0001752724-21-184527.txt : 20210825
0001752724-21-184527.hdr.sgml : 20210825
20210825094823
ACCESSION NUMBER: 0001752724-21-184527
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20210630
FILED AS OF DATE: 20210825
PERIOD START: 20211231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: EQ ADVISORS TRUST
CENTRAL INDEX KEY: 0001027263
IRS NUMBER: 000000000
STATE OF INCORPORATION: DE
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-07953
FILM NUMBER: 211204356
BUSINESS ADDRESS:
STREET 1: 1290 AVENUE OF THE AMERICAS
CITY: NEW YORK
STATE: NY
ZIP: 10104
BUSINESS PHONE: 212-554-1234
MAIL ADDRESS:
STREET 1: 1290 AVENUE OF THE AMERICAS
CITY: NEW YORK
STATE: NY
ZIP: 10104
FORMER COMPANY:
FORMER CONFORMED NAME: 787 TRUST
DATE OF NAME CHANGE: 19961125
0001027263
S000062646
EQ/PIMCO Real Return Portfolio
C000203172
Class IB
NPORT-P
1
primary_doc.xml
NPORT-P
false
0001027263
XXXXXXXX
S000062646
C000203172
EQ Advisors Trust
811-07953
0001027263
549300Q691FLN6WHB832
1290 Avenue of the Americas
New York
10104
212-554-1234
EQ/PIMCO Real Return Portfolio
S000062646
549300PDY1UUPDL76755
2021-12-31
2021-06-30
N
183159640.65
93011345.64
90148295.01
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
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0.00000000
0.00000000
0.00000000
0.00000000
310906.62000000
AUD
CAD
EUR
GBP
JPY
MXN
NZD
PEN
USD
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Linked Bonds
912810FD5
2000000.00000000
PA
USD
4452452.35000000
4.939031125886
Long
DBT
UST
US
N
2
2028-04-15
Fixed
3.62500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Linked Bonds
912810PS1
20000.00000000
PA
USD
32448.14000000
0.035994180473
Long
DBT
UST
US
N
2
2027-01-15
Fixed
2.37500000
N
N
N
N
N
N
Bear Stearns ALT-A Trust
N/A
Bear Stearns ALT-A Trust, Series 2005-7, Class 22A1
07386HVS7
25686.02980000
PA
USD
19987.51000000
0.022171811455
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Variable
3.00753720
N
N
N
N
N
N
New Zealand Government Inflation Linked Bond
549300237GPHG2AI7C34
New Zealand Government Bond
N/A
258175.00000000
PA
200007.93000000
0.221865460658
Long
DBT
NUSS
NZ
Y
2
2025-09-20
Fixed
2.00000000
N
N
N
N
N
N
First Horizon Alternative Mortgage Securities Trust
N/A
First Horizon Alternative Mortgage Securities Trust, Series 2004-AA1, Class A1
32051D3G5
3512.60000000
PA
USD
3583.93000000
0.003975593769
Long
ABS-MBS
CORP
US
N
2
2034-06-25
Variable
2.17893600
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust, Series 2005-AR4, Class 6A1
362341FR5
3022.55000000
PA
USD
3130.28000000
0.003472367391
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Variable
3.08377440
N
N
N
N
N
N
GreenPoint MTA Trust
N/A
GreenPoint MTA Trust, Series 2005-AR1, Class A2
39538RAB5
4810.70000000
PA
USD
4508.37000000
0.005001059642
Long
ABS-MBS
CORP
US
N
2
2045-06-25
Floating
0.53150040
N
N
N
N
N
N
N/A
N/A
USCPI
N/A
300000.00000000
PA
USD
524.83000000
0.000582185164
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2026-05-25
0.00000000
USD
0.00000000
USD
300000.00000000
USD
524.83000000
N
N
N
RFMSI Trust
N/A
RFMSI Trust, Series 2007-S6, Class 1A10
762009AK4
5398.37110000
PA
USD
5338.48000000
0.005921886819
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Fixed
6.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Linked Bonds
912810RF7
2220000.00000000
PA
USD
3512110.94000000
3.895926084470
Long
DBT
UST
US
N
2
2044-02-15
Fixed
1.37500000
N
N
N
N
N
N
N/A
N/A
FCPIX
N/A
100000.00000000
PA
-338.82000000
-0.00037584737
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2024-03-15
0.00000000
USD
0.00000000
USD
100000.00000000
EUR
-338.82000000
N
N
N
N/A
N/A
USCPI
N/A
200000.00000000
PA
USD
-13994.52000000
-0.01552388761
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2029-11-20
219.20000000
USD
0.00000000
USD
200000.00000000
USD
-13994.52000000
N
N
N
N/A
N/A
U.S. Treasury 5 Year Note
N/A
71.00000000
NC
USD
-31710.91000000
-0.03517638353
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
United States of America
U.S. Treasury 5 Year Note
2021-09-30
8763507.81000000
USD
-31710.91000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-2465.08000000
-0.00273447212
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
229358.62000000
USD
1474000.00000000
CNY
2021-09-15
-2465.08000000
N
N
N
MRFC Mortgage Pass-Through Trust
N/A
MRFC Mortgage Pass-Through Trust, Series 2000-TBC3, Class A1
585525EN4
2050.39000000
PA
USD
2008.85000000
0.002228383797
Long
ABS-MBS
CORP
US
N
2
2030-12-15
Floating
0.51288120
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
114072.40000000
0.126538610616
N/A
DFE
N/A
N
2
Bank of America
B4TYDEB6GKMZO031MB27
4098239.07000000
EUR
4978247.80000000
USD
2021-08-17
114072.40000000
N
N
N
Japan
353800WZS8AXZXFUC241
Japan Government Bond CPI Linked
N/A
40190000.00000000
PA
369784.75000000
0.410196055243
Long
DBT
NUSS
JP
N
2
2031-03-10
Fixed
0.00500000
N
N
N
N
N
N
Legacy Mortgage Asset Trust
N/A
Legacy Mortgage Asset Trust, Series 2019-GS3, Class A1
52474WAA5
75389.21000000
PA
USD
75982.39000000
0.084285997856
Long
ABS-O
CORP
US
Y
2
2059-04-25
Variable
3.75000120
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Linked Notes
9128283R9
2860000.00000000
PA
USD
3473315.96000000
3.852891460248
Long
DBT
UST
US
N
2
2028-01-15
Fixed
0.50000000
N
N
N
N
N
N
Bear Stearns ARM Trust
N/A
Bear Stearns ARM Trust, Series 2006-2, Class 3A2
07388DAS7
4299.01250000
PA
USD
4216.73000000
0.004677548254
Long
ABS-MBS
CORP
US
N
2
2036-07-25
Variable
2.91028680
N
N
N
N
N
N
Deutsche Alt-B Securities Mortgage Loan Trust
N/A
Deutsche Alt-B Securities Mortgage Loan Trust, Series 2006-AB4, Class A1B1
251513AR8
213.10000000
PA
USD
166.25000000
0.000184418351
Long
ABS-MBS
CORP
US
N
2
2036-10-25
Floating
0.19163160
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Linked Notes
912828VM9
2210000.00000000
PA
USD
2696740.77000000
2.991449555092
Long
DBT
UST
US
N
2
2023-07-15
Fixed
0.37500000
N
N
N
N
N
N
N/A
N/A
Euro-Schatz
N/A
-94.00000000
NC
-188.80000000
-0.00020943269
N/A
DIR
DE
N
1
Eurex Clearing
529900LN3S50JPU47S06
Short
Federal Republic of Germany
Euro-Schatz
2021-09-08
-10541160.00000000
EUR
-188.80000000
N
N
N
Hawksmoor Mortgages
N/A
Hawksmoor Mortgages, Series 2019-1A, Class A
N/A
235821.63000000
PA
327597.16000000
0.363398065336
Long
ABS-MBS
CORP
GB
Y
2
2053-05-25
Floating
1.09881060
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Linked Notes
912828Y38
3110000.00000000
PA
USD
3798762.71000000
4.213904111640
Long
DBT
UST
US
N
2
2028-07-15
Fixed
0.75000000
N
N
N
N
N
N
N/A
N/A
USCPI
N/A
400000.00000000
PA
USD
-277.70000000
-0.00030804797
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2026-05-13
0.00000000
USD
0.00000000
USD
400000.00000000
USD
-277.70000000
N
N
N
RALI Trust
N/A
RALI Trust, Series 2007-QH8, Class A
74924EAA5
41900.36900000
PA
USD
40252.23000000
0.044651127340
Long
ABS-MBS
CORP
US
N
2
2037-10-25
Variable
1.02281760
N
N
N
N
N
N
N/A
N/A
HICPXT
N/A
100000.00000000
PA
-2677.27000000
-0.00296985095
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2031-03-15
0.00000000
USD
792.17000000
USD
100000.00000000
EUR
-2677.27000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Linked Notes
912828YL8
2100000.00000000
PA
USD
2356020.64000000
2.613494398023
Long
DBT
UST
US
N
2
2024-10-15
Fixed
0.12500000
N
N
N
N
N
N
Kingdom of Saudi Arabia
635400FMICXSM3SI3H65
Kingdom of Saudi Arabia
N/A
200000.00000000
PA
USD
220662.50000000
0.244777230645
Long
DBT
NUSS
SA
Y
2
2025-04-17
Fixed
4.00000000
N
N
N
N
N
N
Banc of America Funding Trust
N/A
Banc of America Funding Trust, Series 2006-A, Class 1A1
058927AA2
5718.42000000
PA
USD
5729.61000000
0.006355760804
Long
ABS-MBS
CORP
US
N
2
2036-02-20
Variable
2.70663840
N
N
N
N
N
N
CHL Mortgage Pass-Through Trust
N/A
CHL Mortgage Pass-Through Trust, Series 2005-19, Class 1A6
126694AF5
1190.86120000
PA
USD
1085.77000000
0.001204426550
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Fixed
5.50000000
N
N
N
N
N
N
Merrill Lynch Mortgage Investors Trust
N/A
Merrill Lynch Mortgage Investors Trust, Series 2005-A9, Class 5A1
59020UW68
1879.05000000
PA
USD
1605.57000000
0.001781032020
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Variable
2.94737400
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Linked Notes
9128286N5
2500000.00000000
PA
USD
2852923.82000000
3.164700807356
Long
DBT
UST
US
N
2
2024-04-15
Fixed
0.50000000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
11751.61000000
0.013035864958
N/A
DFE
N/A
N
2
Bank of America
B4TYDEB6GKMZO031MB27
482000.00000000
AUD
373305.92000000
USD
2021-08-17
11751.61000000
N
N
N
Fremont Home Loan Trust
N/A
Fremont Home Loan Trust, Series 2006-C, Class 1A1
35729TAA0
37390.48000000
PA
USD
33461.08000000
0.037117817920
Long
ABS-O
CORP
US
N
2
2036-10-25
Floating
0.22650120
N
N
N
N
N
N
Mellon Residential Funding Corp. Mortgage Pass-Through Certificates
N/A
Mellon Residential Funding Corp. Mortgage Pass-Through Certificates, Series 2001-TBC1, Class A1
585525FC7
1655.06000000
PA
USD
1683.02000000
0.001866946013
Long
ABS-MBS
CORP
US
N
2
2031-11-15
Floating
0.77288040
N
N
N
N
N
N
HarborView Mortgage Loan Trust
N/A
HarborView Mortgage Loan Trust, Series 2005-2, Class 2A1A
41161PLR2
1141.09000000
PA
USD
1097.69000000
0.001217649207
Long
ABS-MBS
CORP
US
N
2
2035-05-19
Floating
0.53750160
N
N
N
N
N
N
Structured Asset Mortgage Investments II Trust
N/A
Structured Asset Mortgage Investments II Trust, Series 2006-AR4, Class 2A1
86360QAB1
1507.71000000
PA
USD
1522.47000000
0.001688850576
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Floating
0.47149920
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1001.12000000
0.001110525717
N/A
DFE
N/A
N
2
Bank of America
B4TYDEB6GKMZO031MB27
5100000.00000000
JPY
46925.65000000
USD
2021-08-17
1001.12000000
N
N
N
N/A
N/A
Euro-Bobl
N/A
13.00000000
NC
1127.84000000
0.001251094099
N/A
DIR
DE
N
1
Eurex Clearing
529900LN3S50JPU47S06
Long
Federal Republic of Germany
Euro-Bobl
2021-09-08
1743950.00000000
EUR
1127.84000000
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Series 2003-W8, Class 3F2
31393CX40
996.38000000
PA
USD
1003.40000000
0.001113054883
Long
ABS-MBS
USGSE
US
N
2
2042-05-25
Floating
0.44150040
N
N
N
N
N
N
N/A
N/A
CDIO
N/A
-100000.00000000
PA
USD
-16.36000000
-0.00001814787
N/A
DCR
US
N
2
Goldman Sachs Bank
KD3XUN7C6T14HNAYLU02
Put
Written
N/A
Credit Default Swap Index Option
1.00000000
0.00800000
USD
2021-08-18
XXXX
84.14000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Linked Bonds
912810RR1
1870000.00000000
PA
USD
2757942.29000000
3.059339380399
Long
DBT
UST
US
N
2
2046-02-15
Fixed
1.00000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Linked Bonds
912810FH6
591000.00000000
PA
USD
1350771.73000000
1.498388549500
Long
DBT
UST
US
N
2
2029-04-15
Fixed
3.87500000
N
N
N
N
N
N
CIT Mortgage Loan Trust
N/A
CIT Mortgage Loan Trust, Series 2007-1, Class 1M1
12559QAF9
200000.00000000
PA
USD
197647.00000000
0.219246520389
Long
ABS-O
CORP
US
Y
2
2037-10-25
Floating
1.59149880
N
N
N
N
N
N
N/A
N/A
USCPI
N/A
100000.00000000
PA
USD
-2640.23000000
-0.00292876310
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2022-01-19
0.00000000
USD
0.00000000
USD
100000.00000000
USD
-2640.23000000
N
N
N
N/A
N/A
USCPI
N/A
1000000.00000000
PA
USD
-3232.37000000
-0.00358561412
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2026-05-14
0.00000000
USD
0.00000000
USD
1000000.00000000
USD
-3232.37000000
N
N
N
FFCB
N/A
FFCB
313313JU3
1250000.00000000
PA
USD
1249912.50000000
1.386507087972
Long
STIV
USGA
US
N
2
2021-07-30
None
0.00000000
N
N
N
N
N
N
N/A
N/A
Euro-BTP
N/A
-8.00000000
NC
-10344.35000000
-0.01147481491
N/A
DIR
DE
N
1
Eurex Clearing
529900LN3S50JPU47S06
Short
Republic of Italy
Euro-BTP
2021-09-08
-1211280.00000000
EUR
-10344.35000000
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust, Series 2007-A1, Class 3A3
46630GAJ4
3831.71000000
PA
USD
3889.23000000
0.004314257967
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Variable
2.80096920
N
N
N
N
N
N
Residential Asset Securitization Trust
N/A
Residential Asset Securitization Trust, Series 2007-A6, Class 2A1
76114CAG1
123778.76830000
PA
USD
49475.66000000
0.054882524394
Long
ABS-MBS
CORP
US
N
2
2037-06-25
Fixed
6.50000000
N
N
N
N
N
N
UniCredit SpA
549300TRUWO2CD2G5692
UniCredit SpA
904678AG4
350000.00000000
PA
USD
403502.09000000
0.447598138107
Long
DBT
CORP
IT
Y
2
2023-12-04
Fixed
7.83000000
N
N
N
N
N
N
FFCB
N/A
FFCB
3133ELYR9
1965000.00000000
PA
USD
1966845.33000000
2.181788718002
Long
DBT
USGA
US
N
2
2022-05-06
Fixed
0.25000000
N
N
N
N
N
N
CSMC Trust
N/A
CSMC Trust, Series 2007-4R, Class 1A1
12639QAA4
5937.70360000
PA
USD
5874.53000000
0.006516518143
Long
ABS-MBS
CORP
US
Y
2
2036-10-26
Variable
6.03909720
N
N
N
N
N
N
British Transco International Finance BV
549300GGLD5FF6EQTM03
British Transco International Finance BV
N/A
20000.00000000
PA
USD
19961.40000000
0.022142848068
Long
DBT
CORP
NL
Y
2
2021-11-04
None
0.00000000
N
N
N
N
N
N
N/A
N/A
USCPI
N/A
200000.00000000
PA
USD
-5683.11000000
-0.00630417912
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2021-07-02
0.00000000
USD
0.00000000
USD
200000.00000000
USD
-5683.11000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Linked Bonds
912810QP6
240000.00000000
PA
USD
441223.15000000
0.489441480785
Long
DBT
UST
US
N
2
2041-02-15
Fixed
2.12500000
N
N
N
N
N
N
JP Morgan Alternative Loan Trust
N/A
JP Morgan Alternative Loan Trust, Series 2006-A1, Class 1A1
46627MCS4
192501.02000000
PA
USD
187726.82000000
0.208242230182
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
0.55149840
N
N
N
N
N
N
GS Mortgage Securities Trust
N/A
GS Mortgage Securities Trust, Series 2010-C1, Class A2
36249KAC4
25434.29000000
PA
USD
25643.08000000
0.028445440922
Long
ABS-MBS
CORP
US
Y
2
2043-08-10
Fixed
4.59200000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1653.96000000
0.001834710240
N/A
DFE
N/A
N
2
Morgan Stanley & Co. International
4PQUHN3JPFGFNF3BB653
10200000.00000000
JPY
93503.02000000
USD
2021-08-17
1653.96000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Linked Notes
9128284H0
7580000.00000000
PA
USD
8615997.80000000
9.557582646509
Long
DBT
UST
US
N
2
2023-04-15
Fixed
0.62500000
N
N
N
N
N
N
OCP CLO Ltd.
254900FZYL5HDKV64882
OCP CLO Ltd., Series 2015-10A, Class A1R
67092DAL3
32471.97000000
PA
USD
32473.33000000
0.036022123320
Long
ABS-CBDO
CORP
KY
Y
2
2027-10-26
Floating
0.99574920
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2005-62, Class 2A1
12668ATT2
1159.21000000
PA
USD
1060.74000000
0.001176661189
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
1.11629880
N
N
N
N
N
N
NovaStar Mortgage Funding Trust
N/A
NovaStar Mortgage Funding Trust, Series 2005-3, Class M2
66987XGY5
61488.92000000
PA
USD
60945.09000000
0.067605371785
Long
ABS-O
CORP
US
N
2
2036-01-25
Floating
0.79662960
N
N
N
N
N
N
C-BASS TRUST
N/A
C-BASS TRUST, Series 2006-CB9, Class A1
12465MAA2
1923.14000000
PA
USD
1116.58000000
0.001238603569
Long
ABS-O
CORP
US
N
2
2036-11-25
Floating
0.15149880
N
N
N
N
N
N
N/A
N/A
USCPI
N/A
100000.00000000
PA
USD
-8185.59000000
-0.00908013845
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2029-11-04
21.27000000
USD
0.00000000
USD
100000.00000000
USD
-8185.59000000
N
N
N
SLM Student Loan Trust
549300Q3EYTM3HF1XJ85
SLM Student Loan Trust, Series 2003-5, Class A5
N/A
414.89000000
PA
491.60000000
0.000545323680
Long
ABS-O
CORP
US
N
2
2024-06-17
Floating
0.00001080
N
N
N
N
N
N
New Residential Mortgage Loan Trust
N/A
New Residential Mortgage Loan Trust, Series 2019-RPL3, Class A1
64830NAA9
305779.73000000
PA
USD
318653.76000000
0.353477300890
Long
ABS-MBS
CORP
US
Y
2
2059-07-25
Variable
2.75000040
N
N
N
N
N
N
Structured Asset Securities Corp. Mortgage Loan Trust
N/A
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2005-7XS, Class 2A1A
86359B7K1
4523.15000000
PA
USD
4456.97000000
0.004944042479
Long
ABS-O
CORP
US
N
2
2035-04-25
Floating
1.59212880
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2007-4CB, Class 1A35
02148FBX2
42464.68130000
PA
USD
42789.48000000
0.047465656444
Long
ABS-MBS
CORP
US
N
2
2037-04-25
Fixed
6.00000000
N
N
N
N
N
N
N/A
N/A
USCPI
N/A
700000.00000000
PA
USD
-19772.84000000
-0.02193368160
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2021-07-01
0.00000000
USD
0.00000000
USD
700000.00000000
USD
-19772.84000000
N
N
N
Morgan Stanley IXIS Real Estate Capital Trust
N/A
Morgan Stanley IXIS Real Estate Capital Trust, Series 2006-2, Class A1
617463AA2
362.40000000
PA
USD
164.33000000
0.000182288528
Long
ABS-O
CORP
US
N
2
2036-11-25
Floating
0.14150160
N
N
N
N
N
N
Morgan Stanley Mortgage Loan Trust
N/A
Morgan Stanley Mortgage Loan Trust, Series 2006-8AR, Class 5A4
61749LAP6
5124.71000000
PA
USD
5380.27000000
0.005968243769
Long
ABS-MBS
CORP
US
N
2
2036-06-25
Variable
2.04581160
N
N
N
N
N
N
First Franklin Mortgage Loan Trust
N/A
First Franklin Mortgage Loan Trust, Series 2005-FF12, Class M2
32027NXX4
100000.00000000
PA
USD
97597.50000000
0.108263278844
Long
ABS-O
CORP
US
N
2
2036-11-25
Floating
0.79650000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
3900000.00000000
PA
USD
2017.17000000
0.002237613035
N/A
DIR
GB
N
2
Morgan Stanley & Co. International
4PQUHN3JPFGFNF3BB653
Call
Purchased
N/A
Swaption
1.00000000
0.70000000
USD
2021-08-24
XXXX
-12022.83000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
145.21000000
0.000161079030
N/A
DFE
N/A
N
2
Bank of America
B4TYDEB6GKMZO031MB27
11000.00000000
GBP
15363.29000000
USD
2021-08-17
145.21000000
N
N
N
N/A
N/A
CDIO
N/A
-100000.00000000
PA
-7.52000000
-0.00000834181
N/A
DCR
GB
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
Put
Written
N/A
Credit Default Swap Index Option
1.00000000
0.00750000
EUR
2021-07-21
XXXX
97.78000000
N
N
N
Banc of America Funding Trust
N/A
Banc of America Funding Trust, Series 2006-G, Class 2A1
05950MAB6
271.97000000
PA
USD
271.92000000
0.000301636320
Long
ABS-MBS
CORP
US
N
2
2036-07-20
Floating
0.53337960
N
N
N
N
N
N
New Zealand Government Inflation Linked Bond
549300237GPHG2AI7C34
New Zealand Government Bond
N/A
578656.00000000
PA
507168.20000000
0.562593224801
Long
DBT
NUSS
NZ
Y
2
2030-09-20
Fixed
3.00000000
N
N
N
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust, Series 2004-AR10, Class 2A2A
45660N2Y0
351.64000000
PA
USD
344.74000000
0.000382414331
Long
ABS-MBS
CORP
US
N
2
2034-05-25
Floating
0.87149880
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
232.63000000
0.000258052578
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
1979000.00000000
MXN
97809.06000000
USD
2021-11-08
232.63000000
N
N
N
N/A
N/A
USCPI
N/A
700000.00000000
PA
USD
-18005.11000000
-0.01997276820
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2022-02-05
0.00000000
USD
0.00000000
USD
700000.00000000
USD
-18005.11000000
N
N
N
N/A
N/A
RPI
N/A
800000.00000000
PA
-39330.48000000
-0.04362864543
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2030-08-15
8611.27000000
USD
0.00000000
USD
800000.00000000
GBP
-39330.48000000
N
N
N
IndyMac INDA Mortgage Loan Trust
N/A
IndyMac INDA Mortgage Loan Trust, Series 2005-AR1, Class 2A1
45660LZK8
1536.97000000
PA
USD
1501.83000000
0.001665954968
Long
ABS-MBS
CORP
US
N
2
2035-11-25
Variable
2.92442040
N
N
N
N
N
N
Republic of Italy
815600DE60799F5A9309
Buoni Poliennali del Tesoro
N/A
1133726.00000000
PA
1451626.41000000
1.610264963789
Long
DBT
NUSS
IT
Y
2
2030-05-15
Fixed
0.40000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Linked Notes
912828UH1
760000.00000000
PA
USD
918165.39000000
1.018505552321
Long
DBT
UST
US
N
2
2023-01-15
Fixed
0.12500000
N
N
N
N
N
N
N/A
N/A
CDIO
N/A
-100000.00000000
PA
-17.57000000
-0.00001949010
N/A
DCR
GB
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
Put
Written
N/A
Credit Default Swap Index Option
1.00000000
0.00850000
EUR
2021-08-18
XXXX
91.94000000
N
N
N
Eurosail-UK plc
213800YCKG3TNT5E1296
Eurosail-UK plc, Series 2007-3X, Class A3A
N/A
42076.54000000
PA
58305.93000000
0.064677795618
Long
ABS-MBS
CORP
GB
Y
2
2045-06-13
Floating
1.03424940
N
N
N
N
N
N
Bank of America Corp.
9DJT3UXIJIZJI4WXO774
Bank of America Corp., Series FF
060505FL3
20000.00000000
PA
USD
22806.00000000
0.025298315400
Long
DBT
CORP
US
N
2
2028-03-15
Variable
5.87499840
N
N
N
N
N
N
Residential Mortgage Securities 32 plc
54930041T52UP3IPLN03
Residential Mortgage Securities 32 plc, Series 32A, Class A
N/A
88145.23000000
PA
123269.13000000
0.136740389805
Long
ABS-MBS
CORP
GB
Y
2
2070-06-20
Floating
1.29899850
N
N
N
N
N
N
N/A
N/A
RPI
N/A
80000.00000000
PA
3780.95000000
0.004194144769
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2028-11-15
0.00000000
USD
0.00000000
USD
80000.00000000
GBP
3780.95000000
N
N
N
WaMu Mortgage Pass-Through Certificates Trust
N/A
WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR10, Class 3A1
92922FW87
375.49000000
PA
USD
368.24000000
0.000408482489
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Variable
2.02204080
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Linked Notes
912828TE0
1640000.00000000
PA
USD
1973069.78000000
2.188693396565
Long
DBT
UST
US
N
2
2022-07-15
Fixed
0.12500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Linked Bonds
912810SB5
930000.00000000
PA
USD
1344346.65000000
1.491261315425
Long
DBT
UST
US
N
2
2048-02-15
Fixed
1.00000000
N
N
N
N
N
N
N/A
N/A
USCPI
N/A
1100000.00000000
PA
USD
23666.48000000
0.026252831512
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2026-03-05
0.00000000
USD
0.00000000
USD
1100000.00000000
USD
23666.48000000
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
Commonwealth of Australia
N/A
259908.00000000
PA
198296.15000000
0.219966611656
Long
DBT
NUSS
AU
Y
2
2022-02-21
Fixed
1.25000000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2007-1T1, Class 1A1
23246KAA9
110967.95810000
PA
USD
66321.96000000
0.073569843991
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Fixed
6.00000000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2006-OA19, Class A1
12668RAA6
9871.42000000
PA
USD
7692.16000000
0.008532784784
Long
ABS-MBS
CORP
US
N
2
2047-02-20
Floating
0.27338040
N
N
N
N
N
N
JP Morgan Alternative Loan Trust
N/A
JP Morgan Alternative Loan Trust, Series 2006-A7, Class 1A4
466286AD3
36919.43510000
PA
USD
35943.60000000
0.039871635948
Long
ABS-MBS
CORP
US
N
2
2036-12-25
Floating
0.55163160
N
N
N
N
N
N
Charter Communications Operating LLC
N/A
Charter Communications Operating LLC
161175BB9
10000.00000000
PA
USD
10352.60000000
0.011483966500
Long
DBT
CORP
US
N
2
2022-07-23
Fixed
4.46400000
N
N
N
N
N
N
Structured Asset Mortgage Investments II Trust
N/A
Structured Asset Mortgage Investments II Trust, Series 2006-AR3, Class 11A1
86360KAA6
4217.09870000
PA
USD
4000.36000000
0.004437532622
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Floating
0.51149880
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Series 2006-30, Class KF
31395B6R9
245.24000000
PA
USD
247.69000000
0.000274758385
Long
ABS-MBS
USGSE
US
N
2
2036-05-25
Floating
0.53150040
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
320.38000000
0.000355392190
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
18000.00000000
CAD
14840.83000000
USD
2021-08-17
320.38000000
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust, Series 2004-AR11, Class 2A
45660N6S9
2054.53000000
PA
USD
2123.06000000
0.002355075045
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Variable
2.87966160
N
N
N
N
N
N
N/A
N/A
RPI
N/A
100000.00000000
PA
-1005.17000000
-0.00111501831
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2036-03-15
0.00000000
USD
896.59000000
USD
100000.00000000
GBP
-1005.17000000
N
N
N
FNMA or FHLMC
N/A
UMBS, 30 Year, Single Family
01F032674
3000000.00000000
PA
USD
3158437.50000000
3.503602036677
Long
ABS-MBS
USGSE
US
N
2
2051-07-25
Fixed
3.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Linked Bonds
912810RW0
910000.00000000
PA
USD
1296085.52000000
1.437726048902
Long
DBT
UST
US
N
2
2047-02-15
Fixed
0.87500000
N
N
N
N
N
N
Merrill Lynch Mortgage Investors Trust
N/A
Merrill Lynch Mortgage Investors Trust, Series 2007-HE2, Class A2A
59024LAB7
9660.33000000
PA
USD
4003.26000000
0.004440749544
Long
ABS-O
CORP
US
N
2
2037-02-25
Floating
0.21150000
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust, Series 2007-10, Class 22AA
17313QAL2
9283.49000000
PA
USD
9177.07000000
0.010179970679
Long
ABS-MBS
CORP
US
N
2
2037-09-25
Variable
3.23376120
N
N
N
N
N
N
N/A
N/A
SOP
N/A
-7800000.00000000
PA
USD
-813.19000000
-0.00090205810
N/A
DIR
GB
N
2
Morgan Stanley & Co. International
4PQUHN3JPFGFNF3BB653
Call
Written
N/A
Swaption
1.00000000
0.55000000
USD
2021-08-24
XXXX
11471.81000000
N
N
N
Bear Stearns ARM Trust
N/A
Bear Stearns ARM Trust, Series 2005-1, Class 2A1
07387AAB1
5855.69000000
PA
USD
5822.52000000
0.006458824317
Long
ABS-MBS
CORP
US
N
2
2035-03-25
Variable
2.85417360
N
N
N
N
N
N
Structured Asset Mortgage Investments II Trust
N/A
Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A1
86359LPD5
1897.42000000
PA
USD
1840.88000000
0.002042057478
Long
ABS-MBS
CORP
US
N
2
2035-07-19
Floating
0.59338080
N
N
N
N
N
N
Atlas Senior Loan Fund Ltd.
N/A
Atlas Senior Loan Fund Ltd., Series 2017-8A, Class A
04943AAC3
300000.00000000
PA
USD
299985.90000000
0.332769355168
Long
ABS-CBDO
CORP
KY
Y
2
2030-01-16
Floating
1.53012960
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust, Series 2005-A6, Class 2A1
466247TQ6
2815.98000000
PA
USD
2850.18000000
0.003161657133
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Variable
2.97883800
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust, Series 2008-R2, Class 1A1
46632TAA3
12832.31000000
PA
USD
12553.52000000
0.013925410345
Long
ABS-MBS
CORP
US
Y
2
2037-07-27
Variable
2.94851880
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
Japan Government Bond CPI Linked
N/A
82716680.00000000
PA
763302.78000000
0.846719042124
Long
DBT
NUSS
JP
N
2
2028-03-10
Fixed
0.10000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Notes
912828YY0
330000.00000000
PA
USD
343456.87000000
0.380990977102
Long
DBT
UST
US
N
2
2024-12-31
Fixed
1.75000000
N
N
N
N
N
N
United Mexican States
254900EGTWEU67VP6075
Mex Bonos Desarr Fix Rt
N/A
1980000.00000000
PA
104883.93000000
0.116345994107
Long
DBT
NUSS
MX
N
2
2031-05-29
Fixed
7.75000080
N
N
N
N
N
N
N/A
N/A
SOP
N/A
-800000.00000000
PA
-36440.72000000
-0.04042308287
N/A
DIR
GB
N
2
Morgan Stanley & Co. International
4PQUHN3JPFGFNF3BB653
Put
Written
N/A
Swaption
1.00000000
0.00000000
EUR
2022-11-02
XXXX
-17034.62000000
N
N
N
Anchorage Capital CLO 16 Ltd.
5493008M7D1YIDOH2C69
Anchorage Capital CLO 16 Ltd., Series 2020-16A, Class A
03330WAA2
200000.00000000
PA
USD
200173.00000000
0.222048570056
Long
ABS-CBDO
CORP
KY
Y
2
2031-10-20
Floating
1.58825160
N
N
N
N
N
N
Residential Asset Securitization Trust
N/A
Residential Asset Securitization Trust, Series 2006-A10, Class A5
76113LAE7
8749.30000000
PA
USD
4818.54000000
0.005345126049
Long
ABS-MBS
CORP
US
N
2
2036-09-25
Fixed
6.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Linked Notes
912828SA9
680000.00000000
PA
USD
820130.74000000
0.909757350273
Long
DBT
UST
US
N
2
2022-01-15
Fixed
0.12500000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC Structured Pass-Through Certificates, Series T-62, Class 1A1
31395HHV5
43630.35000000
PA
USD
44807.02000000
0.049703679914
Long
ABS-MBS
USGSE
US
N
2
2044-10-25
Floating
1.31630040
N
N
N
N
N
N
Structured Asset Mortgage Investments II Trust
N/A
Structured Asset Mortgage Investments II Trust, Series 2004-AR5, Class 1A1
86359LDX4
1313.08000000
PA
USD
1290.27000000
0.001431274989
Long
ABS-MBS
CORP
US
N
2
2034-10-19
Floating
0.75337920
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
130.63000000
0.000144905680
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
10000.00000000
GBP
13965.25000000
USD
2021-08-17
130.63000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
2500.59000000
0.002773862777
N/A
DFE
N/A
N
2
Citibank
MBNUM2BPBDO7JBLYG310
215000.50000000
PEN
58373.29000000
USD
2022-03-25
2500.59000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Linked Bonds
912810PZ5
470000.00000000
PA
USD
753330.08000000
0.835656492356
Long
DBT
UST
US
N
2
2029-01-15
Fixed
2.50000000
N
N
N
N
N
N
FHLB
2549001DPIFGXC1TOL40
FHLB
313385JR8
29000000.00000000
PA
USD
28998590.60000000
32.16765286219
Long
STIV
USGA
US
N
2
2021-07-27
None
0.00000000
N
N
N
N
N
N
Securitized Asset-Backed Receivables LLC Trust
N/A
Securitized Asset-Backed Receivables LLC Trust, Series 2007-HE1, Class A2A
81377JAB9
10977.52000000
PA
USD
3714.88000000
0.004120854420
Long
ABS-O
CORP
US
N
2
2036-12-25
Floating
0.15149880
N
N
N
N
N
N
ERAC USA Finance LLC
LTKX5ODQW6Z7BQ2K1V47
ERAC USA Finance LLC
26884TAD4
20000.00000000
PA
USD
20102.80000000
0.022299700729
Long
DBT
CORP
US
Y
2
2021-08-16
Fixed
4.50000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Linked Notes
912828B25
1540000.00000000
PA
USD
1898112.49000000
2.105544525040
Long
DBT
UST
US
N
2
2024-01-15
Fixed
0.62500000
N
N
N
N
N
N
N/A
N/A
SOP
N/A
-1900000.00000000
PA
USD
-1017.69000000
-0.00112890654
N/A
DIR
US
N
2
Morgan Stanley Capital Services
I7331LVCZKQKX5T7XV54
Put
Written
N/A
Swaption
1.00000000
2.30000000
USD
2021-09-29
XXXX
12439.11000000
N
N
N
AREIT Trust
N/A
AREIT Trust, Series 2020-CRE4, Class A
04002RAA8
67354.74000000
PA
USD
67735.87000000
0.075138270770
Long
ABS-MBS
CORP
US
Y
2
2037-04-15
Floating
2.74448160
N
N
N
N
N
N
Towd Point Mortgage Trust
N/A
Towd Point Mortgage Trust, Series 2019-HY2, Class A1
89177HAA0
44891.85000000
PA
USD
45302.18000000
0.050252952643
Long
ABS-O
CORP
US
Y
2
2058-05-25
Floating
1.09149840
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Linked Bonds
912810FS2
860000.00000000
PA
USD
1361522.26000000
1.510313933113
Long
DBT
UST
US
N
2
2026-01-15
Fixed
2.00000000
N
N
N
N
N
N
N/A
N/A
USCPI
N/A
200000.00000000
PA
USD
-5224.99000000
-0.00579599425
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2022-01-19
0.00000000
USD
5.47000000
USD
200000.00000000
USD
-5224.99000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Linked Bonds
912810QF8
770000.00000000
PA
USD
1418709.73000000
1.573751039709
Long
DBT
UST
US
N
2
2040-02-15
Fixed
2.12500000
N
N
N
N
N
N
WaMu Mortgage Pass-Through Certificates Trust
N/A
WaMu Mortgage Pass-Through Certificates Trust, Series 2007-OA4, Class 1A
93364CAA6
5180.70000000
PA
USD
5004.63000000
0.005551552582
Long
ABS-MBS
CORP
US
N
2
2047-05-25
Floating
0.88629840
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-2794.28000000
-0.00309964819
N/A
DFE
N/A
N
2
Bank of America
B4TYDEB6GKMZO031MB27
229214.74000000
USD
3303672000.00000000
IDR
2021-09-15
-2794.28000000
N
N
N
Banc of America Mortgage Trust
N/A
Banc of America Mortgage Trust, Series 2005-E, Class 2A1
05949A6C9
827.61000000
PA
USD
777.45000000
0.000862412317
Long
ABS-MBS
CORP
US
N
2
2035-06-25
Variable
2.47389480
N
N
N
N
N
N
Commonwealth of Australia
213800J6B7JSBDETCB42
Commonwealth of Australia
N/A
419859.00000000
PA
370529.22000000
0.411021883396
Long
DBT
NUSS
AU
Y
2
2025-09-20
Fixed
3.00000000
N
N
N
N
N
N
N/A
N/A
USCPI
N/A
500000.00000000
PA
USD
-13151.12000000
-0.01458831805
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2022-01-19
0.00000000
USD
0.00000000
USD
500000.00000000
USD
-13151.12000000
N
N
N
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates
N/A
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2004-WCW2, Class M3
70069FAZ0
150000.00000000
PA
USD
148921.25000000
0.165195858649
Long
ABS-O
CORP
US
N
2
2034-10-25
Floating
1.14149880
N
N
N
N
N
N
WaMu Mortgage Pass-Through Certificates Trust
N/A
WaMu Mortgage Pass-Through Certificates Trust, Series 2002-AR17, Class 1A
929227XB7
302.37000000
PA
USD
297.93000000
0.000330488779
Long
ABS-MBS
CORP
US
N
2
2042-11-25
Floating
1.31630040
N
N
N
N
N
N
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates
N/A
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-WHQ4, Class M2
70069FMT1
25000.00000000
PA
USD
24601.85000000
0.027290421851
Long
ABS-O
CORP
US
N
2
2035-09-25
Floating
0.82649880
N
N
N
N
N
N
LoanCore Issuer Ltd.
N/A
LoanCore Issuer Ltd., Series 2019-CRE2, Class A
53946JAA2
100000.00000000
PA
USD
99968.80000000
0.110893722381
Long
ABS-CBDO
CORP
KY
Y
2
2036-05-15
Floating
1.20287880
N
N
N
N
N
N
Catamaran CLO Ltd.
549300MB476AHX5W1918
Catamaran CLO Ltd., Series 2013-1A, Class AR
14889EAL0
116330.01000000
PA
USD
116331.52000000
0.129044614750
Long
ABS-CBDO
CORP
KY
Y
2
2028-01-27
Floating
1.03137840
N
N
N
N
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
Deutsche Bank AG
251526BX6
400000.00000000
PA
USD
404336.00000000
0.448523180560
Long
DBT
CORP
DE
N
2
2021-10-14
Fixed
4.25000000
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust, Series 2007-3, Class 1A1
81744MAA0
12115.15000000
PA
USD
11913.14000000
0.013215047493
Long
ABS-MBS
CORP
US
N
2
2036-07-20
Floating
0.49338000
N
N
N
N
N
N
Argent Mortgage Loan Trust
N/A
Argent Mortgage Loan Trust, Series 2005-W1, Class A1
040104MX6
21157.45000000
PA
USD
19485.37000000
0.021614795929
Long
ABS-O
CORP
US
N
2
2035-05-25
Floating
0.33149880
N
N
N
N
N
N
RALI Trust
N/A
RALI Trust, Series 2005-QO1, Class A1
761118EN4
2124.37000000
PA
USD
1835.91000000
0.002036544340
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Floating
0.39150000
N
N
N
N
N
N
N/A
N/A
HICPXT
N/A
200000.00000000
PA
-5729.43000000
-0.00635556113
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2031-03-15
0.00000000
USD
1189.01000000
USD
200000.00000000
EUR
-5729.43000000
N
N
N
Bancorp Commercial Mortgage Trust
N/A
Bancorp Commercial Mortgage Trust, Series 2019-CRE6, Class A
05973BAA5
30465.68000000
PA
USD
30446.64000000
0.033773949908
Long
ABS-MBS
CORP
US
Y
2
2036-09-15
Floating
1.17447840
N
N
N
N
N
N
N/A
N/A
GNMA
N/A
-100000.00000000
NC
USD
-166.04000000
-0.00018418540
N/A
DIR
US
N
2
JPMorgan Chase Bank
7H6GLXDRUGQFU57RNE97
Put
Written
GNMA
GNMA
1.00000000
1.02296900
USD
2021-08-12
XXXX
169.90000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Linked Notes
912828ZJ2
2140000.00000000
PA
USD
2388533.14000000
2.649559971971
Long
DBT
UST
US
N
2
2025-04-15
Fixed
0.12500000
N
N
N
N
N
N
N/A
N/A
IRSZC
N/A
3000000.00000000
PA
-4335.71000000
-0.00480953078
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2023-11-21
0.00000000
USD
0.00000000
USD
3000000.00000000
EUR
-4335.71000000
N
N
N
N/A
N/A
CDIO
N/A
-600000.00000000
PA
-137.71000000
-0.00015275940
N/A
DCR
GB
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
Put
Written
N/A
Credit Default Swap Index Option
1.00000000
0.00750000
EUR
2021-08-18
XXXX
556.66000000
N
N
N
Soundview Home Loan Trust
N/A
Soundview Home Loan Trust, Series 2006-NLC1, Class A1
83611DAA6
1861.17000000
PA
USD
785.52000000
0.000871364233
Long
ABS-O
CORP
US
Y
2
2036-11-25
Floating
0.15149880
N
N
N
N
N
N
GSAMP Trust
N/A
GSAMP Trust, Series 2007-FM1, Class A2A
3622MAAB7
3153.13000000
PA
USD
1850.63000000
0.002052872990
Long
ABS-O
CORP
US
N
2
2036-12-25
Floating
0.16149960
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust, Series 2005-A1, Class 6T1
466247LZ4
1673.39000000
PA
USD
1699.85000000
0.001885615251
Long
ABS-MBS
CORP
US
N
2
2035-02-25
Variable
2.45289600
N
N
N
N
N
N
VMware, Inc.
549300BUDHS3LRWBE814
VMware, Inc.
928563AC9
10000.00000000
PA
USD
11104.33000000
0.012317848051
Long
DBT
CORP
US
N
2
2027-08-21
Fixed
3.90000000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Linked Bonds
912810SV1
280000.00000000
PA
USD
315658.35000000
0.350154542540
Long
DBT
UST
US
N
2
2051-02-15
Fixed
0.12500000
N
N
N
N
N
N
N/A
N/A
USCPI
N/A
200000.00000000
PA
USD
-7340.43000000
-0.00814261656
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2021-08-26
0.00000000
USD
6.12000000
USD
200000.00000000
USD
-7340.43000000
N
N
N
MASTR Adjustable Rate Mortgages Trust
N/A
MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A7
576433UM6
2345.51000000
PA
USD
2368.38000000
0.002627204429
Long
ABS-MBS
CORP
US
N
2
2034-11-21
Variable
2.87643960
N
N
N
N
N
N
N/A
N/A
SOP
N/A
700000.00000000
PA
104120.28000000
0.115498889899
N/A
DIR
GB
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
Put
Purchased
N/A
Swaption
1.00000000
0.19700000
EUR
2022-11-04
XXXX
51869.03000000
N
N
N
WaMu Mortgage Pass-Through Certificates Trust
N/A
WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR14, Class 2A1
92922F4F2
1692.98000000
PA
USD
1727.72000000
0.001916530977
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Variable
3.13185960
N
N
N
N
N
N
N/A
N/A
RPI
N/A
160000.00000000
PA
7485.10000000
0.008303096580
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2028-11-15
0.00000000
USD
0.00000000
USD
160000.00000000
GBP
7485.10000000
N
N
N
N/A
N/A
USCPI
N/A
200000.00000000
PA
USD
-15737.87000000
-0.01745775668
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2029-11-04
0.00000000
USD
590.75000000
USD
200000.00000000
USD
-15737.87000000
N
N
N
Palmer Square Loan Funding Ltd.
N/A
Palmer Square Loan Funding Ltd., Series 2019-4A, Class A1
69689HAA3
139937.38000000
PA
USD
139944.24000000
0.155237811191
Long
ABS-CBDO
CORP
KY
Y
2
2027-10-24
Floating
1.07574840
N
N
N
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust, Series 2019-C, Class A1
17328GAA1
161087.64000000
PA
USD
161633.26000000
0.179297079309
Long
ABS-MBS
CORP
US
Y
2
2059-09-25
Variable
3.22800120
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Linked Bonds
912810PV4
2240000.00000000
PA
USD
3452227.86000000
3.829498782663
Long
DBT
UST
US
N
2
2028-01-15
Fixed
1.75000000
N
N
N
N
N
N
N/A
N/A
USCPI
N/A
300000.00000000
PA
USD
-7783.06000000
-0.00863361863
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2022-01-21
0.00000000
USD
0.00000000
USD
300000.00000000
USD
-7783.06000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Linked Bonds
912810SM1
350000.00000000
PA
USD
411613.07000000
0.456595512931
Long
DBT
UST
US
N
2
2050-02-15
Fixed
0.25000000
N
N
N
N
N
N
CHL Mortgage Pass-Through Trust
N/A
CHL Mortgage Pass-Through Trust, Series 2007-1, Class A1
170255AA1
41189.36490000
PA
USD
31496.35000000
0.034938375702
Long
ABS-MBS
CORP
US
N
2
2037-03-25
Fixed
6.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Series T-32, Class A1
3133TSQG1
768.73000000
PA
USD
754.88000000
0.000837375792
Long
ABS-O
CORP
US
N
2
2031-08-25
Floating
0.35163000
N
N
N
N
N
N
Structured Adjustable Rate Mortgage Loan Trust
N/A
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-17, Class 3A1
863579VM7
2125.92000000
PA
USD
2048.52000000
0.002272389067
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Variable
2.92516920
N
N
N
N
N
N
Citigroup Mortgage Loan Trust, Inc.
549300R1KUK063S4I339
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH3, Class A3
17313CAC3
44849.11000000
PA
USD
44663.05000000
0.049543976394
Long
ABS-O
CORP
US
N
2
2037-06-25
Floating
0.34149960
N
N
N
N
N
N
Z Capital Credit Partners CLO Ltd.
549300BNZ44C797ZPY53
Z Capital Credit Partners CLO Ltd., Series 2015-1A, Class A1R
98877EAG8
28107.11000000
PA
USD
28107.56000000
0.031179247479
Long
ABS-CBDO
CORP
KY
Y
2
2027-07-16
Floating
1.13362920
N
N
N
N
N
N
N/A
N/A
HICPXT
N/A
100000.00000000
PA
-2741.20000000
-0.00304076743
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2031-03-15
0.00000000
USD
718.02000000
USD
100000.00000000
EUR
-2741.20000000
N
N
N
Bear Stearns ALT-A Trust
N/A
Bear Stearns ALT-A Trust, Series 2006-2, Class 23A1
07386HF71
10455.54050000
PA
USD
9027.29000000
0.010013822223
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Variable
3.32592120
N
N
N
N
N
N
STWD Ltd.
N/A
STWD Ltd., Series 2019-FL1, Class A
78485WAA7
200000.00000000
PA
USD
199999.88000000
0.221856530928
Long
ABS-CBDO
CORP
KY
Y
2
2038-07-15
Floating
1.20448080
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
1233.63000000
0.001368445182
N/A
DFE
N/A
N
2
Morgan Stanley & Co. International
4PQUHN3JPFGFNF3BB653
10300000.00000000
JPY
93983.17000000
USD
2021-08-17
1233.63000000
N
N
N
Structured Asset Mortgage Investments II Trust
N/A
Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A2
86359LPE3
2724.26000000
PA
USD
2635.50000000
0.002923516190
Long
ABS-MBS
CORP
US
N
2
2035-07-19
Floating
0.59338080
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
Japan Government Bond CPI Linked
N/A
58103240.00000000
PA
537479.47000000
0.596217011026
Long
DBT
NUSS
JP
N
2
2029-03-10
Fixed
0.10000000
N
N
N
N
N
N
FFCB
N/A
FFCB
313313JS8
2138000.00000000
PA
USD
2137860.60000000
2.371493104515
Long
STIV
USGA
US
N
2
2021-07-28
None
0.00000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Series 278, Class F1
3132HTBH8
95601.25000000
PA
USD
96790.61000000
0.107368209225
Long
ABS-MBS
USGSE
US
N
2
2042-09-15
Floating
0.52287840
N
N
N
N
N
N
JPMorgan Prime Money Market Fund, IM Shares
N/A
JPMorgan Prime Money Market Fund, IM Shares
N/A
0.01000000
NS
USD
0.01000000
0.000000011092
Long
STIV
RF
US
N
1
N
N
N
N/A
N/A
USCPI
N/A
500000.00000000
PA
USD
-18791.61000000
-0.02084521953
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2021-08-14
0.00000000
USD
0.00000000
USD
500000.00000000
USD
-18791.61000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Linked Notes
912828V49
1210000.00000000
PA
USD
1481109.22000000
1.642969753155
Long
DBT
UST
US
N
2
2027-01-15
Fixed
0.37500000
N
N
N
N
N
N
N/A
N/A
HICPXT
N/A
200000.00000000
PA
6624.20000000
0.007348114569
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2022-07-15
0.00000000
USD
10.68000000
USD
200000.00000000
EUR
6624.20000000
N
N
N
French Republic
969500KCGF3SUYJHPV70
French Republic
N/A
100000.00000000
PA
128986.13000000
0.143082162547
Long
DBT
NUSS
FR
Y
2
2026-03-01
Fixed
0.10000000
N
N
N
N
N
N
CHL Mortgage Pass-Through Trust
N/A
CHL Mortgage Pass-Through Trust, Series 2006-HYB3, Class 3A1B
1266944F2
2444.14040000
PA
USD
2521.62000000
0.002797191005
Long
ABS-MBS
CORP
US
N
2
2036-05-20
Variable
2.86666560
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Linked Bonds
912810RA8
540000.00000000
PA
USD
749715.00000000
0.831646344411
Long
DBT
UST
US
N
2
2043-02-15
Fixed
0.62500000
N
N
N
N
N
N
Bear Stearns ARM Trust
N/A
Bear Stearns ARM Trust, Series 2004-10, Class 13A1
07384M4E9
4213.75000000
PA
USD
4307.75000000
0.004778515222
Long
ABS-MBS
CORP
US
N
2
2035-01-25
Variable
2.75657400
N
N
N
N
N
N
N/A
N/A
RPI
N/A
340000.00000000
PA
15013.23000000
0.016653925621
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2028-11-15
0.00000000
USD
0.00000000
USD
340000.00000000
GBP
15013.23000000
N
N
N
N/A
N/A
RPI
N/A
1000000.00000000
PA
-15017.47000000
-0.01665862898
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2025-01-15
20779.42000000
USD
0.00000000
USD
1000000.00000000
GBP
-15017.47000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
693.19000000
0.000768944104
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
24000.00000000
GBP
33896.28000000
USD
2021-08-17
693.19000000
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC, Series T-63, Class 1A1
31395M2F5
13410.60000000
PA
USD
13518.83000000
0.014996212627
Long
ABS-MBS
USGSE
US
N
2
2045-02-25
Floating
1.32750000
N
N
N
N
N
N
Alliance Bancorp Trust
N/A
Alliance Bancorp Trust, Series 2007-OA1, Class A1
01852TAA1
28764.45000000
PA
USD
26878.07000000
0.029815394730
Long
ABS-MBS
CORP
US
N
2
2037-07-25
Floating
0.33149880
N
N
N
N
N
N
Eurosail-UK plc
213800YCKG3TNT5E1296
Eurosail-UK plc, Series 2007-3X, Class A3C
N/A
18698.26000000
PA
25891.89000000
0.028721441705
Long
ABS-MBS
CORP
GB
Y
2
2045-06-13
Floating
1.03424940
N
N
N
N
N
N
Bear Stearns ARM Trust
N/A
Bear Stearns ARM Trust, Series 2005-9, Class A1
07387AEG6
7060.92000000
PA
USD
7196.02000000
0.007982424957
Long
ABS-MBS
CORP
US
N
2
2035-10-25
Floating
2.40999840
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
22634.23000000
0.025107773804
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
1015000.00000000
NZD
732030.59000000
USD
2021-08-17
22634.23000000
N
N
N
RAAC Trust
N/A
RAAC Trust, Series 2006-SP3, Class M1
74919QAD9
7512.69000000
PA
USD
7479.07000000
0.008296407601
Long
ABS-O
CORP
US
N
2
2036-08-25
Floating
0.60162840
N
N
N
N
N
N
CHL Mortgage Pass-Through Trust
N/A
CHL Mortgage Pass-Through Trust, Series 2006-6, Class A4
126694K64
13440.58480000
PA
USD
10063.66000000
0.011163450178
Long
ABS-MBS
CORP
US
N
2
2036-04-25
Fixed
6.00000000
N
N
N
N
N
N
Structured Asset Mortgage Investments II Trust
N/A
Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A3
86359LPF0
6889.63000000
PA
USD
6981.88000000
0.007744883027
Long
ABS-MBS
CORP
US
N
2
2035-07-19
Floating
0.59338080
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Linked Notes
912828Z37
3810000.00000000
PA
USD
4343517.30000000
4.818191291935
Long
DBT
UST
US
N
2
2030-01-15
Fixed
0.12500000
N
N
N
N
N
N
Park Place Securities, Inc.
N/A
Park Place Securities, Inc., Series 2005-WCW1, Class M2
70069FKF3
52090.35000000
PA
USD
52062.03000000
0.057751541495
Long
ABS-O
CORP
US
N
2
2035-09-25
Floating
0.79650000
N
N
N
N
N
N
N/A
N/A
Euro-Buxl
N/A
-7.00000000
NC
-30151.83000000
-0.03344692209
N/A
DIR
DE
N
1
Eurex Clearing
529900LN3S50JPU47S06
Short
Federal Republic of Germany
Euro-Buxl
2021-09-08
-1422680.00000000
EUR
-30151.83000000
N
N
N
N/A
N/A
USCPI
N/A
550000.00000000
PA
USD
-14415.09000000
-0.01599041889
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2022-02-04
0.00000000
USD
0.00000000
USD
550000.00000000
USD
-14415.09000000
N
N
N
Renaissance Home Equity Loan Trust
N/A
Renaissance Home Equity Loan Trust, Series 2002-3, Class A
75970NAA5
1941.90000000
PA
USD
1879.38000000
0.002084764886
Long
ABS-O
CORP
US
N
2
2032-12-25
Floating
0.85150080
N
N
N
N
N
N
Sequoia Mortgage Trust
N/A
Sequoia Mortgage Trust, Series 5, Class A
81743WAA9
678.31000000
PA
USD
671.43000000
0.000744806099
Long
ABS-MBS
CORP
US
N
2
2026-10-19
Floating
0.79750080
N
N
N
N
N
N
Lehman ABS Manufactured Housing Contract Trust
N/A
Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class M2
52519SAM5
36223.13000000
PA
USD
26759.15000000
0.029683478758
Long
ABS-O
CORP
US
N
2
2040-04-15
Variable
7.17000120
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Linked Notes
912828X39
11030000.00000000
PA
USD
12424582.16000000
13.78238175067
Long
DBT
UST
US
N
2
2022-04-15
Fixed
0.12500000
N
N
N
N
N
N
Petrobras Global Finance BV
549300FNENFFSMO3GT38
Petrobras Global Finance BV
71647NBE8
103000.00000000
PA
USD
112039.28000000
0.124283304512
Long
DBT
CORP
NL
N
2
2030-01-15
Fixed
5.09300000
N
N
N
N
N
N
WaMu Mortgage Pass-Through Certificates Trust
N/A
WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR7, Class 3A
93363CAC3
11972.64000000
PA
USD
11702.28000000
0.012981144012
Long
ABS-MBS
CORP
US
N
2
2046-07-25
Floating
1.84299840
N
N
N
N
N
N
N/A
N/A
USCPI
N/A
600000.00000000
PA
USD
-48985.86000000
-0.05433919742
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2029-11-04
0.00000000
USD
0.00000000
USD
600000.00000000
USD
-48985.86000000
N
N
N
N/A
N/A
FCPIX
N/A
820000.00000000
PA
34742.26000000
0.038539009524
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2028-10-15
0.00000000
USD
0.00000000
USD
820000.00000000
EUR
34742.26000000
N
N
N
Opteum Mortgage Acceptance Corp. Asset Backed Pass-Through Certificates
N/A
Opteum Mortgage Acceptance Corp. Asset-Backed Pass-Through Certificates, Series 2005-5, Class 1A1D
68383NCY7
178555.29000000
PA
USD
179458.73000000
0.199070575855
Long
ABS-MBS
CORP
US
N
2
2035-12-25
Floating
0.85150080
N
N
N
N
N
N
Venture XX CLO Ltd.
549300LQ92YS70N4PB21
Venture XX CLO Ltd., Series 2015-20A, Class AR
92330JCC8
76831.13000000
PA
USD
76832.97000000
0.085229532063
Long
ABS-CBDO
CORP
KY
Y
2
2027-04-15
Floating
1.00374840
N
N
N
N
N
N
Residential Asset Securitization Trust
N/A
Residential Asset Securitization Trust, Series 2005-A5, Class A3
45660LJZ3
20295.28000000
PA
USD
14811.01000000
0.016429606348
Long
ABS-MBS
CORP
US
N
2
2035-05-25
Floating
0.49150080
N
N
N
N
N
N
Banc of America Funding Trust
N/A
Banc of America Funding Trust, Series 2006-J, Class 4A1
05951EAM9
4060.38650000
PA
USD
3882.27000000
0.004306537355
Long
ABS-MBS
CORP
US
N
2
2047-01-20
Variable
3.34793160
N
N
N
N
N
N
Towd Point Mortgage Funding Granite4 plc
635400655NWVVZHH1395
Towd Point Mortgage Funding Granite4 plc, Series 2019-GR4A, Class A1
N/A
258507.94000000
PA
359608.01000000
0.398907167307
Long
ABS-MBS
CORP
GB
Y
2
2051-10-20
Floating
1.10912915
N
N
N
N
N
N
ICG US CLO Ltd.
254900UXTGDH0QOBDH07
ICG US CLO Ltd., Series 2020-1A, Class A1
449251AA5
200000.00000000
PA
USD
200150.80000000
0.222023943966
Long
ABS-CBDO
CORP
KY
Y
2
2031-10-22
Floating
1.58375160
N
N
N
N
N
N
Canadian Government Real Return Bond
4BFD7AQU0A75QLAHK410
Canada Government Bond
135087VS0
223791.40000000
PA
232523.89000000
0.257934872727
Long
DBT
NUSS
CA
N
2
2026-12-01
Fixed
4.25000000
N
N
N
N
N
N
Alternative Loan Trust
N/A
Alternative Loan Trust, Series 2006-OA11, Class A1B
02147DAB7
69276.27810000
PA
USD
66990.69000000
0.074311655026
Long
ABS-MBS
CORP
US
N
2
2046-09-25
Floating
0.47149920
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA
313589MA8
15000000.00000000
PA
USD
14997438.00000000
16.63640781928
Long
STIV
USGA
US
N
2
2021-09-22
None
0.00000000
N
N
N
N
N
N
HarborView Mortgage Loan Trust
N/A
HarborView Mortgage Loan Trust, Series 2005-13, Class 2A11
41161PWB5
2283.63000000
PA
USD
1571.11000000
0.001742806117
Long
ABS-MBS
CORP
US
N
2
2036-02-19
Floating
0.65750040
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Series 2006-5, Class 3A2
31394VL73
3919.21000000
PA
USD
4013.40000000
0.004451997677
Long
ABS-MBS
USGSE
US
N
2
2035-05-25
Floating
2.09954520
N
N
N
N
N
N
New Residential Mortgage Loan Trust
N/A
New Residential Mortgage Loan Trust, Series 2019-RPL2, Class A1
64830HAA2
71907.33000000
PA
USD
75699.10000000
0.083971748984
Long
ABS-MBS
CORP
US
Y
2
2059-02-25
Variable
3.25000080
N
N
N
N
N
N
Banc of America Mortgage Trust
N/A
Banc of America Mortgage Trust, Series 2006-A, Class 2A1
05949CRS7
5968.76000000
PA
USD
5922.66000000
0.006569907949
Long
ABS-MBS
CORP
US
N
2
2036-02-25
Variable
2.78621640
N
N
N
N
N
N
Republic of Peru
254900STKLK2DBJJZ530
Republic of Peru
715638BX9
200000.00000000
PA
56793.85000000
0.063000470495
Long
DBT
NUSS
PE
Y
2
2029-02-12
Fixed
5.94000000
N
N
N
N
N
N
Stratton Mortgage Funding plc
213800RHNWAD2QXB3483
Stratton Mortgage Funding plc, Series 2019-1, Class A
N/A
81427.19000000
PA
113142.51000000
0.125507099149
Long
ABS-MBS
CORP
GB
Y
2
2051-05-25
Floating
1.24880005
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Linked Bonds
912810RL4
1900000.00000000
PA
USD
2658902.13000000
2.949475782880
Long
DBT
UST
US
N
2
2045-02-15
Fixed
0.75000000
N
N
N
N
N
N
McDonald's Corp.
UE2136O97NLB5BYP9H04
McDonald's Corp.
58013MFG4
200000.00000000
PA
USD
200195.88000000
0.222073950458
Long
DBT
CORP
US
N
2
2021-10-28
Floating
0.61400160
N
N
N
N
N
N
N/A
N/A
CDIO
N/A
-100000.00000000
PA
-7.52000000
-0.00000834181
N/A
DCR
US
N
2
Bank of America
B4TYDEB6GKMZO031MB27
Put
Written
N/A
Credit Default Swap Index Option
1.00000000
0.00750000
EUR
2021-07-21
XXXX
95.97000000
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust, Series 2007-AMC2, Class A3A
17311XAA3
4205.63000000
PA
USD
3514.71000000
0.003898809178
Long
ABS-O
CORP
US
N
2
2037-01-25
Floating
0.17150040
N
N
N
N
N
N
N/A
N/A
GNMA
N/A
-100000.00000000
NC
USD
-158.21000000
-0.00017549971
N/A
DIR
US
N
2
JPMorgan Chase Bank
7H6GLXDRUGQFU57RNE97
Put
Written
GNMA
GNMA
1.00000000
1.02234400
USD
2021-08-12
XXXX
162.10000000
N
N
N
Republic of Italy
815600DE60799F5A9309
Buoni Poliennali del Tesoro
N/A
2511025.00000000
PA
3216337.78000000
3.567829851516
Long
DBT
NUSS
IT
Y
2
2025-05-26
Fixed
1.40000000
N
N
N
N
N
N
WaMu Mortgage Pass-Through Certificates Trust
N/A
WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR3, Class A1A
92925CDA7
2120.37000000
PA
USD
2134.23000000
0.002367465740
Long
ABS-MBS
CORP
US
N
2
2046-02-25
Floating
1.11629880
N
N
N
N
N
N
Structured Adjustable Rate Mortgage Loan Trust
N/A
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A2
86359BGG0
1877.06000000
PA
USD
1904.26000000
0.002112363855
Long
ABS-MBS
CORP
US
N
2
2034-02-25
Variable
2.53515240
N
N
N
N
N
N
Lehman XS Trust
N/A
Lehman XS Trust, Series 2007-20N, Class A1
52525AAA2
40593.95660000
PA
USD
41993.51000000
0.046582700200
Long
ABS-MBS
CORP
US
N
2
2037-12-25
Floating
1.24149960
N
N
N
N
N
N
Japan
353800WZS8AXZXFUC241
Japan Government Bond CPI Linked
N/A
9939300.00000000
PA
93597.85000000
0.103826533812
Long
DBT
NUSS
JP
N
2
2030-03-10
Fixed
0.20000000
N
N
N
N
N
N
Jamestown CLO V Ltd.
549300J8XCULR2IX5L98
Jamestown CLO V Ltd., Series 2014-5A, Class AR
470473AF6
14980.38000000
PA
USD
14982.40000000
0.016619726416
Long
ABS-CBDO
CORP
KY
Y
2
2027-01-17
Floating
1.40974920
N
N
N
N
N
N
CWABS Asset-Backed Certificates Trust
549300XF11BHS5IOB463
CWABS Asset-Backed Certificates Trust, Series 2007-12, Class 1A1
126697AA9
16523.89000000
PA
USD
16176.30000000
0.017944099772
Long
ABS-O
CORP
US
N
2
2047-08-25
Floating
0.83149920
N
N
N
N
N
N
Securitized Asset-Backed Receivables LLC Trust
N/A
Securitized Asset-Backed Receivables LLC Trust, Series 2006-HE1, Class A2C
81376YAD3
176571.37000000
PA
USD
81306.33000000
0.090191755696
Long
ABS-O
CORP
US
N
2
2036-07-25
Floating
0.41150160
N
N
N
N
N
N
United States Small Business Administration
N/A
United States Small Business Administration, Series 2008-20H, Class 1
83162CRY1
7126.50000000
PA
USD
7825.19000000
0.008680352744
Long
ABS-O
CORP
US
N
2
2028-08-01
Fixed
6.02000000
N
N
N
N
N
N
N/A
N/A
RPI
N/A
300000.00000000
PA
17018.42000000
0.018878249442
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2024-09-15
0.00000000
USD
0.00000000
USD
300000.00000000
GBP
17018.42000000
N
N
N
N/A
N/A
USCPI
N/A
200000.00000000
PA
USD
-7842.30000000
-0.00869933258
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2021-08-07
0.00000000
USD
0.00000000
USD
200000.00000000
USD
-7842.30000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-197.73000000
-0.00021933859
N/A
DFE
N/A
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
94273.15000000
USD
68000.00000000
GBP
2021-08-17
-197.73000000
N
N
N
Bear Stearns Asset-Backed Securities I Trust
N/A
Bear Stearns Asset-Backed Securities I Trust, Series 2005-HE1, Class M4
073879PU6
309016.45000000
PA
USD
310604.58000000
0.344548479774
Long
ABS-O
CORP
US
N
2
2035-01-25
Floating
2.26649880
N
N
N
N
N
N
First Horizon Mortgage Pass-Through Trust
N/A
First Horizon Mortgage Pass-Through Trust, Series 2005-AR3, Class 2A1
32051GQL2
4375.20000000
PA
USD
3449.34000000
0.003826295327
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Variable
2.86056360
N
N
N
N
N
N
N/A
N/A
FCPIX
N/A
700000.00000000
PA
-2224.72000000
-0.00246784478
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2024-03-15
0.00000000
USD
147.04000000
USD
700000.00000000
EUR
-2224.72000000
N
N
N
GreenPoint Mortgage Funding Trust
N/A
GreenPoint Mortgage Funding Trust, Series 2006-AR4, Class A6A
39539FAK0
65056.30000000
PA
USD
63419.95000000
0.070350692703
Long
ABS-MBS
CORP
US
N
2
2046-09-25
Floating
0.27150120
N
N
N
N
N
N
N/A
N/A
CDIO
N/A
-200000.00000000
PA
-120.50000000
-0.00013366864
N/A
DCR
GB
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
Put
Written
N/A
Credit Default Swap Index Option
1.00000000
0.00850000
EUR
2021-10-20
XXXX
87.05000000
N
N
N
Citigroup Mortgage Loan Trust
N/A
Citigroup Mortgage Loan Trust, Series 2006-AR1, Class 2A1
17307G3C0
6453.61000000
PA
USD
6441.83000000
0.007145814570
Long
ABS-MBS
CORP
US
N
2
2036-03-25
Floating
2.52000000
N
N
N
N
N
N
Credit-Based Asset Servicing and Securitization LLC
N/A
Credit-Based Asset Servicing and Securitization LLC, Series 2005-CB3, Class M4
12489WLH5
25000.00000000
PA
USD
24606.48000000
0.027295557833
Long
ABS-O
CORP
US
N
2
2035-06-25
Floating
1.14149880
N
N
N
N
N
N
Structured Adjustable Rate Mortgage Loan Trust
N/A
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-19, Class 2A1
863579JG4
1714.82020000
PA
USD
1597.00000000
0.001771525462
Long
ABS-MBS
CORP
US
N
2
2035-01-25
Floating
1.51629840
N
N
N
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2017-H10, Class FB
38375UZZ6
72064.87000000
PA
USD
73128.20000000
0.081119892497
Long
ABS-MBS
USGA
US
N
2
2067-04-20
Floating
1.02899880
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust, Series 2004-12, Class 3A6
36242DLF8
3726.76000000
PA
USD
3775.38000000
0.004187966061
Long
ABS-MBS
CORP
US
N
2
2034-12-25
Variable
2.58983640
N
N
N
N
N
N
First Horizon Alternative Mortgage Securities Trust
N/A
First Horizon Alternative Mortgage Securities Trust, Series 2006-FA8, Class 1A7
32052DAG6
10594.11000000
PA
USD
6541.77000000
0.007256676345
Long
ABS-MBS
CORP
US
N
2
2037-02-25
Fixed
6.00000000
N
N
N
N
N
N
N/A
N/A
CDIO
N/A
-100000.00000000
PA
-7.52000000
-0.00000834181
N/A
DCR
US
N
2
Goldman Sachs Bank
KD3XUN7C6T14HNAYLU02
Put
Written
N/A
Credit Default Swap Index Option
1.00000000
0.00750000
EUR
2021-07-21
XXXX
94.77000000
N
N
N
Banc of America Funding Trust
N/A
Banc of America Funding Trust, Series 2006-J, Class 2A1
05951EAC1
96081.51790000
PA
USD
93896.08000000
0.104157355377
Long
ABS-MBS
CORP
US
N
2
2047-01-20
Variable
3.20865840
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Linked Notes
912828S50
190000.00000000
PA
USD
231876.17000000
0.257216367735
Long
DBT
UST
US
N
2
2026-07-15
Fixed
0.12500000
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
26034.00000000
0.028879081958
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
131004939.00000000
JPY
1205708.58000000
USD
2021-08-17
26034.00000000
N
N
N
N/A
N/A
CDIO
N/A
-100000.00000000
PA
USD
-16.36000000
-0.00001814787
N/A
DCR
US
N
2
Citibank
E57ODZWZ7FF32TWEFA76
Put
Written
N/A
Credit Default Swap Index Option
1.00000000
0.00800000
USD
2021-08-18
XXXX
91.64000000
N
N
N
CIT Mortgage Loan Trust
N/A
CIT Mortgage Loan Trust, Series 2007-1, Class 1A
12559QAA0
15427.10000000
PA
USD
15578.57000000
0.017281047853
Long
ABS-O
CORP
US
Y
2
2037-10-25
Floating
1.44150120
N
N
N
N
N
N
N/A
N/A
SOP
N/A
-2100000.00000000
PA
-96066.30000000
-0.10656474422
N/A
DIR
GB
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
Put
Written
N/A
Swaption
1.00000000
0.00000000
EUR
2022-11-04
XXXX
-44619.94000000
N
N
N
N/A
N/A
RPI
N/A
200000.00000000
PA
-2361.82000000
-0.00261992753
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2025-01-15
3514.20000000
USD
0.00000000
USD
200000.00000000
GBP
-2361.82000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Bonds
912810SS8
1040000.00000000
PA
USD
934432.30000000
1.036550164255
Long
DBT
UST
US
N
2
2050-11-15
Fixed
1.62500000
N
N
N
N
N
N
AbbVie, Inc.
FR5LCKFTG8054YNNRU85
AbbVie, Inc.
00287YCR8
60000.00000000
PA
USD
60575.51000000
0.067195402856
Long
DBT
CORP
US
N
2
2021-12-15
Fixed
5.00000000
N
N
N
N
N
N
N/A
N/A
FCPIX
N/A
100000.00000000
PA
-361.25000000
-0.00040072859
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2024-03-15
22.43000000
USD
0.00000000
USD
100000.00000000
EUR
-361.25000000
N
N
N
N/A
N/A
SOP
N/A
250000.00000000
PA
37546.09000000
0.041649251376
N/A
DIR
GB
N
2
Morgan Stanley & Co. International
4PQUHN3JPFGFNF3BB653
Put
Purchased
N/A
Swaption
1.00000000
0.19000000
EUR
2022-11-02
XXXX
19312.44000000
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Series 2007-63, Class FC
31396WTU0
125.33000000
PA
USD
126.13000000
0.000139913905
Long
ABS-MBS
USGSE
US
N
2
2037-07-25
Floating
0.44150040
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Linked Notes
9128282L3
4770000.00000000
PA
USD
5809169.04000000
6.444014320354
Long
DBT
UST
US
N
2
2027-07-15
Fixed
0.37500000
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Linked Notes
912828N71
1660000.00000000
PA
USD
2072501.84000000
2.298991722217
Long
DBT
UST
US
N
2
2026-01-15
Fixed
0.62500000
N
N
N
N
N
N
Ford Motor Credit Co. LLC
UDSQCVRUX5BONN0VY111
Ford Motor Credit Co. LLC
34540XAB9
200000.00000000
PA
USD
205250.00000000
0.227680401473
Long
DBT
CORP
US
N
2
2022-10-07
Fixed
3.55000000
N
N
N
N
N
N
N/A
N/A
RPI
N/A
700000.00000000
PA
-8142.28000000
-0.00903209539
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2025-01-15
12175.64000000
USD
0.00000000
USD
700000.00000000
GBP
-8142.28000000
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
FNMA, Series 2004-63, Class FA
31394ANT9
675.34000000
PA
USD
670.04000000
0.000743264195
Long
ABS-MBS
USGSE
US
N
2
2034-08-25
Floating
0.24149880
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Linked Notes
912828ZZ6
2950000.00000000
PA
USD
3391879.44000000
3.762555286956
Long
DBT
UST
US
N
2
2030-07-15
Fixed
0.12500000
N
N
N
N
N
N
N/A
N/A
U.S. Treasury Ultra Bond
N/A
-11.00000000
NC
USD
-99667.93000000
-0.11055997230
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Short
United States of America
U.S. Treasury Ultra Bond
2021-09-21
-2119562.50000000
USD
-99667.93000000
N
N
N
N/A
N/A
RPI
N/A
100000.00000000
PA
-1843.26000000
-0.00204469757
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2036-03-15
0.00000000
USD
58.50000000
USD
100000.00000000
GBP
-1843.26000000
N
N
N
N/A
N/A
FCPIX
N/A
900000.00000000
PA
-3049.41000000
-0.00338265964
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2024-03-15
0.00000000
USD
0.00000000
USD
900000.00000000
EUR
-3049.41000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Linked Notes
9128287D6
2495000.00000000
PA
USD
2899299.93000000
3.216145052636
Long
DBT
UST
US
N
2
2029-07-15
Fixed
0.25000000
N
N
N
N
N
N
FHLMC
S6XOOCT0IEG5ABCC6L87
FHLMC
3137EAEC9
3108000.00000000
PA
USD
3111326.18000000
3.451342235207
Long
DBT
USGA
US
N
2
2021-08-12
Fixed
1.12500000
N
N
N
N
N
N
CSMC Mortgage-Backed Trust
N/A
CSMC Mortgage-Backed Trust, Series 2007-6, Class A1
12639PAA6
149554.07660000
PA
USD
127852.13000000
0.141824235262
Long
ABS-MBS
CORP
US
N
2
2037-10-25
Variable
6.42049920
N
N
N
N
N
N
Countrywide Asset-Backed Certificates
N/A
Countrywide Asset-Backed Certificates, Series 2006-19, Class 2A3
12667CAD4
40000.00000000
PA
USD
37679.18000000
0.041796885893
Long
ABS-O
CORP
US
N
2
2037-03-25
Floating
0.34149960
N
N
N
N
N
N
N/A
N/A
USCPI
N/A
100000.00000000
PA
USD
-2954.74000000
-0.00327764379
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2021-07-09
0.11000000
USD
0.00000000
USD
100000.00000000
USD
-2954.74000000
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust, Series 2005-AR1, Class 1A1
36242DUL5
1515.72000000
PA
USD
1499.88000000
0.001663791866
Long
ABS-MBS
CORP
US
N
2
2035-01-25
Variable
2.67767640
N
N
N
N
N
N
N/A
N/A
USCPI
N/A
300000.00000000
PA
USD
-11228.16000000
-0.01245521060
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2021-08-14
0.00000000
USD
1.81000000
USD
300000.00000000
USD
-11228.16000000
N
N
N
N/A
N/A
HICPXT
N/A
100000.00000000
PA
-2930.24000000
-0.00325046635
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2031-03-15
0.00000000
USD
528.98000000
USD
100000.00000000
EUR
-2930.24000000
N
N
N
GNMA
549300M8ZYFG0OCMTT87
GNMA, Series 2018-H15, Class FG
38380LJY0
136202.86000000
PA
USD
134985.52000000
0.149737185805
Long
ABS-MBS
USGA
US
N
2
2068-08-20
Floating
0.59862960
N
N
N
N
N
N
American Home Mortgage Investment Trust
N/A
American Home Mortgage Investment Trust, Series 2005-2, Class 4A1
02660TEQ2
816.50000000
PA
USD
818.79000000
0.000908270089
Long
ABS-MBS
CORP
US
N
2
2045-09-25
Floating
1.67113080
N
N
N
N
N
N
N/A
N/A
U.S. Treasury 2 Year Note
N/A
-21.00000000
NC
USD
7356.17000000
0.008160076681
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Short
United States of America
U.S. Treasury 2 Year Note
2021-09-30
-4626726.56000000
USD
7356.17000000
N
N
N
SLM Student Loan Trust
549300MTK92VF84VT259
SLM Student Loan Trust, Series 2008-9, Class A
78445JAA5
70830.60000000
PA
USD
71411.97000000
0.079216107184
Long
ABS-O
CORP
US
N
2
2023-04-25
Floating
1.67574960
N
N
N
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust, Series 2005-A6, Class 7A1
466247UG6
2784.03570000
PA
USD
2614.44000000
0.002900154683
Long
ABS-MBS
CORP
US
N
2
2035-08-25
Variable
3.21414120
N
N
N
N
N
N
Soundview Home Loan Trust
N/A
Soundview Home Loan Trust, Series 2007-WMC1, Class 3A1
83612NAC9
571986.88000000
PA
USD
193186.45000000
0.214298506675
Long
ABS-O
CORP
US
N
2
2037-02-25
Floating
0.20149920
N
N
N
N
N
N
N/A
N/A
U.S. Treasury 10 Year Ultra Note
N/A
-12.00000000
NC
USD
-30953.94000000
-0.03433668933
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Short
United States of America
U.S. Treasury 10 Year Ultra Note
2021-09-21
-1766437.50000000
USD
-30953.94000000
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
-1728.14000000
-0.00191699687
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
52764.58000000
USD
43000.00000000
EUR
2021-08-17
-1728.14000000
N
N
N
GreenPoint Mortgage Funding Trust
N/A
GreenPoint Mortgage Funding Trust, Series 2005-AR5, Class 1A1
39538WEA2
5727.07000000
PA
USD
5188.86000000
0.005755915848
Long
ABS-MBS
CORP
US
N
2
2045-11-25
Floating
0.63150120
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
23739.94000000
0.026334319464
N/A
DFE
N/A
N
2
HSBC Bank
MP6I5ZYZBEU3UXPYFY54
786000.00000000
GBP
1111141.08000000
USD
2021-08-17
23739.94000000
N
N
N
IndyMac INDX Mortgage Loan Trust
N/A
IndyMac INDX Mortgage Loan Trust, Series 2005-AR14, Class 1A1A
45660LRU5
4647.05000000
PA
USD
3821.59000000
0.004239226043
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Floating
0.65149920
N
N
N
N
N
N
N/A
N/A
CDIO
N/A
-100000.00000000
PA
USD
-19.66000000
-0.00002180851
N/A
DCR
US
N
2
Bank of America
B4TYDEB6GKMZO031MB27
Put
Written
N/A
Credit Default Swap Index Option
1.00000000
0.00750000
USD
2021-08-18
XXXX
77.84000000
N
N
N
N/A
N/A
USCPI
N/A
250000.00000000
PA
USD
-6544.87000000
-0.00726011512
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2022-02-04
0.00000000
USD
7.45000000
USD
250000.00000000
USD
-6544.87000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Linked Bonds
912810QV3
1060000.00000000
PA
USD
1526406.11000000
1.693216837690
Long
DBT
UST
US
N
2
2042-02-15
Fixed
0.75000000
N
N
N
N
N
N
Alternative Loan Trust
549300QTQ6MX6ER06N64
Alternative Loan Trust, Series 2007-OA7, Class A1A
126680AA5
4071.27000000
PA
USD
3876.44000000
0.004300070233
Long
ABS-MBS
CORP
US
N
2
2047-05-25
Floating
0.27150120
N
N
N
N
N
N
Lehman XS Trust
N/A
Lehman XS Trust, Series 2006-7, Class 1A1A
52522EAA7
33026.59240000
PA
USD
33007.46000000
0.036614624820
Long
ABS-O
CORP
US
N
2
2036-05-25
Floating
0.41150160
N
N
N
N
N
N
N/A
N/A
U.S. Treasury Long Bond
N/A
-37.00000000
NC
USD
-179927.52000000
-0.19959059678
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Short
United States of America
U.S. Treasury Long Bond
2021-09-21
-5947750.00000000
USD
-179927.52000000
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust, Series 2007-A1, Class 1A1
46630GAA3
3277.31000000
PA
USD
3403.65000000
0.003775612172
Long
ABS-MBS
CORP
US
N
2
2035-07-25
Variable
3.17894040
N
N
N
N
N
N
N/A
N/A
Forward Foreign Currency Contract
N/A
1.00000000
NC
N/A
7478.58000000
0.008295864052
N/A
DFE
N/A
N
2
JP Morgan Chase Bank
7H6GLXDRUGQFU57RNE97
41100000.00000000
JPY
377576.27000000
USD
2021-08-17
7478.58000000
N
N
N
N/A
N/A
CDIO
N/A
-100000.00000000
PA
USD
-35.13000000
-0.00003896912
N/A
DCR
GB
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
Put
Written
N/A
Credit Default Swap Index Option
1.00000000
0.00800000
USD
2021-09-15
XXXX
88.87000000
N
N
N
N/A
N/A
Japan 10 Year Bond
N/A
-1.00000000
NC
-198.30000000
-0.00021997088
N/A
DIR
JP
N
1
Japan Securities Clearing
549300JHM7D8P3TS4S86
Short
Japan
Japan 10 Year Bond
2021-09-13
-151690000.00000000
JPY
-198.30000000
N
N
N
JP Morgan Mortgage Trust
N/A
JP Morgan Mortgage Trust, Series 2005-A6, Class 4A1
466247TZ6
337.35000000
PA
USD
321.29000000
0.000356401637
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Variable
2.70817200
N
N
N
N
N
N
N/A
N/A
USCPI
N/A
100000.00000000
PA
USD
-3673.28000000
-0.00407470823
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2021-08-26
0.00000000
USD
0.00000000
USD
100000.00000000
USD
-3673.28000000
N
N
N
N/A
N/A
Euro-Bund
N/A
19.00000000
NC
24717.28000000
0.027418466424
N/A
DIR
DE
N
1
Eurex Clearing
529900LN3S50JPU47S06
Long
Federal Republic of Germany
Euro-Bund
2021-09-08
3279590.00000000
EUR
24717.28000000
N
N
N
N/A
N/A
CDIO
N/A
-100000.00000000
PA
USD
-68.79000000
-0.00007630759
N/A
DCR
GB
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
Call
Written
N/A
Credit Default Swap Index Option
1.00000000
0.00475000
USD
2021-08-18
XXXX
6.21000000
N
N
N
IndyMac INDB Mortgage Loan Trust
N/A
IndyMac INDB Mortgage Loan Trust, Series 2006-1, Class A1
45661JAA1
20014.89000000
PA
USD
7612.94000000
0.008444907359
Long
ABS-O
CORP
US
N
2
2036-07-25
Floating
0.16149960
N
N
N
N
N
N
N/A
N/A
USCPI
N/A
500000.00000000
PA
USD
-13097.53000000
-0.01452887156
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2022-02-01
0.00000000
USD
0.00000000
USD
500000.00000000
USD
-13097.53000000
N
N
N
N/A
N/A
CDIO
N/A
-600000.00000000
PA
-164.30000000
-0.00018225524
N/A
DCR
GB
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
Put
Written
N/A
Credit Default Swap Index Option
1.00000000
0.00700000
EUR
2021-08-18
XXXX
689.96000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Linked Notes
912828XL9
350000.00000000
PA
USD
432900.64000000
0.480209459260
Long
DBT
UST
US
N
2
2025-07-15
Fixed
0.37500000
N
N
N
N
N
N
N/A
N/A
U.S. Treasury 10 Year Note
N/A
49.00000000
NC
USD
37448.49000000
0.041540985324
N/A
DIR
US
N
1
CME Clearing House
LCZ7XYGSLJUHFXXNXD88
Long
United States of America
U.S. Treasury 10 Year Note
2021-09-21
6492500.00000000
USD
37448.49000000
N
N
N
N/A
N/A
RPI
N/A
100000.00000000
PA
-890.70000000
-0.00098803865
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2036-03-15
0.00000000
USD
1011.06000000
USD
100000.00000000
GBP
-890.70000000
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Linked Notes
91282CBF7
2650000.00000000
PA
USD
2993829.46000000
3.321005083532
Long
DBT
UST
US
N
2
2031-01-15
Fixed
0.12500000
N
N
N
N
N
N
FNMA
B1V7KEBTPIMZEU4LTD58
UMBS
31418CUA0
182879.09000000
PA
USD
192757.23000000
0.213822380088
Long
ABS-MBS
USGSE
US
N
2
2048-02-01
Fixed
3.50000000
N
N
N
N
N
N
HarborView Mortgage Loan Trust
N/A
HarborView Mortgage Loan Trust, Series 2005-9, Class 2A1A
41161PSK0
2235.79000000
PA
USD
2193.53000000
0.002433246241
Long
ABS-MBS
CORP
US
N
2
2035-06-20
Floating
0.77338080
N
N
N
N
N
N
United States of America
254900HROIFWPRGM1V77
U.S. Treasury Inflation Linked Notes
9128285W6
1300000.00000000
PA
USD
1592090.76000000
1.766079724329
Long
DBT
UST
US
N
2
2029-01-15
Fixed
0.87500000
N
N
N
N
N
N
N/A
N/A
USCPI
N/A
100000.00000000
PA
USD
-6887.66000000
-0.00764036635
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2029-11-20
0.00000000
USD
0.00000000
USD
100000.00000000
USD
-6887.66000000
N
N
N
Ellington Loan Acquisition Trust
N/A
Ellington Loan Acquisition Trust, Series 2007-1, Class A1
288542AA1
26335.75000000
PA
USD
26319.40000000
0.029195671417
Long
ABS-O
CORP
US
Y
2
2037-05-25
Floating
1.19149920
N
N
N
N
N
N
Lehman XS Trust
N/A
Lehman XS Trust, Series 2006-8, Class 3A4
52522HAM4
19157.18620000
PA
USD
19891.60000000
0.022065420092
Long
ABS-O
CORP
US
N
2
2036-06-25
Variable
6.90000120
N
N
N
N
N
N
N/A
N/A
USCPI
N/A
200000.00000000
PA
USD
-7840.28000000
-0.00869709182
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2021-08-07
0.00000000
USD
2.02000000
USD
200000.00000000
USD
-7840.28000000
N
N
N
N/A
N/A
RPI
N/A
200000.00000000
PA
11387.37000000
0.012631819602
N/A
DIR
GB
N
2
LCH Clearnet
549300TXTCI7WVVJS380
Y
2024-09-15
0.00000000
USD
41.76000000
USD
200000.00000000
GBP
11387.37000000
N
N
N
N/A
N/A
SOP
N/A
-6000000.00000000
PA
-2817.12000000
-0.00312498422
N/A
DIR
US
N
2
GOLDMAN SACHS 1
FOR8UP27PHTHYVLBNG30
Call
Written
N/A
Swaption
1.00000000
-0.52600000
EUR
2022-11-17
XXXX
6509.16000000
N
N
N
Saxon Asset Securities Trust
N/A
Saxon Asset Securities Trust, Series 2007-3, Class 1A
80557BAA2
53751.42000000
PA
USD
52083.21000000
0.057775036116
Long
ABS-O
CORP
US
N
2
2037-09-25
Floating
0.40150080
N
N
N
N
N
N
Merrill Lynch Mortgage Investors Trust
N/A
Merrill Lynch Mortgage Investors Trust, Series 2006-RM4, Class A2A
59023QAB7
885.64000000
PA
USD
427.88000000
0.000474640147
Long
ABS-O
CORP
US
N
2
2037-09-25
Floating
0.25149960
N
N
N
N
N
N
N/A
N/A
CDIO
N/A
-100000.00000000
PA
-19.85000000
-0.00002201927
N/A
DCR
GB
N
2
Barclays Bank
G5GSEF7VJP5I7OUK5573
Put
Written
N/A
Credit Default Swap Index Option
1.00000000
0.00800000
EUR
2021-08-18
XXXX
88.95000000
N
N
N
FFCB
N/A
FFCB
313313PA0
11000000.00000000
PA
USD
10996047.70000000
12.19773230184
Long
STIV
USGA
US
N
2
2021-11-09
None
0.00000000
N
N
N
N
N
N
GSR Mortgage Loan Trust
N/A
GSR Mortgage Loan Trust, Series 2005-AR6, Class 2A1
362341RX9
3796.22000000
PA
USD
3870.83000000
0.004293847154
Long
ABS-MBS
CORP
US
N
2
2035-09-25
Variable
2.92448520
N
N
N
N
N
N
2021-07-30
EQ Advisors Trust
Brian Walsh
Brian Walsh
Chief Financial Officer and Treasurer