0001145549-24-008304.txt : 20240226
0001145549-24-008304.hdr.sgml : 20240226
20240226112900
ACCESSION NUMBER: 0001145549-24-008304
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20231231
FILED AS OF DATE: 20240226
DATE AS OF CHANGE: 20240226
PERIOD START: 20231231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: Columbia Funds Variable Series Trust II
CENTRAL INDEX KEY: 0001413032
ORGANIZATION NAME:
IRS NUMBER: 000000000
STATE OF INCORPORATION: MA
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-22127
FILM NUMBER: 24675351
BUSINESS ADDRESS:
STREET 1: 290 CONGRESS STREET
CITY: BOSTON
STATE: MA
ZIP: 02210
BUSINESS PHONE: 800-345-6611
MAIL ADDRESS:
STREET 1: 290 CONGRESS STREET
CITY: BOSTON
STATE: MA
ZIP: 02210
FORMER COMPANY:
FORMER CONFORMED NAME: RiverSource Variable Series Trust
DATE OF NAME CHANGE: 20070920
0001413032
S000019839
CTIVP - BlackRock Global Inflation-Protected Securities Fund
C000055676
CTIVP - BlackRock Global Inflation-Protected Securities Fund Class 3
C000088755
CTIVP - BlackRock Global Inflation-Protected Securities Fund Class 1
C000088756
CTIVP - BlackRock Global Inflation-Protected Securities Fund Class 2
NPORT-P
1
primary_doc.xml
NPORT-P
false
0001413032
XXXXXXXX
S000019839
C000088755
C000088756
C000055676
Columbia Funds Variable Series Trust II
811-22127
0001413032
54930017CSZ4UCL7G406
290 Congress Street
Boston
02110
800-345-6611
CTIVP - BlackRock Global Inflation-Protected Securities Fund
S000019839
4J0QTYYKWTDXQFW9VU43
2023-12-31
2023-12-31
N
88567867.250000000000
4800998.580000000000
83766868.670000000000
0.000000000000
0.000000000000
0.000000000000
0.000000000000
0.000000000000
0.000000000000
0.000000000000
0.000000000000
0.000000000000
0.000000000000
3784182.330000000000
0.000000000000
0.000000000000
158163.750000000000
USD
SEK
NZD
MXN
JPY
DKK
EUR
GBP
CAD
AUD
N
BBG World Gov Inflation Linked Bond Index USD Hedged
BCLYILUSDH
CANADA (GOVERNMENT OF)
4BFD7AQU0A75QLAHK410
CANADA 1.50% 12/01/2044 (FTIPS)
135087ZH0
308682.000000000000
PA
229064.340000000000
0.2734545813
Long
DBT
NUSS
CA
N
2
2044-12-01
Fixed
1.500000000000
N
N
N
N
N
N
COLUMBIA SHORT TERM CASH FUND
N/A
COLUMBIA SHORT TERM CASH FUND
19766H239
76109.555000000000
NS
USD
76094.330000000000
0.0908406047
Long
STIV
CORP
US
N
1
N
N
N
ELLINGTON FINANCIAL MORTGAGE TRUST EFMT_21-3
N/A
EFMT_21-3
31573JAA8
127935.100000000000
PA
USD
101364.500000000000
0.1210078658
Long
ABS-CBDO
CORP
US
N
2
2066-09-25
Variable
1.241000000000
N
N
N
N
N
N
GOLDMAN SACHS GROUP INC/THE
784F5XWPLTWKTBV3E584
GOLDMAN SACHS GROUP INC/THE
38141GA53
82000.000000000000
PA
USD
90269.680000000000
0.1077629872
Long
DBT
CORP
US
N
2
2034-10-24
Variable
6.561000000000
N
N
N
N
N
N
JPMORGAN CHASE & CO
8I5DZWZKVSZI1NUHU748
JPMORGAN CHASE & CO
46647PDY9
83000.000000000000
PA
USD
90024.870000000000
0.1074707357
Long
DBT
CORP
US
N
2
2034-10-23
Variable
6.254000000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
61747YFG5
44000.000000000000
PA
USD
44615.370000000000
0.0532613558
Long
DBT
CORP
US
N
2
2034-07-21
Variable
5.424000000000
N
N
N
N
N
N
MORGAN STANLEY
IGJSJL3JD5P30I6NJZ34
MORGAN STANLEY
61747YFJ9
82000.000000000000
PA
USD
90850.980000000000
0.1084569370
Long
DBT
CORP
US
N
2
2034-11-01
Variable
6.627000000000
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST NRMLT_22-SFR2
N/A
NRMLT_22-SFR2
64830RAG7
155000.000000000000
PA
USD
141575.310000000000
0.1690111046
Long
ABS-MBS
CORP
US
N
2
2039-09-04
Fixed
4.000000000000
N
N
N
N
N
N
AMSR TRUST AMSR_22-SFR3
N/A
AMSR_22-SFR3
66981YAD1
155000.000000000000
PA
USD
142242.210000000000
0.1698072427
Long
ABS-MBS
CORP
US
N
2
2039-10-17
Fixed
4.000000000000
N
N
N
N
N
N
PRKCM TRUST PRKCM_22-AFC2
N/A
PRKCM_22-AFC2
69377TAA4
89603.730000000000
PA
USD
89681.670000000000
0.1070610271
Long
ABS-CBDO
CORP
US
N
2
2057-08-25
Variable
5.335000000000
N
N
N
N
N
N
PAGAYA AI TECHNOLOGY IN HOUSING TRUST PATH_22-1
N/A
PATH_22-1
69547NAD6
100000.000000000000
PA
USD
91767.740000000000
0.1095513554
Long
ABS-MBS
CORP
US
N
2
2025-08-25
Fixed
4.250000000000
N
N
N
N
N
N
PROGRESS RESIDENTIAL MASTER TRUST PROG_22-SFR7
N/A
PROG_22-SFR7
74333CAG1
200000.000000000000
PA
USD
193194.070000000000
0.2306330332
Long
ABS-MBS
CORP
US
N
2
2039-10-27
Fixed
5.500000000000
N
N
N
N
N
N
SG CAPITAL PARTNERS SGR_21-1
N/A
SGR_21-1
784212AA0
147663.090000000000
PA
USD
116184.020000000000
0.1386992517
Long
ABS-CBDO
CORP
US
N
2
2061-07-25
Variable
1.160000000000
N
N
N
N
N
N
SG RESIDENTIAL MORTGAGE TRUST SGR_22-2
N/A
SGR_22-2
78434KAA5
88481.340000000000
PA
USD
89267.890000000000
0.1065670610
Long
ABS-CBDO
CORP
US
N
2
2062-08-25
Variable
5.353000000000
N
N
N
N
N
N
UNITED STATES TREASURY
254900HROIFWPRGM1V77
US TII 3.625 04/15/28 (TIPS)
912810FD5
915006.300000000000
PA
USD
980697.970000000000
1.1707468425
Long
DBT
UST
US
N
2
2028-04-15
Fixed
3.625000000000
N
N
N
N
N
N
UNITED STATES TREASURY
254900HROIFWPRGM1V77
US TII 3.875 04/15/29 (TIPS)
912810FH6
935800.000000000000
PA
USD
1032365.970000000000
1.2324275533
Long
DBT
UST
US
N
2
2029-04-15
Fixed
3.875000000000
N
N
N
N
N
N
UNITED STATES TREASURY
254900HROIFWPRGM1V77
US TII 3.375 04/15/32 (TIPS)
912810FQ6
227075.400000000000
PA
USD
254380.360000000000
0.3036765777
Long
DBT
UST
US
N
2
2032-04-15
Fixed
3.375000000000
N
N
N
N
N
N
UNITED STATES TREASURY
254900HROIFWPRGM1V77
US TII 2.375 01/15/25 (TIPS)
912810FR4
1216048.600000000000
PA
USD
1206748.990000000000
1.4406041543
Long
DBT
UST
US
N
2
2025-01-15
Fixed
2.375000000000
N
N
N
N
N
N
UNITED STATES TREASURY
254900HROIFWPRGM1V77
US TII 2.0 01/15/26 (TIPS)
912810FS2
868106.400000000000
PA
USD
861465.690000000000
1.0284086103
Long
DBT
UST
US
N
2
2026-01-15
Fixed
2.000000000000
N
N
N
N
N
N
UNITED STATES TREASURY
254900HROIFWPRGM1V77
US TII 2.375 01/15/27 (TIPS)
912810PS1
701822.000000000000
PA
USD
708243.610000000000
0.8454937152
Long
DBT
UST
US
N
2
2027-01-15
Fixed
2.375000000000
N
N
N
N
N
N
UNITED STATES TREASURY
254900HROIFWPRGM1V77
US TII .75 02/15/42 (TIPS)
912810QV3
836053.100000000000
PA
USD
679339.390000000000
0.8109881637
Long
DBT
UST
US
N
2
2042-02-15
Fixed
0.750000000000
N
N
N
N
N
N
UNITED STATES TREASURY
254900HROIFWPRGM1V77
US TII .625 02/15/2043 (TIPS)
912810RA8
776185.000000000000
PA
USD
607736.340000000000
0.7255092015
Long
DBT
UST
US
N
2
2043-02-15
Fixed
0.625000000000
N
N
N
N
N
N
UNITED STATES TREASURY
254900HROIFWPRGM1V77
US TII 1.75 01/15/28 (TIPS)
912810PV4
668240.300000000000
PA
USD
664558.000000000000
0.7933422970
Long
DBT
UST
US
N
2
2028-01-15
Fixed
1.750000000000
N
N
N
N
N
N
UNITED STATES TREASURY
254900HROIFWPRGM1V77
US TII 2.5 01/15/29 (TIPS)
912810PZ5
583971.950000000000
PA
USD
604140.160000000000
0.7212161199
Long
DBT
UST
US
N
2
2029-01-15
Fixed
2.500000000000
N
N
N
N
N
N
UNITED STATES TREASURY
254900HROIFWPRGM1V77
US TII 2.125 02/15/40 (TIPS)
912810QF8
580796.160000000000
PA
USD
597216.160000000000
0.7129503221
Long
DBT
UST
US
N
2
2040-02-15
Fixed
2.125000000000
N
N
N
N
N
N
UNITED STATES TREASURY
254900HROIFWPRGM1V77
US TII 2.125 02/15/41 (TIPS)
912810QP6
906212.100000000000
PA
USD
933339.740000000000
1.1142110894
Long
DBT
UST
US
N
2
2041-02-15
Fixed
2.125000000000
N
N
N
N
N
N
GERMANY (FEDERAL REPUBLIC OF)
529900AQBND3S6YJLY83
GERMANY .50% 4/15/2030 (FTIPS)
000000000
776364.000000000000
PA
880496.860000000000
1.0511278194
Long
DBT
NUSS
DE
N
2
2030-04-15
Fixed
0.500000000000
N
N
N
N
N
N
GERMANY (FEDERAL REPUBLIC OF)
529900AQBND3S6YJLY83
GERMANY (FEDERAL REPUBLIC OF)
000000000
291170.250000000000
PA
323173.040000000000
0.3858005499
Long
DBT
NUSS
DE
N
2
2033-04-15
Fixed
0.100000000000
N
N
N
N
N
N
AUSTRALIA (COMMONWEALTH OF)
N/A
AUSTRALIA (COMMONWEALTH OF)
000000000
85000.000000000000
PA
59723.330000000000
0.0712970784
Long
DBT
NUSS
AU
N
2
2032-11-21
Fixed
0.250000000000
N
N
N
N
N
N
UNITED KINGDOM (GOVERNMENT OF)
ECTRVYYCEF89VWYS6K36
UNITED KINGDOM GILT INFLATION LINK
000000000
30637.000000000000
PA
31185.610000000000
0.0372290507
Long
DBT
NUSS
GB
N
2
2073-03-22
Fixed
0.125000000000
N
N
N
N
N
N
JAPAN (GOVERNMENT OF)
353800WZS8AXZXFUC241
JAPAN (GOVERNMENT OF) 10YR #27
000000000
26500000.000000000000
PA
213506.520000000000
0.2548818207
Long
DBT
NUSS
JP
N
2
2032-03-10
Fixed
0.005000000000
N
N
N
N
N
N
JAPAN (GOVERNMENT OF)
353800WZS8AXZXFUC241
JAPAN (GOVERNMENT OF) 10YR #25
000000000
13000000.000000000000
PA
101400.700000000000
0.1210510809
Long
DBT
NUSS
JP
N
2
2030-03-10
Fixed
0.200000000000
N
N
N
N
N
N
UNITED KINGDOM (GOVERNMENT OF)
ECTRVYYCEF89VWYS6K36
UNITED KINGDOM OF GREAT BRITAIN AN
000000000
50752.000000000000
PA
68502.710000000000
0.0817778092
Long
DBT
NUSS
GB
N
2
2033-11-22
Fixed
0.750000000000
N
N
N
N
N
N
ITALY (REPUBLIC OF)
815600DE60799F5A9309
ITALY (REPUBLIC OF)
000000000
271871.500000000000
PA
295704.950000000000
0.3530094352
Long
DBT
NUSS
IT
N
2
2026-05-15
Fixed
0.650000000000
N
N
N
N
N
N
ITALY (REPUBLIC OF)
815600DE60799F5A9309
ITALY (REPUBLIC OF)
000000000
30678.000000000000
PA
35182.000000000000
0.0419998987
Long
DBT
NUSS
IT
N
2
2039-05-15
Fixed
2.400000000000
N
N
N
N
N
N
FRANCE (REPUBLIC OF)
969500KCGF3SUYJHPV70
FRANCE .10% 3/1/2036 (FTIPS)
000000000
235000.000000000000
PA
276666.030000000000
0.3302809743
Long
DBT
NUSS
FR
N
2
2036-03-01
Fixed
0.100000000000
N
N
N
N
N
N
ITALY (REPUBLIC OF)
815600DE60799F5A9309
ITALY (REPUBLIC OF)
000000000
46261.800000000000
PA
51254.990000000000
0.0611876638
Long
DBT
NUSS
IT
N
2
2029-05-15
Fixed
1.500000000000
N
N
N
N
N
N
FRANCE (REPUBLIC OF)
969500KCGF3SUYJHPV70
FRANCE (REPUBLIC OF)
000000000
354312.000000000000
PA
387386.320000000000
0.4624576830
Long
DBT
NUSS
FR
N
2
2026-03-01
Fixed
0.100000000000
N
N
N
N
N
N
ITALY (REPUBLIC OF)
815600DE60799F5A9309
ITALY (REPUBLIC OF)
000000000
535666.050000000000
PA
507059.050000000000
0.6053217197
Long
DBT
NUSS
IT
N
2
2033-05-15
Fixed
0.100000000000
N
N
N
N
N
N
FRANCE (REPUBLIC OF)
969500KCGF3SUYJHPV70
FRANCE (REPUBLIC OF)
000000000
378518.400000000000
PA
411901.170000000000
0.4917232511
Long
DBT
NUSS
FR
N
2
2031-07-25
Fixed
0.100000000000
N
N
N
N
N
N
FRANCE (REPUBLIC OF)
969500KCGF3SUYJHPV70
FRANCE .70% 07/25/2030 (FTIPS)
000000000
546783.600000000000
PA
622323.540000000000
0.7429232462
Long
DBT
NUSS
FR
N
2
2030-07-25
Fixed
0.700000000000
N
N
N
N
N
N
UNITED KINGDOM (GOVERNMENT OF)
ECTRVYYCEF89VWYS6K36
UNITED KINGDOM OF GREAT BRITAIN AN
000000000
276683.500000000000
PA
357907.750000000000
0.4272664786
Long
DBT
NUSS
GB
N
2
2031-08-10
Fixed
0.125000000000
N
N
N
N
N
N
UNITED KINGDOM (GOVERNMENT OF)
ECTRVYYCEF89VWYS6K36
UNITED KINGDOM OF GREAT BRITAIN AN
000000000
321170.000000000000
PA
326350.680000000000
0.3895939829
Long
DBT
NUSS
GB
N
2
2051-03-22
Fixed
0.125000000000
N
N
N
N
N
N
FRANCE (REPUBLIC OF)
969500KCGF3SUYJHPV70
FRANCE .10% 3/1/2032 (FTIPS)
000000000
200000.000000000000
PA
243976.310000000000
0.2912563331
Long
DBT
NUSS
FR
N
2
2032-03-01
Fixed
0.100000000000
N
N
N
N
N
N
ITALY (REPUBLIC OF)
815600DE60799F5A9309
ITALY (REPUBLIC OF)
000000000
213885.000000000000
PA
150274.080000000000
0.1793956040
Long
DBT
NUSS
IT
N
2
2051-05-15
Fixed
0.150000000000
N
N
N
N
N
N
EUROPEAN UNION
N/A
EUROPEAN UNION
000000000
165000.000000000000
PA
178787.010000000000
0.2134340376
Long
DBT
CORP
BE
N
2
2053-03-04
Fixed
3.000000000000
N
N
N
N
N
N
CANADA (GOVERNMENT OF)
4BFD7AQU0A75QLAHK410
CANADA 1.25% 12/01/2047 (FTIPS)
000000000
328016.700000000000
PA
232396.200000000000
0.2774321205
Long
DBT
NUSS
CA
N
2
2047-12-01
Fixed
1.250000000000
N
N
N
N
N
N
UNITED KINGDOM (GOVERNMENT OF)
ECTRVYYCEF89VWYS6K36
UK .125% 03/22/2058 (FTIPS)
000000000
423778.460000000000
PA
411075.260000000000
0.4907372885
Long
DBT
NUSS
GB
N
2
2058-03-22
Fixed
0.125000000000
N
N
N
N
N
N
FRANCE (REPUBLIC OF)
969500KCGF3SUYJHPV70
FRANCE (REPUBLIC OF)
000000000
185825.600000000000
PA
178511.960000000000
0.2131056859
Long
DBT
NUSS
FR
N
2
2053-07-25
Fixed
0.100000000000
N
N
N
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
SWP: IFS 2.430000 28-DEC-2033 USC
000000000
72169.000000000000
OU
Notional Amount
USD
96.460000000000
0.0001151529
N/A
DIR
CORP
US
N
2
Goldman Sachs
FOR8UP27PHTHYVLBNG30
US CPI Urban Consumers NSA
CM4588021
Y
2033-12-28
1.500000000000
USD
0.000000000000
USD
72169.000000000000
USD
94.960000000000
N
N
N
NEW ZEALAND (GOVERNMENT OF)
N/A
NEW ZEALAND 2.5% 9/20/2035 (FTIPS)
000000000
158000.000000000000
PA
127510.940000000000
0.1522212087
Long
DBT
NUSS
NZ
N
2
2035-09-20
Fixed
2.500000000000
N
N
N
N
N
N
FRANCE (REPUBLIC OF)
969500KCGF3SUYJHPV70
FRANCE .10% 03/01/2025 (FTIPS)
000000000
360000.000000000000
PA
460914.430000000000
0.5502347614
Long
DBT
NUSS
FR
N
2
2025-03-01
Fixed
0.100000000000
N
N
N
N
N
N
GERMANY (FEDERAL REPUBLIC OF)
529900AQBND3S6YJLY83
GERMANY .10 4/15/2026 (FTIPS)
000000000
680639.600000000000
PA
738981.920000000000
0.8821887839
Long
DBT
NUSS
DE
N
2
2026-04-15
Fixed
0.100000000000
N
N
N
N
N
N
SPAIN (KINGDOM OF)
N/A
SPAIN 1.0% 11/30/2030 (FTIPS)
000000000
563067.050000000000
PA
627997.820000000000
0.7496971416
Long
DBT
NUSS
ES
N
2
2030-11-30
Fixed
1.000000000000
N
N
N
N
N
N
SWEDEN (KINGDOM OF)
ERE94C0BSULG2RM19605
SWEDISH GOVERNMENT I/L 3111 0.125
000000000
595000.000000000000
PA
75069.370000000000
0.0896170183
Long
DBT
NUSS
SE
N
2
2032-06-01
Fixed
0.125000000000
N
N
N
N
N
N
JAPAN (GOVERNMENT OF)
353800WZS8AXZXFUC241
JAPAN .10% 03/10/2025 (FTIPS)
000000000
58900000.000000000000
PA
464655.780000000000
0.5547011454
Long
DBT
NUSS
JP
N
2
2025-03-10
Fixed
0.100000000000
N
N
N
N
N
N
UNITED KINGDOM (GOVERNMENT OF)
ECTRVYYCEF89VWYS6K36
UK .125% 03/22/2046 (FTIPS)
000000000
636105.120000000000
PA
679102.650000000000
0.8107055460
Long
DBT
NUSS
GB
N
2
2046-03-22
Fixed
0.125000000000
N
N
N
N
N
N
AUSTRALIA (COMMONWEALTH OF)
N/A
AUSTRALIA (COMMONWEALTH OF)
000000000
115000.000000000000
PA
93982.460000000000
0.1121952647
Long
DBT
NUSS
AU
N
2
2040-08-21
Fixed
1.250000000000
N
N
N
N
N
N
UNITED KINGDOM (GOVERNMENT OF)
ECTRVYYCEF89VWYS6K36
UK .125% 11/22/2056 (FTIPS)
000000000
266457.124000000000
PA
263665.640000000000
0.3147612465
Long
DBT
NUSS
GB
N
2
2056-11-22
Fixed
0.125000000000
N
N
N
N
N
N
ITALY (REPUBLIC OF)
815600DE60799F5A9309
ITALY 1.25% 9/15/2032 (FTIPS)
000000000
487728.660000000000
PA
523253.820000000000
0.6246548645
Long
DBT
NUSS
IT
N
2
2032-09-15
Fixed
1.250000000000
N
N
N
N
N
N
FRANCE (REPUBLIC OF)
969500KCGF3SUYJHPV70
FRANCE .10% 07/25/2047 (FTIPS)
000000000
426702.900000000000
PA
415685.260000000000
0.4962406577
Long
DBT
NUSS
FR
N
2
2047-07-25
Fixed
0.100000000000
N
N
N
N
N
N
ITALY (REPUBLIC OF)
815600DE60799F5A9309
ITALY 1.30% 5/15/2028 (FTIPS)
000000000
624982.950000000000
PA
690056.480000000000
0.8237821121
Long
DBT
NUSS
IT
N
2
2028-05-15
Fixed
1.300000000000
N
N
N
N
N
N
UNITED KINGDOM (GOVERNMENT OF)
ECTRVYYCEF89VWYS6K36
UK .125% 03/22/2026 (FTIPS)
000000000
548670.000000000000
PA
696639.880000000000
0.8316413053
Long
DBT
NUSS
GB
N
2
2026-03-22
Fixed
0.125000000000
N
N
N
N
N
N
JAPAN (GOVERNMENT OF)
353800WZS8AXZXFUC241
JAPAN .10% 03/10/2027 (FTIPS)
000000000
45500000.000000000000
PA
373663.920000000000
0.4460760274
Long
DBT
NUSS
JP
N
2
2027-03-10
Fixed
0.100000000000
N
N
N
N
N
N
UNITED KINGDOM (GOVERNMENT OF)
ECTRVYYCEF89VWYS6K36
UK .125% 11/22/2036 (FTIPS)
000000000
544920.000000000000
PA
670666.680000000000
0.8006347744
Long
DBT
NUSS
GB
N
2
2036-11-22
Fixed
0.125000000000
N
N
N
N
N
N
GERMANY (FEDERAL REPUBLIC OF)
529900AQBND3S6YJLY83
GERMANY .10% 04/15/2046 (FTIPS)
000000000
471851.250000000000
PA
518009.680000000000
0.6183944658
Long
DBT
NUSS
DE
N
2
2046-04-15
Fixed
0.100000000000
N
N
N
N
N
N
UNITED KINGDOM (GOVERNMENT OF)
ECTRVYYCEF89VWYS6K36
UK .125% 08/10/2048 (FTIPS)
000000000
439996.800000000000
PA
460305.150000000000
0.5495074094
Long
DBT
NUSS
GB
N
2
2048-08-10
Fixed
0.125000000000
N
N
N
N
N
N
UNITED KINGDOM (GOVERNMENT OF)
ECTRVYYCEF89VWYS6K36
UNITED KINGDOM (GOVERNMENT OF)
000000000
649502.400000000000
PA
838237.730000000000
1.0006793179
Long
DBT
NUSS
GB
N
2
2028-08-10
Fixed
0.125000000000
N
N
N
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-1403000.000000000000
OU
Notional Amount
N/A
-25415.340000000000
-0.0303405635
N/A
DFE
CORP
AU
N
2
Citi
MBNUM2BPBDO7JBLYG310
1403000.000000000000000
AUD
930659.010000000009313
USD
2024-01-03
-25415.340000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-1464000.000000000000
OU
Notional Amount
N/A
4162.590000000000
0.0049692558
N/A
DFE
CORP
AU
N
2
Citi
MBNUM2BPBDO7JBLYG310
1464000.000000000000000
AUD
1002859.469999999972060
USD
2024-02-02
4162.590000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-828000.000000000000
OU
Notional Amount
N/A
-400.240000000000
-0.0004778023
N/A
DFE
CORP
DK
N
2
Citi
MBNUM2BPBDO7JBLYG310
828000.000000000000000
DKK
122217.380000000004657
USD
2024-01-03
-400.240000000000
N
N
N
UBS
T6FIZBDPKLYJKFCRVK44
CAN 10YR BOND MAR 24
000000000
-10.000000000000
NC
-44371.300000000000
-0.0529699877
N/A
DIR
CORP
CA
N
1
UBS
T6FIZBDPKLYJKFCRVK44
Short
CAN 10YR BOND MAR 24
CAN 10YR BOND MAR 24
2024-03-19
-1181908.660000000000
CAD
-44371.300000000000
N
N
N
UNITED STATES TREASURY
254900HROIFWPRGM1V77
US TII .875 02/15/2047 (TIPS)
912810RW0
656419.000000000000
PA
USD
518572.550000000000
0.6190664140
Long
DBT
UST
US
N
2
2047-02-15
Fixed
0.875000000000
N
N
N
N
N
N
UNITED STATES TREASURY
254900HROIFWPRGM1V77
US TII 1.0 02/15/2048 (TIPS)
912810SB5
586419.000000000000
PA
USD
474367.660000000000
0.5662950848
Long
DBT
UST
US
N
2
2048-02-15
Fixed
1.000000000000
N
N
N
N
N
N
UNITED STATES TREASURY
254900HROIFWPRGM1V77
US TII .25 02/15/2050 (TIPS)
912810SM1
496651.250000000000
PA
USD
324927.540000000000
0.3878950534
Long
DBT
UST
US
N
2
2050-02-15
Fixed
0.250000000000
N
N
N
N
N
N
UNITED STATES TREASURY
254900HROIFWPRGM1V77
TREASURY (CPI) NOTE
912810SV1
567254.400000000000
PA
USD
352454.830000000000
0.4207568405
Long
DBT
UST
US
N
2
2051-02-15
Fixed
0.125000000000
N
N
N
N
N
N
UNITED STATES TREASURY
254900HROIFWPRGM1V77
TREASURY (CPI) NOTE
912810TE8
584356.249000000000
PA
USD
359952.880000000000
0.4297079331
Long
DBT
UST
US
N
2
2052-02-15
Fixed
0.125000000000
N
N
N
N
N
N
UNITED STATES TREASURY
254900HROIFWPRGM1V77
TREASURY (CPI) NOTE
912810TP3
450255.450000000000
PA
USD
409822.330000000000
0.4892415540
Long
DBT
UST
US
N
2
2053-02-15
Fixed
1.500000000000
N
N
N
N
N
N
UNITED STATES TREASURY
254900HROIFWPRGM1V77
TREASURY BOND
912810TV0
35000.000000000000
PA
USD
39364.060000000000
0.0469923976
Long
DBT
UST
US
N
2
2053-11-15
Fixed
4.7500
N
N
N
N
N
N
UNITED STATES TREASURY
254900HROIFWPRGM1V77
US TII .375 07/15/2027 (TIPS)
9128282L3
1213767.350000000000
PA
USD
1153664.830000000000
1.3772328467
Long
DBT
UST
US
N
2
2027-07-15
Fixed
0.375000000000
N
N
N
N
N
N
UNITED STATES TREASURY
254900HROIFWPRGM1V77
US TII .50 01/15/2028 (TIPS)
9128283R9
1283398.415000000000
PA
USD
1214966.670000000000
1.4504143336
Long
DBT
UST
US
N
2
2028-01-15
Fixed
0.500000000000
N
N
N
N
N
N
UNITED STATES TREASURY
254900HROIFWPRGM1V77
US TII .875 01/15/2029 (TIPS)
9128285W6
347278.200000000000
PA
USD
332599.240000000000
0.3970534476
Long
DBT
UST
US
N
2
2029-01-15
Fixed
0.875000000000
N
N
N
N
N
N
UNITED STATES TREASURY
254900HROIFWPRGM1V77
US TII .25 07/15/2029 (TIPS)
9128287D6
1287038.800000000000
PA
USD
1190728.880000000000
1.4214795168
Long
DBT
UST
US
N
2
2029-07-15
Fixed
0.250000000000
N
N
N
N
N
N
UNITED STATES TREASURY
254900HROIFWPRGM1V77
US TII .25 01/15/25 (TIPS)
912828H45
967769.900000000000
PA
USD
939519.670000000000
1.1215886244
Long
DBT
UST
US
N
2
2025-01-15
Fixed
0.250000000000
N
N
N
N
N
N
UNITED STATES TREASURY
254900HROIFWPRGM1V77
US TII .625 01/15/2026 (TIPS)
912828N71
615068.000000000000
PA
USD
593719.640000000000
0.7087762136
Long
DBT
UST
US
N
2
2026-01-15
Fixed
0.625000000000
N
N
N
N
N
N
UNITED STATES TREASURY
254900HROIFWPRGM1V77
US TII .125 07/15/2026 (TIPS)
912828S50
1297709.490000000000
PA
USD
1236776.020000000000
1.4764501045
Long
DBT
UST
US
N
2
2026-07-15
Fixed
0.125000000000
N
N
N
N
N
N
UNITED STATES TREASURY
254900HROIFWPRGM1V77
US TII .375 01/158/2027 (TIPS)
912828V49
1154499.808000000000
PA
USD
1097792.680000000000
1.3105332662
Long
DBT
UST
US
N
2
2027-01-15
Fixed
0.375000000000
N
N
N
N
N
N
UNITED STATES TREASURY
254900HROIFWPRGM1V77
US TII .375 07/15/2025 (TIPS)
912828XL9
1595851.200000000000
PA
USD
1546529.100000000000
1.8462300484
Long
DBT
UST
US
N
2
2025-07-15
Fixed
0.375000000000
N
N
N
N
N
N
UNITED STATES TREASURY
254900HROIFWPRGM1V77
US TII 07/15/2028 .75 (TIPS)
912828Y38
1236761.570000000000
PA
USD
1184464.430000000000
1.4140010828
Long
DBT
UST
US
N
2
2028-07-15
Fixed
0.750000000000
N
N
N
N
N
N
UNITED STATES TREASURY
254900HROIFWPRGM1V77
US TII .125 01/15/2030 (TIPS)
912828Z37
1369271.150000000000
PA
USD
1242022.710000000000
1.4827135474
Long
DBT
UST
US
N
2
2030-01-15
Fixed
0.125000000000
N
N
N
N
N
N
UNITED STATES TREASURY
254900HROIFWPRGM1V77
US TII .125 04/15/2025 (TIPS)
912828ZJ2
979729.100000000000
PA
USD
945016.140000000000
1.1281502520
Long
DBT
UST
US
N
2
2025-04-15
Fixed
0.125000000000
N
N
N
N
N
N
UNITED STATES TREASURY
254900HROIFWPRGM1V77
US TII .125 07/15/2030 (TIPS)
912828ZZ6
1320044.000000000000
PA
USD
1193235.110000000000
1.4244714276
Long
DBT
UST
US
N
2
2030-07-15
Fixed
0.125000000000
N
N
N
N
N
N
UNITED STATES TREASURY
254900HROIFWPRGM1V77
US TII .125 10/15/2025 (TIPS)
91282CAQ4
610687.000000000000
PA
USD
587291.030000000000
0.7011018071
Long
DBT
UST
US
N
2
2025-10-15
Fixed
0.125000000000
N
N
N
N
N
N
UNITED STATES TREASURY
254900HROIFWPRGM1V77
US TII 01/15/2031 .125 (TIPS)
91282CBF7
1388779.500000000000
PA
USD
1240465.750000000000
1.4808548651
Long
DBT
UST
US
N
2
2031-01-15
Fixed
0.125000000000
N
N
N
N
N
N
UNITED STATES TREASURY
254900HROIFWPRGM1V77
TREASURY (CPI) NOTE
91282CCA7
1331616.050000000000
PA
USD
1267678.510000000000
1.5133411695
Long
DBT
UST
US
N
2
2026-04-15
Fixed
0.125000000000
N
N
N
N
N
N
UNITED STATES TREASURY
254900HROIFWPRGM1V77
TREASURY (CPI) NOTE
91282CCM1
1486608.200000000000
PA
USD
1322843.250000000000
1.5791962515
Long
DBT
UST
US
N
2
2031-07-15
Fixed
0.125000000000
N
N
N
N
N
N
UNITED KINGDOM (GOVERNMENT OF)
ECTRVYYCEF89VWYS6K36
UK .25% 03/22/2052 (FTIPS)
000000000
686835.600000000000
PA
720680.650000000000
0.8603409217
Long
DBT
NUSS
GB
N
2
2052-03-22
Fixed
0.250000000000
N
N
N
N
N
N
UNITED KINGDOM (GOVERNMENT OF)
ECTRVYYCEF89VWYS6K36
UK .125% 03/22/2068 (FTIPS)
000000000
500367.490000000000
PA
476496.420000000000
0.5688363760
Long
DBT
NUSS
GB
N
2
2068-03-22
Fixed
0.125000000000
N
N
N
N
N
N
AUSTRALIA (COMMONWEALTH OF)
N/A
AUSTRALIA 2.0 08/21/2035 (FTIPS)
000000000
145000.000000000000
PA
137088.470000000000
0.1636547625
Long
DBT
NUSS
AU
N
2
2035-08-21
Fixed
2.000000000000
N
N
N
N
N
N
UNITED KINGDOM (GOVERNMENT OF)
ECTRVYYCEF89VWYS6K36
UK I/L GILT
000000000
331073.600000000000
PA
388957.310000000000
0.4643331142
Long
DBT
NUSS
GB
N
2
2039-03-22
Fixed
0.125000000000
N
N
N
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
SWP: IFS 3.790000 15-MAR-2033
000000000
790000.000000000000
OU
Notional Amount
-6716.270000000000
-0.0080178119
N/A
DIR
CORP
GB
N
2
Goldman Sachs
FOR8UP27PHTHYVLBNG30
UK RPI All Items NSA
CT1093607
Y
2033-03-15
19.030000000000
USD
0.000000000000
USD
790000.000000000000
GBP
-6735.300000000000
N
N
N
UNITED KINGDOM (GOVERNMENT OF)
ECTRVYYCEF89VWYS6K36
UK I/L GILT
000000000
98628.050000000000
PA
119459.890000000000
0.1426099506
Long
DBT
NUSS
GB
N
2
2045-03-22
Fixed
0.625000000000
N
N
N
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
SWP: IFS 2.414000 02-JUN-2028
000000000
550000.000000000000
OU
Notional Amount
USD
1142.630000000000
0.0013640596
N/A
DIR
CORP
GB
N
2
Goldman Sachs
FOR8UP27PHTHYVLBNG30
US CPI Urban Consumers NSA
CM4588021
Y
2028-06-02
5.750000000000
USD
0.000000000000
USD
550000.000000000000
USD
1136.880000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
SWP: OIS 3.540000 15-JUN-2033
000000000
156388.000000000000
OU
Notional Amount
4538.200000000000
0.0054176551
N/A
DIR
CORP
GB
N
2
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Canadian Overnight Repo Rate Average CORRA
CT2073686
Y
2033-06-15
1.870000000000
USD
0.000000000000
USD
156388.000000000000
CAD
4463.000000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
SWP: OIS 3.404000 15-JUN-2053
000000000
70000.000000000000
OU
Notional Amount
-4474.430000000000
-0.0053415271
N/A
DIR
CORP
GB
N
2
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Canadian Overnight Repo Rate Average CORRA
CT2073686
Y
2053-06-15
1.820000000000
USD
0.000000000000
USD
70000.000000000000
CAD
-4440.480000000000
N
N
N
MEXICO (UNITED MEXICAN STATES) (GOVERNMENT)
254900EGTWEU67VP6075
MEXICO (UNITED MEXICAN STATES) (GO
000000000
1000000.000000000000
PA
57529.760000000000
0.0686784177
Long
DBT
NUSS
MX
N
2
2029-03-01
Fixed
8.500000000000
N
N
N
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
SWP: IFS 2.780000 15-AUG-2053 CPT
000000000
5000.000000000000
OU
Notional Amount
544.570000000000
0.0006501019
N/A
DIR
CORP
GB
N
2
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Eurostat Eurozone HICP Ex Tobacco Unrevised Series NSA
CM0009992
Y
2053-08-15
3.290000000000
USD
0.000000000000
USD
5000.000000000000
EUR
541.280000000000
N
N
N
Deutsche Bank
9J6MBOOO7BECTDTUZW19
OTC (GENERIC) 1 YEAR
000000000
-844000.000000000000
OU
Notional Amount
USD
-23525.990000000000
-0.0280850775
N/A
DIR
CORP
DE
N
2
Deutsche Bank
9J6MBOOO7BECTDTUZW19
Call
Written
Deutsche Bank
9J6MBOOO7BECTDTUZW19
DEUTSCHE BANK AG
9J6MBOOO7BECTDTUZW19
FSWP: OIS 4.000000 18-MAR-2029 SOF
000000000
N/A
OU
Notional
N/A
N/A
0.000000000000
DIR
CORP
United States SOFR Secured Overnight Financing Rate
CT1403743
2029-03-18
N/A
N/A
N/A
N/A
-844000.000000000000
USD
-844000.000000000000000
USD
4.000000000000
USD
2024-03-14
XXXX
-11469.450000000000
N
N
N
Deutsche Bank
9J6MBOOO7BECTDTUZW19
OTC (GENERIC) 1 YEAR
000000000
-844000.000000000000
OU
Notional Amount
USD
-1984.830000000000
-0.0023694690
N/A
DIR
CORP
DE
N
2
Deutsche Bank
9J6MBOOO7BECTDTUZW19
Put
Written
Deutsche Bank
9J6MBOOO7BECTDTUZW19
DEUTSCHE BANK AG
9J6MBOOO7BECTDTUZW19
FSWP: OIS 4.000000 18-MAR-2029 SOF
000000000
N/A
OU
Notional
N/A
N/A
0.000000000000
DIR
CORP
United States SOFR Secured Overnight Financing Rate
CT1403743
2029-03-18
N/A
N/A
N/A
N/A
-844000.000000000000
USD
-844000.000000000000000
USD
4.000000000000
USD
2024-03-14
XXXX
10071.710000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
SWP: OIS 3.722000 21-SEP-2053 CAD
000000000
30000.000000000000
OU
Notional Amount
-3344.400000000000
-0.0039925093
N/A
DIR
CORP
GB
N
2
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Canadian Overnight Repo Rate Average CORRA
CT2073686
Y
2053-09-21
0.780000000000
USD
0.000000000000
USD
30000.000000000000
CAD
-3263.340000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
SWP: OIS 4.002000 21-SEP-2033 CAD
000000000
70000.000000000000
OU
Notional Amount
4095.410000000000
0.0048890571
N/A
DIR
CORP
GB
N
2
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Canadian Overnight Repo Rate Average CORRA
CT2073686
Y
2033-09-21
0.860000000000
USD
0.000000000000
USD
70000.000000000000
CAD
3944.220000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
OTC (GENERIC) 1 YEAR
000000000
844000.000000000000
OU
Notional Amount
USD
32027.100000000000
0.0382336125
N/A
DIR
CORP
US
N
2
Citi
MBNUM2BPBDO7JBLYG310
Call
Purchased
Citi
MBNUM2BPBDO7JBLYG310
CITIBANK NA
MBNUM2BPBDO7JBLYG310
FSWP: OIS 4.235000 28-MAR-2029 SOF
000000000
N/A
OU
Notional
N/A
N/A
0.000000000000
DIR
CORP
United States SOFR Secured Overnight Financing Rate
CT1403743
2029-03-28
N/A
N/A
N/A
N/A
844000.000000000000
USD
844000.000000000000000
USD
4.235000000000
USD
2024-03-26
XXXX
19029.500000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
OTC (GENERIC) 1 YEAR
000000000
844000.000000000000
OU
Notional Amount
USD
1185.740000000000
0.0014155238
N/A
DIR
CORP
US
N
2
Citi
MBNUM2BPBDO7JBLYG310
Put
Purchased
Citi
MBNUM2BPBDO7JBLYG310
CITIBANK NA
MBNUM2BPBDO7JBLYG310
FSWP: OIS 4.235000 28-MAR-2029 SOF
000000000
N/A
OU
Notional
N/A
N/A
0.000000000000
DIR
CORP
United States SOFR Secured Overnight Financing Rate
CT1403743
2029-03-28
N/A
N/A
N/A
N/A
844000.000000000000
USD
844000.000000000000000
USD
4.235000000000
USD
2024-03-26
XXXX
-11811.860000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
SWP: IFS 2.547200 03-OCT-2028 USC
000000000
775000.000000000000
OU
Notional Amount
USD
-5490.160000000000
-0.0065540948
N/A
DIR
CORP
GB
N
2
Goldman Sachs
FOR8UP27PHTHYVLBNG30
US CPI Urban Consumers NSA
CM4588021
Y
2028-10-03
8.720000000000
USD
0.000000000000
USD
775000.000000000000
USD
-5498.880000000000
N
N
N
SPAIN (KINGDOM OF)
N/A
SPAIN (KINGDOM OF)
000000000
88730.650000000000
PA
106992.250000000000
0.1277262141
Long
DBT
NUSS
ES
N
2
2039-11-30
Fixed
2.050000000000
N
N
N
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
SWP: EUR 3.164650 08-NOV-2028 EUR
000000000
629250.000000000000
OU
Notional Amount
-22538.110000000000
-0.0269057568
N/A
DIR
CORP
US
N
2
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Euribor 6 Month ACT/360
EURIBOR65
Y
2028-11-08
6.430000000000
USD
0.000000000000
USD
629250.000000000000
EUR
-21588.080000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
SWP: EUR 3.224000 08-NOV-2033 EUR
000000000
170251.000000000000
OU
Notional Amount
11936.560000000000
0.0142497388
N/A
DIR
CORP
US
N
2
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Euribor 6 Month ACT/360
EURIBOR65
Y
2033-11-08
3.100000000000
USD
0.000000000000
USD
170251.000000000000
EUR
11690.520000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
SWP: EUR 3.535000 08-NOV-2025 EUR
000000000
754125.000000000000
OU
Notional Amount
9376.710000000000
0.0111938170
N/A
DIR
CORP
US
N
2
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Euribor 6 Month ACT/360
EURIBOR65
Y
2025-11-08
3.590000000000
USD
0.000000000000
USD
754125.000000000000
EUR
8664.890000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
SWP: EUR 3.528500 08-NOV-2025 EUR
000000000
754125.000000000000
OU
Notional Amount
9280.050000000000
0.0110784253
N/A
DIR
CORP
US
N
2
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Euribor 6 Month ACT/360
EURIBOR65
Y
2025-11-08
3.590000000000
USD
0.000000000000
USD
754125.000000000000
EUR
8560.550000000000
N
N
N
Deutsche Bank
9J6MBOOO7BECTDTUZW19
US DOLLARS
000000000
-828000.000000000000
OU
Notional Amount
N/A
776.540000000000
0.0009270252
N/A
DFE
CORP
DK
N
2
Deutsche Bank
9J6MBOOO7BECTDTUZW19
828000.000000000000000
DKK
123597.869999999995343
USD
2024-02-02
776.540000000000
N
N
N
Deutsche Bank
9J6MBOOO7BECTDTUZW19
US DOLLARS
000000000
-15780938.000000000000
OU
Notional Amount
N/A
-69173.710000000000
-0.0825788418
N/A
DFE
CORP
XX
N
2
Deutsche Bank
9J6MBOOO7BECTDTUZW19
15780938.000000000000000
EUR
17352192.779999997466803
USD
2024-01-03
-69173.710000000000
N
N
N
Deutsche Bank
9J6MBOOO7BECTDTUZW19
US DOLLARS
000000000
-15512025.330000000000
OU
Notional Amount
N/A
83406.980000000000
0.0995703687
N/A
DFE
CORP
XX
N
2
Deutsche Bank
9J6MBOOO7BECTDTUZW19
15512025.330000000074506
EUR
17230089.530000001192093
USD
2024-02-02
83406.980000000000
N
N
N
Deutsche Bank
9J6MBOOO7BECTDTUZW19
US DOLLARS
000000000
-13359794.000000000000
OU
Notional Amount
N/A
-70747.620000000000
-0.0844577589
N/A
DFE
CORP
GB
N
2
Deutsche Bank
9J6MBOOO7BECTDTUZW19
13359794.000000000000000
GBP
16958313.809999998658895
USD
2024-01-03
-70747.620000000000
N
N
N
Deutsche Bank
9J6MBOOO7BECTDTUZW19
US DOLLARS
000000000
-12515000.000000000000
OU
Notional Amount
N/A
15886.540000000000
0.0189651831
N/A
DFE
CORP
GB
N
2
Deutsche Bank
9J6MBOOO7BECTDTUZW19
12515000.000000000000000
GBP
15971009.740000000223517
USD
2024-02-02
15886.540000000000
N
N
N
Deutsche Bank
9J6MBOOO7BECTDTUZW19
US DOLLARS
000000000
-323687451.000000000000
OU
Notional Amount
N/A
-87926.120000000000
-0.1049652702
N/A
DFE
CORP
JP
N
2
Deutsche Bank
9J6MBOOO7BECTDTUZW19
323687451.000000000000000
JPY
2208475.799999999813735
USD
2024-01-05
-87926.120000000000
N
N
N
Deutsche Bank
9J6MBOOO7BECTDTUZW19
US DOLLARS
000000000
-556058.000000000000
OU
Notional Amount
N/A
-9024.250000000000
-0.0107730540
N/A
DFE
CORP
NZ
N
2
Deutsche Bank
9J6MBOOO7BECTDTUZW19
556058.000000000000000
NZD
342487.809999999997672
USD
2024-01-03
-9024.250000000000
N
N
N
Deutsche Bank
9J6MBOOO7BECTDTUZW19
US DOLLARS
000000000
-7544547.000000000000
OU
Notional Amount
N/A
-17710.750000000000
-0.0211429056
N/A
DFE
CORP
SE
N
2
Deutsche Bank
9J6MBOOO7BECTDTUZW19
7544547.000000000000000
SEK
730307.250000000000000
USD
2024-01-03
-17710.750000000000
N
N
N
Deutsche Bank
9J6MBOOO7BECTDTUZW19
US DOLLARS
000000000
-7475000.000000000000
OU
Notional Amount
N/A
10722.840000000000
0.0128008127
N/A
DFE
CORP
SE
N
2
Deutsche Bank
9J6MBOOO7BECTDTUZW19
7475000.000000000000000
SEK
752816.689999999944121
USD
2024-02-02
10722.840000000000
N
N
N
Deutsche Bank
9J6MBOOO7BECTDTUZW19
CANADIAN DOLLAR
000000000
1912000.000000000000
OU
Notional Amount
N/A
-4499.200000000000
-0.0053710973
N/A
DFE
CORP
CA
N
2
Deutsche Bank
9J6MBOOO7BECTDTUZW19
1447463.620000000111759
USD
1912000.000000000000000
CAD
2024-01-03
-4499.200000000000
N
N
N
Deutsche Bank
9J6MBOOO7BECTDTUZW19
DANISH KRONA
000000000
828000.000000000000
OU
Notional Amount
N/A
-793.540000000000
-0.0009473196
N/A
DFE
CORP
DK
N
2
Deutsche Bank
9J6MBOOO7BECTDTUZW19
123411.160000000003492
USD
828000.000000000000000
DKK
2024-01-03
-793.540000000000
N
N
N
Deutsche Bank
9J6MBOOO7BECTDTUZW19
EURO COUNTRIES
000000000
646841.000000000000
OU
Notional Amount
N/A
8467.410000000000
0.0101083043
N/A
DFE
CORP
XX
N
2
Deutsche Bank
9J6MBOOO7BECTDTUZW19
705612.709999999962747
USD
646841.000000000000000
EUR
2024-01-03
8467.410000000000
N
N
N
Deutsche Bank
9J6MBOOO7BECTDTUZW19
EURO COUNTRIES
000000000
14814000.000000000000
OU
Notional Amount
N/A
-79743.760000000000
-0.0951972555
N/A
DFE
CORP
XX
N
2
Deutsche Bank
9J6MBOOO7BECTDTUZW19
16433659.060000000521541
USD
14814000.000000000000000
EUR
2024-01-03
-79743.760000000000
N
N
N
Deutsche Bank
9J6MBOOO7BECTDTUZW19
BRITISH POUND
000000000
12515000.000000000000
OU
Notional Amount
N/A
-16231.950000000000
-0.0193775299
N/A
DFE
CORP
GB
N
2
Deutsche Bank
9J6MBOOO7BECTDTUZW19
15968476.710000000894070
USD
12515000.000000000000000
GBP
2024-01-03
-16231.950000000000
N
N
N
Deutsche Bank
9J6MBOOO7BECTDTUZW19
SWEDISH KRONA
000000000
7475000.000000000000
OU
Notional Amount
N/A
-10798.280000000000
-0.0128908722
N/A
DFE
CORP
SE
N
2
Deutsche Bank
9J6MBOOO7BECTDTUZW19
751920.920000000041910
USD
7475000.000000000000000
SEK
2024-01-03
-10798.280000000000
N
N
N
UBS
T6FIZBDPKLYJKFCRVK44
EURO-SCHATZ MAR 24
000000000
-8.000000000000
NC
301.420000000000
0.0003598320
N/A
DIR
CORP
DE
N
1
UBS
T6FIZBDPKLYJKFCRVK44
Short
EURO-SCHATZ MAR 24
EURO-SCHATZ MAR 24
2024-03-07
-852633.600000000000
EUR
301.420000000000
N
N
N
SWEDEN (KINGDOM OF)
ERE94C0BSULG2RM19605
SWEDEN 3.50% 12/01/2028 (FTIPS)
000000000
1255000.000000000000
PA
225864.240000000000
0.2696343358
Long
DBT
NUSS
SE
N
2
2028-12-01
Fixed
3.500000000000
N
N
N
N
N
N
ITALY (REPUBLIC OF)
815600DE60799F5A9309
ITALY 2.35% 9/15/2035 (FTIPS)
000000000
511096.800000000000
PA
600269.300000000000
0.7165951283
Long
DBT
NUSS
IT
N
2
2035-09-15
Fixed
2.350000000000
N
N
N
N
N
N
UNITED KINGDOM (GOVERNMENT OF)
ECTRVYYCEF89VWYS6K36
UK 1.125% 11/22/2037 (FTIPS)
000000000
644542.800000000000
PA
890971.190000000000
1.0636319635
Long
DBT
NUSS
GB
N
2
2037-11-22
Fixed
1.125000000000
N
N
N
N
N
N
UNITED KINGDOM (GOVERNMENT OF)
ECTRVYYCEF89VWYS6K36
UK .75% 11/22/2047 (FTIPS)
000000000
562101.801000000000
PA
685291.150000000000
0.8180933117
Long
DBT
NUSS
GB
N
2
2047-11-22
Fixed
0.750000000000
N
N
N
N
N
N
AUSTRALIA (COMMONWEALTH OF)
N/A
AUSTRALIA 3.00% 9/20/2025 (FTIPS)
000000000
285000.000000000000
PA
290910.120000000000
0.3472854180
Long
DBT
NUSS
AU
N
2
2025-09-20
Fixed
3.000000000000
N
N
N
N
N
N
UBS
T6FIZBDPKLYJKFCRVK44
US 5YR NOTE MAR 24
000000000
-2.000000000000
NC
USD
-3619.830000000000
-0.0043213147
N/A
DIR
CORP
US
N
1
UBS
T6FIZBDPKLYJKFCRVK44
Short
US 5YR NOTE MAR 24
US 5YR NOTE MAR 24
2024-03-28
-213927.050000000000
USD
-3619.830000000000
N
N
N
UBS
T6FIZBDPKLYJKFCRVK44
LONG GILT MAR 24
000000000
7.000000000000
NC
32311.280000000000
0.0385728636
N/A
DIR
CORP
GB
N
1
UBS
T6FIZBDPKLYJKFCRVK44
Long
LONG GILT MAR 24
LONG GILT MAR 24
2024-03-26
693015.600000000000
GBP
32311.280000000000
N
N
N
NEW ZEALAND (GOVERNMENT OF)
N/A
NEW ZEALAND 3% 9/20/2030 (FTIPS)
000000000
90000.000000000000
PA
77029.660000000000
0.0919571917
Long
DBT
NUSS
NZ
N
2
2030-09-20
Fixed
3.000000000000
N
N
N
N
N
N
SWEDEN (KINGDOM OF)
ERE94C0BSULG2RM19605
SWEDISH GOVERNMENT I/L 3114 0.125
000000000
360000.000000000000
PA
42180.360000000000
0.0503544667
Long
DBT
NUSS
SE
N
2
2030-06-01
Fixed
0.125000000000
N
N
N
N
N
N
JAPAN (GOVERNMENT OF)
353800WZS8AXZXFUC241
JAPAN (GOVERNMENT OF) 10YR #26
000000000
16400000.000000000000
PA
133535.500000000000
0.1594132646
Long
DBT
NUSS
JP
N
2
2031-03-10
Fixed
0.005000000000
N
N
N
N
N
N
FRANCE (REPUBLIC OF)
969500KCGF3SUYJHPV70
FRANCE (REPUBLIC OF)
000000000
203246.750000000000
PA
210292.090000000000
0.2510444682
Long
DBT
NUSS
FR
N
2
2038-07-25
Fixed
0.100000000000
N
N
N
N
N
N
FRANCE (REPUBLIC OF)
969500KCGF3SUYJHPV70
FRANCE (REPUBLIC OF)
000000000
65000.000000000000
PA
73386.930000000000
0.0876085392
Long
DBT
NUSS
FR
N
2
2039-03-01
Fixed
0.550000000000
N
N
N
N
N
N
GERMANY (FEDERAL REPUBLIC OF)
529900AQBND3S6YJLY83
GERMANY (FEDERAL REPUBLIC OF)
000000000
790000.000000000000
PA
883565.200000000000
1.0547907711
Long
DBT
NUSS
DE
N
2
2025-12-12
Fixed
3.100000000000
N
N
N
N
N
N
JAPAN (GOVERNMENT OF)
353800WZS8AXZXFUC241
JAPAN .10% 03/10/2026 (FTIPS)
000000000
38800000.000000000000
PA
310089.930000000000
0.3701820719
Long
DBT
NUSS
JP
N
2
2026-03-10
Fixed
0.100000000000
N
N
N
N
N
N
UNITED KINGDOM (GOVERNMENT OF)
ECTRVYYCEF89VWYS6K36
UK .125% 11/22/2065 (FTIPS)
000000000
309020.400000000000
PA
294183.960000000000
0.3511936935
Long
DBT
NUSS
GB
N
2
2065-11-22
Fixed
0.125000000000
N
N
N
N
N
N
FRANCE (REPUBLIC OF)
969500KCGF3SUYJHPV70
FRANCE (REPUBLIC OF)
000000000
430000.000000000000
PA
550498.940000000000
0.6571798000
Long
DBT
NUSS
FR
N
2
2028-03-01
Fixed
0.100000000000
N
N
N
N
N
N
AUSTRALIA (COMMONWEALTH OF)
N/A
AUSTRALIA (COMMONWEALTH OF)
000000000
115000.000000000000
PA
80704.570000000000
0.0963442603
Long
DBT
NUSS
AU
N
2
2050-02-21
Fixed
1.000000000000
N
N
N
N
N
N
AUSTRALIA (COMMONWEALTH OF)
N/A
AUSTRALIA .75% 11/21/2027 (FTIPS)
000000000
155000.000000000000
PA
127416.280000000000
0.1521082046
Long
DBT
NUSS
AU
N
2
2027-11-21
Fixed
0.750000000000
N
N
N
N
N
N
NEW ZEALAND (GOVERNMENT OF)
N/A
NEW ZEALAND (GOVERNMENT OF)
000000000
208000.000000000000
PA
163316.840000000000
0.1949659126
Long
DBT
NUSS
NZ
N
2
2040-09-20
Fixed
2.500000000000
N
N
N
N
N
N
SPAIN (KINGDOM OF)
N/A
SPAIN .65% 11/30/2027 (FTIPS)
000000000
487872.400000000000
PA
537215.570000000000
0.6413222537
Long
DBT
NUSS
ES
N
2
2027-11-30
Fixed
0.650000000000
N
N
N
N
N
N
FRANCE (REPUBLIC OF)
969500KCGF3SUYJHPV70
FRANCE .10% 7/25/2036 (FTIPS)
000000000
353472.300000000000
PA
368847.940000000000
0.4403267615
Long
DBT
NUSS
FR
N
2
2036-07-25
Fixed
0.100000000000
N
N
N
N
N
N
DENMARK KINGDOM OF (GOVERNMENT)
N/A
DENMARK (KINGDOM OF)
000000000
730000.000000000000
PA
121943.890000000000
0.1455753234
Long
DBT
NUSS
DK
N
2
2030-11-15
Fixed
0.100000000000
N
N
N
N
N
N
JAPAN (GOVERNMENT OF)
353800WZS8AXZXFUC241
JAPAN .10% 03/10/2028 (FTIPS)
000000000
30100000.000000000000
PA
241790.480000000000
0.2886469124
Long
DBT
NUSS
JP
N
2
2028-03-10
Fixed
0.100000000000
N
N
N
N
N
N
UNITED KINGDOM (GOVERNMENT OF)
ECTRVYYCEF89VWYS6K36
UK I/L GILT
000000000
451968.600000000000
PA
518005.260000000000
0.6183891892
Long
DBT
NUSS
GB
N
2
2041-08-10
Fixed
0.125000000000
N
N
N
N
N
N
SPAIN (KINGDOM OF)
N/A
SPAIN .70% 11/30/2033 (FTIPS)
000000000
595103.220000000000
PA
635004.330000000000
0.7580614389
Long
DBT
NUSS
ES
N
2
2033-11-30
Fixed
0.700000000000
N
N
N
N
N
N
FRANCE (REPUBLIC OF)
969500KCGF3SUYJHPV70
FRANCE .10% 03/01/2029 (FTIPS)
000000000
483055.650000000000
PA
529328.090000000000
0.6319062637
Long
DBT
NUSS
FR
N
2
2029-03-01
Fixed
0.100000000000
N
N
N
N
N
N
SWEDEN (KINGDOM OF)
ERE94C0BSULG2RM19605
SWEDEN 1.0% 06/01/2025 (FTIPS)
000000000
3000000.000000000000
PA
384390.560000000000
0.4588813765
Long
DBT
NUSS
SE
N
2
2025-06-01
Fixed
1.000000000000
N
N
N
N
N
N
ITALY (REPUBLIC OF)
815600DE60799F5A9309
ITALY .40% 5/15/2030 (FTIPS)
000000000
491733.500000000000
PA
507867.210000000000
0.6062864926
Long
DBT
NUSS
IT
N
2
2030-05-15
Fixed
0.400000000000
N
N
N
N
N
N
JAPAN (GOVERNMENT OF)
353800WZS8AXZXFUC241
JAPAN .10% 03/10/2029 (FTIPS)
000000000
40100000.000000000000
PA
320568.590000000000
0.3826913851
Long
DBT
NUSS
JP
N
2
2029-03-10
Fixed
0.100000000000
N
N
N
N
N
N
UNITED KINGDOM (GOVERNMENT OF)
ECTRVYYCEF89VWYS6K36
UK 1.25% 11/22/2055 (FTIPS)
000000000
515055.320000000000
PA
709405.900000000000
0.8468812447
Long
DBT
NUSS
GB
N
2
2055-11-22
Fixed
1.250000000000
N
N
N
N
N
N
UNITED KINGDOM (GOVERNMENT OF)
ECTRVYYCEF89VWYS6K36
UK 1.25% 11/22/2027 (FTIPS)
000000000
720371.500000000000
PA
968718.090000000000
1.1564453887
Long
DBT
NUSS
GB
N
2
2027-11-22
Fixed
1.250000000000
N
N
N
N
N
N
FRANCE (REPUBLIC OF)
969500KCGF3SUYJHPV70
FRANCE 1.80% 7/25/2040 (FTIPS)
000000000
505257.979000000000
PA
662391.260000000000
0.7907556657
Long
DBT
NUSS
FR
N
2
2040-07-25
Fixed
1.800000000000
N
N
N
N
N
N
UNITED KINGDOM (GOVERNMENT OF)
ECTRVYYCEF89VWYS6K36
UK .625% 11/22/2042 (FTIPS)
000000000
586858.800000000000
PA
727051.260000000000
0.8679460884
Long
DBT
NUSS
GB
N
2
2042-11-22
Fixed
0.625000000000
N
N
N
N
N
N
UNITED KINGDOM (GOVERNMENT OF)
ECTRVYYCEF89VWYS6K36
UK .50% 3/22/2050 (FTIPS)
000000000
597292.937000000000
PA
678251.170000000000
0.8096890582
Long
DBT
NUSS
GB
N
2
2050-03-22
Fixed
0.500000000000
N
N
N
N
N
N
ITALY (REPUBLIC OF)
815600DE60799F5A9309
ITALY 2.55% 9/15/2041 (FTIPS)
000000000
572228.500000000000
PA
678063.600000000000
0.8094651391
Long
DBT
NUSS
IT
N
2
2041-09-15
Fixed
2.550000000000
N
N
N
N
N
N
UNITED KINGDOM (GOVERNMENT OF)
ECTRVYYCEF89VWYS6K36
UK .625% 3/22/2040 (FTIPS)
000000000
619485.650000000000
PA
782412.420000000000
0.9340356545
Long
DBT
NUSS
GB
N
2
2040-03-22
Fixed
0.625000000000
N
N
N
N
N
N
FRANCE (REPUBLIC OF)
969500KCGF3SUYJHPV70
FRANCE 1.85% 7/25/2027 (FTIPS)
000000000
847833.600000000000
PA
989929.020000000000
1.1817667721
Long
DBT
NUSS
FR
N
2
2027-07-25
Fixed
1.850000000000
N
N
N
N
N
N
UNITED KINGDOM (GOVERNMENT OF)
ECTRVYYCEF89VWYS6K36
UK .75% 03/22/2034 (FTIPS)
000000000
642668.950000000000
PA
861226.360000000000
1.0281229007
Long
DBT
NUSS
GB
N
2
2034-03-22
Fixed
0.750000000000
N
N
N
N
N
N
Deutsche Bank
9J6MBOOO7BECTDTUZW19
OTC (GENERIC) 1 YEAR
000000000
595500.000000000000
OU
Notional Amount
3727.080000000000
0.0044493486
N/A
DIR
CORP
DE
N
2
Deutsche Bank
9J6MBOOO7BECTDTUZW19
Put
Purchased
Deutsche Bank
9J6MBOOO7BECTDTUZW19
DEUTSCHE BANK AG
9J6MBOOO7BECTDTUZW19
FSWP: EUR 2.834000 14-MAR-2034 EUR
000000000
N/A
OU
Notional
N/A
N/A
0.000000000000
DIR
CORP
Euribor 6 Month ACT/360
EURIBOR65
2034-03-14
N/A
N/A
N/A
N/A
595500.000000000000
EUR
595500.000000000000000
EUR
2.834000000000
EUR
2024-03-12
XXXX
-2493.460000000000
N
N
N
Deutsche Bank
9J6MBOOO7BECTDTUZW19
OTC (GENERIC) 1 YEAR
000000000
-595500.000000000000
OU
Notional Amount
-1270.110000000000
-0.0015162439
N/A
DIR
CORP
DE
N
2
Deutsche Bank
9J6MBOOO7BECTDTUZW19
Put
Written
Deutsche Bank
9J6MBOOO7BECTDTUZW19
DEUTSCHE BANK AG
9J6MBOOO7BECTDTUZW19
FSWP: EUR 3.234000 14-MAR-2034 EUR
000000000
N/A
OU
Notional
N/A
N/A
0.000000000000
DIR
CORP
Euribor 6 Month ACT/360
EURIBOR65
2034-03-14
N/A
N/A
N/A
N/A
-595500.000000000000
EUR
-595500.000000000000000
EUR
3.234000000000
EUR
2024-03-12
XXXX
673.670000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
SWP: IFS 2.383200 15-DEC-2033 USC
000000000
100000.000000000000
OU
Notional Amount
USD
512.930000000000
0.0006123304
N/A
DIR
CORP
US
N
2
Goldman Sachs
FOR8UP27PHTHYVLBNG30
US CPI Urban Consumers NSA
CM4588021
Y
2033-12-15
2.070000000000
USD
0.000000000000
USD
100000.000000000000
USD
510.860000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
SWP: IFS 2.409700 15-DEC-2033 USC
000000000
100000.000000000000
OU
Notional Amount
USD
280.120000000000
0.0003344043
N/A
DIR
CORP
US
N
2
Goldman Sachs
FOR8UP27PHTHYVLBNG30
US CPI Urban Consumers NSA
CM4588021
Y
2033-12-15
2.070000000000
USD
0.000000000000
USD
100000.000000000000
USD
278.050000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
SWP: IFS 2.474700 18-DEC-2053 USC
000000000
75000.000000000000
OU
Notional Amount
USD
-1049.720000000000
-0.0012531446
N/A
DIR
CORP
US
N
2
Goldman Sachs
FOR8UP27PHTHYVLBNG30
US CPI Urban Consumers NSA
CM4588021
Y
2053-12-18
3.360000000000
USD
0.000000000000
USD
75000.000000000000
USD
-1053.080000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
FSWP: OIS 3.408300 17-JUN-2029 SOF
000000000
254700.000000000000
OU
Notional Amount
USD
1083.700000000000
0.0012937096
N/A
DIR
CORP
US
N
2
Goldman Sachs
FOR8UP27PHTHYVLBNG30
United States SOFR Secured Overnight Financing Rate
CT1403743
Y
2029-06-17
2.380000000000
USD
0.000000000000
USD
254700.000000000000
USD
1081.320000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
SWP: IFS 2.459250 19-DEC-2033 USC
000000000
158333.000000000000
OU
Notional Amount
USD
-231.960000000000
-0.0002769114
N/A
DIR
CORP
US
N
2
Goldman Sachs
FOR8UP27PHTHYVLBNG30
US CPI Urban Consumers NSA
CM4588021
Y
2033-12-19
3.280000000000
USD
0.000000000000
USD
158333.000000000000
USD
-235.240000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
FSWP: OIS 3.424800 17-JUN-2029 SOF
000000000
95512.000000000000
OU
Notional Amount
USD
476.910000000000
0.0005693301
N/A
DIR
CORP
US
N
2
Goldman Sachs
FOR8UP27PHTHYVLBNG30
United States SOFR Secured Overnight Financing Rate
CT1403743
Y
2029-06-17
0.890000000000
USD
0.000000000000
USD
95512.000000000000
USD
476.020000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
SWP: IFS 2.463750 20-DEC-2033 USC
000000000
148833.000000000000
OU
Notional Amount
USD
-272.880000000000
-0.0003257613
N/A
DIR
CORP
US
N
2
Goldman Sachs
FOR8UP27PHTHYVLBNG30
US CPI Urban Consumers NSA
CM4588021
Y
2033-12-20
3.090000000000
USD
0.000000000000
USD
148833.000000000000
USD
-275.970000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
SWP: IFS 2.436000 21-DEC-2033 USC
000000000
95665.000000000000
OU
Notional Amount
USD
60.860000000000
0.0000726540
N/A
DIR
CORP
US
N
2
Goldman Sachs
FOR8UP27PHTHYVLBNG30
US CPI Urban Consumers NSA
CM4588021
Y
2033-12-21
1.980000000000
USD
0.000000000000
USD
95665.000000000000
USD
58.880000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
FSWP: OIS 3.439300 17-JUN-2029 SOF
000000000
127349.000000000000
OU
Notional Amount
USD
718.520000000000
0.0008577616
N/A
DIR
CORP
US
N
2
Goldman Sachs
FOR8UP27PHTHYVLBNG30
United States SOFR Secured Overnight Financing Rate
CT1403743
Y
2029-06-17
1.190000000000
USD
0.000000000000
USD
127349.000000000000
USD
717.330000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
SWP: IFS 2.192200 27-DEC-2025 USC
000000000
825000.000000000000
OU
Notional Amount
USD
-1720.760000000000
-0.0020542251
N/A
DIR
CORP
US
N
2
Goldman Sachs
FOR8UP27PHTHYVLBNG30
US CPI Urban Consumers NSA
CM4588021
Y
2025-12-27
4.790000000000
USD
0.000000000000
USD
825000.000000000000
USD
-1725.550000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
FSWP: OIS 3.330800 17-JUN-2029 SOF
000000000
169799.000000000000
OU
Notional Amount
USD
133.530000000000
0.0001594067
N/A
DIR
CORP
US
N
2
Goldman Sachs
FOR8UP27PHTHYVLBNG30
United States SOFR Secured Overnight Financing Rate
CT1403743
Y
2029-06-17
1.610000000000
USD
0.000000000000
USD
169799.000000000000
USD
131.920000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
FSWP: OIS 3.362800 17-JUN-2029 SOF
000000000
127347.000000000000
OU
Notional Amount
USD
282.520000000000
0.0003372694
N/A
DIR
CORP
US
N
2
Goldman Sachs
FOR8UP27PHTHYVLBNG30
United States SOFR Secured Overnight Financing Rate
CT1403743
Y
2029-06-17
1.200000000000
USD
0.000000000000
USD
127347.000000000000
USD
281.320000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-5311000.000000000000
OU
Notional Amount
N/A
-1494.200000000000
-0.0017837601
N/A
DFE
CORP
JP
N
2
Citi
MBNUM2BPBDO7JBLYG310
5311000.000000000000000
JPY
36184.709999999999127
USD
2024-01-05
-1494.200000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-552000.000000000000
OU
Notional Amount
N/A
981.680000000000
0.0011719192
N/A
DFE
CORP
NZ
N
2
Citi
MBNUM2BPBDO7JBLYG310
552000.000000000000000
NZD
349972.640000000013970
USD
2024-02-02
981.680000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
AUSTRALIA DOLLAR
000000000
1464000.000000000000
OU
Notional Amount
N/A
-4266.100000000000
-0.0050928250
N/A
DFE
CORP
AU
N
2
Citi
MBNUM2BPBDO7JBLYG310
1001908.900000000023283
USD
1464000.000000000000000
AUD
2024-01-03
-4266.100000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
CANADIAN DOLLAR
000000000
43000.000000000000
OU
Notional Amount
N/A
752.560000000000
0.0008983982
N/A
DFE
CORP
CA
N
2
Citi
MBNUM2BPBDO7JBLYG310
31699.049999999999272
USD
43000.000000000000000
CAD
2024-01-03
752.560000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
EURO COUNTRIES
000000000
320047.720000000000
OU
Notional Amount
N/A
3904.050000000000
0.0046606135
N/A
DFE
CORP
XX
N
2
Citi
MBNUM2BPBDO7JBLYG310
349412.630000000004657
USD
320047.719999999972060
EUR
2024-01-03
3904.050000000000
N
N
N
UMBS
N/A
UMBS 30YR TBA(REG A)
01F042616
785000.000000000000
PA
USD
760898.050000000000
0.9083520276
Long
ABS-MBS
USGA
US
N
2
2054-01-16
Fixed
4.5000
N
N
N
N
N
N
UMBS
N/A
UMBS 30YR TBA(REG A)
01F050619
656280.000000000000
PA
USD
649255.760000000000
0.7750746450
Long
ABS-MBS
USGA
US
N
2
2054-01-16
Fixed
5.0000
N
N
N
N
N
N
UMBS
N/A
UMBS 30YR TBA(REG A)
01F052615
1254754.000000000000
PA
USD
1260047.490000000000
1.5042313387
Long
ABS-MBS
USGA
US
N
2
2054-01-16
Fixed
5.5000
N
N
N
N
N
N
CSMC TRUST CSMC_22-NQM5
N/A
CSMC_22-NQM5
12663DAC8
248257.230000000000
PA
USD
248991.080000000000
0.2972429123
Long
ABS-CBDO
CORP
US
N
2
2067-05-25
Variable
5.169000000000
N
N
N
N
N
N
CANADA (GOVERNMENT OF)
4BFD7AQU0A75QLAHK410
CANADA (GOVERNMENT OF)
135087G99
213545.500000000000
PA
128109.980000000000
0.1529363363
Long
DBT
NUSS
CA
N
2
2050-12-01
Fixed
0.500000000000
N
N
N
N
N
N
CANADA (GOVERNMENT OF)
4BFD7AQU0A75QLAHK410
CANADA (GOVERNMENT OF)
135087M43
39742.150000000000
PA
22033.810000000000
0.0263037288
Long
DBT
NUSS
CA
N
2
2054-12-01
Fixed
0.250000000000
N
N
N
N
N
N
CANADA (GOVERNMENT OF)
4BFD7AQU0A75QLAHK410
CANADA 4.25% 12/01/26 (FTIPS)
135087VS0
261838.100000000000
PA
214394.750000000000
0.2559421802
Long
DBT
NUSS
CA
N
2
2026-12-01
Fixed
4.250000000000
N
N
N
N
N
N
CANADA (GOVERNMENT OF)
4BFD7AQU0A75QLAHK410
CANADA 4.00% 12/01/2031 (FTIPS)
135087WV2
303710.750000000000
PA
274914.490000000000
0.3281900044
Long
DBT
NUSS
CA
N
2
2031-12-01
Fixed
4.000000000000
N
N
N
N
N
N
CANADA (GOVERNMENT OF)
4BFD7AQU0A75QLAHK410
CANADA 3.00% 12/01/2036 (FTIPS)
135087XQ2
184784.400000000000
PA
165324.830000000000
0.1973630298
Long
DBT
NUSS
CA
N
2
2036-12-01
Fixed
3.000000000000
N
N
N
N
N
N
CANADA (GOVERNMENT OF)
4BFD7AQU0A75QLAHK410
CANADA 2.00% 12/01/2041 (FTIPS)
135087YK4
235283.400000000000
PA
187739.210000000000
0.2241210791
Long
DBT
NUSS
CA
N
2
2041-12-01
Fixed
2.000000000000
N
N
N
N
N
N
UNITED STATES TREASURY
254900HROIFWPRGM1V77
US TII 1.375 02/15/2044 (TIPS)
912810RF7
798702.850000000000
PA
USD
715040.000000000000
0.8536071735
Long
DBT
UST
US
N
2
2044-02-15
Fixed
1.375000000000
N
N
N
N
N
N
UNITED STATES TREASURY
254900HROIFWPRGM1V77
US TII .75% 02/15/2045 (TIPS)
912810RL4
797019.900000000000
PA
USD
624479.810000000000
0.7454973785
Long
DBT
UST
US
N
2
2045-02-15
Fixed
0.750000000000
N
N
N
N
N
N
UNITED STATES TREASURY
254900HROIFWPRGM1V77
US TII 1.0 02/15/2046 (TIPS)
912810RR1
694713.550000000000
PA
USD
569522.500000000000
0.6798899243
Long
DBT
UST
US
N
2
2046-02-15
Fixed
1.000000000000
N
N
N
N
N
N
UNITED STATES TREASURY
254900HROIFWPRGM1V77
TREASURY (CPI) NOTE
91282CDC2
1125960.000000000000
PA
USD
1069426.430000000000
1.2766699376
Long
DBT
UST
US
N
2
2026-10-15
Fixed
0.125000000000
N
N
N
N
N
N
UNITED STATES TREASURY
254900HROIFWPRGM1V77
TREASURY (CPI) NOTE
91282CDX6
1476220.200000000000
PA
USD
1297835.240000000000
1.5493419542
Long
DBT
UST
US
N
2
2032-01-15
Fixed
0.125000000000
N
N
N
N
N
N
UNITED STATES TREASURY
254900HROIFWPRGM1V77
TREASURY (CPI) NOTE
91282CEJ6
1007991.000000000000
PA
USD
947440.960000000000
1.1310449764
Long
DBT
UST
US
N
2
2027-04-15
Fixed
0.125000000000
N
N
N
N
N
N
UNITED STATES TREASURY
254900HROIFWPRGM1V77
TREASURY (CPI) NOTE
91282CEZ0
1397827.200000000000
PA
USD
1278649.180000000000
1.5264378391
Long
DBT
UST
US
N
2
2032-07-15
Fixed
0.625000000000
N
N
N
N
N
N
UNITED STATES TREASURY
254900HROIFWPRGM1V77
TREASURY (CPI) NOTE
91282CFR7
960751.250000000000
PA
USD
953587.910000000000
1.1383831402
Long
DBT
UST
US
N
2
2027-10-15
Fixed
1.625000000000
N
N
N
N
N
N
UNITED STATES TREASURY
254900HROIFWPRGM1V77
TREASURY (CPI) NOTE
91282CGK1
1394428.500000000000
PA
USD
1320855.290000000000
1.5768230459
Long
DBT
UST
US
N
2
2033-01-15
Fixed
1.125000000000
N
N
N
N
N
N
UNITED STATES TREASURY
254900HROIFWPRGM1V77
TREASURY (CPI) NOTE
91282CGW5
476983.050000000000
PA
USD
464849.600000000000
0.5549325257
Long
DBT
UST
US
N
2
2028-04-15
Fixed
1.250000000000
N
N
N
N
N
N
UNITED STATES TREASURY
254900HROIFWPRGM1V77
TREASURY (CPI) NOTE
91282CHP9
1271402.850000000000
PA
USD
1233937.600000000000
1.4730616288
Long
DBT
UST
US
N
2
2033-07-15
Fixed
1.375000000000
N
N
N
N
N
N
UNITED STATES TREASURY
254900HROIFWPRGM1V77
TREASURY (CPI) NOTE
91282CJH5
557508.600000000000
PA
USD
574332.550000000000
0.6856321110
Long
DBT
UST
US
N
2
2028-10-15
Fixed
2.375000000000
N
N
N
N
N
N
UNITED STATES TREASURY
254900HROIFWPRGM1V77
TREASURY NOTE
91282CJJ1
30000.000000000000
PA
USD
31518.750000000000
0.0376267497
Long
DBT
UST
US
N
2
2033-11-15
Fixed
4.5000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST VERUS_22-7
N/A
VERUS_22-7
92539NAA4
100114.490000000000
PA
USD
99775.870000000000
0.1191113761
Long
ABS-CBDO
CORP
US
N
2
2067-07-25
Variable
5.350000000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & COMPANY
95000U3F8
44000.000000000000
PA
USD
44838.440000000000
0.0535276544
Long
DBT
CORP
US
N
2
2034-07-25
Variable
5.557000000000
N
N
N
N
N
N
WELLS FARGO & COMPANY
PBLD0EJDB5FWOLXP3B76
WELLS FARGO & COMPANY
95000U3H4
83000.000000000000
PA
USD
90394.440000000000
0.1079119244
Long
DBT
CORP
US
N
2
2034-10-23
Variable
6.491000000000
N
N
N
N
N
N
FRANCE (REPUBLIC OF)
969500KCGF3SUYJHPV70
FRANCE 3.40% 7/25/2029 (FTIPS)
000000000
245000.000000000000
PA
465157.250000000000
0.5552997950
Long
DBT
NUSS
FR
N
2
2029-07-25
Fixed
3.400000000000
N
N
N
N
N
N
UNITED KINGDOM (GOVERNMENT OF)
ECTRVYYCEF89VWYS6K36
UK 2.00% 1/26/2035 (FTIPS)
000000000
245000.000000000000
PA
788260.180000000000
0.9410166484
Long
DBT
NUSS
GB
N
2
2035-01-26
Fixed
2.000000000000
N
N
N
N
N
N
FRANCE (REPUBLIC OF)
969500KCGF3SUYJHPV70
FRANCE 3.15% 7/25/2032 (FTIPS)
000000000
513270.250000000000
PA
699199.920000000000
0.8346974539
Long
DBT
NUSS
FR
N
2
2032-07-25
Fixed
3.150000000000
N
N
N
N
N
N
AUSTRALIA (COMMONWEALTH OF)
N/A
AUSTRALIA 2.5% 09/20/2030 (FTIPS)
000000000
240000.000000000000
PA
249101.560000000000
0.2973748022
Long
DBT
NUSS
AU
N
2
2030-09-20
Fixed
2.500000000000
N
N
N
N
N
N
ITALY (REPUBLIC OF)
815600DE60799F5A9309
ITALY 3.10% 9/15/2026 (FTIPS)
000000000
420547.200000000000
PA
489663.980000000000
0.5845556695
Long
DBT
NUSS
IT
N
2
2026-09-15
Fixed
3.100000000000
N
N
N
N
N
N
MEXICO (UNITED MEXICAN STATES) (GOVERNMENT)
254900EGTWEU67VP6075
MEXICAN BONOS
000000000
2000000.000000000000
PA
115558.680000000000
0.1379527274
Long
DBT
NUSS
MX
N
2
2029-05-31
Fixed
8.500000000000
N
N
N
N
N
N
UNITED KINGDOM (GOVERNMENT OF)
ECTRVYYCEF89VWYS6K36
UK .375% 03/22/2062 (FTIPS)
000000000
520705.250000000000
PA
549076.660000000000
0.6554818972
Long
DBT
NUSS
GB
N
2
2062-03-22
Fixed
0.375000000000
N
N
N
N
N
N
UNITED KINGDOM (GOVERNMENT OF)
ECTRVYYCEF89VWYS6K36
UK .125% 3/22/2029 (FTIPS)
000000000
652490.400000000000
PA
839268.160000000000
1.0019094343
Long
DBT
NUSS
GB
N
2
2029-03-22
Fixed
0.125000000000
N
N
N
N
N
N
UNITED KINGDOM (GOVERNMENT OF)
ECTRVYYCEF89VWYS6K36
UK .125% 03/22/2044 (FTIPS)
000000000
654612.000000000000
PA
718406.710000000000
0.8576263162
Long
DBT
NUSS
GB
N
2
2044-03-22
Fixed
0.125000000000
N
N
N
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
SWP: EUR 3.216000 08-NOV-2033 EUR
000000000
170250.000000000000
OU
Notional Amount
11805.240000000000
0.0140929704
N/A
DIR
CORP
US
N
2
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Euribor 6 Month ACT/360
EURIBOR65
Y
2033-11-08
3.100000000000
USD
0.000000000000
USD
170250.000000000000
EUR
11557.060000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
SWP: EUR 3.157150 08-NOV-2028 EUR
000000000
629250.000000000000
OU
Notional Amount
-22301.860000000000
-0.0266237241
N/A
DIR
CORP
US
N
2
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Euribor 6 Month ACT/360
EURIBOR65
Y
2028-11-08
6.430000000000
USD
0.000000000000
USD
629250.000000000000
EUR
-21344.420000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
FSWP: IFS 3.224000 15-NOV-2053 CPT
000000000
15000.000000000000
OU
Notional Amount
915.340000000000
0.0010927232
N/A
DIR
CORP
US
N
2
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Eurostat Eurozone HICP Ex Tobacco Unrevised Series NSA
CM0009992
Y
2053-11-15
78.640000000000
USD
0.000000000000
USD
15000.000000000000
EUR
836.700000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
SWP: IFS 2.660200 13-NOV-2053 USC
000000000
385000.000000000000
OU
Notional Amount
USD
-22400.340000000000
-0.0267412885
N/A
DIR
CORP
US
N
2
Goldman Sachs
FOR8UP27PHTHYVLBNG30
US CPI Urban Consumers NSA
CM4588021
Y
2053-11-13
17.150000000000
USD
0.000000000000
USD
385000.000000000000
USD
-22417.490000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
SWP: IFS 2.315200 14-NOV-2025 USC
000000000
350000.000000000000
OU
Notional Amount
USD
-1577.440000000000
-0.0018831312
N/A
DIR
CORP
US
N
2
Goldman Sachs
FOR8UP27PHTHYVLBNG30
US CPI Urban Consumers NSA
CM4588021
Y
2025-11-14
1.930000000000
USD
0.000000000000
USD
350000.000000000000
USD
-1579.370000000000
N
N
N
Deutsche Bank
9J6MBOOO7BECTDTUZW19
OTC (GENERIC) 1 YEAR
000000000
-587847.000000000000
OU
Notional Amount
USD
-4897.880000000000
-0.0058470372
N/A
DIR
CORP
DE
N
2
Deutsche Bank
9J6MBOOO7BECTDTUZW19
Put
Written
Deutsche Bank
9J6MBOOO7BECTDTUZW19
DEUTSCHE BANK AG
9J6MBOOO7BECTDTUZW19
FSWP: OIS 3.902500 18-NOV-2029 SOF
000000000
N/A
OU
Notional
N/A
N/A
0.000000000000
DIR
CORP
United States SOFR Secured Overnight Financing Rate
CT1403743
2029-11-18
N/A
N/A
N/A
N/A
-587847.000000000000
USD
-587847.000000000000000
USD
3.902500000000
USD
2024-11-14
XXXX
8152.320000000000
N
N
N
Deutsche Bank
9J6MBOOO7BECTDTUZW19
OTC (GENERIC) 1 YEAR
000000000
-587847.000000000000
OU
Notional Amount
USD
-22248.360000000000
-0.0265598564
N/A
DIR
CORP
DE
N
2
Deutsche Bank
9J6MBOOO7BECTDTUZW19
Call
Written
Deutsche Bank
9J6MBOOO7BECTDTUZW19
DEUTSCHE BANK AG
9J6MBOOO7BECTDTUZW19
FSWP: OIS 3.902500 18-NOV-2029 SOF
000000000
N/A
OU
Notional
N/A
N/A
0.000000000000
DIR
CORP
United States SOFR Secured Overnight Financing Rate
CT1403743
2029-11-18
N/A
N/A
N/A
N/A
-587847.000000000000
USD
-587847.000000000000000
USD
3.902500000000
USD
2024-11-14
XXXX
-9198.160000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
SWP: IFS 2.528800 15-NOV-2053 CPT
000000000
25000.000000000000
OU
Notional Amount
543.100000000000
0.0006483470
N/A
DIR
CORP
GB
N
2
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Eurostat Eurozone HICP Ex Tobacco Unrevised Series NSA
CM0009992
Y
2053-11-15
1.230000000000
USD
0.000000000000
USD
25000.000000000000
EUR
541.870000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
SWP: IFS 2.207130 05-DEC-2025 USC
000000000
155000.000000000000
OU
Notional Amount
USD
447.650000000000
0.0005343998
N/A
DIR
CORP
US
N
2
Goldman Sachs
FOR8UP27PHTHYVLBNG30
US CPI Urban Consumers NSA
CM4588021
Y
2025-12-05
0.880000000000
USD
0.000000000000
USD
155000.000000000000
USD
446.770000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
SWP: IFS 2.336000 05-DEC-2028 USC
000000000
155000.000000000000
OU
Notional Amount
USD
-15.520000000000
-0.0000185276
N/A
DIR
CORP
US
N
2
Goldman Sachs
FOR8UP27PHTHYVLBNG30
US CPI Urban Consumers NSA
CM4588021
Y
2028-12-05
1.800000000000
USD
0.000000000000
USD
155000.000000000000
USD
-17.320000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
FSWP: IFS 2.250300 08-DEC-2028 USC
000000000
155000.000000000000
OU
Notional Amount
USD
-562.300000000000
-0.0006712678
N/A
DIR
CORP
US
N
2
Goldman Sachs
FOR8UP27PHTHYVLBNG30
US CPI Urban Consumers NSA
CM4588021
Y
2028-12-08
1.810000000000
USD
0.000000000000
USD
155000.000000000000
USD
-564.110000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
SWP: IFS 2.101000 08-DEC-2025 USC
000000000
155000.000000000000
OU
Notional Amount
USD
125.400000000000
0.0001497012
N/A
DIR
CORP
US
N
2
Goldman Sachs
FOR8UP27PHTHYVLBNG30
US CPI Urban Consumers NSA
CM4588021
Y
2025-12-08
0.880000000000
USD
0.000000000000
USD
155000.000000000000
USD
124.520000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
FSWP: IFS 1.838800 15-DEC-2025 CPT
000000000
265000.000000000000
OU
Notional Amount
-87.800000000000
-0.0001048147
N/A
DIR
CORP
US
N
2
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Eurostat Eurozone HICP Ex Tobacco Unrevised Series NSA
CM0009992
Y
2025-12-15
250.590000000000
USD
0.000000000000
USD
265000.000000000000
EUR
-338.390000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
FSWP: IFS 2.055000 15-DEC-2028 CPT
000000000
265000.000000000000
OU
Notional Amount
437.210000000000
0.0005219367
N/A
DIR
CORP
US
N
2
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Eurostat Eurozone HICP Ex Tobacco Unrevised Series NSA
CM0009992
Y
2028-12-15
0.000000000000
USD
-204.350000000000
USD
265000.000000000000
EUR
641.560000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
SWP: IFS 2.316590 13-DEC-2028 USC
000000000
310000.000000000000
OU
Notional Amount
USD
315.260000000000
0.0003763540
N/A
DIR
CORP
US
N
2
Goldman Sachs
FOR8UP27PHTHYVLBNG30
US CPI Urban Consumers NSA
CM4588021
Y
2028-12-13
3.620000000000
USD
0.000000000000
USD
310000.000000000000
USD
311.640000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
SWP: IFS 2.146700 13-DEC-2025 USC
000000000
310000.000000000000
OU
Notional Amount
USD
482.940000000000
0.0005765287
N/A
DIR
CORP
US
N
2
Goldman Sachs
FOR8UP27PHTHYVLBNG30
US CPI Urban Consumers NSA
CM4588021
Y
2025-12-13
1.780000000000
USD
0.000000000000
USD
310000.000000000000
USD
481.160000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
OTC (GENERIC) 1 YEAR
000000000
-2110000.000000000000
OU
Notional Amount
USD
-54209.910000000000
-0.0647152160
N/A
DIR
CORP
US
N
2
Citi
MBNUM2BPBDO7JBLYG310
Call
Written
Citi
MBNUM2BPBDO7JBLYG310
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
FSWP: USD 3.750000 14-JUN-2029 US3
000000000
N/A
OU
Notional
N/A
N/A
0.000000000000
DIR
CORP
United States SOFR Secured Overnight Financing Rate
CT1403743
2029-06-14
N/A
N/A
N/A
N/A
-2110000.000000000000
USD
-2110000.000000000000000
USD
3.750000000000
USD
2024-06-12
XXXX
-20672.010000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
OTC (GENERIC) 1 YEAR
000000000
-2110000.000000000000
OU
Notional Amount
USD
-15459.970000000000
-0.0184559483
N/A
DIR
CORP
US
N
2
Citi
MBNUM2BPBDO7JBLYG310
Put
Written
Citi
MBNUM2BPBDO7JBLYG310
CITIBANK NA
MBNUM2BPBDO7JBLYG310
FSWP: OIS 3.750000 14-JUN-2029 SOF
000000000
N/A
OU
Notional
N/A
N/A
0.000000000000
DIR
CORP
United States SOFR Secured Overnight Financing Rate
CT1403743
2029-06-14
N/A
N/A
N/A
N/A
-2110000.000000000000
USD
-2110000.000000000000000
USD
3.750000000000
USD
2024-06-12
XXXX
16930.590000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
BRITISH POUND
000000000
772058.000000000000
OU
Notional Amount
N/A
8176.870000000000
0.0097614607
N/A
DFE
CORP
GB
N
2
Citi
MBNUM2BPBDO7JBLYG310
975926.860000000102445
USD
772058.000000000000000
GBP
2024-01-03
8176.870000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
NEW ZEALAND DOLLAR
000000000
552000.000000000000
OU
Notional Amount
N/A
-982.560000000000
-0.0011729697
N/A
DFE
CORP
NZ
N
2
Citi
MBNUM2BPBDO7JBLYG310
349929.359999999986030
USD
552000.000000000000000
NZD
2024-01-03
-982.560000000000
N
N
N
Deutsche Bank
9J6MBOOO7BECTDTUZW19
US DOLLARS
000000000
-80228.000000000000
OU
Notional Amount
N/A
-1422.630000000000
-0.0016983206
N/A
DFE
CORP
AU
N
2
Deutsche Bank
9J6MBOOO7BECTDTUZW19
80228.000000000000000
AUD
53248.739999999997963
USD
2024-01-03
-1422.630000000000
N
N
N
Deutsche Bank
9J6MBOOO7BECTDTUZW19
US DOLLARS
000000000
-1979281.000000000000
OU
Notional Amount
N/A
-35035.380000000000
-0.0418248653
N/A
DFE
CORP
CA
N
2
Deutsche Bank
9J6MBOOO7BECTDTUZW19
1979281.000000000000000
CAD
1458705.229999999981374
USD
2024-01-03
-35035.380000000000
N
N
N
Deutsche Bank
9J6MBOOO7BECTDTUZW19
US DOLLARS
000000000
-1912000.000000000000
OU
Notional Amount
N/A
4475.510000000000
0.0053428164
N/A
DFE
CORP
CA
N
2
Deutsche Bank
9J6MBOOO7BECTDTUZW19
1912000.000000000000000
CAD
1448071.820000000065193
USD
2024-02-02
4475.510000000000
N
N
N
UBS
T6FIZBDPKLYJKFCRVK44
LONG GILT MAR 24
000000000
1.000000000000
NC
-203.960000000000
-0.0002434853
N/A
DIR
CORP
GB
N
1
UBS
T6FIZBDPKLYJKFCRVK44
Long
LONG GILT MAR 24
LONG GILT MAR 24
2024-03-26
102810.800000000000
GBP
-203.960000000000
N
N
N
UNITED KINGDOM (GOVERNMENT OF)
ECTRVYYCEF89VWYS6K36
UK 4.125% 7/22/2030 (FTIPS)
000000000
125000.000000000000
PA
558699.520000000000
0.6669695655
Long
DBT
NUSS
GB
N
2
2030-07-22
Fixed
4.125000000000
N
N
N
N
N
N
JAPAN (GOVERNMENT OF)
353800WZS8AXZXFUC241
JAPAN (GOVT OF) #28
J2S39LG57
20000000.000000000000
PA
152961.780000000000
0.1826041518
Long
DBT
NUSS
JP
N
2
2033-03-10
Fixed
0.005000000000
N
N
N
N
N
N
UBS
T6FIZBDPKLYJKFCRVK44
THREE-MONTH SOFR FUTURE MAR 24
000000000
9.000000000000
NC
USD
4372.830000000000
0.0052202381
N/A
DIR
CORP
US
N
1
UBS
T6FIZBDPKLYJKFCRVK44
Long
THREE-MONTH SOFR FUTURE MAR 24
THREE-MONTH SOFR FUTURE MAR 24
2024-06-18
2133464.670000000000
USD
4372.830000000000
N
N
N
UBS
T6FIZBDPKLYJKFCRVK44
THREE-MONTH SOFR FUTURE MAR 25
000000000
-9.000000000000
NC
USD
-10477.170000000000
-0.0125075345
N/A
DIR
CORP
US
N
1
UBS
T6FIZBDPKLYJKFCRVK44
Short
THREE-MONTH SOFR FUTURE MAR 25
THREE-MONTH SOFR FUTURE MAR 25
2025-06-17
-2162572.830000000000
USD
-10477.170000000000
N
N
N
UBS
T6FIZBDPKLYJKFCRVK44
THREE-MONTH SOFR FUTURE SEP 24
000000000
-11.000000000000
NC
USD
-11717.930000000000
-0.0139887406
N/A
DIR
CORP
US
N
1
UBS
T6FIZBDPKLYJKFCRVK44
Short
THREE-MONTH SOFR FUTURE SEP 24
THREE-MONTH SOFR FUTURE SEP 24
2024-12-17
-2625669.570000000000
USD
-11717.930000000000
N
N
N
UBS
T6FIZBDPKLYJKFCRVK44
US 2YR NOTE MAR 24
000000000
-28.000000000000
NC
USD
-16652.020000000000
-0.0198790050
N/A
DIR
CORP
US
N
1
UBS
T6FIZBDPKLYJKFCRVK44
Short
US 2YR NOTE MAR 24
US 2YR NOTE MAR 24
2024-03-28
-5748941.720000000000
USD
-16652.020000000000
N
N
N
UBS
T6FIZBDPKLYJKFCRVK44
US 10YR NOTE MAR 24
000000000
-4.000000000000
NC
USD
-7813.950000000000
-0.0093282107
N/A
DIR
CORP
US
N
1
UBS
T6FIZBDPKLYJKFCRVK44
Short
US 10YR NOTE MAR 24
US 10YR NOTE MAR 24
2024-03-19
-443748.550000000000
USD
-7813.950000000000
N
N
N
UBS
T6FIZBDPKLYJKFCRVK44
EURO BUXL 30YR BOND MAR 24
000000000
-1.000000000000
NC
-1822.350000000000
-0.0021755021
N/A
DIR
CORP
DE
N
1
UBS
T6FIZBDPKLYJKFCRVK44
Short
EURO BUXL 30YR BOND MAR 24
EURO BUXL 30YR BOND MAR 24
2024-03-07
-140039.220000000000
EUR
-1822.350000000000
N
N
N
UBS
T6FIZBDPKLYJKFCRVK44
US LONG BOND MAR 24
000000000
-3.000000000000
NC
USD
-17349.700000000000
-0.0207118880
N/A
DIR
CORP
US
N
1
UBS
T6FIZBDPKLYJKFCRVK44
Short
US LONG BOND MAR 24
US LONG BOND MAR 24
2024-03-19
-357462.800000000000
USD
-17349.700000000000
N
N
N
SWEDEN (KINGDOM OF)
ERE94C0BSULG2RM19605
SWEDEN (KINGDOM OF)
W7S736KN7
250000.000000000000
PA
27553.680000000000
0.0328932912
Long
DBT
NUSS
SE
N
2
2039-06-01
Fixed
0.125000000000
N
N
N
N
N
N
UBS
T6FIZBDPKLYJKFCRVK44
US ULTRA T-BOND MAR 24
000000000
4.000000000000
NC
USD
47961.470000000000
0.0572558946
N/A
DIR
CORP
US
N
1
UBS
T6FIZBDPKLYJKFCRVK44
Long
US ULTRA T-BOND MAR 24
US ULTRA T-BOND MAR 24
2024-03-19
486413.530000000000
USD
47961.470000000000
N
N
N
UBS
T6FIZBDPKLYJKFCRVK44
AUST 10YR BOND MAR 24
000000000
3.000000000000
NC
6602.490000000000
0.0078819826
N/A
DIR
CORP
AU
N
1
UBS
T6FIZBDPKLYJKFCRVK44
Long
AUST 10YR BOND MAR 24
AUST 10YR BOND MAR 24
2024-03-15
340182.250000000000
AUD
6602.490000000000
N
N
N
UBS
T6FIZBDPKLYJKFCRVK44
MAR24 SFRH4 C @ 94.9375
000000000
45.000000000000
NC
USD
18281.250000000000
0.0218239625
N/A
DIR
CORP
US
N
1
UBS
T6FIZBDPKLYJKFCRVK44
Call
Purchased
UBS
T6FIZBDPKLYJKFCRVK44
THREE-MONTH SOFR FUTURE MAR 24
T6FIZBDPKLYJKFCRVK44
THREE-MONTH SOFR FUTURE MAR 24
000000000
N/A
NC
N/A
N/A
0.000000000000
DIR
CORP
Long
THREE-MONTH SOFR FUTURE MAR 24
THREE-MONTH SOFR FUTURE MAR 24
2024-06-18
N/A
N/A
1.000000000000000
94.937500000000
USD
2024-03-15
XXXX
7592.090000000000
N
N
N
UBS
T6FIZBDPKLYJKFCRVK44
MAR24 SFRH5 C @ 96.5
000000000
-22.000000000000
NC
USD
-18562.500000000000
-0.0221597158
N/A
DIR
CORP
US
N
1
UBS
T6FIZBDPKLYJKFCRVK44
Call
Written
UBS
T6FIZBDPKLYJKFCRVK44
THREE-MONTH SOFR FUTURE MAR 25
T6FIZBDPKLYJKFCRVK44
THREE-MONTH SOFR FUTURE MAR 25
000000000
N/A
NC
N/A
N/A
0.000000000000
DIR
CORP
Short
THREE-MONTH SOFR FUTURE MAR 25
THREE-MONTH SOFR FUTURE MAR 25
2025-06-17
N/A
N/A
1.000000000000000
96.500000000000
USD
2024-03-15
XXXX
-8792.220000000000
N
N
N
2024-01-22
Columbia Funds Variable Series Trust II
Martha Skinner
Martha Skinner
Assistant Treasurer