU
Notional Amount
USD
-1202117.08000000
-0.07409200
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
7295000.00000000
USD
7295000.00000000
USD
1.39000000
USD
2020-08-24
XXXX
-968677.08000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1610000.00000000
OU
Notional Amount
USD
983.08000000
0.000060591699
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-04-29
33.39000000
USD
0.00000000
USD
1610000.00000000
USD
949.69000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
5060000.00000000
OU
Notional Amount
USD
-812.41000000
-0.00005007252
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2032-05-04
105.03000000
USD
0.00000000
USD
5060000.00000000
USD
-917.44000000
N
N
N
Japanese Government CPI Linked Bond
353800WZS8AXZXFUC241
Japanese Government CPI Linked Bond
N/A
1768128428.00000000
PA
16368966.06000000
1.008893959834
Long
DBT
NUSS
JP
N
2
2028-03-10
Fixed
0.10000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
3270000.00000000
OU
Notional Amount
USD
-54381.05000000
-0.00335175188
N/A
DIR
N/A
N
2
Morgan Stanley & Co
N/A
Put
Written
Morgan Stanley & Co
N/A
N/A
N/A
Interest Rate Swap
N/A
3270000.00000000
OU
Notional Amount
USD
-54381.05000000
-0.00335200
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
3270000.00000000
USD
3270000.00000000
USD
0.87000000
USD
2021-04-12
XXXX
34235.95000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
5325000.00000000
OU
Notional Amount
USD
722383.86000000
0.044523808673
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Consumer Price All Urban Non-Seasonally Adjusted Index
Y
2050-02-10
301.20000000
USD
0.00000000
USD
5325000.00000000
USD
722082.66000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
151300000.00000100
OU
Notional Amount
2355.97000000
0.000145209165
N/A
DIR
N/A
N
2
JPMorgan Chase
N/A
Put
Purchased
JPMorgan Chase
N/A
N/A
N/A
Interest Rate Swap
N/A
151300000.00000100
OU
Notional Amount
2355.97000000
0.00014500
DIR
N/A
6 Month JPY LIBOR
N/A
N/A
N/A
N/A
N/A
151300000.00000100
JPY
151300000.00000100
JPY
0.78000000
JPY
2021-04-19
XXXX
-45007.02000000
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
9128284H0
59581565.48400000
PA
USD
60495227.34000000
3.728596494027
Long
DBT
UST
US
N
2
2023-04-15
Fixed
0.63000000
N
N
N
N
N
N
N/A
N/A
Options
N/A
143.00000000
NC
USD
893.75000000
0.000055085884
N/A
DIR
N/A
N
1
CME
N/A
Put
Purchased
CME
N/A
N/A
N/A
FUTURE
N/A
143.00000000
NC
USD
893.75000000
0.00005500
DIR
Short
N/A
90 Day Eurodollar Future; June 2022
N/A
357500.00000000
USD
143.00000000
98.25000000
USD
2020-06-15
XXXX
-31514.34000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1410000.00000000
OU
Notional Amount
USD
21821.80000000
0.001344976960
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Purchased
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
1410000.00000000
OU
Notional Amount
USD
21821.80000000
0.00134500
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1410000.00000000
USD
1410000.00000000
USD
3.05200000
USD
2029-01-11
XXXX
-57843.20000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
7410000.00000000
OU
Notional Amount
55745.73000000
0.003435863332
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Harmonised Indices of Consumer Prices Excluding Food and Energy
Y
2030-03-15
375.56000000
USD
0.00000000
USD
7410000.00000000
EUR
55370.17000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
940000.00000000
OU
Notional Amount
USD
96538.87000000
0.005950130416
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-01-27
19.21000000
USD
0.00000000
USD
940000.00000000
USD
96519.66000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
2540000.00000000
OU
Notional Amount
USD
93253.54000000
0.005747640559
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-09-08
52.53000000
USD
0.00000000
USD
2540000.00000000
USD
93201.01000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
53710000.00000000
OU
Notional Amount
USD
777763.76000000
0.047937124236
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2022-07-13
615.74000000
USD
0.00000000
USD
53710000.00000000
USD
777148.02000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
16880000.00000000
OU
Notional Amount
USD
21864.89000000
0.001347632793
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2022-09-29
274.87000000
USD
0.00000000
USD
16880000.00000000
USD
21590.02000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1890000.00000000
OU
Notional Amount
USD
197268.03000000
0.012158527496
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-01-08
38.44000000
USD
0.00000000
USD
1890000.00000000
USD
197229.59000000
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912810FR4
3790073.37600000
PA
USD
4267594.35000000
0.263031284136
Long
DBT
UST
US
N
2
2025-01-15
Fixed
2.38000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
3810000.00000000
OU
Notional Amount
USD
-33850.23000000
-0.00208634390
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Put
Written
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
3810000.00000000
OU
Notional Amount
USD
-33850.23000000
-0.00208600
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
3810000.00000000
USD
3810000.00000000
USD
1.60000000
USD
2022-03-01
XXXX
35682.27000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
14170000.00000000
OU
Notional Amount
USD
-18829.06000000
-0.00116052075
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Consumer Price All Urban Non-Seasonally Adjusted Index
Y
2030-04-27
577.03000000
USD
0.00000000
USD
14170000.00000000
USD
-19406.09000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
33110000.00000000
OU
Notional Amount
USD
-4.44000000
-0.00000027365
N/A
DIR
N/A
N
2
JPMorgan Chase
N/A
Put
Written
JPMorgan Chase
N/A
N/A
N/A
Interest Rate Swap
N/A
33110000.00000000
OU
Notional Amount
USD
-4.44000000
0.00000000
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
33110000.00000000
USD
33110000.00000000
USD
1.58200000
USD
2020-11-06
XXXX
78300.71000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
7360000.00000000
OU
Notional Amount
USD
67537.83000000
0.004162664184
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2022-09-04
116.19000000
USD
0.00000000
USD
7360000.00000000
USD
67421.64000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
2290000.00000000
OU
Notional Amount
USD
-2373.85000000
-0.00014631119
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-05-04
47.69000000
USD
0.00000000
USD
2290000.00000000
USD
-2421.54000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
2515000.00000000
OU
Notional Amount
USD
-166367.90000000
-0.01025401169
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Consumer Price All Urban Non-Seasonally Adjusted Index
Y
2049-08-22
140.04000000
USD
0.00000000
USD
2515000.00000000
USD
-166507.94000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-80103.26000000
-0.00493712888
N/A
DFE
N/A
N
2
Citigroup Inc
N/A
1790823.53000000
USD
1560000.00000000
EUR
2020-06-17
-80103.26000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
6520000.00000000
OU
Notional Amount
USD
28363.19000000
0.001748152630
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Purchased
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
6520000.00000000
OU
Notional Amount
USD
28363.19000000
0.00174800
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
6520000.00000000
USD
6520000.00000000
USD
2.85000000
USD
2022-05-10
XXXX
-350211.96000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1420000.00000000
OU
Notional Amount
USD
302076.35000000
0.018618341794
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Purchased
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
1420000.00000000
OU
Notional Amount
USD
302076.35000000
0.01861800
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1420000.00000000
USD
1420000.00000000
USD
3.08250000
USD
2029-01-30
XXXX
221420.35000000
N
N
N
N/A
N/A
Futures
N/A
46.00000000
NC
USD
145975.02000000
0.008997105585
N/A
DIR
N/A
N
1
CME
N/A
Long
N/A
90 Day Eurodollar; June 2022
2022-06-14
11464925.00000000
USD
145975.02000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
2080000.00000000
OU
Notional Amount
USD
137434.20000000
0.008470695934
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-02-26
42.89000000
USD
0.00000000
USD
2080000.00000000
USD
137391.31000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
2160000.00000000
OU
Notional Amount
USD
-926989.95000000
-0.05713461424
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2050-06-15
56.44000000
USD
0.00000000
USD
2160000.00000000
USD
-927046.39000000
N
N
N
United States Treasury Inflation Indexed Bonds
254900HROIFWPRGM1V77
United States Treasury Inflation Indexed Bonds
912828Z37
20887600.50000000
PA
USD
22094536.81000000
1.361786972448
Long
DBT
UST
US
N
2
2030-01-15
Fixed
0.13000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
16890000.00000000
OU
Notional Amount
USD
-980220.55000000
-0.06041545865
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Consumer Price All Urban Non-Seasonally Adjusted Index
Y
2030-01-31
671.76000000
USD
0.00000000
USD
16890000.00000000
USD
-980892.31000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
3872500.00000000
OU
Notional Amount
USD
0.01000000
0.000000000616
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Purchased
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
3872500.00000000
OU
Notional Amount
USD
0.01000000
0.00000000
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
3872500.00000000
USD
3872500.00000000
USD
1.72200000
USD
2020-05-20
XXXX
-65735.68000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1870000.00000000
OU
Notional Amount
USD
110078.58000000
0.006784644433
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-03-02
38.59000000
USD
0.00000000
USD
1870000.00000000
USD
110039.99000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
3730000.00000000
OU
Notional Amount
102111.66000000
0.006293606854
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Eurozone Harmonised Index of Consumer Prices ex-Tobacco
Y
2030-03-15
28.72000000
USD
0.00000000
USD
3730000.00000000
EUR
102082.94000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
40000.00000000
OU
Notional Amount
USD
-22167.57000000
-0.00136628834
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2049-02-15
1.02000000
USD
0.00000000
USD
40000.00000000
USD
-22168.59000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
4660000.00000000
OU
Notional Amount
USD
-44990.86000000
-0.00277299169
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2021-03-30
44.27000000
USD
0.00000000
USD
4660000.00000000
USD
-45035.13000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
3710000.00000000
OU
Notional Amount
USD
46474.40000000
0.002864429022
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2023-03-02
59.18000000
USD
0.00000000
USD
3710000.00000000
USD
46415.22000000
N
N
N
Impac CMB Trust Series 2005-5
N/A
Impac CMB Trust Series 2005-5
45254NPY7
13007.04000000
PA
USD
10756.67000000
0.000662982582
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
1.25000000
N
N
N
N
N
N
Colombia Government International Bond
549300MHDRBVRF6B9117
Colombia Government International Bond
195325DR3
4020000.00000000
PA
USD
3650200.20000000
0.224978469652
Long
DBT
NUSS
CO
N
2
2030-01-30
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-9875.46000000
-0.00060866959
N/A
DFE
N/A
N
2
Barclays Bank PLC
N/A
795000.00000000
EUR
861933.91000000
USD
2020-06-17
-9875.46000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
41180000.00000000
OU
Notional Amount
219.84000000
0.000013549740
N/A
DIR
N/A
N
2
JPMorgan Chase
N/A
Put
Purchased
JPMorgan Chase
N/A
N/A
N/A
Interest Rate Swap
N/A
41180000.00000000
OU
Notional Amount
219.84000000
0.00001400
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
41180000.00000000
EUR
41180000.00000000
EUR
0.00000100
EUR
2020-06-23
XXXX
-22846.13000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
18090000.00000000
OU
Notional Amount
-35940.96000000
-0.00221520512
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2023-07-25
1096.60000000
USD
0.00000000
USD
18090000.00000000
EUR
-37037.56000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
11130000.00000000
OU
Notional Amount
USD
0.00000000
0.000000
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Put
Written
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
11130000.00000000
OU
Notional Amount
USD
0.00000000
0.00000000
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
11130000.00000000
USD
11130000.00000000
USD
3.50000000
USD
2020-06-16
XXXX
40902.75000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
2357900000.00000000
OU
Notional Amount
6783.98000000
0.000418127597
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Purchased
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
2357900000.00000000
OU
Notional Amount
6783.98000000
0.00041800
DIR
N/A
6 Month JPY LIBOR
N/A
N/A
N/A
N/A
N/A
2357900000.00000000
JPY
2357900000.00000000
JPY
1.10000000
JPY
2022-06-30
XXXX
-313961.69000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
7300000.00000000
OU
Notional Amount
-20426.69000000
-0.00125898997
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2022-09-22
281.36000000
USD
0.00000000
USD
7300000.00000000
EUR
-20708.05000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
4560000.00000000
OU
Notional Amount
USD
-113227.54000000
-0.00697872918
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2023-11-01
66.73000000
USD
0.00000000
USD
4560000.00000000
USD
-113294.27000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
70666.81000000
0.004355517477
N/A
DFE
N/A
N
2
Westpac Banking Corporation
N/A
8025492.63000000
USD
13198000.00000000
NZD
2020-05-05
70666.81000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
6300000.00000000
OU
Notional Amount
USD
-269347.51000000
-0.01660111426
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2023-03-15
0.00000000
USD
31.67000000
USD
6300000.00000000
USD
-269315.84000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
6190000.00000000
OU
Notional Amount
2962.25000000
0.000182576964
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2022-06-19
440.24000000
USD
0.00000000
USD
6190000.00000000
EUR
2522.01000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
26230000.00000000
OU
Notional Amount
USD
-31093.33000000
-0.00191642359
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Put
Written
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
26230000.00000000
OU
Notional Amount
USD
-31093.33000000
-0.00191600
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
26230000.00000000
USD
26230000.00000000
USD
0.55000000
USD
2022-04-22
XXXX
14940.32000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
5880000.00000000
OU
Notional Amount
-1681.69000000
-0.00010365021
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
5880000.00000000
OU
Notional Amount
-1681.69000000
-0.00010400
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
5880000.00000000
EUR
5880000.00000000
EUR
0.00000100
EUR
2021-06-15
XXXX
14313.52000000
N
N
N
N/A
N/A
Futures
N/A
104.00000000
NC
-365316.72000000
-0.02251613393
N/A
DIR
N/A
N
1
EUX
N/A
Long
N/A
Euro-Oat; June 2020
2020-06-09
19241361.92000000
USD
-365316.72000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
35952000.00000000
OU
Notional Amount
USD
-939357.53000000
-0.05789688454
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Consumer Price All Urban Non-Seasonally Adjusted Index
Y
2021-05-08
609.79000000
USD
0.00000000
USD
35952000.00000000
USD
-939967.32000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
6920000.00000000
OU
Notional Amount
6868.71000000
0.000423349893
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2022-10-02
161.97000000
USD
0.00000000
USD
6920000.00000000
EUR
6706.74000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1410000.00000000
OU
Notional Amount
USD
22086.61000000
0.001361298407
N/A
DIR
N/A
N
2
Morgan Stanley & Co
N/A
Put
Purchased
Morgan Stanley & Co
N/A
N/A
N/A
Interest Rate Swap
N/A
1410000.00000000
OU
Notional Amount
USD
22086.61000000
0.00136100
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1410000.00000000
USD
1410000.00000000
USD
3.03660000
USD
2029-01-12
XXXX
-58177.64000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
16230000.00000000
OU
Notional Amount
-12818.79000000
-0.00079008043
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
16230000.00000000
OU
Notional Amount
-12818.79000000
-0.00079000
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
16230000.00000000
EUR
16230000.00000000
EUR
0.15000000
EUR
2021-08-10
XXXX
9638.52000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
13420000.00000000
OU
Notional Amount
USD
1363789.41000000
0.084056555141
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2025-02-28
238.09000000
USD
0.00000000
USD
13420000.00000000
USD
1363551.32000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
7450000.00000000
OU
Notional Amount
USD
-5947.00000000
-0.00036654070
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
7450000.00000000
OU
Notional Amount
USD
-5947.00000000
-0.00036700
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
7450000.00000000
USD
7450000.00000000
USD
1.74400000
USD
2020-11-20
XXXX
173598.00000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
11540000.00000000
OU
Notional Amount
USD
-45233.30000000
-0.00278793437
N/A
DIR
N/A
N
2
Deutsche Bank AG
N/A
Call
Written
Deutsche Bank AG
N/A
N/A
N/A
Interest Rate Swap
N/A
11540000.00000000
OU
Notional Amount
USD
-45233.30000000
-0.00278800
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
11540000.00000000
USD
11540000.00000000
USD
0.61000000
USD
2023-04-07
XXXX
-2246.80000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
33110000.00000000
OU
Notional Amount
USD
43698.95000000
0.002693365393
N/A
DIR
N/A
N
2
JPMorgan Chase
N/A
Put
Purchased
JPMorgan Chase
N/A
N/A
N/A
Interest Rate Swap
N/A
33110000.00000000
OU
Notional Amount
USD
43698.95000000
0.00269300
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
33110000.00000000
USD
33110000.00000000
USD
1.77200000
USD
2024-11-06
XXXX
-135426.15000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-84985.59000000
-0.00523804912
N/A
DFE
N/A
N
2
Morgan Stanley & Co
N/A
6792000.00000000
EUR
7358166.18000000
USD
2020-05-05
-84985.59000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
3640000.00000000
OU
Notional Amount
96435.26000000
0.005943744459
N/A
DIR
N/A
N
2
LCH
N/A
N/A
Harmonised Indices of Consumer Prices Excluding Food and Energy
Y
2030-03-15
34.89000000
USD
0.00000000
USD
3640000.00000000
EUR
96400.37000000
N
N
N
Mexico Government International Bond
254900EGTWEU67VP6075
Mexico Government International Bond
91087BAH3
3015000.00000000
PA
USD
2731620.15000000
0.168362195864
Long
DBT
NUSS
MX
N
2
2030-04-16
Fixed
3.25000000
N
N
N
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
14780000.00000000
OU
Notional Amount
-73347.59000000
-0.00452074616
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2023-03-24
351.16000000
USD
0.00000000
USD
14780000.00000000
EUR
-73698.75000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
3690000.00000000
OU
Notional Amount
USD
-39813.15000000
-0.00245386583
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2040-03-12
76.95000000
USD
0.00000000
USD
3690000.00000000
USD
-39890.10000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
2570000.00000000
OU
Notional Amount
USD
236001.95000000
0.014545875468
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-01-30
52.60000000
USD
0.00000000
USD
2570000.00000000
USD
235949.35000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1870000.00000000
OU
Notional Amount
USD
191609.15000000
0.011809744939
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-01-28
38.25000000
USD
0.00000000
USD
1870000.00000000
USD
191570.90000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
33110000.00000000
OU
Notional Amount
USD
-431691.02000000
-0.02660708446
N/A
DIR
N/A
N
2
JPMorgan Chase
N/A
Call
Written
JPMorgan Chase
N/A
N/A
N/A
Interest Rate Swap
N/A
33110000.00000000
OU
Notional Amount
USD
-431691.02000000
-0.02660700
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
33110000.00000000
USD
33110000.00000000
USD
1.58200000
USD
2020-11-06
XXXX
-353385.87000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1990000.00000000
OU
Notional Amount
USD
13507.87000000
0.000832551573
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2030-03-25
41.36000000
USD
0.00000000
USD
1990000.00000000
USD
13466.51000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
34020000.00000000
OU
Notional Amount
USD
974654.50000000
0.060072397631
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2021-10-25
0.00000000
USD
816.87000000
USD
34020000.00000000
USD
975471.37000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1350000.00000000
OU
Notional Amount
USD
-44928.73000000
-0.00276916233
N/A
DIR
N/A
N
2
Morgan Stanley & Co
N/A
Call
Written
Morgan Stanley & Co
N/A
N/A
N/A
Interest Rate Swap
N/A
1350000.00000000
OU
Notional Amount
USD
-44928.73000000
-0.00276900
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1350000.00000000
USD
1350000.00000000
USD
0.85000000
USD
2021-04-08
XXXX
-9693.73000000
N
N
N
N/A
N/A
FX Forwards
N/A
1.00000000
NC
N/A
-69374.41000000
-0.00427586097
N/A
DFE
N/A
N
2
Westpac Banking Corporation
N/A
14529791.00000000
NZD
8838104.79000000
USD
2020-06-03
-69374.41000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
2230000.00000000
OU
Notional Amount
USD
-10625.11000000
-0.00065487394
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Call
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
2230000.00000000
OU
Notional Amount
USD
-10625.11000000
-0.00065500
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
2230000.00000000
USD
2230000.00000000
USD
0.50000000
USD
2020-06-30
XXXX
1862.89000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
4210000.00000000
OU
Notional Amount
USD
6378.68000000
0.000393147111
N/A
DIR
N/A
N
2
CME
N/A
N/A
3 Month USD LIBOR
Y
2022-09-29
68.33000000
USD
0.00000000
USD
4210000.00000000
USD
6310.35000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
10120000.00000000
OU
Notional Amount
-2794.40000000
-0.00017223160
N/A
DIR
N/A
N
2
Barclays Bank PLC
N/A
Put
Written
Barclays Bank PLC
N/A
N/A
N/A
Interest Rate Swap
N/A
10120000.00000000
OU
Notional Amount
-2794.40000000
-0.00017200
DIR
N/A
6 Month Euro Interbank Offered Rate
N/A
N/A
N/A
N/A
N/A
10120000.00000000
EUR
10120000.00000000
EUR
0.00000100
EUR
2020-07-28
XXXX
25683.27000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
24090000.00000000
OU
Notional Amount
-19007.17000000
-0.00117149848
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month JPY LIBOR
Y
2044-03-21
155.45000000
USD
0.00000000
USD
24090000.00000000
JPY
-19162.62000000
N
N
N
N/A
N/A
Interest Rate Swaptions
N/A
1295000.00000000
OU
Notional Amount
USD
262798.44000000
0.016197465239
N/A
DIR
N/A
N
2
JPMorgan Chase
N/A
Call
Purchased
JPMorgan Chase
N/A
N/A
N/A
Interest Rate Swap
N/A
1295000.00000000
OU
Notional Amount
USD
262798.44000000
0.01619700
DIR
N/A
3 Month USD LIBOR
N/A
N/A
N/A
N/A
N/A
1295000.00000000
USD
1295000.00000000
USD
2.86000000
USD
2039-02-23
XXXX
198728.31000000
N
N
N
N/A
N/A
Interest Rate Swaps
N/A
1640000.00000000
OU
Notional Amount
-13461.07000000
-0.00082966707
N/A
DIR
N/A
N
2
LCH
N/A
N/A
6 Month Euro Interbank Offered Rate
Y
2024-11-11
28.84000000
USD
0.00000000
USD
1640000.00000000
EUR
-13489.91000000
N
N
N
2020-06-04
Principal Funds, Inc
Sara Reece
/s/ Sara Reece
Vice President and Controller