半期報告書(内国投資信託受益証券)-第1期(平成27年3月25日-平成28年3月25日)
(3)【中間注記表】
2 デリバティブ取引等関係
取引の時価等に関する事項
該当事項はありません。
(参考)
当ファンドは、「ピムコ・バミューダ・インカム・ファンドA クラスS(JPY)」投資信託受益証券及び「日本短期公社債マザーファンド」受益証券を主要投資対象としており、貸借対照表の資産の部に計上された「投資信託受益証券」は、すべて「ピムコ・バミューダ・インカム・ファンドA クラスS(JPY)」の投資信託受益証券であり、「親投資信託受益証券」は、すべて「日本短期公社債マザーファンド」の受益証券であります。
各ファンドの状況は次の通りであります。
なお、以下に記載した情報は監査の対象外であります。
「ピムコ・バミューダ・インカム・ファンドA クラスS(JPY)」は、「ピムコ・バミューダ・インカム・ファンドA」の個別クラスとなっております。
「ピムコ・バミューダ・インカム・ファンドA」は、バミューダの法律に基づき設立された外国証券投資信託であります。
同ファンドの「投資有価証券明細表」は、同ファンドの管理事務代行会社兼保管受託銀行であるブラウン・ブラザーズ・ハリマン・アンド・カンパニーから入手した平成27年4月30日現在の財務情報の原文の一部を翻訳・抜粋したものであります。
(1)投資有価証券明細表
ピムコ・バミューダ・インカム・ファンドA
2015年4月30日現在
投資有価証券明細表-ピムコ・バミューダ・インカム・ファンド(M)
2015年4月30日現在
| (重要な会計方針に係る事項に関する注記) |
| 区分 | 第1期中間計算期間 自 平成27年 3月25日 至 平成27年 9月24日 |
| 1.有価証券の評価基準及び評価方法 | 投資信託受益証券 |
| 移動平均法に基づき、時価で評価しております。 時価評価にあたっては、投資信託受益証券の基準価額に基づいて評価しております。 | |
| 親投資信託受益証券 | |
| 移動平均法に基づき、時価で評価しております。 時価評価にあたっては、親投資信託受益証券の基準価額に基づいて評価しております。 | |
| 2.収益及び費用の計上基準 | 受取配当金 |
| 原則として、投資信託受益証券の収益分配金落ち日において、当該収益分配金額を計上しております。 |
| (中間貸借対照表に関する注記) |
| 第1期中間計算期間末 平成27年 9月24日現在 | |||
| 1. | 中間計算期間末日における受益権の総数 | ||
| 384,725,803口 | |||
| 2. | 投資信託財産計算規則第55条の6第1項第10号に規定する額 | ||
| 元本の欠損 1,696,959円 | |||
| 3. | 中間計算期間末日における1単位当たりの純資産の額 | ||
| 1口当たり純資産額 | 0.9956円 | ||
| (1万口当たり純資産額) | (9,956円) | ||
| (中間損益及び剰余金計算書に関する注記) |
| 区分 | 第1期中間計算期間 自 平成27年 3月25日 至 平成27年 9月24日 |
| 委託者報酬 | 当ファンドの信託財産の運用指図に関する権限を委託するための費用1,254,448円。 |
| (金融商品に関する注記) |
| 金融商品の時価等に関する事項 |
| 第1期中間計算期間末 平成27年 9月24日現在 |
| 1.中間貸借対照表計上額、時価及び差額 |
| 中間貸借対照表上の金融商品は、原則としてすべて時価評価されているため、中間貸借対照表計上額と時価との差額はありません。 |
| 2.時価の算定方法 |
| 投資信託受益証券 「(重要な会計方針に係る事項に関する注記)」に記載しております。 親投資信託受益証券 「(重要な会計方針に係る事項に関する注記)」に記載しております。 コール・ローン等の金銭債権及び金銭債務 これらの科目は短期間で決済されるため、帳簿価額は時価に近似していることから、当該帳簿価額を時価としております。 |
| 3.金融商品の時価等に関する事項についての補足説明 |
| 市場価額がない、又は市場価格を時価と見なせない場合には、経営者により合理的に算定された価額で評価する場合があります。 |
| (その他の注記) |
| 1 元本の移動 |
| 区分 | 第1期中間計算期間末 平成27年 9月24日現在 |
| 期首元本額 | 384,725,803円 |
| 期中追加設定元本額 | -円 |
| 期中一部解約元本額 | -円 |
2 デリバティブ取引等関係
取引の時価等に関する事項
該当事項はありません。
(参考)
当ファンドは、「ピムコ・バミューダ・インカム・ファンドA クラスS(JPY)」投資信託受益証券及び「日本短期公社債マザーファンド」受益証券を主要投資対象としており、貸借対照表の資産の部に計上された「投資信託受益証券」は、すべて「ピムコ・バミューダ・インカム・ファンドA クラスS(JPY)」の投資信託受益証券であり、「親投資信託受益証券」は、すべて「日本短期公社債マザーファンド」の受益証券であります。
各ファンドの状況は次の通りであります。
なお、以下に記載した情報は監査の対象外であります。
「ピムコ・バミューダ・インカム・ファンドA クラスS(JPY)」は、「ピムコ・バミューダ・インカム・ファンドA」の個別クラスとなっております。
「ピムコ・バミューダ・インカム・ファンドA」は、バミューダの法律に基づき設立された外国証券投資信託であります。
同ファンドの「投資有価証券明細表」は、同ファンドの管理事務代行会社兼保管受託銀行であるブラウン・ブラザーズ・ハリマン・アンド・カンパニーから入手した平成27年4月30日現在の財務情報の原文の一部を翻訳・抜粋したものであります。
(1)投資有価証券明細表
ピムコ・バミューダ・インカム・ファンドA
2015年4月30日現在
| 名称 | 数量 | 通貨 | 時価(米ドル) |
| 現金および現金同等物 | |||
| YEN JAPAN | 10,477.0000 | JPY | 87.55 |
| US DOLLARS | 23,731,204.9500 | USD | 23,731,204.95 |
| 現金および現金同等物合計 | 23,731,292.50 | ||
| 株式 | |||
| PIMCO BERMUDA INCOME FD (M) | 105,081,744.5200 | USD | 1,132,781,205.93 |
| 株式合計 | 1,132,781,205.93 | ||
| 債券 | |||
| CASH COLLATERAL V/R 12/31/49 | (460,000.0000) | USD | (460,000.00) |
| CASH COLLATERAL ISDA V/R 12/31 | (389,000.0000) | USD | (389,000.00) |
| CASH COLLATERAL ISDA FBF | (530,000.0000) | USD | (530,000.00) |
| CASH COLLATERAL CME MSB | (409,000.0000) | USD | (409,000.00) |
| 債券合計 | (1,788,000.00) | ||
| 短期金融商品 | |||
| US T BILL ZCP 05/14/15 | 2,640,000.0000 | USD | 2,640,000.00 |
| 短期金融商品合計 | 2,640,000.00 | ||
| 証券合計 | 1,157,364,498.43 |
投資有価証券明細表-ピムコ・バミューダ・インカム・ファンド(M)
2015年4月30日現在
| 証券名 | 数量 | 通貨 | 時価(米ドル) |
| 現金および現金同等物 | |||
| AUSTRALIAN DOLLAR | (8,935,376.830000) | AUD | (7,047,778.22) |
| BRAZIL REAL | 317,720.330000 | BRL | 105,940.32 |
| EURO | 480.820000 | EUR | 538.78 |
| YEN JAPAN | 51,016.000000 | JPY | 426.31 |
| MEXICAN PESO | (538,841.620000) | MXN | (35,078.78) |
| BRITISH POUNDS | (16,279.250000) | GBP | (25,017.14) |
| US DOLLARS | 5,855,269.990000 | USD | 5,855,269.99 |
| 現金および現金同等物合計 | (1,145,698.74) | ||
| 株式関連 | |||
| VM CASH CCP CME FOB AUD | 95,148.670000 | AUD | 75,048.51 |
| VM CASH CCP CME FOB MXN | 25,543.860000 | MXN | 1,662.91 |
| VM CASH CCP CME FOB USD | 142,447.000000 | USD | 142,447.00 |
| ENTERG TEXAS 5.625% 6/1/64/PFD | 67,875.000000 | USD | 1,775,270.63 |
| QWEST CORP 7.375% 6/1/51/PFD | 8,400.000000 | USD | 220,857.00 |
| VM CASH CCP ICE FOB USD | 90,973.000000 | USD | 90,973.00 |
| 株式関連合計 | 2,306,259.05 | ||
| 固定利付 | |||
| IRS R04.25PBW6M 12/11/23 CSFBUS33 FIXED | 22,600,000.000000 | AUD | 19,697,886.02 |
| IRS PBW6MR04.25 12/11/23 CSFBUS33 FLOAT | (22,600,000.000000) | AUD | (17,825,749.36) |
| IRS R04.75PBW6M 06/18/24 CSFBUS33 FIXED | 28,000,000.000000 | AUD | 25,362,483.31 |
| IRS PBW6MR04.75 06/18/24 CSFBUS33 FLOAT | (28,000,000.000000) | AUD | (22,084,999.20) |
| IRS R04.25PBW6M 12/17/24 CSFBUS33 FIXED | 41,400,000.000000 | AUD | 36,242,843.98 |
| IRS PBW6MR04.25 12/17/24 CSFBUS33 FLOAT | (41,400,000.000000) | AUD | (32,654,248.82) |
| IRS R03.50PBW6M 06/17/25 CSFBUS33 FIXED | 9,500,000.000000 | AUD | 7,823,462.96 |
| IRS PBW6MR03.50 06/17/25 CSFBUS33 FLOAT | (9,500,000.000000) | AUD | (7,493,124.73) |
| IRS PBW6MR03.25 12/17/24 CSFBUS33 FLOAT | (39,200,000.000000) | AUD | (30,918,998.88) |
| IRS R03.25PBW6M 12/17/24 CSFBUS33 FIXED | 39,200,000.000000 | AUD | 31,668,949.41 |
| KBC BANK NV V/R 01/25/23 | 800,000.000000 | USD | 893,000.00 |
| IRS R00.00P00.00 01/04/21 CSFPGB2L LONG | 5,000,000.000000 | BRL | 1,661,879.80 |
| IRS P00.00R00.00 01/04/21 CSFPGB2L SHORT | (5,000,000.000000) | BRL | (1,667,194.61) |
| IRS R00.00P00.00 01/04/21 DEUTGB2L LONG | 5,600,000.000000 | BRL | 1,861,305.37 |
| IRS P00.00R00.00 01/04/21 DEUTGB2L SHORT | (5,600,000.000000) | BRL | (1,867,257.97) |
| IRS P00.00R00.00 01/04/21 GSCMUS33 SHORT | (5,000,000.000000) | BRL | (1,667,194.61) |
| IRS R00.00P00.00 01/04/21 GSCMUS33 LONG | 5,000,000.000000 | BRL | 1,661,879.80 |
| IRS P00.00R00.00 01/04/21 BOFAUS6NGFX SHORT | (5,000,000.000000) | BRL | (1,667,194.61) |
| IRS R00.00P00.00 01/04/21 BOFAUS6NGFX LONG | 5,000,000.000000 | BRL | 1,661,879.80 |
| IRS P00.00R00.00 01/04/21 MSCSUS33 SHORT | (11,800,000.000000) | BRL | (3,934,579.28) |
| IRS R00.00P00.00 01/04/21 MSCSUS33 LONG | 11,800,000.000000 | BRL | 3,922,036.32 |
| IRS P00.00R00.00 01/04/21 CITIUS33 SHORT | (5,000,000.000000) | BRL | (1,667,194.61) |
| IRS R00.00P00.00 01/04/21 CITIUS33 LONG | 5,000,000.000000 | BRL | 1,661,879.80 |
| IRS P00.00R00.00 01/04/21 BNPAFRPP SHORT | (15,700,000.000000) | BRL | (5,234,991.08) |
| IRS R00.00P00.00 01/04/21 BNPAFRPP LONG | 15,700,000.000000 | BRL | 5,185,636.21 |
| IRS R00.00P00.00 01/04/21 BARCGB33 LONG | 48,000,000.000000 | BRL | 15,643,174.47 |
| IRS P00.00R00.00 01/04/21 BARCGB33 SHORT | (48,000,000.000000) | BRL | (16,005,068.27) |
| 証券名 | 数量 | 通貨 | 時価(米ドル) |
| IRS P00.00R00.00 01/04/21 BNPAFRPP SHORT | (23,000,000.000000) | BRL | (7,669,095.21) |
| IRS R00.00P00.00 01/04/21 BNPAFRPP LONG | 23,000,000.000000 | BRL | 7,495,687.77 |
| IRS P00.00R00.00 01/04/21 GSCMUS33 SHORT | (6,600,000.000000) | BRL | (2,200,696.89) |
| IRS R00.00P00.00 01/04/21 GSCMUS33 LONG | 6,600,000.000000 | BRL | 2,150,936.49 |
| IRS P00.00R00.00 01/04/21 UBSWUS33 SHORT | (92,500,000.000000) | BRL | (30,843,100.32) |
| IRS R00.00P00.00 01/04/21 UBSWUS33 LONG | 92,500,000.000000 | BRL | 30,145,700.81 |
| IRS P00.00R00.00 01/04/21 BNPARFRPP SHORT | (220,000,000.000000) | BRL | (73,356,562.91) |
| IRS R00.00P00.00 01/04/21 BNPARFRPP LONG | 220,000,000.000000 | BRL | 71,187,589.07 |
| IRS R00.00P00.00 01/04/21 BNPAFRPP LONG | 18,300,000.000000 | BRL | 6,016,284.70 |
| IRS P00.00R00.00 01/04/21 BNPAFRPP SHORT | (18,300,000.000000) | BRL | (6,101,932.28) |
| IRS R00.00P00.00 01/04/21 DEUTGB2L LONG | 8,140,000.000000 | BRL | 2,738,700.80 |
| IRS P00.00R00.00 01/04/21 DEUTGB2L SHORT | (8,140,000.000000) | BRL | (2,714,192.83) |
| IRS P00.00R00.00 01/04/21 CSFPGB2L SHORT | (10,170,000.000000) | BRL | (3,391,073.84) |
| IRS R00.00P00.00 01/04/21 CSFPGB2L LONG | 10,170,000.000000 | BRL | 3,421,693.75 |
| IRS P00.00R00.00 01/04/21 MSCSUS33 SHORT | (10,170,000.000000) | BRL | (3,391,073.84) |
| IRS R00.00P00.00 01/04/21 MSCSUS33 LONG | 10,170,000.000000 | BRL | 3,421,693.75 |
| CAIXA ECONOMICA 4.25% 05/13/19 | 160,000.000000 | USD | 160,000.00 |
| VALEANT PHA 4.5% 05/15/23/EUR/ | 1,000,000.000000 | EUR | 1,130,634.93 |
| UPCB FINA 6.375% 07/01/20/EUR/ | 1,824,000.000000 | EUR | 2,133,098.66 |
| ATTN 2006-2A A1 V/R 10/09/41 | 9,754,048.540000 | USD | 9,363,886.60 |
| BAFC 2013-R1 A1 V/R 11/03/41 | 3,637,744.470000 | USD | 3,595,471.15 |
| FAIRF 2004-1A A1 V/R 11/28/39 | 4,003,143.360000 | USD | 3,865,435.23 |
| GALL 2014-1A A V/R 07/15/23 | 3,000,000.000000 | USD | 2,997,372.81 |
| HLCLO 2007-1A A1 V/R 08/07/21 | 40,830.860000 | USD | 40,805.64 |
| SRERS 2011-RS A1 V/R 01/09/16 | 15,960,637.220000 | USD | 15,422,763.75 |
| SORIN 2006-4A A2 V/R 10/28/46 | 11,350,000.000000 | USD | 10,615,655.00 |
| REPUBLIC OF COSTA 7% 04/04/44 | 200,000.000000 | USD | 206,000.00 |
| CDS GR0128010676 01.000 SP 12/20/2015 GSILGB2XXXX LONG | 140,000.000000 | EUR | 99,616.89 |
| CDS GR0128010676 01.000 SP 12/20/2015 GSILGB2XXXX SHORT | (140,000.000000) | EUR | (156,877.00) |
| CDS XS0498817542 05.000 SP 12/20/2019 MSCSUS33XXX LONG | 100,000.000000 | EUR | 92,908.09 |
| CDS XS0498817542 05.000 SP 12/20/2019 MSCSUS33XXX SHORT | (100,000.000000) | EUR | (112,055.00) |
| CREDIT AGRICOL V/R /PERP//GBP/ | 1,000,000.000000 | GBP | 1,569,405.90 |
| CREDIT AGRICOL V/R /PERP//EUR/ | 300,000.000000 | EUR | 352,797.09 |
| NUMERICAB 5.625% 05/15/24/EUR/ | 4,220,000.000000 | EUR | 5,012,207.73 |
| BPCE SA V/R /PERP/ | 800,000.000000 | USD | 1,089,504.00 |
| CREDIT AGRICOLE SA V/R /PERP/ | 200,000.000000 | USD | 202,442.40 |
| NUMERICABLE-SF 4.875% 05/15/19 | 2,410,000.000000 | USD | 2,440,125.00 |
| CREDIT AGRICOLE SA V/R /PERP/ | 4,346,000.000000 | USD | 4,632,523.09 |
| CREDIT AGRICOLE SA V/R /PERP/ | 200,000.000000 | USD | 202,442.40 |
| T/L NUMERICABLE US 0% 4/23/20 | 11,073.290000 | USD | 11,132.81 |
| T/L NUMERICABLE US 0% 4/23/20 | 9,045.350000 | USD | 9,093.97 |
| HELLENIC 4.028% 03/17/17/EUR/ | 200,000.000000 | EUR | 151,274.25 |
| HELLENIC 5.014% 12/27/17/EUR/ | 80,000.000000 | EUR | 60,061.48 |
| HELLENIC RA 4.5% 12/06/16/JPY/ | 26,000,000.000000 | JPY | 148,049.44 |
| HELLENIC RE 3.8% 08/08/17/JPY/ | 4,000,000.000000 | JPY | 21,251.61 |
| REPUBLIC O 5.25% 02/01/16/JPY/ | 45,200,000.000000 | JPY | 260,612.92 |
| HELLENIC REPU 5% 08/22/16/JPY/ | 41,300,000.000000 | JPY | 231,230.99 |
| 証券名 | 数量 | 通貨 | 時価(米ドル) |
| HELLENIC RE 4.5% 11/08/16/JPY/ | 120,000,000.000000 | JPY | 649,285.54 |
| PERTAMINA PERSE 6.45% 05/30/44 | 200,000.000000 | USD | 214,000.00 |
| RZD CAPIT 7.487% 03/25/31/GBP/ | 6,300,000.000000 | GBP | 9,174,600.11 |
| TAURS 2014- V/R 05/01/17 /GBP/ | 2,820,098.100000 | GBP | 4,348,639.70 |
| DUREV 2010- V/R 11/01/95 /EUR/ | 99,739.400000 | EUR | 110,490.39 |
| DECO 7-E2X V/R 01/27/18 /EUR/ | 38,305.400000 | EUR | 42,650.77 |
| RMFE IV-X I V/R 09/11/22 /EUR/ | 6,560,000.000000 | EUR | 7,264,663.01 |
| EGRET I-X B V/R 12/20/22 /EUR/ | 660,000.000000 | EUR | 725,397.21 |
| DECO 2006-E V/R 10/27/19 /EUR/ | 7,700,343.290000 | EUR | 8,379,166.13 |
| TITN 2007-2 V/R 04/23/17 /EUR/ | 817,139.350000 | EUR | 891,838.70 |
| RZD CAPIT 3.374% 05/20/21/EUR/ | 500,000.000000 | EUR | 487,439.24 |
| NOVATEK(NOVATE 4.422% 12/13/22 | 500,000.000000 | USD | 425,000.00 |
| TRANSNEFT(TRANS 8.7% 08/07/18 | 200,000.000000 | USD | 217,750.00 |
| VNESHECONOMBANK 5.45% 11/22/17 | 100,000.000000 | USD | 98,278.00 |
| VNESHECONOMBAN 6.902% 07/09/20 | 1,400,000.000000 | USD | 1,354,500.00 |
| VEB FINANCE PLS 6.902% 7/9/20 | 200,000.000000 | USD | 193,500.00 |
| RZD CAPITAL PLC 5.7% 04/05/22 | 800,000.000000 | USD | 760,000.00 |
| NOVATEK(NOVATE 4.422% 12/13/22 | 500,000.000000 | USD | 425,000.00 |
| ROSNEFT(ROSNEF 4.199% 03/06/22 | 200,000.000000 | USD | 171,250.00 |
| VNESHECONOMBAN 5.942% 11/21/23 | 9,700,000.000000 | USD | 8,657,250.00 |
| GAZPROM ( 6.605% 02/13/18/EUR/ | 100,000.000000 | EUR | 118,100.37 |
| TELENET F 6.375% 11/15/20/EUR/ | 5,000,000.000000 | EUR | 5,910,901.14 |
| ALTICE SA 7.25% 05/15/22/EUR/ | 300,000.000000 | EUR | 348,771.18 |
| SBERBANK 3.352% 11/15/19/EUR/ | 4,600,000.000000 | EUR | 4,651,963.24 |
| GAZPROM N (GPN 4.375% 09/19/22 | 4,550,000.000000 | USD | 3,878,875.00 |
| GAZPROM NEFT (GPN 6% 11/27/23 | 5,700,000.000000 | USD | 5,301,000.00 |
| GAZPROM (GAZ C 8.625% 04/28/34 | 2,222,000.000000 | USD | 2,538,635.00 |
| GAZPROM (GAZ CA 6.51% 03/07/22 | 1,900,000.000000 | USD | 1,919,889.20 |
| GAZPROM (GAZ C 7.288% 08/16/37 | 837,000.000000 | USD | 857,088.00 |
| GAZPROM (GAZ CA 9.25% 04/23/19 | 6,500,000.000000 | USD | 7,244,250.00 |
| GAZPROM (GAZ C 5.999% 01/23/21 | 1,222,000.000000 | USD | 1,218,945.00 |
| GAZPROM (GAZ CA 4.95% 02/06/28 | 800,000.000000 | USD | 700,716.80 |
| GAZPROM (GAZ CAP 4.3% 11/12/15 | 1,400,000.000000 | USD | 1,404,550.00 |
| GAZPROM (GAZ C 8.146% 04/11/18 | 100,000.000000 | USD | 106,500.00 |
| SBERBANK (SB C 6.125% 02/07/22 | 9,800,000.000000 | USD | 9,550,100.00 |
| TRINSEO OP / TR 8.75% 02/01/19 | 640,000.000000 | USD | 679,206.40 |
| GAZPROM (GAZ C 8.625% 04/28/34 | 400,000.000000 | USD | 457,000.00 |
| GAZPROM (GAZ CA 6.51% 03/07/22 | 100,000.000000 | USD | 101,046.80 |
| GAZPROM (GAZ C 7.288% 08/16/37 | 100,000.000000 | USD | 102,400.00 |
| GAZPROM (GAZ CA 9.25% 04/23/19 | 500,000.000000 | USD | 557,250.00 |
| GAZPROM (GAZ C 5.092% 11/29/15 | 400,000.000000 | USD | 403,666.40 |
| SBERBANK (SB C 5.717% 06/16/21 | 1,300,000.000000 | USD | 1,251,250.00 |
| GAZPROM (GAZ C 5.999% 01/23/21 | 400,000.000000 | USD | 398,000.00 |
| GAZPROM (GAZ CA 4.95% 05/23/16 | 300,000.000000 | USD | 302,052.60 |
| SBERBANK (SB C 6.125% 02/07/22 | 900,000.000000 | USD | 877,050.00 |
| GAZPROM N (GPN 4.375% 09/19/22 | 1,400,000.000000 | USD | 1,193,500.00 |
| GAZPROM NEFT (GPN 6% 11/27/23 | 400,000.000000 | USD | 372,000.00 |
| 証券名 | 数量 | 通貨 | 時価(米ドル) |
| T/L DELTA 2 LUX 0% 7/30/21 | 0.000000 | USD | 0.00 |
| T/L EXPRO FINSERV ZCP 09/02/21 | 199,000.000000 | USD | 178,022.02 |
| T/L SEADRILL 0% 2/12/21 | 148,496.240000 | USD | 121,929.37 |
| UNITED MEXICA 4% 03/15/15/EUR/ | 400,000.000000 | EUR | 448,892.32 |
| PETROLEOS 1.875% 04/21/22/EUR/ | 1,100,000.000000 | EUR | 1,229,215.31 |
| PETROLEOS 2.75% 04/21/27/EUR/ | 1,100,000.000000 | EUR | 1,218,738.17 |
| IRS PMXIER05.98 08/26/24 CSFBUS33 FLOAT | (11,300,000.000000) | MXN | (735,633.98) |
| IRS R05.98PMXIE 08/26/24 CSFBUS33 FIXED | 11,300,000.000000 | MXN | 730,809.82 |
| IRS PMXIER06.71 09/20/29 CSFBUS33 FLOAT | (11,200,000.000000) | MXN | (729,123.94) |
| IRS R06.71PMXIE 09/20/29 CSFBUS33 FIXED | 11,200,000.000000 | MXN | 752,131.88 |
| IRS PMXIER05.43 11/17/21 CSFBUS33 FLOAT | (40,500,000.000000) | MXN | (2,636,564.26) |
| IRS R05.43PMXIE 11/17/21 CSFBUS33 FIXED | 40,500,000.000000 | MXN | 2,593,960.18 |
| IRS PMXIER06.62 02/18/30 CSFBUS33 FLOAT | (12,100,000.000000) | MXN | (787,714.26) |
| IRS R06.62PMXIE 02/18/30 CSFBUS33 FIXED | 12,100,000.000000 | MXN | 803,599.32 |
| CEMEX SAB DE C V/R 09/30/15 | 3,000,000.000000 | USD | 3,011,400.00 |
| PETROBRAS 6.25% 12/14/26/GBP/ | 1,400,000.000000 | GBP | 2,028,296.65 |
| PETROBRAS 6.625% 01/16/34/GBP/ | 900,000.000000 | GBP | 1,260,475.05 |
| LEOP IIX B V/R 04/07/19 /EUR/ | 1,146,623.670000 | EUR | 1,280,451.30 |
| JUBIL IV-X V/R 10/15/19 /EUR/ | 677,877.940000 | EUR | 759,705.49 |
| EUROC IV-X V/R 02/22/20 /EUR/ | 1,365,255.280000 | EUR | 1,531,610.36 |
| HARBM 5X A V/R 06/15/20 /EUR/ | 3,900,000.000000 | EUR | 4,374,939.19 |
| HSAME 2006- V/R 06/21/21 /EUR/ | 1,399,747.370000 | EUR | 1,568,486.89 |
| WODST III-X V/R 08/27/22 /EUR/ | 2,700,000.000000 | EUR | 2,941,678.96 |
| PGAEA 2007- V/R 12/28/96 /EUR/ | 103,267.060000 | EUR | 107,673.65 |
| DALRA 3-X B V/R 04/11/23 /EUR/ | 1,126,082.390000 | EUR | 1,254,461.80 |
| DALRA 4-X C V/R 08/08/23 /EUR/ | 4,000,000.000000 | EUR | 4,431,000.92 |
| HARBM 11X A V/R 11/17/24 /EUR/ | 2,450,101.760000 | EUR | 2,752,318.08 |
| RABOBANK 6.875% 03/19/20 /EUR | 100,000.000000 | EUR | 136,651.07 |
| PETROBRAS 5.875% 03/07/22/EUR/ | 1,000,000.000000 | EUR | 1,179,061.74 |
| PETROBRAS 4.25% 10/02/23/EUR/ | 1,400,000.000000 | EUR | 1,488,180.69 |
| PETROBRAS 3.25% 04/01/19/EUR/ | 320,000.000000 | EUR | 342,428.96 |
| SCHAEFFLE 6.875% 08/15/18/EUR/ | 2,500,000.000000 | EUR | 2,939,202.60 |
| PETROBRAS GLOB 7.875% 03/15/19 | 3,930,000.000000 | USD | 4,285,704.30 |
| PETROBRAS GLOBA 5.75% 01/20/20 | 865,000.000000 | USD | 865,000.00 |
| PETROBRAS GLOB 6.875% 01/20/40 | 260,000.000000 | USD | 245,910.60 |
| PETROBRAS GLOB 5.375% 01/27/21 | 2,800,000.000000 | USD | 2,701,440.00 |
| PETROBRAS GLOBA 6.75% 01/27/41 | 488,000.000000 | USD | 452,590.72 |
| PETROBRAS GLOB 3.875% 01/27/16 | 220,000.000000 | USD | 220,631.40 |
| PETROBRAS GLOBAL 3.5% 02/06/17 | 642,000.000000 | USD | 635,573.58 |
| PETROBRAS GLOB 5.625% 05/20/43 | 75,000.000000 | USD | 62,325.00 |
| PETROBRAS GLOBAL F 3% 01/15/19 | 200,000.000000 | USD | 187,300.00 |
| PETROBRAS GLOBAL F 2% 05/20/16 | 57,000.000000 | USD | 56,002.50 |
| PETROBRAS GLOBAL V/R 05/20/16 | 5,091,000.000000 | USD | 4,938,270.00 |
| PETROBRAS GLOBAL V/R 01/15/19 | 3,200,000.000000 | USD | 2,968,320.00 |
| PETROBRAS GLOB 4.375% 05/20/23 | 730,000.000000 | USD | 651,035.90 |
| PETROBRAS GLOBA 3.25% 03/17/17 | 759,000.000000 | USD | 746,774.03 |
| PETROBRAS GLOB 4.875% 03/17/20 | 1,769,000.000000 | USD | 1,708,818.62 |
| 証券名 | 数量 | 通貨 | 時価(米ドル) |
| PETROBRAS GLOBAL V/R 03/17/17 | 999,000.000000 | USD | 966,532.50 |
| PETROBRAS GLOBAL V/R 03/17/20 | 333,000.000000 | USD | 312,187.50 |
| PETROBRAS GLOBA 6.25% 03/17/24 | 110,000.000000 | USD | 109,571.00 |
| RABOBANK 8.375% V/R 12/31/49 | 4,680,000.000000 | USD | 4,972,518.72 |
| RABOBANK NEDERLAND V/R /PERP/ | 600,000.000000 | USD | 661,500.00 |
| EKSPORTFINANS AS 5.5% 05/25/16 | 800,000.000000 | USD | 829,000.00 |
| EKSPORTFINANS ASA 2% 09/15/15 | 1,303,000.000000 | USD | 1,306,218.41 |
| EKSPORTFINANS 2.375% 05/25/16 | 500,000.000000 | USD | 502,812.50 |
| NOVO BANC 5.875% 11/09/15/EUR/ | 800,000.000000 | EUR | 902,715.06 |
| NOVO BANCO SA 5% 04/23/19/EUR/ | 4,528,000.000000 | EUR | 5,218,262.24 |
| NOVO BANCO SA 5% 04/04/19/EUR/ | 33,000.000000 | EUR | 37,993.54 |
| NOVO BANC 2.625% 05/08/17/EUR/ | 3,100,000.000000 | EUR | 3,412,786.57 |
| NOVO BANCO SA 5% 05/21/19/EUR/ | 202,000.000000 | EUR | 232,312.96 |
| NOVO BANCO SA 5% 05/14/19/EUR/ | 119,000.000000 | EUR | 136,824.16 |
| RUSSIAN FEDERA 5.625% 04/04/42 | 200,000.000000 | USD | 194,452.00 |
| RUSSIAN RAILWA 5.739% 04/03/17 | 800,000.000000 | USD | 804,600.00 |
| RUSSIAN FEDERA 5.625% 04/04/42 | 1,800,000.000000 | USD | 1,750,068.00 |
| BANCO POPULAR V/R /PERP//EUR/ | 100,000.000000 | EUR | 130,146.28 |
| BANCO SANTANDE V/R /PERP//EUR/ | 6,200,000.000000 | EUR | 6,937,176.34 |
| BANCO POPULAR V/R /PERP//EUR/ | 9,200,000.000000 | EUR | 10,538,951.85 |
| BANCO BILBAO V V/R /PERP//EUR/ | 2,200,000.000000 | EUR | 2,519,434.71 |
| BANCO BILBAO VIZCAY V/R /PERP/ | 1,000,000.000000 | USD | 1,083,750.00 |
| CORP ANDIN 3.95% 10/15/21/MXN/ | 637,651.200000 | MXN | 41,701.48 |
| PERSTORP HOLD 9% 05/15/17/EUR/ | 9,000,000.000000 | EUR | 10,639,622.06 |
| PERSTORP HOLDIN 8.75% 05/15/17 | 8,100,000.000000 | USD | 8,525,250.00 |
| CREDIT SUISSE 6.5% 08/08/23 | 3,000,000.000000 | USD | 3,432,915.00 |
| CREDIT SUISSE NEW V/R 03/11/16 | 2,700,000.000000 | USD | 2,698,841.70 |
| UBS AG STAMFOR 7.625% 08/17/22 | 1,000,000.000000 | USD | 1,203,450.00 |
| UBS AG 5.125% 05/15/24 | 5,500,000.000000 | USD | 5,715,935.50 |
| UBS AG JERSEY BRA V/R 02/22/22 | 10,000,000.000000 | USD | 10,747,540.00 |
| ROYAL BK 13.12% 03/19/22 /AUD | 3,700,000.000000 | AUD | 3,379,127.92 |
| UNIQUE PUB 6.542% 3/30/21/GBP/ | 1,589,160.000000 | GBP | 2,552,037.94 |
| UNIQUE PU 5.659% 06/30/27/GBP/ | 1,810,986.260000 | GBP | 2,817,820.98 |
| SPIRIT IS 6.582% 12/28/27/GBP/ | 300,000.000000 | GBP | 487,533.92 |
| SPIRIT ISS V/R 12/28/31 /GBP/ | 760,000.000000 | GBP | 1,132,892.07 |
| ECLIP 2006- V/R 10/25/16 /GBP/ | 1,908,691.800000 | GBP | 2,886,016.49 |
| EURO 27X A V/R 07/25/17 /GBP/ | 6,300,000.000000 | GBP | 9,460,858.59 |
| ESAIL 2007- V/R 09/13/45 /GBP/ | 580,051.360000 | GBP | 842,924.36 |
| BARCLAYS BANK V/R /PERP//GBP/ | 500,000.000000 | GBP | 1,034,424.82 |
| TESCO PRO 6.051% 10/13/39 /GB | 138,813.320000 | GBP | 226,116.37 |
| LBG CAPITAL 15% 12/21/19/GBP/ | 1,500,000.000000 | GBP | 3,273,277.41 |
| ALBA 2012-1 V/R 12/16/42 /GBP/ | 1,837,646.610000 | GBP | 2,853,867.18 |
| LLOYDS BANKING V/R /PERP//GBP/ | 500,000.000000 | GBP | 821,777.04 |
| TIG FINCO V/R 03/02/20/GBP/ | 335,602.000000 | GBP | 539,589.16 |
| TIG FINCO 8.75% 04/02/20/GBP/ | 1,723,824.000000 | GBP | 2,675,577.33 |
| HBOS PLC V/R 09/01/16/EUR/ | 400,000.000000 | EUR | 448,419.45 |
| LBG CAPITAL 15% 12/21/19/EUR/ | 1,400,000.000000 | EUR | 2,349,383.63 |
| 証券名 | 数量 | 通貨 | 時価(米ドル) |
| BARCLAYS PLC V/R /PERP//EUR/ | 700,000.000000 | EUR | 799,269.48 |
| ERB HELLAS 4.25% 06/26/18/EUR/ | 3,600,000.000000 | EUR | 2,547,583.38 |
| HSBC HOLDINGS V/R /PERP//EUR/ | 1,800,000.000000 | EUR | 2,109,771.50 |
| BARCLAYS BANK PLC V/R 04/10/23 | 900,000.000000 | USD | 1,000,125.00 |
| BARCLAYS BANK 7.625% 11/21/22 | 2,800,000.000000 | USD | 3,285,450.00 |
| HSBC HOLDINGS PLC V/R /PERP/ | 400,000.000000 | USD | 414,000.00 |
| HBOS PLC V/R 09/30/16 | 200,000.000000 | USD | 200,000.00 |
| ROYAL BK OF SCOTL V/R 03/16/22 | 1,800,000.000000 | USD | 2,024,274.60 |
| BARCLAYS BANK PLC V/R 04/10/23 | 800,000.000000 | USD | 889,000.00 |
| AT&T INC V/R 06/30/20 | 100,000.000000 | USD | 100,927.30 |
| AT&T INC 2.45% 06/30/20 | 100,000.000000 | USD | 100,008.20 |
| AT&T INC 3% 06/30/22 | 300,000.000000 | USD | 298,524.90 |
| AT&T INC 3.4% 05/15/25 | 500,000.000000 | USD | 495,761.50 |
| AT&T INC 4.5% 05/15/35 | 200,000.000000 | USD | 196,480.20 |
| AT&T INC 4.75% 05/15/46 | 300,000.000000 | USD | 294,465.60 |
| ACCR 2006-2 A4 V/R 09/25/36 | 1,600,000.000000 | USD | 1,349,142.40 |
| ACE 2006-OP2 A1 V/R 08/25/36 | 7,482,111.510000 | USD | 6,312,642.52 |
| ACE 2005-HE5 M4 V/R 08/25/35 | 5,023,000.000000 | USD | 3,901,293.78 |
| AGFC CAP TRST 1 V/R 1/15/67 144A | 2,200,000.000000 | USD | 1,694,000.00 |
| ALLIANCE DATA S 5.25% 12/01/17 | 795,000.000000 | USD | 830,775.00 |
| ALLY FINANCIAL 6.25% 12/01/17 | 5,090,000.000000 | USD | 5,465,387.50 |
| ALLY FINANCIAL I 5.5% 02/15/17 | 185,000.000000 | USD | 193,787.50 |
| ALLY FINANCIAL 4.625% 06/26/15 | 11,320,000.000000 | USD | 11,362,450.00 |
| ALLY FINANCIAL 3.125% 01/15/16 | 200,000.000000 | USD | 201,250.00 |
| ALLY FINANCIAL I 3.5% 07/18/16 | 150,000.000000 | USD | 152,625.00 |
| ALLY FINANCIAL 2.75% 01/30/17 | 430,000.000000 | USD | 429,570.00 |
| ALLY FINANCIAL I 3.5% 01/27/19 | 300,000.000000 | USD | 298,500.00 |
| CWALT 2007-J2 2A1 6% 07/25/37 | 134,416.720000 | USD | 137,639.50 |
| ILLINOIS PWR GENER 7% 04/15/18 | 5,000,000.000000 | USD | 4,862,500.00 |
| ILLINOIS PWR GEN 6.3% 04/01/20 | 35,000.000000 | USD | 33,337.50 |
| SPRINGLEAF FINAN 5.4% 12/01/15 | 3,875,000.000000 | USD | 3,937,968.75 |
| SPRINGLEAF FINA 5.75% 09/15/16 | 600,000.000000 | USD | 623,250.00 |
| SPRINGLEAF FINAN 6.5% 09/15/17 | 400,000.000000 | USD | 424,500.00 |
| AMSI 2002-AR1 M1 V/R 09/25/32 | 1,076,444.470000 | USD | 986,377.28 |
| AMSI 2003-9 AV2 V/R 10/25/33 | 97,881.620000 | USD | 93,332.38 |
| AMSI 2004-R9 M4 V/R 10/25/34 | 9,000,000.000000 | USD | 6,446,754.00 |
| QUEST 2005-X1 M3 V/R 03/25/35 | 6,059,500.000000 | USD | 4,916,775.25 |
| ARSI 2003-W3 M2 V/R 09/25/33 | 2,991,793.900000 | USD | 2,879,357.80 |
| ARMORED AUTOGRO 9.25% 11/01/18 | 571,000.000000 | USD | 601,691.25 |
| ABSHE 2005-HE1 M V/R 03/25/35 | 3,820,959.370000 | USD | 3,699,705.05 |
| ABFC 2005-WMC1 M V/R 06/25/35 | 5,000,000.000000 | USD | 3,843,570.00 |
| BAMLL 2014-ICTS V/R 06/15/16 | 5,000,000.000000 | USD | 4,987,115.00 |
| BCAP 2011-R11 8A V/R 06/26/19 | 1,693,028.500000 | USD | 1,616,402.03 |
| BCAP 2011-RR9 6A V/R 12/26/14 | 2,178,838.770000 | USD | 2,154,671.09 |
| BCAP 2012-RR6 3A V/R 08/26/14 | 1,842,027.190000 | USD | 1,808,208.49 |
| BGC PARTNERS I 5.375% 12/09/19 | 650,000.000000 | USD | 670,670.00 |
| BCAP 2013-RR4 1A V/R 09/26/35 | 367,212.150000 | USD | 363,652.76 |
| 証券名 | 数量 | 通貨 | 時価(米ドル) |
| BCAP 2014-RR1 3A V/R 04/26/15 | 2,735,920.060000 | USD | 2,683,798.05 |
| BOAA 2007-1 1A1 V/R 04/25/22 | 736,730.600000 | USD | 735,604.14 |
| BANK OF NY MELLON C V/R /PERP/ | 200,000.000000 | USD | 200,203.20 |
| BSARM 2004-8 2A1 V/R 11/25/34 | 59,532.500000 | USD | 57,772.75 |
| BSABS 2007-HE3 1 V/R 04/25/37 | 8,040,475.280000 | USD | 7,694,236.33 |
| BSABS 2005-2 M3 V/R 06/25/35 | 3,853,000.000000 | USD | 3,425,825.60 |
| BSABS 2005-HE12 V/R 12/25/35 | 6,400,000.000000 | USD | 5,829,324.80 |
| BSABS 2006-HE1 1 V/R 12/25/35 | 9,109,000.000000 | USD | 8,289,581.69 |
| BSABS 2005-HE10 V/R 11/25/35 | 8,696,926.240000 | USD | 7,363,852.69 |
| BSABS 2006-4 A V/R 10/25/36 | 10,873,000.000000 | USD | 10,387,487.93 |
| BSABS 2007-HE1 1A V/R 02/25/37 | 14,554,473.750000 | USD | 11,686,558.36 |
| BLACKSTONE CQP 2.324% 3/19/19 | 5,025,696.000000 | USD | 5,195,493.46 |
| BOXER PARENT CO IN 9% 10/15/19 | 556,000.000000 | USD | 458,700.00 |
| BSDB 2005-AFR 5.116% 09/15/27 | 1,500,000.000000 | USD | 1,549,990.50 |
| BSDB 2005-AFR 5.156% 09/15/27 | 1,580,000.000000 | USD | 1,622,841.70 |
| CIT GROUP INC 5.25% 03/15/18 | 8,000.000000 | USD | 8,312.00 |
| CIT GROUP INC 5% 05/15/17 | 1,000,000.000000 | USD | 1,037,500.00 |
| CIT GROUP INC 4.25% 08/15/17 | 40,000.000000 | USD | 40,800.00 |
| COMM 2014-LC15 X V/R 03/10/24 | 33,000,000.000000 | USD | 485,182.50 |
| CSMC 2007-4R 1A1 V/R 10/26/36 | 813,296.900000 | USD | 643,521.17 |
| CSMC 2013-8R 3A1 V/R 03/27/36 | 2,670,233.200000 | USD | 2,618,406.64 |
| CSMC 2014-ICE X1 V/R 04/15/16 | 60,000,000.000000 | USD | 1,001,100.00 |
| CWL 2004-BC1 M2 V/R 01/25/34 | 2,447,169.880000 | USD | 2,306,095.43 |
| CWL 2003-2 3A V/R 08/26/33 | 39,364.100000 | USD | 34,189.10 |
| CWALT 2004-15 2A V/R 09/25/34 | 4,131,488.330000 | USD | 3,991,071.44 |
| CWALT 2005-28CB 5.5% 08/25/35 | 229,401.800000 | USD | 223,354.77 |
| CWALT 2005-36 3A V/R 08/25/35 | 1,758,257.710000 | USD | 1,498,123.48 |
| CWL 2006-25 2A3 V/R 11/25/33 | 11,120,178.380000 | USD | 9,999,809.29 |
| CWALT 2005-86CB 5.5% 02/25/36 | 53,061.360000 | USD | 49,176.21 |
| CWHL 2004-22 A3 V/R 11/25/34 | 40,970.810000 | USD | 38,967.54 |
| CWHL 2004-7 2A1 V/R 06/25/34 | 5,211.500000 | USD | 5,123.80 |
| CAESARS ENTERTAI 8.5% 02/15/20 | 871,000.000000 | USD | 670,670.00 |
| CAESARS ENTERTAINM 9% 02/15/20 | 1,333,000.000000 | USD | 1,029,742.50 |
| CAESARS ENTERTAINM 9% 02/15/20 | 4,849,000.000000 | USD | 3,745,852.50 |
| CALIFORNIA RESOURC 5% 01/15/20 | 2,610,000.000000 | USD | 2,479,500.00 |
| CALIFORNIA RESOU 5.5% 09/15/21 | 2,770,000.000000 | USD | 2,638,425.00 |
| CCRE CO LP/FIN 7.75% 02/15/18 | 1,664,000.000000 | USD | 1,747,200.00 |
| CRELT 2006-1A B V/R 01/20/37 | 5,000,000.000000 | USD | 4,612,500.00 |
| CBAC 2006-2A A S/UP 01/25/39 | 4,575,008.600000 | USD | 3,898,110.46 |
| CXHE 2005-B M2 V/R 03/25/35 | 5,513,525.100000 | USD | 4,383,765.21 |
| CCMFC 2004-A A1 V/R 03/25/35 | 1,751,101.220000 | USD | 1,585,571.37 |
| CMLTI 2006-WMC1 V/R 12/25/35 | 18,214,284.180000 | USD | 17,020,137.49 |
| CMLTI 2013-7 2A2 V/R 08/25/36 | 9,000,000.000000 | USD | 7,462,800.90 |
| CGCMT 2014-GC19 V/R 03/10/47 | 25,400,000.000000 | USD | 511,365.50 |
| IHEARTCOMMUNICATIO 9% 03/01/21 | 789,000.000000 | USD | 759,412.50 |
| HCA INC 7.19% 11/15/15 | 100,000.000000 | USD | 103,250.00 |
| CWL 2006-7 2A3 V/R 04/25/46 | 7,702,986.600000 | USD | 7,321,426.86 |
| 証券名 | 数量 | 通貨 | 時価(米ドル) |
| CWALT 2006-OA12 V/R 09/20/46 | 4,968,685.190000 | USD | 4,099,373.97 |
| CWALT 2006-OC7 2 V/R 05/25/35 | 9,659,896.140000 | USD | 9,509,844.14 |
| CWALT 2006-OC9 A V/R 12/25/36 | 25,348,380.840000 | USD | 16,978,193.40 |
| D.R. HORTON IN 5.625% 01/15/16 | 1,100,000.000000 | USD | 1,131,625.00 |
| DMARC 2014-RS1 4 V/R 11/27/36 | 8,706,214.000000 | USD | 7,467,797.72 |
| DYNEGY INC 6.75% 11/01/19 | 860,000.000000 | USD | 903,000.00 |
| DYNEGY INC 7.375% 11/01/22 | 270,000.000000 | USD | 288,900.00 |
| EMCM 2004-AA M1 V/R 04/25/42 | 4,729,753.730000 | USD | 4,466,978.07 |
| DISH DBS CORP 7.125% 02/01/16 | 700,000.000000 | USD | 725,375.00 |
| DISH DBS CORP 7.75% 05/31/15 | 800,000.000000 | USD | 802,500.00 |
| FHR 4065 QS V/R 06/15/42 | 143,032.430000 | USD | 24,434.95 |
| FFML 2006-FF8 II V/R 07/25/36 | 3,081,824.530000 | USD | 2,947,592.58 |
| GEBL 2003-1 A V/R 04/15/31 | 344,442.250000 | USD | 329,569.92 |
| GSAA 2007-10 A2 6.5% 11/25/37 | 39,124.750000 | USD | 31,260.09 |
| GSAMP 2006-HE4 A V/R 06/25/36 | 11,622,520.690000 | USD | 10,751,110.58 |
| GSAMP 2006-HE3 A V/R 05/25/36 | 2,755,522.140000 | USD | 2,497,467.49 |
| GENERAL MOTORS 2.75% 05/15/16 | 140,000.000000 | USD | 142,030.00 |
| GT 1996-7 M1 V/R 09/15/26 | 5,543,796.470000 | USD | 6,161,702.48 |
| GPMF 2005-AR5 3A V/R 11/25/45 | 159,241.580000 | USD | 114,474.47 |
| GULFPORT ENERGY 7.75% 11/01/20 | 3,610,000.000000 | USD | 3,826,600.00 |
| HCA INC 6.5% 02/15/16 | 500,000.000000 | USD | 519,375.00 |
| HCA INC 3.75% 03/15/19 | 1,045,000.000000 | USD | 1,078,962.50 |
| HVMLT 2006-12 2A V/R 12/19/36 | 863,532.210000 | USD | 617,175.11 |
| CAESARS ENTERT 11.25% 06/01/17 | 3,045,000.000000 | USD | 2,298,975.00 |
| HEAT 2006-3 2A4 V/R 07/25/36 | 1,204,136.920000 | USD | 1,181,546.71 |
| IHEARTCOMMUNICATIO 9% 09/15/22 | 600,000.000000 | USD | 576,000.00 |
| INTL LEASE FIN 8.625% 09/15/15 | 100,000.000000 | USD | 102,500.00 |
| INTL LEASE FINA 6.75% 09/01/16 | 500,000.000000 | USD | 530,000.00 |
| INTL LEASE FIN V/R 03/15/17 | 1,100,000.000000 | USD | 1,224,960.00 |
| INTREPID AVIAT 6.875% 02/15/19 | 2,406,000.000000 | USD | 2,279,685.00 |
| JPMCC 2002-C2 E V/R 11/12/12 | 47,328.280000 | USD | 49,196.23 |
| JPMCC 2005-LDP3 V/R 08/15/42 | 4,997,650.760000 | USD | 5,006,858.93 |
| JPMAC 2006-NC1 A V/R 04/25/36 | 2,175,796.770000 | USD | 2,140,569.53 |
| JPALT 2006-A1 4A V/R 03/25/36 | 1,279,845.160000 | USD | 1,025,717.83 |
| JPALT 2006-S1 3A V/R 03/25/36 | 2,757,493.700000 | USD | 2,467,587.36 |
| JPMAC 2006-CW1 A V/R 05/25/36 | 20,378,589.780000 | USD | 17,657,049.49 |
| JPMAC 2006-CW2 M V/R 08/25/36 | 8,600,000.000000 | USD | 6,137,149.20 |
| JPMAC 2007-HE1 A V/R 01/25/32 | 33,587.420000 | USD | 33,072.39 |
| JMAC 2008-R1 A V/R 06/25/47 | 1,808,299.660000 | USD | 1,770,395.89 |
| JEFFERIES FIN 6.875% 04/15/22 | 1,000,000.000000 | USD | 960,000.00 |
| JEFFERIES LOAN 6.875% 06/01/20 | 2,400,000.000000 | USD | 2,292,000.00 |
| LXS 2005-9N 1A V/R 02/25/36 | 281,460.200000 | USD | 237,854.70 |
| LXS 2007-12N 1A2 V/R 07/25/47 | 2,765,286.470000 | USD | 2,675,413.28 |
| LBMLT 2004-2 M4 V/R 06/25/34 | 2,881,457.300000 | USD | 2,732,281.37 |
| MGM RESORTS INTL 7.5% 06/01/16 | 2,000,000.000000 | USD | 2,113,750.00 |
| MARM 2004-3 4A2 V/R 04/25/34 | 6,800.050000 | USD | 6,394.13 |
| MABS 2006-HE5 A4 V/R 11/25/36 | 50,434.580000 | USD | 35,122.09 |
| 証券名 | 数量 | 通貨 | 時価(米ドル) |
| MLMI 2003-A2 1A1 V/R 02/25/33 | 49,333.360000 | USD | 47,444.88 |
| MLMI 2005-A6 2A3 V/R 08/25/35 | 100,000.000000 | USD | 90,341.40 |
| MSAC 2003-SD1 A1 V/R 03/25/33 | 211,392.950000 | USD | 201,632.09 |
| MSDWC 2001-TOP3 V/R 07/15/33 | 2,019,000.000000 | USD | 2,307,935.05 |
| NCSLT 2007-2 A2 V/R 06/26/28 | 3,137,910.730000 | USD | 3,033,022.93 |
| NLFC 1999-LTL1 6.45% 01/22/26 | 1,072,000.000000 | USD | 1,171,215.74 |
| NHELI 2006-AF1 A V/R 10/25/36 | 29,829,516.640000 | USD | 16,455,721.32 |
| NMRR 2011-3RA 3A V/R 11/26/36 | 13,238,866.520000 | USD | 13,007,331.98 |
| NHEL 2005-2 M3 V/R 10/25/35 | 2,500,000.000000 | USD | 2,014,745.00 |
| ONEMAIN FIN HOL 6.75% 12/15/19 | 2,390,000.000000 | USD | 2,521,450.00 |
| OOMLT 2006-3 2A2 V/R 02/25/37 | 7,186,329.050000 | USD | 4,254,285.24 |
| QVC INC 5.45% 08/15/34 | 50,000.000000 | USD | 48,398.55 |
| RASC 2007-KS1 A3 V/R 11/25/36 | 4,646,074.860000 | USD | 4,279,420.57 |
| RBSGC 2007-A 1A1 6% 01/25/37 | 28,728.800000 | USD | 26,107.30 |
| RBSSP 2009-9 1A1 V/R 03/26/36 | 175,523.310000 | USD | 172,357.85 |
| RBSSP 2009-9 11A V/R 04/26/37 | 574,692.410000 | USD | 539,572.38 |
| RBSCF 2010-RR4 W V/R 03/16/17 | 25,000.000000 | USD | 26,481.63 |
| RASC 2006-KS9 AI V/R 11/25/36 | 14,968,015.730000 | USD | 12,839,848.29 |
| SL GREEN REALTY 7.75% 03/15/20 | 500,000.000000 | USD | 604,451.00 |
| RAMC 2007-1 AF3 V/R 04/25/37 | 735,395.900000 | USD | 403,875.02 |
| RAMC 2007-3 AV2 V/R 09/25/37 | 91,417.480000 | USD | 72,220.17 |
| RAMC 2004-3 AV2A V/R 11/25/34 | 81,935.320000 | USD | 70,331.89 |
| RASC 2004-KS2 M2 V/R 03/25/34 | 5,774,071.210000 | USD | 5,396,885.78 |
| RAMP 2005-EFC5 M V/R 10/25/35 | 5,000,000.000000 | USD | 4,748,155.00 |
| RAMP 2005-EFC6 M V/R 11/25/35 | 13,000,000.000000 | USD | 9,960,015.00 |
| RAMP 2005-NC1 AI V/R 10/25/34 | 15,763,347.630000 | USD | 14,307,224.16 |
| RIO OIL FINANCE 6.75% 01/06/27 | 700,000.000000 | USD | 690,022.90 |
| NAVIENT CORP 5.625% 08/01/33 | 5,353,000.000000 | USD | 4,389,460.00 |
| NAVIENT CORP 8.45% 06/15/18 | 700,000.000000 | USD | 782,740.00 |
| NAVIENT CORP 6.25% 01/25/16 | 1,080,000.000000 | USD | 1,113,750.00 |
| NAVIENT CORP 6% 01/25/17 | 200,000.000000 | USD | 210,000.00 |
| SAST 2003-1 M1 V/R 06/25/33 | 2,328,431.350000 | USD | 2,175,746.79 |
| SAST 2004-1 M1 V/R 03/25/35 | 2,149,304.350000 | USD | 1,956,391.39 |
| SEQUA CORP 7% 12/15/17 | 399,000.000000 | USD | 278,302.50 |
| SEMT 2004-5 A2 V/R 06/20/34 | 115,153.760000 | USD | 112,470.39 |
| SPANISH BROADCA 12.5% 04/15/17 | 900,000.000000 | USD | 939,375.00 |
| SURF 2005-BC2 M3 V/R 12/25/35 | 4,670,055.000000 | USD | 4,170,092.92 |
| SCFT 2014-AA A 2.7% 05/25/23 | 1,038,690.150000 | USD | 1,045,235.46 |
| SPRINGLEAF FINAN 6.9% 12/15/17 | 7,390,000.000000 | USD | 7,870,350.00 |
| SPRINT COMMUNICATI 6% 12/01/16 | 305,000.000000 | USD | 318,725.00 |
| SPRINT COMMUNI 9.125% 03/01/17 | 1,400,000.000000 | USD | 1,533,000.00 |
| SPRINT CORP 7.125% 06/15/24 | 310,000.000000 | USD | 298,762.50 |
| SARM 2005-9 2A1 V/R 05/25/35 | 231,456.880000 | USD | 164,145.05 |
| SARM 2005-19XS 1 V/R 10/25/35 | 18,382,527.060000 | USD | 15,946,621.63 |
| SAIL 2004-BNC2 A V/R 12/25/34 | 12,273,458.990000 | USD | 10,830,456.14 |
| SAMI 2002-AR3 A1 V/R 09/19/32 | 132,690.370000 | USD | 130,088.64 |
| SASC 2003-23H 1 5.5% 07/25/33 | 36,907.150000 | USD | 37,127.71 |
| 証券名 | 数量 | 通貨 | 時価(米ドル) |
| SASC 2006-OPT1 A V/R 04/25/36 | 1,700,000.000000 | USD | 1,555,403.10 |
| SASC 2007-TC1 M1 V/R 04/25/31 | 8,945,000.000000 | USD | 7,521,662.66 |
| T-MOBILE USA INC 6% 03/01/23 | 290,000.000000 | USD | 296,249.50 |
| T-MOBILE USA I 6.375% 03/01/25 | 380,000.000000 | USD | 391,206.20 |
| TIMES SQUARE H 8.528?08/01/26 | 2,377,940.990000 | USD | 3,088,644.54 |
| UNITED AIRLINE 10.4% 11/01/16 | 9,276,796.100000 | USD | 10,111,707.75 |
| US TIPS 2.375% 01/15/25 | 22,040,571.000000 | USD | 26,837,833.52 |
| US TREAS NTS V/R 10/31/16 | 5,957,000.000000 | USD | 5,955,909.87 |
| UNIVISION COMMU 6.75% 09/15/22 | 23,000.000000 | USD | 24,783.65 |
| UNIVISION COMM 5.125% 02/15/25 | 200,000.000000 | USD | 202,000.00 |
| WFRBS 2014-C19 X V/R 03/15/47 | 8,800,000.000000 | USD | 340,612.80 |
| WAMU 2005-AR1 A3 V/R 01/25/45 | 287,330.430000 | USD | 263,102.15 |
| WFHET 2006-2 M1 V/R 07/25/36 | 10,000,000.000000 | USD | 8,356,750.00 |
| WFMBS 2006-AR14 V/R 10/25/36 | 87,814.470000 | USD | 82,064.29 |
| WESTMORELAND CO 8.75% 01/01/22 | 710,000.000000 | USD | 710,000.00 |
| WYNN LAS VEGAS L 5.5% 03/01/25 | 1,100,000.000000 | USD | 1,109,625.00 |
| CASH COLLATERAL V/R 12/31/49 | 4,891,000.000000 | USD | 4,891,000.00 |
| CASH COLLATERAL ISDA V/R 12/31/49 | 2,200,000.000000 | USD | 2,200,000.00 |
| CASH COLLATERAL ISDA BRC | 350,000.000000 | USD | 350,000.00 |
| CASH COLLATERAL V/R 12/31/49 | 603,000.000000 | USD | 603,000.00 |
| CASH COLLATERAL V/R 12/31/49 | (260,000.000000) | USD | (260,000.00) |
| CASH COLLATERAL ISDA FBF | 510,000.000000 | USD | 510,000.00 |
| CASH COLLATERAL CME CDS FOB USD | 1,432,000.000000 | USD | 1,432,000.00 |
| CASH COLL ISDA V/R 12/31/49 | 2,062,000.000000 | USD | 2,062,000.00 |
| CASH COLLATERAL ISDA GLM | (7,690,000.000000) | USD | (7,690,000.00) |
| CASH COLLATERAL ISDA GST | 1,211,000.000000 | USD | 1,211,000.00 |
| CASH COLLATERAL ISDA JPM USD | 340,000.000000 | USD | 340,000.00 |
| CASH COLLATERAL CME MSB | 410,000.000000 | USD | 410,000.00 |
| CASH COLLATERAL ISDA MYC | 261,000.000000 | USD | 261,000.00 |
| CASH COLLATERAL ISDA MYC | (50,000.000000) | USD | (50,000.00) |
| CASH COLL ISDA V/R 12/31/49 | 1,740,000.000000 | USD | 1,740,000.00 |
| CASH COLLATERAL ISDA UAG | 230,000.000000 | USD | 230,000.00 |
| T/L MGM RESORTS I ZCP 12/20/19 | 2,559,344.940000 | USD | 2,564,143.71 |
| T/L SEQUA CORP 0% 5/19/17 | 364,068.880000 | USD | 330,847.59 |
| T/L HJ HEINZ CO 0% 6/5/20 | 2,692,627.300000 | USD | 2,698,847.27 |
| T/L CHARTER COMM 0% 7/1/20 | 922,652.280000 | USD | 921,714.87 |
| T/L CSC HOLDINGS ZCP 04/17/20 | 901,357.740000 | USD | 900,633.05 |
| T/L HCA INC ZCP 05/01/18 | 5,900,392.940000 | USD | 5,917,450.98 |
| T/L UNIVISION COM ZCP 03/01/20 | 5,857,479.660000 | USD | 5,866,371.31 |
| T/L NRG ENERGY IN ZCP 07/01/18 | 1,795,419.850000 | USD | 1,793,051.69 |
| T/L IHEARTCOMMUNI ZCP 01/30/19 | 11,688,000.000000 | USD | 11,211,714.00 |
| T/L HILTON WORLDW ZCP 10/26/20 | 5,169,359.730000 | USD | 5,194,487.99 |
| T/L UNIVISION COMM 0% 03/01/20 | 1,264,818.610000 | USD | 1,266,738.60 |
| T/L CHRYSLER GROU ZCP 12/31/18 | 1,091,729.330000 | USD | 1,094,340.75 |
| T/L ORTHO-CLINICA ZCP 06/30/21 | 297,750.000000 | USD | 297,510.61 |
| T/L ENERGY FUTURE 0% 4/28/16 | 27,587,680.080000 | USD | 27,783,083.62 |
| T/L DAVITA HEALTH 0% 6/18/21 | 198,500.000000 | USD | 199,451.21 |
| 証券名 | 数量 | 通貨 | 時価(米ドル) |
| T/L ALBER HLD LLC 0% 8/9/19 | 405,000.000000 | USD | 408,724.38 |
| T/L ALBERTSON'S H ZCP 08/25/21 | 1,345,000.000000 | USD | 1,361,158.83 |
| T/L AWAS AVIATION 0% 10/2/21 | 965,000.000000 | USD | 976,146.20 |
| T/L BURGER KING 0% 12/10/21 | 1,080,375.700000 | USD | 1,094,749.02 |
| CDX NA 00.110 SP 05/25/2046 BOFAUS6S SHORT | (24,683,230.060000) | USD | (24,683,230.06) |
| CDX NA 00.110 SP 05/25/2046 BOFAUS6S LONG | 24,683,230.060000 | USD | 19,993,416.35 |
| CDX NA 00.500 SP 05/11/2063 CSFPGB2L LONG | 2,500,000.000000 | USD | 2,466,287.43 |
| CDX NA 00.500 SP 05/11/2063 CSFPGB2L SHORT | (2,500,000.000000) | USD | (2,500,000.00) |
| CDS XS0114288789 01.000 SP 06/20/2019 CITIUS33XXX SHORT | (4,000,000.000000) | USD | (4,000,000.00) |
| CDS XS0114288789 01.000 SP 06/20/2019 CITIUS33XXX LONG | 4,000,000.000000 | USD | 3,633,586.80 |
| CDX NA 00.500 SP 01/17/2047 CSFPGB2L LONG | 3,000,000.000000 | USD | 2,929,290.27 |
| CDX NA 00.500 SP 01/17/2047 CSFPGB2L SHORT | (3,000,000.000000) | USD | (3,000,000.00) |
| CDX NA 00.500 SP 05/11/2063 BOFAUS6S SHORT | (1,500,000.000000) | USD | (1,500,000.00) |
| CDX NA 00.500 SP 05/11/2063 BOFAUS6S LONG | 1,500,000.000000 | USD | 1,479,772.46 |
| CDX NA 00.500 SP 01/17/2047 BOFAUS6S SHORT | (1,500,000.000000) | USD | (1,500,000.00) |
| CDX NA 00.500 SP 01/17/2047 BOFAUS6S LONG | 1,500,000.000000 | USD | 1,464,645.14 |
| CDS XS0114288789 01.000 SP 06/20/2019 CHASUS33XXX SHORT | (1,700,000.000000) | USD | (1,700,000.00) |
| CDS XS0114288789 01.000 SP 06/20/2019 CHASUS33XXX LONG | 1,700,000.000000 | USD | 1,544,274.39 |
| CDS XS0114288789 01.000 SP 06/20/2019 GSILGB2XXXX LONG | 200,000.000000 | USD | 181,679.34 |
| CDS XS0114288789 01.000 SP 06/20/2019 GSILGB2XXXX SHORT | (200,000.000000) | USD | (200,000.00) |
| CDX NA 00.500 SP 05/11/2063 BOFAUS6NGFX LONG | 400,000.000000 | USD | 394,605.99 |
| CDX NA 00.500 SP 05/11/2063 BOFAUS6NGFX SHORT | (400,000.000000) | USD | (400,000.00) |
| CDX NA 00.500 SP 01/17/2047 CSFPGB2L SHORT | (600,000.000000) | USD | (600,000.00) |
| CDX NA 00.500 SP 01/17/2047 CSFPGB2L LONG | 600,000.000000 | USD | 585,858.05 |
| CDS XS0114288789 01.000 SP 06/20/2019 BARCGB33XXX SHORT | (100,000.000000) | USD | (100,000.00) |
| CDS XS0114288789 01.000 SP 06/20/2019 BARCGB33XXX LONG | 100,000.000000 | USD | 90,839.67 |
| CDX NA 00.100 SP 10/12/2052 GSILGB2X LONG | 3,553,561.750000 | USD | 3,551,868.26 |
| CDX NA 00.100 SP 10/12/2052 GSILGB2X SHORT | (3,553,561.750000) | USD | (3,553,561.75) |
| CDX NA 00.500 SP 01/17/2047 RBOSGB2RTCM LONG | 2,500,000.000000 | USD | 2,441,075.23 |
| CDX NA 00.500 SP 01/17/2047 RBOSGB2RTCM SHORT | (2,500,000.000000) | USD | (2,500,000.00) |
| CDX NA 00.500 SP 05/11/2063 CSFPGB2L LONG | 2,500,000.000000 | USD | 2,466,287.43 |
| CDX NA 00.500 SP 05/11/2063 CSFPGB2L SHORT | (2,500,000.000000) | USD | (2,500,000.00) |
| CDX NA 00.500 SP 01/17/2047 BOFAUS6NGFX SHORT | (2,000,000.000000) | USD | (2,000,000.00) |
| CDX NA 00.500 SP 01/17/2047 BOFAUS6NGFX LONG | 2,000,000.000000 | USD | 1,952,860.18 |
| CDX NA 00.500 SP 05/11/2063 BOFAUS6NGFX LONG | 2,000,000.000000 | USD | 1,973,029.94 |
| CDX NA 00.500 SP 05/11/2063 BOFAUS6NGFX SHORT | (2,000,000.000000) | USD | (2,000,000.00) |
| CDS XS0114288789 01.000 SP 06/20/2024 CITIUS33XXX SHORT | (200,000.000000) | USD | (200,000.00) |
| CDS XS0114288789 01.000 SP 06/20/2024 CITIUS33XXX LONG | 200,000.000000 | USD | 161,905.91 |
| 証券名 | 数量 | 通貨 | 時価(米ドル) |
| CDX NA 00.100 SP 10/12/2052 CSFPGB2L LONG | 2,132,137.050000 | USD | 2,131,120.96 |
| CDX NA 00.100 SP 10/12/2052 CSFPGB2L SHORT | (2,132,137.050000) | USD | (2,132,137.05) |
| CDX NA 00.100 SP 10/12/2052 GSILGB2X LONG | 2,132,137.050000 | USD | 2,131,120.96 |
| CDX NA 00.100 SP 10/12/2052 GSILGB2X SHORT | (2,132,137.050000) | USD | (2,132,137.05) |
| CDS XS0114288789 01.000 SP 09/20/2024 BOFAUS6NGFX LONG | 300,000.000000 | USD | 241,704.57 |
| CDS XS0114288789 01.000 SP 09/20/2024 BOFAUS6NGFX SHORT | (300,000.000000) | USD | (300,000.00) |
| CDS XS0114288789 01.000 SP 09/20/2024 CITIUS33XXX SHORT | (900,000.000000) | USD | (900,000.00) |
| CDS XS0114288789 01.000 SP 09/20/2024 CITIUS33XXX LONG | 900,000.000000 | USD | 725,113.70 |
| CDS XS0114288789 01.000 SP 09/20/2024 BARCGB33XXX SHORT | (300,000.000000) | USD | (300,000.00) |
| CDS XS0114288789 01.000 SP 09/20/2024 BARCGB33XXX LONG | 300,000.000000 | USD | 241,704.57 |
| CDX NA 00.500 SP 05/11/2063 MSCSUS33 LONG | 10,000,000.000000 | USD | 9,865,149.70 |
| CDX NA 00.500 SP 05/11/2063 MSCSUS33 SHORT | (10,000,000.000000) | USD | (10,000,000.00) |
| CDX NA 00.500 SP 01/17/2047 CSFPGB2L LONG | 10,000,000.000000 | USD | 9,764,300.90 |
| CDX NA 00.500 SP 01/17/2047 CSFPGB2L SHORT | (10,000,000.000000) | USD | (10,000,000.00) |
| CDS US85171RAA23 05.000 SP 09/20/2021 BARCGB33XXX LONG | 400,000.000000 | USD | 427,191.11 |
| CDS US85171RAA23 05.000 SP 09/20/2021 BARCGB33XXX SHORT | (400,000.000000) | USD | (400,000.00) |
| CDX NA 00.100 SP 10/12/2052 GSILGB2X SHORT | (710,712.350000) | USD | (710,712.35) |
| CDX NA 00.100 SP 10/12/2052 GSILGB2X LONG | 710,712.350000 | USD | 710,373.65 |
| CDS GR0128010676 01.000 SP 12/20/2016 GSILGB2XXXX LONG | 1,958,000.000000 | USD | 1,169,864.76 |
| CDS GR0128010676 01.000 SP 12/20/2016 GSILGB2XXXX SHORT | (1,958,000.000000) | USD | (1,958,000.00) |
| CDS US85171RAA23 05.000 SP 12/20/2019 GSILGB2XXXX SHORT | (200,000.000000) | USD | (200,000.00) |
| CDS US85171RAA23 05.000 SP 12/20/2019 GSILGB2XXXX LONG | 200,000.000000 | USD | 217,133.48 |
| CDS GR0128010676 01.000 SP 12/20/2015 GSILGB2X LONG | 125,000.000000 | USD | 81,875.00 |
| CDS GR0128010676 01.000 SP 12/20/2015 GSILGB2X SHORT | (125,000.000000) | USD | (125,000.00) |
| CDS GR0128010676 01.000 SP 12/20/2015 GST LONG | 100,000.000000 | USD | 65,500.00 |
| CDS GR0128010676 01.000 SP 12/20/2015 GST SHORT | (100,000.000000) | USD | (100,000.00) |
| CDS US71645WAH43 01.000 SP 12/20/2019 BNPAFRPPXXX SHORT | (1,250,000.000000) | USD | (1,250,000.00) |
| CDS US71645WAH43 01.000 SP 12/20/2019 BNPAFRPPXXX LONG | 1,250,000.000000 | USD | 1,093,344.70 |
| CDS US71645WAH43 01.000 SP 12/20/2019 GSILGB2XXXX SHORT | (1,150,000.000000) | USD | (1,150,000.00) |
| CDS US71645WAH43 01.000 SP 12/20/2019 GSILGB2XXXX LONG | 1,150,000.000000 | USD | 1,005,877.12 |
| 証券名 | 数量 | 通貨 | 時価(米ドル) |
| CDS US71645WAH43 01.000 SP 12/20/2019 BARCGB33XXX LONG | 770,000.000000 | USD | 673,500.34 |
| CDS US71645WAH43 01.000 SP 12/20/2019 BARCGB33XXX SHORT | (770,000.000000) | USD | (770,000.00) |
| CDS US71645WAH43 01.000 SP 12/20/2019 CHASUS33XXX LONG | 100,000.000000 | USD | 87,467.58 |
| CDS US71645WAH43 01.000 SP 12/20/2019 CHASUS33XXX SHORT | (100,000.000000) | USD | (100,000.00) |
| CDS US71645WAH43 01.000 SP 12/20/2019 CITIUS33XXX LONG | 200,000.000000 | USD | 174,935.15 |
| CDS US71645WAH43 01.000 SP 12/20/2019 CITIUS33XXX SHORT | (200,000.000000) | USD | (200,000.00) |
| CDS US71645WAH43 01.000 SP 12/20/2019 MSCSUS33XXX SHORT | (1,000,000.000000) | USD | (1,000,000.00) |
| CDS US71645WAH43 01.000 SP 12/20/2019 MSCSUS33XXX LONG | 1,000,000.000000 | USD | 874,675.76 |
| CDS US368266AA08 01.000 SP 03/20/2016 CHASUS33XXX SHORT | (500,000.000000) | USD | (500,000.00) |
| CDS US368266AA08 01.000 SP 03/20/2016 CHASUS33XXX LONG | 500,000.000000 | USD | 487,485.82 |
| CDS US71645WAH43 01.000 SP 03/20/2020 BNPAFRPPXXX LONG | 400,000.000000 | USD | 347,032.32 |
| CDS US71645WAH43 01.000 SP 03/20/2020 BNPAFRPPXXX SHORT | (400,000.000000) | USD | (400,000.00) |
| CDS US71645WAH43 01.000 SP 03/20/2020 GSILGB2XXXX LONG | 200,000.000000 | USD | 173,516.16 |
| CDS US71645WAH43 01.000 SP 03/20/2020 GSILGB2XXXX SHORT | (200,000.000000) | USD | (200,000.00) |
| CDS XS0330776617 05.000 BP 03/20/2019 BARCGB33XXX SHORT | (100,000.000000) | USD | (100,000.00) |
| CDS XS0330776617 05.000 BP 03/20/2019 BARCGB33XXX LONG | 100,000.000000 | USD | 156,315.40 |
| CDS XS0114288789 01.000 SP 03/20/2020 GSILGB2XXXX SHORT | (100,000.000000) | USD | (100,000.00) |
| CDS XS0114288789 01.000 SP 03/20/2020 GSILGB2XXXX LONG | 100,000.000000 | USD | 89,006.46 |
| CDX EM23ICE 01.000 NA 06/20/2020 CSFBUS33 FLOAT | (8,100,000.000000) | USD | (8,100,000.00) |
| CDX EM23ICE 01.000 NA 06/20/2020 CSFBUS33 FIXED | 8,100,000.000000 | USD | 7,370,716.50 |
| CDX HY24 5Y 05.000 NA 06/20/2020 CSFBUS33 FIXED | 126,400,000.000000 | USD | 135,407,769.60 |
| CDX HY24 5Y 05.000 NA 06/20/2020 CSFBUS33 FLOAT | (126,400,000.000000) | USD | (126,400,000.00) |
| CDS US71645WAH43 01.000 SP 06/20/2018 BNPAFRPPXXX SHORT | (200,000.000000) | USD | (200,000.00) |
| CDS US71645WAH43 01.000 SP 06/20/2018 BNPAFRPPXXX LONG | 200,000.000000 | USD | 183,791.48 |
| CDX NA 00.110 SP 05/25/2046 MSCSUS33 LONG | 22,358.000000 | USD | 18,109.98 |
| CDX NA 00.110 SP 05/25/2046 MSCSUS33 SHORT | (22,358.000000) | USD | (22,358.00) |
| 証券名 | 数量 | 通貨 | 時価(米ドル) |
| IRS RUS3MP03.00 06/18/24 CSFBUS33 FLOAT | (87,000,000.000000) | USD | (87,000,000.00) |
| IRS P03.00RUS3M 06/18/24 CSFBUS33 FIXED | 87,000,000.000000 | USD | 93,907,919.19 |
| IRS PUS3MR02.25 12/17/19 CSFBUS33 FLOAT | (22,300,000.000000) | USD | (22,300,000.00) |
| IRS R02.25PUS3M 12/17/19 CSFBUS33 FIXED | 22,300,000.000000 | USD | 23,039,701.04 |
| IRS P03.25RUS3M 03/18/30 CSFBUS33 FIXED | (69,300,000.000000) | USD | (77,448,418.74) |
| IRS RUS3MP03.25 03/18/30 CSFBUS33 FLOAT | 69,300,000.000000 | USD | 69,300,000.00 |
| IRS RUS3MP03.25 06/17/45 CSFBUS33 FLOAT | 13,200,000.000000 | USD | 13,200,000.00 |
| IRS P03.25RUS3M 06/17/45 CSFBUS33 FIXED | (13,200,000.000000) | USD | (15,250,375.93) |
| IRS RUS3MP01.80 04/02/20 CSFBUS33 FLOAT | 18,800,000.000000 | USD | 18,800,000.00 |
| IRS P01.80RUS3M 04/02/20 CSFBUS33 FIXED | (18,800,000.000000) | USD | (19,007,416.45) |
| IRS PUS3MR02.00 06/17/20 BOFAUS6NGFX SHORT | (24,000,000.000000) | USD | (24,000,000.00) |
| IRS R02.00PUS3M 06/17/20 BOFAUS6NGFX LONG | 24,000,000.000000 | USD | 24,038,693.04 |
| IRS R02.00PUS3M 06/17/20 DEUTGB2L LONG | 60,600,000.000000 | USD | 60,697,699.93 |
| IRS PUS3MR02.00 06/17/20 DEUTGB2L SHORT | (60,600,000.000000) | USD | (60,600,000.00) |
| IRS R02.00PUS3M 06/17/20 GSCMUS33 LONG | 7,100,000.000000 | USD | 7,111,446.69 |
| IRS PUS3MR02.00 06/17/20 GSCMUS33 SHORT | (7,100,000.000000) | USD | (7,100,000.00) |
| IRS R02.00PUS3M 06/17/20 PNBPUS33CHA LONG | 10,050,000.000000 | USD | 10,066,202.71 |
| IRS PUS3MR02.00 06/17/20 PNBPUS33CHA SHORT | (10,050,000.000000) | USD | (10,050,000.00) |
| IRS R02.00PUS3M 06/17/20 RBOSGB2LTCM LONG | 10,050,000.000000 | USD | 10,066,202.71 |
| IRS PUS3MR02.00 06/17/20 RBOSGB2LTCM SHORT | (10,050,000.000000) | USD | (10,050,000.00) |
| IRS PUS3MR02.00 06/17/20 MSCSUS33 SHORT | (23,350,000.000000) | USD | (23,350,000.00) |
| IRS R02.00PUS3M 06/17/20 MSCSUS33 LONG | 23,350,000.000000 | USD | 23,387,645.10 |
| 固定利付合計 | 1,024,380,933.24 | ||
| オプション | |||
| OTC EPUT BRL VS JPY 30 JPM | (8,500,000.000000) | BRL | (136,184.79) |
| OTC EPUT BRL VS JPY 30.0 MSB | (4,290,000.000000) | BRL | (68,733.27) |
| OTC EPUT BRL VS JPY 30.0 DUB | (3,430,000.000000) | BRL | (54,954.57) |
| OTC ECAL USD VS BRL 3.95 MSB | (11,200,000.000000) | USD | (285,465.60) |
| OTC ECAL USD VS BRL 3.905 GLM | (9,100,000.000000) | USD | (231,249.20) |
| オプション合計 | (776,587.43) | ||
| 短期金融商品 | |||
| FHLB D/N 05/27/15 | 1,200,000.000000 | USD | 1,199,983.20 |
| FHLB D/N 09/04/15 | 1,000,000.000000 | USD | 999,758.00 |
| FHLB D/N 09/09/15 | 2,700,000.000000 | USD | 2,699,322.30 |
| FHLMC D/N 05/05/15 | 2,900,000.000000 | USD | 2,899,994.20 |
| FHLMC D/N 07/07/15 | 1,900,000.000000 | USD | 1,899,823.30 |
| FNMA D/N 05/01/15 | 3,300,000.000000 | USD | 3,300,000.00 |
| RC R/P BNP PA 0.230% 05/01/15 | 600,000.000000 | USD | 600,000.00 |
| RC R/P DEUTSC 0.220% 05/01/15 | 2,200,000.000000 | USD | 2,200,000.00 |
| RC R/P CREDIT 0.210% 05/01/15 | 72,400,000.000000 | USD | 72,400,000.00 |
| RC R/P GOLDMA 0.240% 05/01/15 | 3,000,000.000000 | USD | 3,000,000.00 |
| RC R/P BANK O 0.210% 05/01/15 | 105,000,000.000000 | USD | 105,000,000.00 |
| THERMO FISHER DISC 06/30/2015 | 12,000,000.000000 | USD | 11,990,422.80 |
| VIRGINIA ELECT DISC 06/15/15 | 11,411,000.000000 | USD | 11,407,486.55 |
| 短期金融商品合計 | 219,596,790.35 | ||
| 証券合計 | 1,244,361,696.47 |
| 証券名 | 数量 | 未実現評価益/(評価損) (米ドル) |
| 為替予約 | ||
| AUD/USD FWD 20150506 000000908 USD | (8,429,261.510000) | (6,647,845.11) |
| AUD/USD FWD 20150506 000011094 USD | (3,012,000.000000) | (2,375,452.40) |
| AUD/USD FWD 20150506 000011094 USD | 1,632,000.000000 | 1,287,097.71 |
| AUD/USD FWD 20150506 000006038 USD | 9,809,261.510000 | 7,736,199.79 |
| AUD/USD FWD 20150602 000006038 USD | (8,272,261.510000) | (6,514,073.88) |
| BRL/USD FWD 20150505 000003534 USD | 6,284,929.500000 | 2,094,901.78 |
| BRL/USD FWD 20150505 000003534 USD | (6,962,028.210000) | (2,320,593.30) |
| BRL/USD FWD 20150702 000011094 USD | (983,077.000000) | (321,199.08) |
| BRL/USD FWD 20150702 000003534 USD | (2,416,064.660000) | (789,396.71) |
| BRL/USD FWD 20150505 000010076 USD | (10,332,665.500000) | (3,444,098.99) |
| BRL/USD FWD 20150505 000011094 USD | 4,047,736.000000 | 1,349,197.21 |
| BRL/USD FWD 20150505 000000902 USD | 6,962,028.210000 | 2,320,593.30 |
| BRL/USD FWD 20150602 000003534 USD | 6,962,028.210000 | 2,297,351.06 |
| BRL/USD FWD 20160404 000011094 USD | (5,665,995.000000) | (1,704,262.13) |
| BRL/USD FWD 20160418 000028854 USD | (5,705,050.000000) | (1,709,904.95) |
| BRL/USD FWD 20150602 000010076 USD | 10,332,665.500000 | 3,409,604.12 |
| GBP/USD FWD 20150506 000000908 USD | (1,591,000.000000) | (2,444,931.42) |
| GBP/USD FWD 20150506 000006038 USD | 34,185,000.000000 | 52,532,985.83 |
| GBP/USD FWD 20150506 000003731 USD | (32,594,000.000000) | (50,088,054.41) |
| GBP/USD FWD 20150602 000006038 USD | (34,185,000.000000) | (52,522,735.27) |
| GBP/USD FWD 20150602 000000908 USD | 1,090,000.000000 | 1,674,704.74 |
| EUR/USD FWD 20150519 000011094 USD | (170,937,302.860000) | (191,579,624.21) |
| EUR/USD FWD 20150519 000011094 USD | 21,830,000.000000 | 24,466,182.20 |
| EUR/USD FWD 20150519 000000642 USD | 13,053,000.000000 | 14,629,275.14 |
| EUR/USD FWD 20150519 000000908 USD | 3,348,000.000000 | 3,752,303.16 |
| EUR/USD FWD 20150519 000000908 USD | (1,591,000.000000) | (1,783,128.53) |
| EUR/USD FWD 20150519 000006038 USD | (4,355,000.000000) | (4,880,908.08) |
| EUR/USD FWD 20150519 000004066 USD | (248,000.000000) | (277,948.38) |
| EUR/USD FWD 20150519 000004334 USD | (1,939,000.000000) | (2,173,152.88) |
| MXN/USD FWD 20150505 000004066 USD | 1,728,000.000000 | 112,485.30 |
| MXN/USD FWD 20150505 000000908 USD | 1,813,000.000000 | 118,018.43 |
| USD/BRL FWD 20150505 000003534 USD | (2,031,000.000000) | (2,031,000.00) |
| USD/BRL FWD 20150505 000003534 USD | 2,243,644.280000 | 2,243,644.28 |
| USD/BRL FWD 20150702 000011094 USD | 358,460.160000 | 358,460.16 |
| USD/BRL FWD 20150702 000003534 USD | 890,550.930000 | 890,550.93 |
| USD/MXN FWD 20150505 000004066 USD | (115,697.500000) | (115,697.50) |
| USD/BRL FWD 20150505 000010076 USD | 3,359,670.130000 | 3,359,670.13 |
| USD/MXN FWD 20150505 000000908 USD | (117,959.360000) | (117,959.36) |
| USD/EUR FWD 20150519 000011094 USD | 195,055,513.460000 | 195,055,513.46 |
| USD/EUR FWD 20150519 000011094 USD | (23,429,810.010000) | (23,429,810.01) |
| USD/EUR FWD 20150519 000000642 USD | (13,895,311.640000) | (13,895,311.64) |
| USD/EUR FWD 20150519 000000908 USD | 1,715,160.060000 | 1,715,160.06 |
| USD/EUR FWD 20150519 000000908 USD | (3,731,642.830000) | (3,731,642.83) |
| USD/EUR FWD 20150519 000006038 USD | 4,759,692.550000 | 4,759,692.55 |
| USD/EUR FWD 20150519 000004066 USD | 280,864.960000 | 280,864.96 |
| 証券名 | 数量 | 未実現評価益/(評価損) (米ドル) |
| USD/EUR FWD 20150519 000004334 USD | 2,067,494.430000 | 2,067,494.43 |
| USD/BRL FWD 20150505 000011094 USD | (1,309,000.000000) | (1,309,000.00) |
| USD/BRL FWD 20150505 000000902 USD | (2,147,448.550000) | (2,147,448.55) |
| USD/AUD FWD 20150506 000000908 USD | 6,616,447.380000 | 6,616,447.38 |
| USD/AUD FWD 20150506 000011094 USD | (1,237,764.120000) | (1,237,764.12) |
| USD/AUD FWD 20150506 000011094 USD | 2,334,304.580000 | 2,334,304.58 |
| USD/AUD FWD 20150506 000006038 USD | (7,716,285.440000) | (7,716,285.44) |
| USD/GBP FWD 20150506 000000908 USD | 2,376,853.610000 | 2,376,853.61 |
| USD/JPY FWD 20150508 000010076 USD | 734,998.580000 | 734,998.58 |
| USD/GBP FWD 20150506 000006038 USD | (51,875,737.500000) | (51,875,737.50) |
| USD/JPY FWD 20150508 000006038 USD | 22,944,848.790000 | 22,944,848.79 |
| USD/JPY FWD 20150508 000003534 USD | 611,874.530000 | 611,874.53 |
| USD/GBP FWD 20150506 000003731 USD | 48,206,688.970000 | 48,206,688.97 |
| USD/BRL FWD 20150602 000003534 USD | (2,223,579.750000) | (2,223,579.75) |
| USD/BRL FWD 20160404 000011094 USD | 1,665,000.000000 | 1,665,000.00 |
| USD/BRL FWD 20160418 000028854 USD | 1,675,000.000000 | 1,675,000.00 |
| USD/BRL FWD 20150602 000010076 USD | (3,329,305.310000) | (3,329,305.31) |
| USD/GBP FWD 20150602 000006038 USD | 51,866,302.440000 | 51,866,302.44 |
| USD/AUD FWD 20150602 000006038 USD | 6,498,605.920000 | 6,498,605.92 |
| USD/GBP FWD 20150602 000000908 USD | (1,670,143.560000) | (1,670,143.56) |
| JPY/USD FWD 20150508 000010076 USD | (88,000,000.000000) | (735,374.00) |
| JPY/USD FWD 20150508 000006038 USD | (2,741,480,362.000000) | (22,909,242.83) |
| JPY/USD FWD 20150508 000003534 USD | (73,200,000.000000) | (611,697.46) |
| 為替予約合計 | 3,378,565.94 |
10年以上蓄積したファイナンスデータとAIを掛け合わせて、投資の意思決定を加速させるポジションです。
