半期報告書(内国投資信託受益証券)-第2期(平成28年2月26日-平成29年2月27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)」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、中間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28年4月29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
2016年4月29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)
2016年4月29日現在
| (重要な会計方針に係る事項に関する注記) |
| 区分 | 第2期中間計算期間 自 平成28年 2月26日 至 平成28年 8月25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期計算期間末 平成28年 2月25日現在 | 第2期中間計算期間末 平成28年 8月25日現在 | ||||||
| 1. | 計算期間末日における受益権の総数 | 1. | 中間計算期間末日における受益権の総数 | ||||
| 26,743,660口 | 3,043,660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 | 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 470,350円 | - | ||||||
| 3. | 計算期間末日における1単位当たりの純資産の額 | 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 | 0.9824円 | 1口当たり純資産額 | 1.0418円 | ||||
| (1万口当たり純資産額) | (9,824円) | (1万口当たり純資産額) | (10,418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 2月25日 至 平成27年 8月24日 | 第2期中間計算期間 自 平成28年 2月26日 至 平成28年 8月25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145,373円。 | 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29,998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期計算期間末 平成28年 2月25日現在 | 第2期中間計算期間末 平成28年 8月25日現在 |
| 1.貸借対照表計上額、時価及び差額 | 1.中間貸借対照表計上額、時価及び差額 |
| 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、貸借対照表計上額と時価との差額はありません。 | 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 | 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。 | 同左 |
| 3.金融商品の時価等に関する事項についての補足説明 | 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。 | 同左 |
| (その他の注記) |
| 1 元本の移動 |
| 区分 | 第1期計算期間末 平成28年 2月25日現在 | 第2期中間計算期間末 平成28年 8月25日現在 |
| 期首元本額 | 45,043,660円 | 26,743,660円 |
| 期中追加設定元本額 | -円 | -円 |
| 期中一部解約元本額 | 18,300,000円 | 23,700,000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)」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、中間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28年4月29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
2016年4月29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 | (2,848.0000) | JPY | (26.62) |
| US DOLLARS | 26,410,299.9400 | USD | 26,410,299.94 |
| 現金および現金同等物合計 | 26,410,273.32 | ||
| 株式 | |||
| PIMCO BERMUDA INCOME FD (M) | 139,539,587.2500 | USD | 1,553,075,606.09 |
| 株式合計 | 1,553,075,606.09 | ||
| 債券 | |||
| CASH COLLATERAL V/R 12/31/49 | (4,990,000.0000) | USD | (4,990,000.00) |
| CASH COLLATERAL V/R 12/31/49 | (130,000.0000) | USD | (130,000.00) |
| CASH COLLATERAL ISDA GLM | (1,870,000.0000) | USD | (1,870,000.00) |
| CASH COLLATERAL ISDA UAG | (2,250,000.0000) | USD | (2,250,000.00) |
| 債券合計 | (9,240,000.00) | ||
| 証券合計 | 1,570,245,879.41 |
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)
2016年4月29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 | (9,374,947.9700) | AUD | (7,154,491.27) |
| BRAZIL REAL | 234,154.2500 | BRL | 67,855.06 |
| CANADIAN DOLLAR | 451.7400 | CAD | 360.64 |
| DANISH KRONE | 118,362.6700 | DKK | 18,214.41 |
| EURO | 1,083,419.3100 | EUR | 1,240,894.29 |
| YEN JAPAN | 58,484,287.0000 | JPY | 546,607.66 |
| MEXICAN PESO | 906,415.4400 | MXN | 52,916.24 |
| BRITISH POUNDS | 537.7400 | GBP | 787.74 |
| US DOLLARS | 14,744,646.7400 | USD | 14,744,646.74 |
| 現金および現金同等物合計 | 9,517,791.51 | ||
| 株式関連 | |||
| VM CASH CCP CME FOB AUD | 233,345.0500 | AUD | 178,077.27 |
| EUROBANK ERGASIAS SA /EUR/ | 11,038,909.0000 | EUR | 9,317,425.02 |
| NATIONAL BANK OF GREECE /EUR/ | 1,025,700.0000 | EUR | 306,472.16 |
| VM CASH CCP CME FOB MXN | 581,550.4200 | MXN | 33,950.72 |
| TOWERGATE TOPCO /GBP/ | 296,778.0000 | GBP | 208,680.04 |
| VM CASH CCP CME FOB USD | 4,596.9000 | USD | 4,596.90 |
| VM CASH FUT FOR FOB JPY | 288,939.0000 | JPY | 2,700.49 |
| VM CASH CCP ICE RDR AUD | 432.7300 | AUD | 330.24 |
| GMAC CAP 8.125% 2/15/40 /PFD/ | 475,000.0000 | USD | 11,908,250.00 |
| VM CASH CCP ICE FOB USD | 209,906.0000 | USD | 209,906.00 |
| VM CASH CCP LCH FOB USD | 6,027.0000 | USD | 6,027.00 |
| VM CASH CCP CME RDR | 1,120,438.4000 | USD | 1,120,438.40 |
| 株式関連合計 | 23,296,854.24 | ||
| 債券 | |||
| REPUBLIC OF AR 6.875% 04/22/21 | 350,000.0000 | USD | 361,375.00 |
| REPUBLIC OF ARGE 7.5% 04/22/26 | 400,000.0000 | USD | 407,000.00 |
| REPUBLIC OF AR 7.625% 04/22/46 | 150,000.0000 | USD | 147,900.00 |
| REPUBLIC OF ARG 6.25% 04/22/19 | 650,000.0000 | USD | 675,675.00 |
| IRS R04.25PBW6M 12/11/23 CSFBUS33 FIXED | 22,600,000.0000 | AUD | 19,375,676.87 |
| IRS PBW6MR04.25 12/11/23 CSFBUS33 FLOAT | (22,600,000.0000) | AUD | (17,247,189.33) |
| IRS R04.75PBW6M 06/18/24 CSFBUS33 FIXED | 28,000,000.0000 | AUD | 24,924,685.71 |
| IRS PBW6MR04.75 06/18/24 CSFBUS33 FLOAT | (28,000,000.0000) | AUD | (21,368,199.17) |
| IRS R04.25PBW6M 12/17/24 CSFBUS33 FIXED | 41,400,000.0000 | AUD | 35,823,111.56 |
| IRS PBW6MR04.25 12/17/24 CSFBUS33 FLOAT | (41,400,000.0000) | AUD | (31,594,408.78) |
| IRS PBW6MR03.50 06/17/25 CSFBUS33 FLOAT | (48,400,000.0000) | AUD | (36,936,458.57) |
| IRS R03.50PBW6M 06/17/25 CSFBUS33 FIXED | 48,400,000.0000 | AUD | 39,742,772.87 |
| IRS R03.25PBW6M 12/17/24 CSFBUS33 FIXED | 39,200,000.0000 | AUD | 31,544,845.44 |
| IRS PBW6MR03.25 12/17/24 CSFBUS33 FLOAT | (39,200,000.0000) | AUD | (29,915,478.84) |
| KBC BANK NV V/R 01/25/23 | 800,000.0000 | USD | 871,100.00 |
| IRS R00.00P00.00 01/04/21 BNPAFRPP LONG | 67,200,000.0000 | BRL | 19,349,401.46 |
| IRS P00.00R00.00 01/04/21 BNPAFRPP SHORT | (67,200,000.0000) | BRL | (19,473,745.22) |
| IRS P00.00R00.00 01/04/21 CSFPGB2L SHORT | (5,000,000.0000) | BRL | (1,448,939.38) |
| IRS R00.00P00.00 01/04/21 CSFPGB2L LONG | 5,000,000.0000 | BRL | 1,439,687.61 |
| IRS R00.00P00.00 01/04/21 GSCMUS33 LONG | 5,000,000.0000 | BRL | 1,439,687.61 |
| 証券名 | 数量 | 通貨 | 時価(米ドル) |
| IRS P00.00R00.00 01/04/21 GSCMUS33 SHORT | (5,000,000.0000) | BRL | (1,448,939.38) |
| IRS R00.00P00.00 01/04/21 BOFAUS6NGFX LONG | 5,000,000.0000 | BRL | 1,439,687.61 |
| IRS P00.00R00.00 01/04/21 BOFAUS6NGFX SHORT | (5,000,000.0000) | BRL | (1,448,939.38) |
| IRS R00.00P00.00 01/04/21 MSCSUS33 LONG | 11,800,000.0000 | BRL | 3,397,662.76 |
| IRS P00.00R00.00 01/04/21 MSCSUS33 SHORT | (11,800,000.0000) | BRL | (3,419,496.93) |
| IRS R00.00P00.00 01/04/21 BNPAFRPP LONG | 15,700,000.0000 | BRL | 4,486,978.97 |
| IRS P00.00R00.00 01/04/21 BNPAFRPP SHORT | (15,700,000.0000) | BRL | (4,549,669.64) |
| IRS P00.00R00.00 01/04/21 BNPARFRPP SHORT | (220,000,000.0000) | BRL | (63,753,332.56) |
| IRS R00.00P00.00 01/04/21 BNPARFRPP LONG | 220,000,000.0000 | BRL | 61,353,446.74 |
| IRS P00.00R00.00 01/04/21 BNPAFRPP SHORT | (2,700,000.0000) | BRL | (782,427.26) |
| IRS R00.00P00.00 01/04/21 BNPAFRPP LONG | 2,700,000.0000 | BRL | 767,373.64 |
| IRS R00.00P00.00 01/04/21 CSFPGB2L LONG | 10,170,000.0000 | BRL | 2,970,989.82 |
| IRS P00.00R00.00 01/04/21 CSFPGB2L SHORT | (10,170,000.0000) | BRL | (2,947,142.69) |
| IRS P00.00R00.00 01/04/21 MSCSUS33 SHORT | (10,170,000.0000) | BRL | (2,947,142.69) |
| IRS R00.00P00.00 01/04/21 MSCSUS33 LONG | 10,170,000.0000 | BRL | 2,970,989.82 |
| IRS R00.00P00.00 01/04/21 BNPAFRPP LONG | 51,500,000.0000 | BRL | 16,258,893.70 |
| IRS P00.00R00.00 01/04/21 BNPAFRPP SHORT | (51,500,000.0000) | BRL | (14,924,075.58) |
| IRS P00.00R00.00 01/04/21 GSCMUS33 SHORT | (11,500,000.0000) | BRL | (3,332,560.57) |
| IRS R00.00P00.00 01/04/21 GSCMUS33 LONG | 11,500,000.0000 | BRL | 3,700,092.41 |
| VALEANT PHA 4.5% 05/15/23/EUR/ | 800,000.0000 | EUR | 735,314.69 |
| FIRST QUANTUM M 7.25% 10/15/19 | 300,000.0000 | USD | 256,500.00 |
| FIRST QUANTUM M 6.75% 02/15/20 | 900,000.0000 | USD | 753,750.00 |
| FIRST QUANTUM MINE 7% 02/15/21 | 500,000.0000 | USD | 410,000.00 |
| T/L VALEANT PHAR 0% 3/9/22 | 108,244.4700 | USD | 106,214.89 |
| ACASC 2013-2A A1 V/R 10/25/25 | 3,200,000.0000 | USD | 3,203,999.20 |
| ALESC 11A A2 V/R 12/23/36 | 5,000,000.0000 | USD | 2,750,000.00 |
| ATTN 2006-2A A1 V/R 10/09/41 | 3,288,262.5100 | USD | 3,041,642.82 |
| BAFC 2013-R1 A1 V/R 11/03/41 | 50,117.4300 | USD | 49,527.65 |
| GALLA 5A A1 V/R 09/19/37 | 3,744,929.2700 | USD | 3,520,233.51 |
| GALL 2014-1A A V/R 07/15/23 | 2,483,136.7700 | USD | 2,478,811.89 |
| GKKRE 2005-1A B V/R 07/25/35 | 414,784.5700 | USD | 412,952.47 |
| GKKRE 2005-1A C V/R 07/25/35 | 24,500,000.0000 | USD | 23,647,228.50 |
| INGIM 2012-1A A1 V/R 03/14/22 | 8,665,459.0000 | USD | 8,644,492.75 |
| LNR 2002-1A D 6.727% 07/24/37 | 1,580,469.1200 | USD | 1,598,363.19 |
| MKP 3A B V/R 05/08/39 | 4,146,307.5500 | USD | 4,104,844.47 |
| MMCAP 17A A1 V/R 12/01/35 | 2,414,755.0400 | USD | 1,955,951.58 |
| OAKC 2012-6A AR V/R 05/15/23 | 7,948,069.8700 | USD | 7,912,072.82 |
| PREFER TERM SEC XVIII 2005-18 A-1 20350923 FLT | 1,197,563.9800 | USD | 970,026.82 |
| PREFERRED TERM XX V/R 03/22/37 | 1,440,510.2100 | USD | 1,051,572.45 |
| PREFER TERM SEC XXIV 2006-24 A-2 20370322 FLT | 5,033,204.1600 | USD | 2,617,266.16 |
| RTPF 2007-2A A1T V/R 06/25/45 | 8,418,725.7400 | USD | 7,897,934.95 |
| SRERS 2011-RS A1 V/R 01/09/16 | 6,364,982.8000 | USD | 6,114,291.59 |
| SORIN 2006-4A A2 V/R 10/28/46 | 11,350,000.0000 | USD | 10,978,718.80 |
| TELOS 2016-7A A V/R 04/17/23 | 3,400,000.0000 | USD | 3,398,310.30 |
| TROPC 2006-5A A1 V/R 07/15/36 | 18,707,464.5100 | USD | 12,721,075.87 |
| T/L AVAGO TE 0% 02/01/2023 | 100,000.0000 | USD | 100,243.10 |
| REPUBLIC OF COSTA 7% 04/04/44 | 200,000.0000 | USD | 186,250.00 |
| NYKREDIT 2% 04/01/17/DKK/ | 3,700,000.0000 | DKK | 580,298.68 |
| REALKREDIT 2.5% 10/01/47/DKK/ | 12,661,355.0000 | DKK | 1,913,826.07 |
| 証券名 | 数量 | 通貨 | 時価(米ドル) |
| NYKREDIT RE 2.5% 10/01/47/DKK/ | 6,072,913.0000 | DKK | 916,081.59 |
| NORDEA KREDIT 2% 10/01/47/DKK/ | 2,959,362.0000 | DKK | 431,041.37 |
| REALKREDIT DA 1% 04/01/17/DKK/ | 15,330,000.0000 | DKK | 2,386,238.60 |
| CREDIT AGRICOL V/R /PERP//GBP/ | 1,200,000.0000 | GBP | 1,622,333.36 |
| NUMERICAB 5.625% 05/15/24/EUR/ | 3,420,000.0000 | EUR | 4,084,670.34 |
| BNP PARIBAS V/R /PERP/ | 600,000.0000 | USD | 615,000.00 |
| BPCE SA V/R /PERP/ | 800,000.0000 | USD | 996,160.00 |
| NUMERICABLE-SF 7.375% 05/01/26 | 2,800,000.0000 | USD | 2,845,500.00 |
| NUMERICABLE-SF 4.875% 05/15/19 | 2,143,000.0000 | USD | 2,222,505.30 |
| CREDIT AGRICOLE SA V/R /PERP/ | 4,346,000.0000 | USD | 4,192,820.88 |
| SOCIETE GENERALE V/R /PERP/ | 1,700,000.0000 | USD | 1,687,250.00 |
| VOLKSWAGEN B V/R 11/27/17/EUR/ | 200,000.0000 | EUR | 225,258.96 |
| HEIDELBERG 2.25% 03/30/23/EUR/ | 270,000.0000 | EUR | 318,715.11 |
| HELLENIC 4.028% 03/17/17/EUR/ | 400,000.0000 | EUR | 423,206.82 |
| NATIONAL 3.875% 10/07/16/EUR/ | 100,000.0000 | EUR | 113,068.03 |
| HELLENIC RE S/UP 02/24/37/EUR/ | 121,300.0000 | EUR | 81,331.02 |
| HELLENIC RE S/UP 02/24/29/EUR/ | 121,300.0000 | EUR | 89,655.61 |
| HELLENIC RE S/UP 02/24/28/EUR/ | 121,300.0000 | EUR | 91,448.25 |
| HELLENIC RE S/UP 02/24/24/EUR/ | 265,300.0000 | EUR | 218,519.77 |
| HELLENIC RE S/UP 02/24/41/EUR/ | 121,300.0000 | EUR | 79,960.32 |
| HELLENIC RE S/UP 02/24/30/EUR/ | 121,300.0000 | EUR | 88,082.79 |
| HELLENIC RE S/UP 02/24/23/EUR/ | 121,300.0000 | EUR | 102,169.26 |
| HELLENIC RE S/UP 02/24/27/EUR/ | 661,300.0000 | EUR | 506,965.40 |
| HELLENIC RE S/UP 02/24/31/EUR/ | 121,300.0000 | EUR | 86,804.06 |
| HELLENIC RE S/UP 02/24/32/EUR/ | 121,300.0000 | EUR | 85,096.46 |
| HELLENIC RE S/UP 02/24/42/EUR/ | 121,300.0000 | EUR | 80,739.44 |
| HELLENIC RE S/UP 02/24/25/EUR/ | 121,300.0000 | EUR | 97,625.67 |
| HELLENIC RE S/UP 02/24/40/EUR/ | 121,300.0000 | EUR | 80,132.88 |
| HELLENIC RE S/UP 02/24/26/EUR/ | 271,300.0000 | EUR | 214,296.08 |
| HELLENIC RE S/UP 02/24/39/EUR/ | 191,300.0000 | EUR | 127,078.53 |
| HELLENIC RE S/UP 02/24/36/EUR/ | 251,300.0000 | EUR | 169,343.56 |
| HELLENIC RE S/UP 02/24/35/EUR/ | 231,300.0000 | EUR | 157,059.08 |
| HELLENIC RE S/UP 02/24/33/EUR/ | 121,300.0000 | EUR | 84,145.76 |
| HELLENIC RE S/UP 02/24/38/EUR/ | 121,300.0000 | EUR | 80,601.62 |
| HELLENIC 5.014% 12/27/17/EUR/ | 180,000.0000 | EUR | 186,835.22 |
| HELLENIC RA 4.5% 12/06/16/JPY/ | 26,000,000.0000 | JPY | 230,699.30 |
| HELLENIC RE 3.8% 08/08/17/JPY/ | 5,000,000.0000 | JPY | 41,707.56 |
| HELLENIC REPU 5% 08/22/16/JPY/ | 79,900,000.0000 | JPY | 730,895.14 |
| HELLENIC RE 4.5% 11/08/16/JPY/ | 120,000,000.0000 | JPY | 1,064,068.41 |
| HELLENIC RE 4.5% 07/03/17/JPY/ | 20,000,000.0000 | JPY | 166,830.23 |
| RZD CAPIT 7.487% 03/25/31/GBP/ | 6,300,000.0000 | GBP | 9,652,198.09 |
| TAURS 2014- V/R 05/01/17 /GBP/ | 1,948,199.4800 | GBP | 2,790,774.45 |
| EV7 1-X VFN V/R 03/25/26 /EUR/ | 3,067,900.5100 | EUR | 3,511,265.31 |
| RMFE IV-X I V/R 09/11/22 /EUR/ | 5,282,603.1000 | EUR | 5,999,837.12 |
| EGRET I-X B V/R 12/20/22 /EUR/ | 642,765.8600 | EUR | 736,302.29 |
| EGRET I-X C V/R 12/20/22 /EUR/ | 1,400,000.0000 | EUR | 1,557,852.24 |
| DECO 2006-E V/R 10/27/19 /EUR/ | 4,248,567.4300 | EUR | 4,744,444.20 |
| 証券名 | 数量 | 通貨 | 時価(米ドル) |
| TITN 2007-2 V/R 04/23/17 /EUR/ | 577,829.5700 | EUR | 624,589.88 |
| CRSM 12 A3 V/R 03/18/49 /EUR/ | 9,169,095.3500 | EUR | 9,924,222.91 |
| IRS R00.30PJY6M 03/18/26 CSFBUS33 FIXED | (3,530,000,000.0000) | JPY | (33,492,803.31) |
| IRS PJY6MR00.30 03/18/26 CSFBUS33 FLOAT | 3,530,000,000.0000 | JPY | 32,992,195.90 |
| UBS GROUP FUNDI 2.95% 09/24/20 | 310,000.0000 | USD | 313,096.28 |
| UBS GROUP FUND 4.125% 09/24/25 | 2,470,000.0000 | USD | 2,539,118.01 |
| UBS GROUP FUND 4.125% 04/15/26 | 2,500,000.0000 | USD | 2,573,120.00 |
| GAZPROM ( 6.605% 02/13/18/EUR/ | 100,000.0000 | EUR | 123,340.33 |
| ALTICE LUX 7.25% 05/15/22/EUR/ | 300,000.0000 | EUR | 350,684.98 |
| SBERBANK 3.352% 11/15/19/EUR/ | 5,600,000.0000 | EUR | 6,586,322.23 |
| ACTAVIS FUNDING SC 3% 03/12/20 | 300,000.0000 | USD | 306,704.10 |
| GAZPROM N (GPN 4.375% 09/19/22 | 4,550,000.0000 | USD | 4,334,967.00 |
| GAZPROM NEFT (GPN 6% 11/27/23 | 10,500,000.0000 | USD | 10,775,625.00 |
| GAZPROM (GAZ C 8.625% 04/28/34 | 2,222,000.0000 | USD | 2,705,447.21 |
| GAZPROM (GAZ CA 6.51% 03/07/22 | 1,900,000.0000 | USD | 2,061,205.50 |
| GAZPROM (GAZ C 7.288% 08/16/37 | 837,000.0000 | USD | 935,071.29 |
| GAZPROM (GAZ CA 9.25% 04/23/19 | 6,500,000.0000 | USD | 7,477,041.00 |
| GAZPROM (GAZ C 5.999% 01/23/21 | 1,222,000.0000 | USD | 1,295,920.00 |
| GAZPROM (GAZ CA 4.95% 02/06/28 | 800,000.0000 | USD | 759,033.60 |
| GAZPROM (GAZ C 8.146% 04/11/18 | 300,000.0000 | USD | 328,073.10 |
| SBERBANK (SB C 6.125% 02/07/22 | 8,900,000.0000 | USD | 9,566,645.60 |
| GAZPROM (GAZ C 8.625% 04/28/34 | 400,000.0000 | USD | 487,029.20 |
| GAZPROM (GAZ CA 6.51% 03/07/22 | 4,498,000.0000 | USD | 4,879,632.81 |
| GAZPROM (GAZ C 7.288% 08/16/37 | 100,000.0000 | USD | 111,717.00 |
| GAZPROM (GAZ CA 9.25% 04/23/19 | 700,000.0000 | USD | 805,219.80 |
| SBERBANK (SB C 5.717% 06/16/21 | 900,000.0000 | USD | 952,420.50 |
| GAZPROM (GAZ C 5.999% 01/23/21 | 400,000.0000 | USD | 424,196.40 |
| SBERBANK (SB C 6.125% 02/07/22 | 1,700,000.0000 | USD | 1,827,336.80 |
| GAZPROM N (GPN 4.375% 09/19/22 | 1,400,000.0000 | USD | 1,333,836.00 |
| GAZPROM NEFT (GPN 6% 11/27/23 | 600,000.0000 | USD | 615,750.00 |
| T/L INTELSAT JACK ZCP 06/30/19 | 3,800,000.0000 | USD | 3,572,950.00 |
| T/L SEADRILL 0% 2/12/21 | 0.0000 | USD | 0.00 |
| UNITED MEXICA 4% 03/15/15/EUR/ | 200,000.0000 | EUR | 199,749.04 |
| IRS PMXIER05.98 08/26/24 CSFBUS33 FLOAT | (11,300,000.0000) | MXN | (659,690.30) |
| IRS R05.98PMXIE 08/26/24 CSFBUS33 FIXED | 11,300,000.0000 | MXN | 662,637.92 |
| IRS PMXIER06.71 09/20/29 CSFBUS33 FLOAT | (11,200,000.0000) | MXN | (653,852.33) |
| IRS R06.71PMXIE 09/20/29 CSFBUS33 FIXED | 11,200,000.0000 | MXN | 672,197.47 |
| IRS R05.43PMXIE 11/17/21 CSFBUS33 FIXED | 54,400,000.0000 | MXN | 3,170,403.29 |
| IRS PMXIER05.43 11/17/21 CSFBUS33 FLOAT | (54,400,000.0000) | MXN | (3,175,854.17) |
| IRS R05.27PMXIE 02/05/20 CSFBUS33 FIXED | 25,400,000.0000 | MXN | 1,494,039.90 |
| IRS PMXIER05.27 02/05/20 CSFBUS33 FLOAT | (25,400,000.0000) | MXN | (1,482,843.67) |
| IRS PMXIER06.62 02/18/30 CSFBUS33 FLOAT | (12,100,000.0000) | MXN | (706,394.03) |
| IRS R06.62PMXIE 02/18/30 CSFBUS33 FIXED | 12,100,000.0000 | MXN | 717,710.97 |
| IRS R05.14PMXIE 04/02/20 CSFBUS33 FIXED | 11,600,000.0000 | MXN | 678,511.38 |
| IRS PMXIER05.14 04/02/20 CSFBUS33 FLOAT | (11,600,000.0000) | MXN | (677,204.20) |
| IRS R05.85PMXIE 05/02/22 CSFBUS33 FIXED | 74,300,000.0000 | MXN | 4,405,420.49 |
| IRS PMXIER05.85 05/02/22 CSFBUS33 FLOAT | (74,300,000.0000) | MXN | (4,337,609.64) |
| 証券名 | 数量 | 通貨 | 時価(米ドル) |
| IRS R05.81PMXIE 05/02/22 CSFBUS33 FIXED | 48,900,000.0000 | MXN | 2,893,259.15 |
| IRS PMXIER05.81 05/02/22 CSFBUS33 FLOAT | (48,900,000.0000) | MXN | (2,854,765.97) |
| IRS R05.78PMXIE 09/29/22 CSFBUS33 FIXED | 96,760,000.0000 | MXN | 5,694,370.10 |
| IRS PMXIER05.78 09/29/22 CSFBUS33 FLOAT | (96,760,000.0000) | MXN | (5,648,817.08) |
| IRS R05.99PMXIE 01/30/26 CSFBUS33 FIXED | 19,300,000.0000 | MXN | 1,119,150.01 |
| IRS PMXIER05.99 01/30/26 CSFBUS33 FLOAT | (19,300,000.0000) | MXN | (1,126,727.67) |
| IRS R05.09PMXIE 02/05/21 CSFBUS33 FIXED | 59,300,000.0000 | MXN | 3,432,453.36 |
| IRS PMXIER05.09 02/05/21 CSFBUS33 FLOAT | (59,300,000.0000) | MXN | (3,461,914.56) |
| IRS R05.95PMXIE 01/30/26 CSFBUS33 FIXED | 36,600,000.0000 | MXN | 2,115,501.75 |
| IRS PMXIER05.95 01/30/26 CSFBUS33 FLOAT | (36,600,000.0000) | MXN | (2,136,696.00) |
| PETROBRAS 6.25% 12/14/26/GBP/ | 1,600,000.0000 | GBP | 1,787,248.28 |
| PETROBRAS 6.625% 01/16/34/GBP/ | 900,000.0000 | GBP | 932,748.69 |
| BRUCK IX C1 V/R 12/29/84 /EUR/ | 500,000.0000 | EUR | 569,842.12 |
| JUBIL V-X B V/R 08/21/21 /EUR/ | 6,000,000.0000 | EUR | 6,729,378.26 |
| WODST III-X V/R 08/27/22 /EUR/ | 2,700,000.0000 | EUR | 2,991,503.18 |
| PGAEA 2007- V/R 12/28/96 /EUR/ | 50,115.6800 | EUR | 53,185.90 |
| PANTH V-X A V/R 10/15/84 /EUR/ | 4,613,878.7600 | EUR | 5,109,486.60 |
| ARESE 2007- V/R 03/14/25 /EUR/ | 5,000,000.0000 | EUR | 5,484,663.86 |
| RABOBANK 6.875% 03/19/20 /EUR | 100,000.0000 | EUR | 136,697.86 |
| PETROBRAS 5.875% 03/07/22/EUR/ | 1,000,000.0000 | EUR | 1,008,114.15 |
| PETROBRAS 4.25% 10/02/23/EUR/ | 1,400,000.0000 | EUR | 1,252,688.06 |
| PETROBRAS 3.25% 04/01/19/EUR/ | 320,000.0000 | EUR | 327,744.55 |
| SCHAEFFLE 6.875% 08/15/18/EUR/ | 2,500,000.0000 | EUR | 2,963,593.07 |
| COOPERATIEVE R V/R /PERP//EUR/ | 1,800,000.0000 | EUR | 2,084,825.36 |
| SKELL 2006- V/R 11/30/22 /EUR/ | 2,303,000.0000 | EUR | 2,617,809.84 |
| RABOBANK STIC 6.5% /PERP//EUR/ | 487,000.0000 | EUR | 623,604.12 |
| PETROBRAS GLOB 7.875% 03/15/19 | 3,930,000.0000 | USD | 3,925,087.50 |
| PETROBRAS GLOBA 5.75% 01/20/20 | 825,000.0000 | USD | 759,000.00 |
| PETROBRAS GLOB 6.875% 01/20/40 | 464,000.0000 | USD | 365,980.00 |
| PETROBRAS GLOB 5.375% 01/27/21 | 2,600,000.0000 | USD | 2,317,250.00 |
| PETROBRAS GLOBA 6.75% 01/27/41 | 710,000.0000 | USD | 558,912.00 |
| PETROBRAS GLOBAL 3.5% 02/06/17 | 642,000.0000 | USD | 637,281.30 |
| PETROBRAS GLOB 5.625% 05/20/43 | 75,000.0000 | USD | 53,718.75 |
| PETROBRAS GLOBAL F 3% 01/15/19 | 160,000.0000 | USD | 144,352.00 |
| PETROBRAS GLOBAL F 2% 05/20/16 | 57,000.0000 | USD | 56,990.03 |
| PETROBRAS GLOBAL V/R 05/20/16 | 5,091,000.0000 | USD | 5,087,746.85 |
| PETROBRAS GLOBAL V/R 01/15/19 | 3,200,000.0000 | USD | 2,801,920.00 |
| PETROBRAS GLOB 4.375% 05/20/23 | 600,000.0000 | USD | 475,200.00 |
| PETROBRAS GLOBA 3.25% 03/17/17 | 759,000.0000 | USD | 749,892.00 |
| PETROBRAS GLOB 4.875% 03/17/20 | 1,769,000.0000 | USD | 1,574,410.00 |
| PETROBRAS GLOBAL V/R 03/17/17 | 999,000.0000 | USD | 975,523.50 |
| PETROBRAS GLOBAL V/R 03/17/20 | 333,000.0000 | USD | 273,376.35 |
| PETROBRAS GLOBA 6.25% 03/17/24 | 30,000.0000 | USD | 26,250.00 |
| PETROBRAS GLOBA 6.85% 06/05/15 | 2,144,000.0000 | USD | 1,597,280.00 |
| RABOBANK 8.375% V/R PERP 12/31/49 | 4,680,000.0000 | USD | 4,744,354.68 |
| COOPERATIEVE RABOBA V/R /PERP/ | 600,000.0000 | USD | 633,075.00 |
| EKSPORTFINANS AS 5.5% 05/25/16 | 800,000.0000 | USD | 801,840.00 |
| 証券名 | 数量 | 通貨 | 時価(米ドル) |
| EKSPORTFINANS 2.375% 05/25/16 | 500,000.0000 | USD | 500,258.50 |
| NOVO BANCO SA 5% 04/23/19/EUR/ | 4,528,000.0000 | EUR | 3,358,723.64 |
| NOVO BANCO SA 5% 04/04/19/EUR/ | 33,000.0000 | EUR | 24,604.95 |
| BANCO ESP 2.625% 05/08/17/EUR/ | 3,100,000.0000 | EUR | 932,028.55 |
| NOVO BANCO SA 5% 05/21/19/EUR/ | 202,000.0000 | EUR | 150,384.45 |
| NOVO BANCO SA 5% 05/14/19/EUR/ | 119,000.0000 | EUR | 88,590.78 |
| RUSSIAN FEDERA 5.625% 04/04/42 | 200,000.0000 | USD | 211,106.80 |
| RUSSIAN FEDERA 5.625% 04/04/42 | 1,800,000.0000 | USD | 1,899,961.20 |
| BANCO SANTANDE V/R /PERP//EUR/ | 5,700,000.0000 | EUR | 5,694,806.09 |
| BANCO POPULAR V/R /PERP//EUR/ | 9,200,000.0000 | EUR | 8,790,675.63 |
| BANCO BILBAO V V/R /PERP//EUR/ | 2,200,000.0000 | EUR | 2,329,010.77 |
| BANCO BILBAO VIZCAY V/R /PERP/ | 1,000,000.0000 | USD | 1,036,870.00 |
| CORP ANDIN 3.95% 10/15/21/MXN/ | 653,802.0000 | MXN | 38,565.78 |
| PERSTORP HOLD 9% 05/15/17/EUR/ | 3,600,000.0000 | EUR | 4,143,876.23 |
| PERSTORP HOLDIN 8.75% 05/15/17 | 7,370,000.0000 | USD | 7,356,181.25 |
| CREDIT SUISSE 6.5% 08/08/23 | 3,000,000.0000 | USD | 3,200,451.00 |
| UBS AG STAMFOR 7.625% 08/17/22 | 1,000,000.0000 | USD | 1,152,714.00 |
| UBS AG 5.125% 05/15/24 | 500,000.0000 | USD | 508,125.00 |
| UBS AG JERSEY BRA V/R 02/22/22 | 10,000,000.0000 | USD | 10,343,630.00 |
| ROYAL BK 13.12% 03/19/22 /AUD | 3,700,000.0000 | AUD | 3,028,293.63 |
| UNIQUE PUB 6.542% 3/30/21/GBP/ | 1,364,960.0000 | GBP | 2,046,218.89 |
| UNIQUE PU 5.659% 06/30/27/GBP/ | 1,716,246.5400 | GBP | 2,458,818.67 |
| RMAC 2004-N V/R 06/12/36 /GBP/ | 6,280,177.3500 | GBP | 8,189,888.19 |
| SPIRIT IS 6.582% 12/28/27/GBP/ | 400,000.0000 | GBP | 607,201.04 |
| SPIRIT ISS V/R 12/28/31 /GBP/ | 760,000.0000 | GBP | 996,521.82 |
| PARGN 13X A V/R 01/15/39 /GBP/ | 4,807,512.6700 | GBP | 6,233,635.95 |
| ECLIP 2006- V/R 10/25/16 /GBP/ | 1,220,896.4400 | GBP | 1,763,988.83 |
| THEAT 2007- V/R 10/15/31 /GBP/ | 731,095.7400 | GBP | 1,027,535.60 |
| THEAT 2007- V/R 10/15/31 /GBP/ | 1,551,986.2700 | GBP | 2,181,275.38 |
| EURO 27X A V/R 07/25/17 /GBP/ | 9,300,000.0000 | GBP | 13,374,939.60 |
| ESAIL 2006- V/R 09/10/44 /GBP/ | 2,307,502.5900 | GBP | 3,288,776.57 |
| ESAIL 2007- V/R 09/13/45 /GBP/ | 1,115,561.4000 | GBP | 1,436,040.83 |
| BARCLAYS BANK V/R /PERP//GBP/ | 500,000.0000 | GBP | 914,646.92 |
| TESCO PRO 5.8% 10/13/40 /GBP/ | 405,204.8200 | GBP | 538,447.06 |
| TESCO PRO 5.744% 04/13/40 /GBP | 167,826.5400 | GBP | 226,360.64 |
| TESCO PRO 6.051% 10/13/39 /GB | 717,598.0800 | GBP | 1,026,105.48 |
| TESCO PRO 5.411% 07/13/44/GBP/ | 197,917.8200 | GBP | 257,226.02 |
| TRINI 2015- V/R 04/15/51 /GBP/ | 943,497.7000 | GBP | 1,368,117.72 |
| ROFIN 2 A V/R 06/20/45 /GBP/ | 12,200,000.0000 | GBP | 17,678,407.01 |
| LLOYDS BANKING V/R /PERP//GBP/ | 1,900,000.0000 | GBP | 2,771,567.16 |
| LLOYDS BANKING V/R /PERP//GBP/ | 900,000.0000 | GBP | 1,319,695.43 |
| TIG FINCO V/R 03/02/20/GBP/ | 1,930,000.0000 | GBP | 2,883,802.09 |
| TIG FINCO V/R 03/02/20/GBP/ | 335,602.0000 | GBP | 501,455.83 |
| TIG FINCO 8.75% 04/02/20/GBP/ | 1,723,824.0000 | GBP | 2,058,062.23 |
| BARCLAYS PLC V/R /PERP//GBP/ | 4,453,000.0000 | GBP | 5,974,820.28 |
| HBOS PLC V/R 09/01/16/EUR/ | 400,000.0000 | EUR | 457,298.85 |
| GRIF 1 A V/R 08/28/39 /EUR/ | 1,505,234.3900 | EUR | 1,216,161.55 |
| 証券名 | 数量 | 通貨 | 時価(米ドル) |
| ROYAL BK SC 2.5% 03/22/23/EUR/ | 6,500,000.0000 | EUR | 7,334,636.87 |
| BARCLAYS PLC V/R /PERP//EUR/ | 600,000.0000 | EUR | 688,109.55 |
| BARCLAYS PLC V/R /PERP//EUR/ | 2,300,000.0000 | EUR | 2,446,610.73 |
| HSBC HOLDINGS V/R /PERP//EUR/ | 8,210,000.0000 | EUR | 9,075,260.19 |
| BARCLAYS PLC V/R /PERP/ | 200,000.0000 | USD | 201,209.40 |
| BARCLAYS BANK PLC V/R 04/10/23 | 900,000.0000 | USD | 957,150.00 |
| BARCLAYS BANK 7.625% 11/21/22 | 4,200,000.0000 | USD | 4,585,875.00 |
| IMPERIAL BRANDS 3.5% 02/11/23 | 555,000.0000 | USD | 575,159.27 |
| LLOYDS BANK PLC V/R /PERP/ | 300,000.0000 | USD | 397,125.00 |
| ROYAL BK SCOTLND 4.8% 04/05/26 | 1,200,000.0000 | USD | 1,225,728.00 |
| ROYAL BK SCOTLND GR V/R /PERP/ | 500,000.0000 | USD | 467,500.00 |
| ROYAL BK SCOTLND GR V/R /PERP/ | 200,000.0000 | USD | 192,187.40 |
| HBOS PLC V/R 09/30/16 | 200,000.0000 | USD | 199,703.60 |
| ROYAL BK OF SCOTL V/R 03/16/22 | 1,800,000.0000 | USD | 1,908,390.60 |
| BARCLAYS BANK PLC V/R 04/10/23 | 800,000.0000 | USD | 850,800.00 |
| DIGITAL E 2.625% 04/15/24/EUR/ | 1,400,000.0000 | EUR | 1,614,945.30 |
| AT&T INC 3% 06/30/22 | 600,000.0000 | USD | 612,838.80 |
| AT&T INC 3.4% 05/15/25 | 51,000.0000 | USD | 51,941.41 |
| AT&T INC 2.8% 02/17/21 | 264,000.0000 | USD | 270,349.46 |
| AT&T INC 3.6% 02/17/23 | 264,000.0000 | USD | 275,874.98 |
| AT&T INC 4.125% 02/17/26 | 440,000.0000 | USD | 473,051.04 |
| AT&T INC 5.65% 02/15/47 | 264,000.0000 | USD | 298,550.74 |
| ABBVIE INC 3.6% 05/14/25 | 116,000.0000 | USD | 121,775.99 |
| ACCR 2005-2 M5 V/R 07/25/35 | 9,805,923.2000 | USD | 7,057,631.81 |
| ACCR 2006-2 A4 V/R 09/25/36 | 1,600,000.0000 | USD | 1,372,370.40 |
| ACE 2006-OP2 A1 V/R 08/25/36 | 6,849,229.4100 | USD | 5,787,354.33 |
| ACE 2005-HE5 M4 V/R 08/25/35 | 5,023,000.0000 | USD | 3,881,685.49 |
| AGFC CAP TRST 1 V/R 1/15/67 144A | 2,200,000.0000 | USD | 1,243,000.00 |
| ACBN 2003-1A 7.001% 03/20/21 | 1,900,492.0600 | USD | 1,969,384.90 |
| FNMA TBA 30YR 3.0% MAY 16 | (800,000.0000) | USD | (820,156.18) |
| FNMA 30YR TBA 3.5% MAY 16 | (5,000,000.0000) | USD | (5,240,235.10) |
| FNMA 30YR TBA 3.5% JUN 16 | (6,000,000.0000) | USD | (6,277,032.12) |
| ALLY FINANCIAL 6.25% 12/01/17 | 5,090,000.0000 | USD | 5,312,687.50 |
| ALLY FINANCIAL I 5.5% 02/15/17 | 2,705,000.0000 | USD | 2,767,780.35 |
| ALLY FINANCIAL I 3.5% 07/18/16 | 1,840,000.0000 | USD | 1,850,488.00 |
| ALLY FINANCIAL 2.75% 01/30/17 | 1,110,000.0000 | USD | 1,110,629.37 |
| ALLY FINANCIAL I 3.5% 01/27/19 | 300,000.0000 | USD | 298,875.00 |
| CWALT 2007-J2 2A1 6% 07/25/37 | 106,231.9100 | USD | 109,562.83 |
| ILLINOIS PWR GENER 7% 04/15/18 | 5,000,000.0000 | USD | 2,250,000.00 |
| ILLINOIS PWR GEN 6.3% 04/01/20 | 35,000.0000 | USD | 15,137.50 |
| SPRINGLEAF FINA 5.75% 09/15/16 | 600,000.0000 | USD | 604,982.40 |
| SPRINGLEAF FINAN 6.5% 09/15/17 | 400,000.0000 | USD | 412,500.00 |
| AMERICAN INTL GR 3.9% 04/01/26 | 1,000,000.0000 | USD | 1,020,923.00 |
| AMSI 2002-AR1 M1 V/R 09/25/32 | 910,383.7500 | USD | 832,689.05 |
| AMSI 2003-9 AV2 V/R 10/25/33 | 89,967.6800 | USD | 84,710.89 |
| AMSI 2004-R9 M4 V/R 10/25/34 | 9,000,000.0000 | USD | 6,360,893.10 |
| AMSI 2006-R1 M2 V/R 03/25/36 | 27,500,000.0000 | USD | 19,010,904.00 |
| 証券名 | 数量 | 通貨 | 時価(米ドル) |
| QUEST 2005-X1 M3 V/R 03/25/35 | 6,059,500.0000 | USD | 5,087,303.52 |
| AMGEN INC 3.625% 05/22/24 | 100,000.0000 | USD | 107,176.10 |
| AMGEN INC 3.125% 05/01/25 | 200,000.0000 | USD | 205,672.40 |
| ANHEUSER-BUSCH 2.65% 02/01/21 | 557,000.0000 | USD | 572,438.37 |
| ANHEUSER-BUSCH I 3.3% 02/01/23 | 557,000.0000 | USD | 581,015.06 |
| ANHEUSER-BUSCH I 4.7% 02/01/36 | 680,000.0000 | USD | 745,114.08 |
| ANHEUSER-BUSCH I 4.9% 02/01/46 | 680,000.0000 | USD | 773,051.20 |
| ANHEUSER-BUSCH 3.65% 02/01/26 | 469,000.0000 | USD | 494,966.65 |
| ARSI 2003-W3 M2 V/R 09/25/33 | 2,991,793.9000 | USD | 2,867,790.92 |
| ARSI 2006-W3 A2C V/R 04/25/36 | 9,957,614.4400 | USD | 3,826,351.76 |
| ABSHE 2005-HE1 M V/R 03/25/35 | 2,740,935.2000 | USD | 2,655,265.90 |
| ABSHE 2005-HE5 M V/R 06/25/35 | 1,336,009.8600 | USD | 1,332,333.16 |
| ABFC 2005-WMC1 M V/R 06/25/35 | 5,000,000.0000 | USD | 3,868,509.00 |
| AVNT 2016-B A 4.15% 08/15/17 | 400,000.0000 | USD | 400,063.96 |
| BAMLL 2014-ICTS V/R 06/15/16 | 5,000,000.0000 | USD | 4,936,460.50 |
| BCAP 2011-R11 8A V/R 06/26/19 | 1,259,381.8200 | USD | 1,193,481.90 |
| BCRR 2009-1 2A1 V/R 07/17/17 | 2,320,211.8800 | USD | 2,330,664.43 |
| BCRR 2009-1 2A2 V/R 07/17/17 | 13,800,000.0000 | USD | 14,214,681.72 |
| BCAP 2011-RR9 6A V/R 12/26/14 | 910,220.1300 | USD | 904,000.96 |
| BCAP 2012-RR6 3A V/R 08/26/14 | 1,101,981.9600 | USD | 1,080,304.43 |
| BGC PARTNERS I 5.375% 12/09/19 | 650,000.0000 | USD | 673,315.50 |
| BCAP 2013-RR4 1A V/R 09/26/35 | 262,452.7700 | USD | 259,448.13 |
| BCAP 2014-RR1 3A V/R 04/26/15 | 1,590,556.6700 | USD | 1,567,746.34 |
| BMC SOFTWARE F 8.125% 07/15/21 | 37,000.0000 | USD | 27,565.00 |
| BOAA 2006-6 CB5 6% 07/25/46 | 5,259,436.1100 | USD | 4,280,763.92 |
| BOAA 2007-1 1A1 V/R 04/25/22 | 580,564.4000 | USD | 573,470.37 |
| BANK OF AMERIC 3.875% 08/01/25 | 1,220,000.0000 | USD | 1,269,368.52 |
| BSARM 2004-8 2A1 V/R 11/25/34 | 49,200.6900 | USD | 47,305.89 |
| BSABS 2007-HE3 1 V/R 04/25/37 | 13,244,975.2200 | USD | 13,265,205.60 |
| BSABS 2005-2 M3 V/R 06/25/35 | 3,853,000.0000 | USD | 3,446,836.39 |
| BSABS 2005-HE12 V/R 12/25/35 | 6,400,000.0000 | USD | 5,900,108.80 |
| BSABS 2006-HE1 1 V/R 12/25/35 | 9,109,000.0000 | USD | 8,379,748.03 |
| BSABS 2005-HE10 V/R 11/25/35 | 7,933,634.9500 | USD | 6,790,570.31 |
| BSABS 2006-4 A V/R 10/25/36 | 9,922,540.0600 | USD | 9,524,361.43 |
| BSABS 2007-HE1 1A V/R 02/25/37 | 13,048,390.8300 | USD | 11,300,528.87 |
| BLACKSTONE CQP 2.324% 3/19/19 | 8,886,114.0000 | USD | 8,775,037.58 |
| BOSTON SCIENTI 3.375% 05/15/22 | 2,260,000.0000 | USD | 2,321,268.60 |
| BOSTON SCIENTIF 3.85% 05/15/25 | 200,000.0000 | USD | 209,558.00 |
| BOXER PARENT CO IN 9% 10/15/19 | 519,000.0000 | USD | 384,060.00 |
| BSDB 2005-AFR 5.116% 09/15/27 | 2,405,000.0000 | USD | 2,436,670.24 |
| BSDB 2005-AFR 5.156% 09/15/27 | 1,580,000.0000 | USD | 1,586,380.04 |
| BLX 2005-AA A V/R 09/25/38 | 3,676,076.7600 | USD | 3,229,444.46 |
| BLX 2005-AA B V/R 09/25/38 | 1,781,915.5300 | USD | 1,535,326.93 |
| BLX 2005-AA C V/R 09/25/38 | 129,124.3100 | USD | 109,753.52 |
| CGCMT 2009-RR1 L V/R 07/17/40 | 2,593,158.0300 | USD | 2,602,787.20 |
| CIT GROUP INC 5.25% 03/15/18 | 8,000.0000 | USD | 8,270.00 |
| CIT GROUP INC 5% 05/15/17 | 6,025,000.0000 | USD | 6,164,328.13 |
| 証券名 | 数量 | 通貨 | 時価(米ドル) |
| CIT GROUP INC 4.25% 08/15/17 | 40,000.0000 | USD | 40,675.00 |
| COMM 2014-LC15 X V/R 03/10/24 | 33,000,000.0000 | USD | 411,199.80 |
| CNL 2003-2A A1 V/R 10/25/30 | 1,218,878.6200 | USD | 1,058,121.33 |
| CSMC 2007-4R 1A1 V/R 10/26/36 | 670,151.7000 | USD | 499,434.71 |
| CWL 2004-BC1 M2 V/R 01/25/34 | 1,713,437.2200 | USD | 1,621,238.02 |
| CWL 2003-2 3A V/R 08/26/33 | 35,786.7700 | USD | 31,738.20 |
| CWL 2004-10 MV3 V/R 12/25/34 | 3,150,000.0000 | USD | 2,959,425.32 |
| CWALT 2004-15 2A V/R 09/25/34 | 3,394,787.7300 | USD | 3,315,621.28 |
| CWALT 2005-28CB 5.5% 08/25/35 | 189,196.5600 | USD | 179,335.54 |
| CWALT 2005-36 3A V/R 08/25/35 | 1,471,304.9900 | USD | 1,269,482.85 |
| CWL 2006-25 2A3 V/R 11/25/33 | 9,211,249.6300 | USD | 8,774,343.48 |
| CWALT 2005-86CB 5.5% 02/25/36 | 42,004.6700 | USD | 37,757.95 |
| CWALT 2006-OA1 2 V/R 03/20/46 | 17,413,541.5700 | USD | 12,764,759.82 |
| CWHL 2004-22 A3 V/R 11/25/34 | 33,770.4700 | USD | 32,046.06 |
| CWHL 2004-7 2A1 V/R 06/25/34 | 4,571.6700 | USD | 4,489.00 |
| CAESARS ENTERTAI 8.5% 02/15/20 | 5,726,000.0000 | USD | 5,196,345.00 |
| CAESARS ENTERTAINM 9% 02/15/20 | 2,003,000.0000 | USD | 1,817,722.50 |
| CAESARS ENTERTAINM 9% 02/15/20 | 6,736,000.0000 | USD | 6,096,080.00 |
| CALIFORNIA RESOU 5.5% 09/15/21 | 37,000.0000 | USD | 15,355.00 |
| CALIFORNIA RESOURC 8% 12/15/22 | 4,245,000.0000 | USD | 2,923,743.75 |
| CRELT 2006-1A B V/R 01/20/37 | 5,000,000.0000 | USD | 4,645,325.00 |
| CBAC 2006-2A A S/UP 01/25/39 | 3,369,883.6900 | USD | 2,750,579.27 |
| CXHE 2005-B M2 V/R 03/25/35 | 5,513,525.1000 | USD | 4,487,151.53 |
| CCO SAFARI II 3.579% 07/23/20 | 441,000.0000 | USD | 458,136.82 |
| CCO SAFARI II 4.464% 07/23/22 | 661,000.0000 | USD | 703,547.91 |
| CCO SAFARI II 4.908% 07/23/25 | 992,000.0000 | USD | 1,070,984.03 |
| CCO SAFARI II 6.384% 10/23/35 | 220,000.0000 | USD | 254,531.42 |
| CHESAPEAKE ENERGY V/R 04/15/19 | 795,000.0000 | USD | 516,750.00 |
| CHESAPEAKE ENERGY 8% 12/15/22 | 541,000.0000 | USD | 370,585.00 |
| CCMFC 2004-A A1 V/R 03/25/35 | 1,418,377.4700 | USD | 1,271,661.36 |
| CHICAGO IL 7.375% 01/01/33 | 440,000.0000 | USD | 448,038.80 |
| CHICAGO IL 7.75% 01/01/42 | 780,000.0000 | USD | 776,154.60 |
| CMLTI 2006-HE1 M V/R 01/25/36 | 197,000.0000 | USD | 188,235.02 |
| CMLTI 2005-OPT4 V/R 07/25/35 | 3,174,000.0000 | USD | 2,988,885.34 |
| CMLTI 2006-WMC1 V/R 12/25/35 | 16,195,906.3700 | USD | 15,342,327.04 |
| CMLTI 2007-WFH1 V/R 01/25/37 | 1,860,000.0000 | USD | 1,488,978.17 |
| CMLTI 2013-7 2A2 V/R 08/25/36 | 8,945,553.8100 | USD | 7,439,500.05 |
| CGCMT 2014-GC19 V/R 03/10/47 | 25,400,000.0000 | USD | 472,681.30 |
| IHEARTCOMMUNICATIO 9% 03/01/21 | 4,900,000.0000 | USD | 3,485,125.00 |
| CWL 2006-7 2A3 V/R 04/25/46 | 5,602,426.9900 | USD | 5,799,810.02 |
| CWALT 2006-OA12 V/R 09/20/46 | 4,288,241.5500 | USD | 3,605,785.49 |
| CWALT 2006-OC6 1 V/R 07/25/36 | 19,715,498.7300 | USD | 18,931,878.63 |
| CWALT 2006-OC7 2 V/R 05/25/35 | 7,439,704.8100 | USD | 7,906,655.65 |
| CWL 2007-1 2A3 V/R 07/25/37 | 6,193,480.5400 | USD | 5,545,369.96 |
| CWALT 2006-OC9 A V/R 12/25/36 | 25,241,489.6300 | USD | 15,803,631.03 |
| DMARC 2014-RS1 4 V/R 11/27/36 | 8,706,214.0000 | USD | 7,264,707.86 |
| EMCM 2004-AA M1 V/R 04/25/42 | 3,389,537.4100 | USD | 3,245,476.99 |
| 証券名 | 数量 | 通貨 | 時価(米ドル) |
| CAS 2015-C02 2M2 V/R 05/25/25 | 180,000.0000 | USD | 176,836.95 |
| FHR 4065 QS V/R 06/15/42 | 126,790.9600 | USD | 32,582.96 |
| STACR 2015-HQ2 M V/R 05/25/25 | 250,000.0000 | USD | 239,674.90 |
| FNMA P#AP2150 3.5% 08/01/42 | 94,909.4600 | USD | 99,701.31 |
| FNMA P#AS5370 3.5% 07/01/45 | 221,417.6700 | USD | 232,507.85 |
| FNMA P#AX9528 3.5% 02/01/45 | 9,384,439.5000 | USD | 9,854,496.88 |
| FNMA P#BA5236 3.5% 12/01/45 | 869,948.0600 | USD | 912,721.19 |
| FFML 2006-FF8 II V/R 07/25/36 | 2,399,768.6500 | USD | 2,298,963.49 |
| FFML 2006-FF5 2A V/R 04/25/36 | 11,631,781.5500 | USD | 9,738,372.94 |
| GEBL 2006-2A A V/R 11/15/34 | 6,593,970.5800 | USD | 6,252,904.71 |
| GSAA 2007-10 A2 6.5% 11/25/37 | 32,507.9800 | USD | 23,567.28 |
| GSAMP 2005-WMC2 V/R 11/25/35 | 7,830,324.7600 | USD | 4,632,766.23 |
| GSAMP 2006-HE4 A V/R 06/25/36 | 9,528,411.8900 | USD | 8,998,535.95 |
| GSAMP 2006-HE3 A V/R 05/25/36 | 2,289,142.4400 | USD | 2,065,769.75 |
| GSMS 2007-GG10 A V/R 05/10/17 | 16,379,219.1100 | USD | 16,840,281.02 |
| GENERAL MOTORS 2.75% 05/15/16 | 140,000.0000 | USD | 140,081.48 |
| GOLDMAN SACHS G 2.75% 09/15/20 | 300,000.0000 | USD | 304,807.20 |
| GOLDMAN SACHS G 4.75% 10/21/45 | 500,000.0000 | USD | 534,231.50 |
| GOLDMAN SACHS G 3.75% 05/22/25 | 1,000,000.0000 | USD | 1,029,633.00 |
| GT 1999-5 A6 V/R 03/01/30 | 71,087,148.6600 | USD | 56,975,176.71 |
| GT 1996-7 M1 V/R 09/15/26 | 4,419,155.0400 | USD | 4,859,890.63 |
| GPMF 2005-AR5 3A V/R 11/25/45 | 145,566.6400 | USD | 103,617.74 |
| HCA INC 3.75% 03/15/19 | 1,045,000.0000 | USD | 1,076,350.00 |
| HVMLT 2006-12 2A V/R 12/19/36 | 3,601,620.3400 | USD | 2,494,204.56 |
| CAESARS ENTERT 11.25% 06/01/17 | 9,816,000.0000 | USD | 8,834,400.00 |
| KRAFT HEINZ FOO 3.95% 07/15/25 | 155,000.0000 | USD | 165,823.03 |
| HEAT 2006-3 2A4 V/R 07/25/36 | 904,205.5500 | USD | 886,996.26 |
| HOST HOTELS & RESO 4% 06/15/25 | 400,000.0000 | USD | 398,953.20 |
| HYATT HOTELS CO 4.85% 03/15/26 | 200,000.0000 | USD | 213,557.80 |
| IHEARTCOMMUNICATIO 9% 09/15/22 | 600,000.0000 | USD | 423,750.00 |
| ILLINOIS ST 6.63% 02/01/35 | 335,000.0000 | USD | 355,625.95 |
| ILLINOIS ST 7.35% 07/01/35 | 100,000.0000 | USD | 110,867.00 |
| INABS 2005-B M5 V/R 08/25/35 | 5,750,000.0000 | USD | 4,635,798.93 |
| INTL LEASE FINA 6.75% 09/01/16 | 500,000.0000 | USD | 507,288.50 |
| INTL LEASE FIN V/R 03/15/17 | 1,100,000.0000 | USD | 1,161,050.00 |
| INTREPID AVIAT 6.875% 02/15/19 | 2,406,000.0000 | USD | 2,201,490.00 |
| JPMORGAN CHASE 2.55% 03/01/21 | 1,200,000.0000 | USD | 1,217,650.80 |
| JPMORGAN CHASE & V/R 03/01/21 | 2,200,000.0000 | USD | 2,248,092.00 |
| JPMCC 2002-C2 E V/R 11/12/12 | 26,053.7200 | USD | 26,410.16 |
| JPMAC 2006-WMC1 V/R 03/25/36 | 19,818,729.9300 | USD | 17,462,193.76 |
| JPMAC 2006-NC1 A V/R 04/25/36 | 1,626,506.1700 | USD | 1,605,216.18 |
| JPALT 2006-A1 4A V/R 03/25/36 | 1,124,558.7600 | USD | 876,265.18 |
| JPALT 2006-S1 3A V/R 03/25/36 | 1,730,994.0500 | USD | 1,573,298.24 |
| JPMAC 2006-CW1 A V/R 05/25/36 | 20,378,589.7800 | USD | 18,836,364.60 |
| JPMAC 2006-CW2 M V/R 08/25/36 | 8,600,000.0000 | USD | 5,808,870.86 |
| JPMCC 2006-LD 5.336% 05/15/47 | 4,514,231.5900 | USD | 4,583,071.82 |
| JMAC 2008-R1 A V/R 06/25/47 | 1,598,053.7300 | USD | 1,536,474.97 |
| 証券名 | 数量 | 通貨 | 時価(米ドル) |
| JEFFERIES FIN 6.875% 04/15/22 | 1,000,000.0000 | USD | 880,000.00 |
| JEFFERIES LOAN 6.875% 06/01/20 | 1,200,000.0000 | USD | 1,020,000.00 |
| LBUBS 2004-C4 H V/R 06/15/36 | 1,631,458.8300 | USD | 1,631,137.60 |
| LXS 2005-9N 1A V/R 02/25/36 | 256,261.0900 | USD | 204,859.57 |
| LXS 2007-12N 1A2 V/R 07/25/47 | 871,070.3100 | USD | 855,612.56 |
| LINN ENERGY LLC/F 12% 12/15/20 | 215,000.0000 | USD | 41,925.00 |
| LOEWS CORP 3.75% 04/01/26 | 500,000.0000 | USD | 518,342.50 |
| LBMLT 2004-2 M4 V/R 06/25/34 | 2,559,644.1300 | USD | 2,454,588.91 |
| LBMLT 2006-WL1 2 V/R 01/25/36 | 1,708,385.4500 | USD | 1,608,641.54 |
| LBMLT 2006-2 2A3 V/R 03/25/46 | 20,689,919.8900 | USD | 8,129,779.19 |
| MGM RESORTS INTL 7.5% 06/01/16 | 2,000,000.0000 | USD | 2,008,788.00 |
| MGM RESORTS INTL 10% 11/01/16 | 920,000.0000 | USD | 959,721.00 |
| MLCFC 2007-6 A4 V/R 03/12/51 | 3,450,000.0000 | USD | 3,521,952.17 |
| MARM 2004-3 4A2 V/R 04/25/34 | 6,523.2500 | USD | 6,079.95 |
| MABS 2006-HE5 A4 V/R 11/25/36 | 46,179.2300 | USD | 27,770.87 |
| MLMI 2003-A2 1A1 V/R 02/25/33 | 41,357.4000 | USD | 39,750.94 |
| MLMI 2005-A6 2A3 V/R 08/25/35 | 74,739.3200 | USD | 67,740.30 |
| MSAC 2005-HE4 M2 V/R 07/25/35 | 4,400,000.0000 | USD | 4,154,247.68 |
| MSAC 2003-SD1 A1 V/R 03/25/33 | 185,950.3500 | USD | 177,526.26 |
| MSDWC 2001-TOP3 V/R 07/15/33 | 6,890,682.8200 | USD | 7,612,374.35 |
| MSC 2007-HQ11 A1 V/R 02/12/44 | 1,970,577.2200 | USD | 2,010,769.51 |
| MSRR 2010-GG10 A V/R 08/15/45 | 4,639,531.7400 | USD | 4,734,560.48 |
| NCSLT 2007-2 A2 V/R 06/26/28 | 2,044,289.0200 | USD | 1,999,081.41 |
| NCSCT 2007-4AR1 V/R 03/25/38 | 3,852,339.1800 | USD | 3,794,554.09 |
| NLFC 1999-LTL1 6.45% 01/22/26 | 1,072,000.0000 | USD | 1,123,700.42 |
| NHELI 2006-AF1 A V/R 10/25/36 | 28,825,882.6700 | USD | 14,840,711.67 |
| NMRR 2011-3RA 3A V/R 11/26/36 | 10,473,835.0600 | USD | 10,277,280.98 |
| NHEL 2005-2 M3 V/R 10/25/35 | 2,500,000.0000 | USD | 2,041,102.00 |
| OOMLT 2006-3 2A2 V/R 02/25/37 | 6,797,394.5500 | USD | 3,844,226.38 |
| PROLOGIS LP 3.75% 11/01/25 | 250,000.0000 | USD | 266,217.50 |
| QVC INC 5.45% 08/15/34 | 50,000.0000 | USD | 44,728.65 |
| RASC 2007-KS1 A3 V/R 11/25/36 | 3,886,202.3900 | USD | 3,592,147.45 |
| RBSGC 2007-A 1A1 6% 01/25/37 | 23,486.9400 | USD | 20,945.86 |
| RBSSP 2009-9 1A1 V/R 03/26/36 | 40,275.9400 | USD | 40,086.33 |
| RBSSP 2009-9 11A V/R 04/26/37 | 436,346.1200 | USD | 409,153.12 |
| RBSCF 2010-RR4 W V/R 03/16/17 | 25,000.0000 | USD | 25,492.15 |
| RASC 2006-KS9 AI V/R 11/25/36 | 12,880,667.1800 | USD | 11,073,745.29 |
| SL GREEN REALTY 7.75% 03/15/20 | 500,000.0000 | USD | 583,353.50 |
| RAMC 2007-1 AF3 V/R 04/25/37 | 9,543,609.2200 | USD | 4,767,286.67 |
| RAMC 2007-2 AF2 S/UP 06/25/37 | 3,981,132.6900 | USD | 1,884,992.28 |
| RAMC 2007-3 AV2 V/R 09/25/37 | 82,168.1400 | USD | 63,476.16 |
| RAMC 2004-3 AV2A V/R 11/25/34 | 75,566.2700 | USD | 65,013.46 |
| RASC 2004-KS2 M2 V/R 03/25/34 | 5,116,173.2100 | USD | 4,782,004.22 |
| RAMP 2005-EFC5 M V/R 10/25/35 | 5,000,000.0000 | USD | 4,781,771.00 |
| RAMP 2005-EFC6 M V/R 11/25/35 | 13,000,000.0000 | USD | 9,974,680.30 |
| RAMP 2005-NC1 AI V/R 10/25/34 | 10,508,743.3300 | USD | 9,791,989.24 |
| RAMP 2005-RS8 M2 V/R 09/25/35 | 12,590,678.0000 | USD | 9,305,333.21 |
| 証券名 | 数量 | 通貨 | 時価(米ドル) |
| RIO OIL FINANCE 9.75% 01/06/27 | 700,000.0000 | USD | 456,750.00 |
| NAVIENT CORP 5.625% 08/01/33 | 5,353,000.0000 | USD | 3,800,630.00 |
| NAVIENT CORP 8.45% 06/15/18 | 700,000.0000 | USD | 751,625.00 |
| NAVIENT CORP 5.5% 01/15/19 | 34,000.0000 | USD | 33,872.50 |
| SANTANDER HOLDIN 4.5% 07/17/25 | 2,000,000.0000 | USD | 2,067,556.00 |
| SAST 2003-1 M1 V/R 06/25/33 | 2,044,102.4000 | USD | 1,914,513.05 |
| SAST 2004-1 M1 V/R 03/25/35 | 1,762,273.4500 | USD | 1,605,549.71 |
| SABR 2006-NC1 A3 V/R 03/25/36 | 12,985,244.3300 | USD | 10,392,981.83 |
| SEQUA CORP 7% 12/15/17 | 399,000.0000 | USD | 59,850.00 |
| SEMT 2004-5 A2 V/R 06/20/34 | 91,612.2600 | USD | 84,379.23 |
| SPANISH BROADCA 12.5% 04/15/17 | 900,000.0000 | USD | 882,000.00 |
| SURF 2005-BC2 M3 V/R 12/25/35 | 4,299,808.3700 | USD | 3,850,996.95 |
| SCFT 2014-AA A 2.7% 05/25/23 | 657,632.0800 | USD | 659,365.07 |
| SPRINGLEAF FINAN 6.9% 12/15/17 | 4,490,000.0000 | USD | 4,686,437.50 |
| SPRINGLEAF FINA 8.25% 12/15/20 | 8,314,000.0000 | USD | 8,594,597.50 |
| SPRINT COMMUNICATI 6% 12/01/16 | 305,000.0000 | USD | 307,287.50 |
| SPRINT COMMUNI 9.125% 03/01/17 | 1,400,000.0000 | USD | 1,449,000.00 |
| SPRINT CORP 7.125% 06/15/24 | 270,000.0000 | USD | 203,850.00 |
| SARM 2005-9 2A1 V/R 05/25/35 | 202,270.5500 | USD | 139,476.08 |
| SARM 2005-19XS 1 V/R 10/25/35 | 15,743,695.4700 | USD | 12,961,416.08 |
| SAIL 2006-3 A5 V/R 06/25/36 | 17,039,738.0500 | USD | 14,962,941.59 |
| SAIL 2004-BNC2 A V/R 12/25/34 | 12,273,458.9900 | USD | 10,930,159.59 |
| SAMI 2002-AR3 A1 V/R 09/19/32 | 111,093.6200 | USD | 108,221.11 |
| SASC 2003-23H 1 5.5% 07/25/33 | 30,754.4700 | USD | 30,932.55 |
| SASC 2006-OPT1 A V/R 04/25/36 | 1,645,196.6800 | USD | 1,558,867.12 |
| SASC 2007-TC1 M1 V/R 04/25/31 | 8,945,000.0000 | USD | 7,577,644.04 |
| STRYKER CORP 4.625% 03/15/46 | 100,000.0000 | USD | 110,728.20 |
| STRYKER CORP 2% 03/08/19 | 100,000.0000 | USD | 101,399.00 |
| STRYKER CORP 2.625% 03/15/21 | 100,000.0000 | USD | 102,844.60 |
| STRYKER CORP 3.5% 03/15/26 | 200,000.0000 | USD | 210,144.20 |
| THERMO FISHER S 4.15% 02/01/24 | 300,000.0000 | USD | 323,345.70 |
| THERMO FISHER SC 3.3% 02/15/22 | 100,000.0000 | USD | 103,154.10 |
| TIMES SQUARE H 8.528?08/01/26 | 2,247,810.7600 | USD | 2,649,834.64 |
| UNITED AIRLINE 10.4% 11/01/16 | 6,106,625.2300 | USD | 6,351,195.57 |
| US TIPS 2.375% 01/15/25 | 24,931,578.0000 | USD | 29,808,493.84 |
| US TREAS BDS 2.5% 02/15/46 | 17,200,000.0000 | USD | 16,620,841.60 |
| US TIPS 0.125% 04/15/20 | 1,113,761.0000 | USD | 1,137,689.04 |
| US TREAS NTS V/R 01/31/18 | 1,057,000.0000 | USD | 1,059,463.87 |
| US TREAS NTS 1.625% 02/15/26 | 106,000.0000 | USD | 104,165.67 |
| US TIPS 0.625% 07/15/21 | 84,162.4000 | USD | 88,490.54 |
| VOLT 2015-NPL4 A V/R 02/25/18 | 3,277,894.5300 | USD | 3,259,519.64 |
| VERIZON COMMUNIC 4.5% 09/15/20 | 1,265,000.0000 | USD | 1,400,083.03 |
| VERIZON COMMUNI 5.15% 09/15/23 | 1,490,000.0000 | USD | 1,716,307.16 |
| WFRBS 2014-C19 X V/R 03/15/47 | 8,800,000.0000 | USD | 290,076.16 |
| WBCMT 2006-C27 A V/R 07/15/16 | 6,743,531.3300 | USD | 6,768,390.01 |
| WAMU 2005-AR1 A3 V/R 01/25/45 | 242,918.1000 | USD | 220,133.72 |
| WELLS FARGO & CO 2.5% 03/04/21 | 1,400,000.0000 | USD | 1,423,303.00 |
| 証券名 | 数量 | 通貨 | 時価(米ドル) |
| WELLS FARGO & COM V/R 03/04/21 | 1,400,000.0000 | USD | 1,423,998.80 |
| WFHET 2006-2 M1 V/R 07/25/36 | 10,000,000.0000 | USD | 8,461,551.00 |
| WFMBS 2006-AR14 V/R 10/25/36 | 70,718.4600 | USD | 65,876.00 |
| WESTMORELAND CO 8.75% 01/01/22 | 710,000.0000 | USD | 426,000.00 |
| WHOLE FOODS MARK 5.2% 12/03/25 | 390,000.0000 | USD | 411,492.51 |
| CASH COLLATERAL V/R 12/31/49 | 4,425,000.0000 | USD | 4,425,000.00 |
| CASH COLLATERAL ISDA V/R 12/31/49 | 1,790,000.0000 | USD | 1,790,000.00 |
| CASH COLLATERAL ISDA BRC | 540,000.0000 | USD | 540,000.00 |
| CASH COLLATERAL V/R 12/31/49 | 1,310,000.0000 | USD | 1,310,000.00 |
| CASH COLLATERAL V/R 12/31/49 | (860,000.0000) | USD | (860,000.00) |
| CASH COLLATERAL V/R 12/31/49 | 442,000.0000 | USD | 442,000.00 |
| CASH COLLATERAL ISDA FBF | 740,000.0000 | USD | 740,000.00 |
| CASH COLLATERAL CME CDS FOB USD | 121,000.0000 | USD | 121,000.00 |
| CASH COLLATERAL CME FOB | 719,000.0000 | USD | 719,000.00 |
| CASH COLL ISDA V/R 12/31/49 | 1,398,000.0000 | USD | 1,398,000.00 |
| CASH COLLATERAL ISDA GLM | 770,000.0000 | USD | 770,000.00 |
| CASH COLLATERAL ISDA GST | 1,852,000.0000 | USD | 1,852,000.00 |
| CASH COLLATERAL ISDA JPM USD | (1,620,000.0000) | USD | (1,620,000.00) |
| CASH COLLATERAL ISDA MEI | 840,000.0000 | USD | 840,000.00 |
| CASH COLLATERAL CME MSB | 120,000.0000 | USD | 120,000.00 |
| CASH COLLATERAL ISDA MYC | 731,000.0000 | USD | 731,000.00 |
| CASH COLLATERAL USD RBS | (60,000.0000) | USD | (60,000.00) |
| CASH COLL ISDA V/R 12/31/49 | 7,105,000.0000 | USD | 7,105,000.00 |
| T/L SEQUA CORP 0% 5/19/17 | 360,344.4000 | USD | 277,765.35 |
| T/L CHARTER COMM 0% 7/1/20 | 668,429.3300 | USD | 668,011.56 |
| T/L CSC HOLDINGS ZCP 04/17/20 | 892,183.6200 | USD | 893,298.85 |
| T/L HCA INC ZCP 05/01/18 | 5,840,490.4600 | USD | 5,859,074.90 |
| T/L UNIVISION COM ZCP 03/01/20 | 5,795,459.1800 | USD | 5,798,565.55 |
| T/L NRG ENERGY IN ZCP 07/01/18 | 1,777,099.2500 | USD | 1,772,471.68 |
| T/L IHEARTCOMMUNI ZCP 01/30/19 | 11,688,000.0000 | USD | 8,749,566.67 |
| T/L HILTON WORLDW ZCP 10/26/20 | 4,598,009.4400 | USD | 4,616,401.48 |
| T/L UNIVISION COMM 0% 03/01/20 | 1,156,035.1700 | USD | 1,157,273.28 |
| T/L CHRYSLER GROU ZCP 12/31/18 | 757,832.3100 | USD | 758,495.41 |
| T/L ENERGY FUTURE 0% 12/19/2016 | 34,597,680.0800 | USD | 34,612,107.31 |
| T/L DAVITA HEALTH 0% 6/18/21 | 196,500.0000 | USD | 197,502.94 |
| T/L ALBERTSON'S LLC 0% 8/23/19 | 15,846.2600 | USD | 15,881.63 |
| T/L ALBERTSON'S H ZCP 08/25/21 | 910,800.0000 | USD | 915,164.55 |
| T/L AWAS AVIATION 0% 10/2/21 | 895,000.0000 | USD | 902,295.78 |
| T/L DELL INTL 0% 4/29/20 | 99,748.7400 | USD | 99,792.43 |
| T/L T-MOBILE 0% 11/03/2022 | 798,000.0000 | USD | 803,685.75 |
| T/L MGM GROWTH 0% 04/07/23 | 620,000.0000 | USD | 624,650.00 |
| CDX NA 00.080 SP 12/13/2049 MSCSUS33 LONG | 4,918,608.4200 | USD | 4,901,188.33 |
| CDX NA 00.080 SP 12/13/2049 MSCSUS33 SHORT | (4,918,608.4200) | USD | (4,918,608.42) |
| CDX NA 00.110 SP 05/25/2046 BOFAUS6S LONG | 23,161,745.5900 | USD | 18,963,679.20 |
| CDX NA 00.110 SP 05/25/2046 BOFAUS6S SHORT | (23,161,745.5900) | USD | (23,161,745.59) |
| CDX NA 00.500 SP 01/17/2047 CSFPGB2L LONG | 1,300,000.0000 | USD | 1,265,349.18 |
| CDX NA 00.500 SP 01/17/2047 CSFPGB2L SHORT | (1,300,000.0000) | USD | (1,300,000.00) |
| 証券名 | 数量 | 通貨 | 時価(米ドル) |
| CDX NA 00.500 SP 05/11/2063 CSFPGB2L LONG | 2,500,000.0000 | USD | 2,461,252.05 |
| CDX NA 00.500 SP 05/11/2063 CSFPGB2L SHORT | (2,500,000.0000) | USD | (2,500,000.00) |
| CDS XS0114288789 01.000 SP 06/20/2019 CITIUS33XXX SHORT | (4,000,000.0000) | USD | (4,000,000.00) |
| CDS XS0114288789 01.000 SP 06/20/2019 CITIUS33XXX LONG | 4,000,000.0000 | USD | 3,918,610.72 |
| CDX NA 00.500 SP 01/17/2047 CSFPGB2L LONG | 3,000,000.0000 | USD | 2,920,036.56 |
| CDX NA 00.500 SP 01/17/2047 CSFPGB2L SHORT | (3,000,000.0000) | USD | (3,000,000.00) |
| CDX NA 00.500 SP 05/11/2063 BOFAUS6S SHORT | (1,500,000.0000) | USD | (1,500,000.00) |
| CDX NA 00.500 SP 05/11/2063 BOFAUS6S LONG | 1,500,000.0000 | USD | 1,476,751.23 |
| CDX NA 00.500 SP 01/17/2047 BOFAUS6S LONG | 1,500,000.0000 | USD | 1,460,018.28 |
| CDX NA 00.500 SP 01/17/2047 BOFAUS6S SHORT | (1,500,000.0000) | USD | (1,500,000.00) |
| CDX NA 00.500 SP 01/17/2047 GSILGB2X SHORT | (3,400,000.0000) | USD | (3,400,000.00) |
| CDX NA 00.500 SP 01/17/2047 GSILGB2X LONG | 3,400,000.0000 | USD | 3,309,374.77 |
| CDS XS0114288789 01.000 SP 06/20/2019 CHASUS33XXX LONG | 1,700,000.0000 | USD | 1,665,409.56 |
| CDS XS0114288789 01.000 SP 06/20/2019 CHASUS33XXX SHORT | (1,700,000.0000) | USD | (1,700,000.00) |
| CDX NA 00.500 SP 01/17/2047 DEUTGB2L LONG | 5,600,000.0000 | USD | 5,450,734.91 |
| CDX NA 00.500 SP 01/17/2047 DEUTGB2L SHORT | (5,600,000.0000) | USD | (5,600,000.00) |
| CDS XS0114288789 01.000 SP 06/20/2019 GSILGB2XXXX SHORT | (200,000.0000) | USD | (200,000.00) |
| CDS XS0114288789 01.000 SP 06/20/2019 GSILGB2XXXX LONG | 200,000.0000 | USD | 195,930.54 |
| CDX NA 00.500 SP 05/11/2063 BOFAUS6NGFX SHORT | (100,000.0000) | USD | (100,000.00) |
| CDX NA 00.500 SP 05/11/2063 BOFAUS6NGFX LONG | 100,000.0000 | USD | 98,450.08 |
| CDX NA 00.500 SP 01/17/2047 MSCSUS33 SHORT | (800,000.0000) | USD | (800,000.00) |
| CDX NA 00.500 SP 01/17/2047 MSCSUS33 LONG | 800,000.0000 | USD | 778,676.42 |
| CDX NA 00.500 SP 01/17/2047 CSFPGB2L LONG | 600,000.0000 | USD | 584,007.31 |
| CDX NA 00.500 SP 01/17/2047 CSFPGB2L SHORT | (600,000.0000) | USD | (600,000.00) |
| CDS XS0114288789 01.000 SP 06/20/2019 BARCGB33XXX LONG | 100,000.0000 | USD | 97,965.27 |
| CDS XS0114288789 01.000 SP 06/20/2019 BARCGB33XXX SHORT | (100,000.0000) | USD | (100,000.00) |
| CDX NA 00.500 SP 05/11/2063 CSFPGB2L SHORT | (2,500,000.0000) | USD | (2,500,000.00) |
| CDX NA 00.500 SP 05/11/2063 CSFPGB2L LONG | 2,500,000.0000 | USD | 2,461,252.05 |
| CDX NA 00.500 SP 01/17/2047 BOFAUS6NGFX SHORT | (2,000,000.0000) | USD | (2,000,000.00) |
| CDX NA 00.500 SP 01/17/2047 BOFAUS6NGFX LONG | 2,000,000.0000 | USD | 1,946,691.04 |
| CDX NA 00.500 SP 05/11/2063 BOFAUS6NGFX LONG | 2,000,000.0000 | USD | 1,969,001.64 |
| CDX NA 00.500 SP 05/11/2063 BOFAUS6NGFX SHORT | (2,000,000.0000) | USD | (2,000,000.00) |
| CDS XS0114288789 01.000 SP 06/20/2024 CITIUS33XXX SHORT | (200,000.0000) | USD | (200,000.00) |
| CDS XS0114288789 01.000 SP 06/20/2024 CITIUS33XXX LONG | 200,000.0000 | USD | 174,284.18 |
| CDS XS0114288789 01.000 SP 09/20/2024 BOFAUS6NGFX LONG | 300,000.0000 | USD | 260,212.77 |
| 証券名 | 数量 | 通貨 | 時価(米ドル) |
| CDS XS0114288789 01.000 SP 09/20/2024 BOFAUS6NGFX SHORT | (300,000.0000) | USD | (300,000.00) |
| CDS XS0114288789 01.000 SP 09/20/2024 CITIUS33XXX SHORT | (900,000.0000) | USD | (900,000.00) |
| CDS XS0114288789 01.000 SP 09/20/2024 CITIUS33XXX LONG | 900,000.0000 | USD | 780,638.30 |
| CDS XS0114288789 01.000 SP 09/20/2024 BARCGB33XXX LONG | 300,000.0000 | USD | 260,212.77 |
| CDS XS0114288789 01.000 SP 09/20/2024 BARCGB33XXX SHORT | (300,000.0000) | USD | (300,000.00) |
| CDX NA 00.500 SP 05/11/2063 MSCSUS33 LONG | 10,000,000.0000 | USD | 9,845,008.20 |
| CDX NA 00.500 SP 05/11/2063 MSCSUS33 SHORT | (10,000,000.0000) | USD | (10,000,000.00) |
| CDX NA 00.500 SP 01/17/2047 CSFPGB2L LONG | 10,000,000.0000 | USD | 9,733,455.20 |
| CDX NA 00.500 SP 01/17/2047 CSFPGB2L SHORT | (10,000,000.0000) | USD | (10,000,000.00) |
| CDS US85171RAA23 05.000 SP 09/20/2021 BARCGB33XXX LONG | 400,000.0000 | USD | 397,393.99 |
| CDS US85171RAA23 05.000 SP 09/20/2021 BARCGB33XXX SHORT | (400,000.0000) | USD | (400,000.00) |
| CDS GR0128010676 01.000 SP 12/20/2016 GSILGB2XXXX LONG | 1,958,000.0000 | USD | 1,723,040.00 |
| CDS GR0128010676 01.000 SP 12/20/2016 GSILGB2XXXX SHORT | (1,958,000.0000) | USD | (1,958,000.00) |
| CDS US85171RAA23 05.000 SP 12/20/2019 GSILGB2XXXX LONG | 200,000.0000 | USD | 205,093.12 |
| CDS US85171RAA23 05.000 SP 12/20/2019 GSILGB2XXXX SHORT | (200,000.0000) | USD | (200,000.00) |
| CDS US71645WAH43 01.000 SP 12/20/2019 BNPAFRPPXXX LONG | 1,250,000.0000 | USD | 1,009,809.46 |
| CDS US71645WAH43 01.000 SP 12/20/2019 BNPAFRPPXXX SHORT | (1,250,000.0000) | USD | (1,250,000.00) |
| CDS US71645WAH43 01.000 SP 12/20/2019 GSILGB2XXXX SHORT | (1,150,000.0000) | USD | (1,150,000.00) |
| CDS US71645WAH43 01.000 SP 12/20/2019 GSILGB2XXXX LONG | 1,150,000.0000 | USD | 929,024.71 |
| CDS US71645WAH43 01.000 SP 12/20/2019 BARCGB33XXX LONG | 770,000.0000 | USD | 622,042.63 |
| CDS US71645WAH43 01.000 SP 12/20/2019 BARCGB33XXX SHORT | (770,000.0000) | USD | (770,000.00) |
| CDS US71645WAH43 01.000 SP 12/20/2019 CHASUS33XXX SHORT | (100,000.0000) | USD | (100,000.00) |
| CDS US71645WAH43 01.000 SP 12/20/2019 CHASUS33XXX LONG | 100,000.0000 | USD | 80,784.76 |
| CDS US71645WAH43 01.000 SP 12/20/2019 CITIUS33XXX LONG | 200,000.0000 | USD | 161,569.51 |
| CDS US71645WAH43 01.000 SP 12/20/2019 CITIUS33XXX SHORT | (200,000.0000) | USD | (200,000.00) |
| 証券名 | 数量 | 通貨 | 時価(米ドル) |
| CDS US71645WAH43 01.000 SP 12/20/2019 MSCSUS33XXX SHORT | (1,000,000.0000) | USD | (1,000,000.00) |
| CDS US71645WAH43 01.000 SP 12/20/2019 MSCSUS33XXX LONG | 1,000,000.0000 | USD | 807,847.57 |
| CDS US71645WAH43 01.000 SP 03/20/2020 BNPAFRPPXXX SHORT | (400,000.0000) | USD | (400,000.00) |
| CDS US71645WAH43 01.000 SP 03/20/2020 BNPAFRPPXXX LONG | 400,000.0000 | USD | 317,461.81 |
| CDS US71645WAH43 01.000 SP 03/20/2020 GSILGB2XXXX SHORT | (200,000.0000) | USD | (200,000.00) |
| CDS US71645WAH43 01.000 SP 03/20/2020 GSILGB2XXXX LONG | 200,000.0000 | USD | 158,730.90 |
| CDS XS0114288789 01.000 SP 03/20/2020 GSILGB2XXXX LONG | 100,000.0000 | USD | 96,394.05 |
| CDS XS0114288789 01.000 SP 03/20/2020 GSILGB2XXXX SHORT | (100,000.0000) | USD | (100,000.00) |
| CDX HY24 5Y 05.000 NA 06/20/2020 CSFBUS33 FLOAT | (40,986,000.0000) | USD | (40,986,000.00) |
| CDX HY24 5Y 05.000 NA 06/20/2020 CSFBUS33 FIXED | 40,986,000.0000 | USD | 43,016,856.30 |
| CDS US165167CF27 05.000 SP 06/20/2017 BNPAFRPPXXX LONG | 600,000.0000 | USD | 531,597.68 |
| CDS US165167CF27 05.000 SP 06/20/2017 BNPAFRPPXXX SHORT | (600,000.0000) | USD | (600,000.00) |
| CDS US71645WAH43 01.000 SP 09/20/2020 GSILGB2XXXX LONG | 160,000.0000 | USD | 122,594.85 |
| CDS US71645WAH43 01.000 SP 09/20/2020 GSILGB2XXXX SHORT | (160,000.0000) | USD | (160,000.00) |
| CDS US165167CF27 05.000 SP 09/20/2020 GSILGB2XXXX LONG | 160,000.0000 | USD | 97,263.91 |
| CDS US165167CF27 05.000 SP 09/20/2020 GSILGB2XXXX SHORT | (160,000.0000) | USD | (160,000.00) |
| CDS US165167CF27 05.000 SP 09/20/2017 CHASUS33XXX SHORT | (100,000.0000) | USD | (100,000.00) |
| CDS US165167CF27 05.000 SP 09/20/2017 CHASUS33XXX LONG | 100,000.0000 | USD | 86,571.53 |
| CDS US165167CF27 05.000 SP 09/20/2018 MSCSUS33XXX SHORT | (56,000.0000) | USD | (56,000.00) |
| CDS US165167CF27 05.000 SP 09/20/2018 MSCSUS33XXX LONG | 56,000.0000 | USD | 43,225.74 |
| CDS US165167CF27 05.000 SP 03/20/2019 MSCSUS33XXX LONG | 100,000.0000 | USD | 70,459.23 |
| CDS US165167CF27 05.000 SP 03/20/2019 MSCSUS33XXX SHORT | (100,000.0000) | USD | (100,000.00) |
| CDS US78442FEQ72 05.000 SP 09/20/2020 CITIUS33XXX LONG | 100,000.0000 | USD | 100,546.55 |
| CDS US78442FEQ72 05.000 SP 09/20/2020 CITIUS33XXX SHORT | (100,000.0000) | USD | (100,000.00) |
| 証券名 | 数量 | 通貨 | 時価(米ドル) |
| CDS XS0114288789 01.000 SP 09/20/2020 CHASUS33XXX LONG | 1,000,000.0000 | USD | 951,859.58 |
| CDS XS0114288789 01.000 SP 09/20/2020 CHASUS33XXX SHORT | (1,000,000.0000) | USD | (1,000,000.00) |
| CDX NA 00.500 SP 10/17/2057 CSFPGB2L LONG | 2,900,000.0000 | USD | 2,782,799.26 |
| CDX NA 00.500 SP 10/17/2057 CSFPGB2L SHORT | (2,900,000.0000) | USD | (2,900,000.00) |
| CDX NA 00.500 SP 10/17/2057 GSILGB2X LONG | 16,500,000.0000 | USD | 15,833,168.18 |
| CDX NA 00.500 SP 10/17/2057 GSILGB2X SHORT | (16,500,000.0000) | USD | (16,500,000.00) |
| CDX NA 00.500 SP 10/17/2057 MLILGB3L SHORT | (1,300,000.0000) | USD | (1,300,000.00) |
| CDX NA 00.500 SP 10/17/2057 MLILGB3L LONG | 1,300,000.0000 | USD | 1,247,461.74 |
| CDX NA 00.500 SP 10/17/2057 MLILGB3L LONG | 14,900,000.0000 | USD | 14,297,830.66 |
| CDX NA 00.500 SP 10/17/2057 MLILGB3L SHORT | (14,900,000.0000) | USD | (14,900,000.00) |
| CDX NA IG 25 01.000 NA 12/20/2020 CSFBUS33 FLOAT | (11,600,000.0000) | USD | (11,600,000.00) |
| CDX NA IG 25 01.000 NA 12/20/2020 CSFBUS33 FIXED | 11,600,000.0000 | USD | 11,693,240.80 |
| CDX EM24 ICE 01.000 NA 12/20/2020 CSFBUS33 FIXED | 1,960,000.0000 | USD | 1,799,191.80 |
| CDX EM24 ICE 01.000 NA 12/20/2020 CSFBUS33 FLOAT | (1,960,000.0000) | USD | (1,960,000.00) |
| CDS XS0114288789 01.000 SP 12/20/2020 BOFAUS6NGFX SHORT | (790,000.0000) | USD | (790,000.00) |
| CDS XS0114288789 01.000 SP 12/20/2020 BOFAUS6NGFX LONG | 790,000.0000 | USD | 746,629.58 |
| CDS XS0114288789 01.000 SP 12/20/2020 BARCGB33XXX LONG | 800,000.0000 | USD | 756,080.59 |
| CDS XS0114288789 01.000 SP 12/20/2020 BARCGB33XXX SHORT | (800,000.0000) | USD | (800,000.00) |
| CDS XS0114288789 01.000 SP 12/20/2020 CITIUS33XXX LONG | 2,200,000.0000 | USD | 2,079,221.63 |
| CDS XS0114288789 01.000 SP 12/20/2020 CITIUS33XXX SHORT | (2,200,000.0000) | USD | (2,200,000.00) |
| CDS XS0114288789 01.000 SP 12/20/2020 MSCSUS33XXX SHORT | (100,000.0000) | USD | (100,000.00) |
| CDS XS0114288789 01.000 SP 12/20/2020 MSCSUS33XXX LONG | 100,000.0000 | USD | 94,510.07 |
| CDX NA HY 25 05.000 NA 12/20/2020 CSFBUS33 FIXED | 101,000,000.0000 | USD | 103,886,984.00 |
| CDX NA HY 25 05.000 NA 12/20/2020 CSFBUS33 FLOAT | (101,000,000.0000) | USD | (101,000,000.00) |
| CDS NA 00.500 SP 10/17/2057 DEUTSCHE BAN LONG | 8,800,000.0000 | USD | 8,444,356.36 |
| CDS NA 00.500 SP 10/17/2057 DEUTSCHE BAN SHORT | (8,800,000.0000) | USD | (8,800,000.00) |
| CDS US165167CF27 05.000 SP 12/20/2017 CHASUS33XXX LONG | 40,000.0000 | USD | 33,859.86 |
| CDS US165167CF27 05.000 SP 12/20/2017 CHASUS33XXX SHORT | (40,000.0000) | USD | (40,000.00) |
| CDX NA 00.500 SP 01/17/2047 MERRILL LY LONG | 1,200,000.0000 | USD | 1,168,014.62 |
| CDX NA 00.500 SP 01/17/2047 MERRILL LY SHORT | (1,200,000.0000) | USD | (1,200,000.00) |
| CDX NA 00.500 SP 10/17/2057 UBSWUS33 SHORT | (1,600,000.0000) | USD | (1,600,000.00) |
| CDX NA 00.500 SP 10/17/2057 UBSWUS33 LONG | 1,600,000.0000 | USD | 1,535,337.52 |
| CDX NA 00.500 SP 09/17/2058 MLILGB3L SHORT | (900,000.0000) | USD | (900,000.00) |
| CDX NA 00.500 SP 09/17/2058 MLILGB3L LONG | 900,000.0000 | USD | 851,879.75 |
| CDX NA 00.500 SP 01/17/2047 UBSWUS33 LONG | 600,000.0000 | USD | 584,007.31 |
| 証券名 | 数量 | 通貨 | 時価(米ドル) |
| CDX NA 00.500 SP 01/17/2047 UBSWUS33 SHORT | (600,000.0000) | USD | (600,000.00) |
| CDS GR0128011682 01.000 SP 12/20/2016 GSILGB2XXXX SHORT | (1,000,000.0000) | USD | (1,000,000.00) |
| CDS GR0128011682 01.000 SP 12/20/2016 GSILGB2XXXX LONG | 1,000,000.0000 | USD | 880,000.00 |
| CDX EM25 ICE 01.000 NA 06/20/2021 CSFBUS33 FLOAT | (6,000,000.0000) | USD | (6,000,000.00) |
| CDX EM25 ICE 01.000 NA 06/20/2021 CSFBUS33 FIXED | 6,000,000.0000 | USD | 5,493,426.00 |
| CDS US71645WAH43 01.000 SP 06/20/2021 GSILGB2XXXX LONG | 615,000.0000 | USD | 448,175.06 |
| CDS US71645WAH43 01.000 SP 06/20/2021 GSILGB2XXXX SHORT | (615,000.0000) | USD | (615,000.00) |
| CDS XS0114288789 01.000 SP 06/20/2021 GSILGB2XXXX SHORT | (3,400,000.0000) | USD | (3,400,000.00) |
| CDS XS0114288789 01.000 SP 06/20/2021 GSILGB2XXXX LONG | 3,400,000.0000 | USD | 3,168,658.66 |
| CDS US71645WAH43 01.000 SP 06/20/2021 BARCGB33XXX SHORT | (700,000.0000) | USD | (700,000.00) |
| CDS US71645WAH43 01.000 SP 06/20/2021 BARCGB33XXX LONG | 700,000.0000 | USD | 510,117.96 |
| CDS US71645WAH43 01.000 SP 06/20/2021 BNPAFRPPXXX LONG | 200,000.0000 | USD | 145,747.99 |
| CDS US71645WAH43 01.000 SP 06/20/2021 BNPAFRPPXXX SHORT | (200,000.0000) | USD | (200,000.00) |
| CDS US71645WAH43 01.000 SP 06/20/2018 BNPAFRPPXXX LONG | 200,000.0000 | USD | 179,994.92 |
| CDS US71645WAH43 01.000 SP 06/20/2018 BNPAFRPPXXX SHORT | (200,000.0000) | USD | (200,000.00) |
| CDX NA 00.110 SP 05/25/2046 MSCSUS33 LONG | 20,979.8400 | USD | 17,177.24 |
| CDX NA 00.110 SP 05/25/2046 MSCSUS33 SHORT | (20,979.8400) | USD | (20,979.84) |
| CDS NA 01.000 SP 06/20/2020 BOFAUS6NGFX LONG | 100,000.0000 | USD | 93,748.98 |
| CDS NA 01.000 SP 06/20/2020 BOFAUS6NGFX SHORT | (100,000.0000) | USD | (100,000.00) |
| IRS RUS3MP03.00 06/18/24 CSFBUS33 FLOAT | (46,600,000.0000) | USD | (46,600,000.00) |
| IRS P03.00RUS3M 06/18/24 CSFBUS33 FIXED | 46,600,000.0000 | USD | 51,750,046.07 |
| IRS RUS3MP02.75 06/17/25 CSFBUS33 FLOAT | (27,630,000.0000) | USD | (27,630,000.00) |
| IRS P02.75RUS3M 06/17/25 CSFBUS33 FIXED | 27,630,000.0000 | USD | 30,238,118.93 |
| IRS P02.50RUS3M 06/15/46 CSFBUS33 FIXED | (4,700,000.0000) | USD | (5,022,001.51) |
| IRS RUS3MP02.50 06/15/46 CSFBUS33 FLOAT | 4,700,000.0000 | USD | 4,700,000.00 |
| IRS RUS3MP02.50 06/15/46 CSFBUS33 FLOAT | 42,000,000.0000 | USD | 42,000,000.00 |
| IRS P02.50RUS3M 06/15/46 CSFBUS33 FIXED | (42,000,000.0000) | USD | (44,557,600.50) |
| IRS P01.50RUS3M 06/15/19 CSFBUS33 FIXED | (144,400,000.0000) | USD | (146,244,526.61) |
| IRS RUS3MP01.50 06/15/19 CSFBUS33 FLOAT | 144,400,000.0000 | USD | 144,400,000.00 |
| IRS RUS3MP02.50 06/15/31 CSFBUS33 FLOAT | 12,200,000.0000 | USD | 12,200,000.00 |
| IRS P02.50RUS3M 06/15/31 CSFBUS33 FIXED | (12,200,000.0000) | USD | (13,020,329.95) |
| 債券合計 | 1,471,215,438.45 |
| 証券名 | 数量 | 通貨 | 時価(米ドル) |
| オプション | |||
| OTC EPUT BRL VS JPY 30 JPM | (8,500,000.0000) | BRL | (152,866.00) |
| OTC EPUT BRL VS JPY 30.0 MSB | (4,290,000.0000) | BRL | (77,152.37) |
| OTC EPUT BRL VS JPY 30.0 DUB | (3,430,000.0000) | BRL | (61,685.93) |
| IRO USD 1Y P 0.9 M 6/20/16 RYL | 114,800,000.0000 | USD | 33,280.52 |
| IRO USD 1Y P 1.25 M 8/5/16 GLM | 121,300,000.0000 | USD | 10,322.63 |
| オプション合計 | (248,101.15) | ||
| 短期金融商品 | |||
| BK NOVA SCOTIA ZCP 6/17/16 | 3,900,000.0000 | CAD | 3,109,974.45 |
| CANADIAN IMP BK 0% 5/17/16/CAD | 10,300,000.0000 | CAD | 8,219,113.84 |
| HSBC BANK CANADA 0% 5/2/16/CAD | 14,200,000.0000 | CAD | 11,336,169.99 |
| HSBC BK CDA 0% 6/30/16 /CAD/ | 7,380,000.0000 | CAD | 5,882,436.21 |
| TOR DOM BK ZCP 5/2/16 /CAD/ | 11,600,000.0000 | CAD | 9,258,515.09 |
| TORONTO DOM BK 0% 5/16/16/CAD/ | 8,600,000.0000 | CAD | 6,863,831.23 |
| RC R/P GOLDMA 0.400% 05/02/16 | 3,600,000.0000 | USD | 3,600,000.00 |
| RC R/P BANK O 0.420% 05/02/16 | 89,700,000.0000 | USD | 89,700,000.00 |
| RC R/P BNP PA 0.410% 05/02/16 | 11,900,000.0000 | USD | 11,900,000.00 |
| RC R/P BNP PA 0.430% 05/02/16 | 500,000.0000 | USD | 500,000.00 |
| RC R/P DEUTSC 0.420% 05/02/16 | 2,500,000.0000 | USD | 2,500,000.00 |
| HITACHI CAP AM DISC 5/4/16 | 6,000,000.0000 | USD | 5,999,614.98 |
| US T BILL ZCP 05/26/16 | 5,500,000.0000 | USD | 5,499,422.50 |
| 短期金融商品合計 | 164,369,078.29 | ||
| 証券合計 | 1,668,151,061.34 |
| 証券名 | 数量 | 未実現評価益/(評価損) (米ドル) |
| 為替予約 | ||
| AUD/USD FWD 20160503 000005539 USD | 30,172,000.0000 | 23,025,768.53 |
| AUD/USD FWD 20160503 000005539 USD | (423,000.0000) | (322,812.54) |
| AUD/USD FWD 20160503 000000642 USD | (25,951,000.0000) | (19,804,511.44) |
| AUD/USD FWD 20160503 000011091 USD | (1,704,000.0000) | (1,300,407.98) |
| AUD/USD FWD 20160503 000003731 USD | (2,094,000.0000) | (1,598,036.57) |
| AUD/USD FWD 20160602 000005539 USD | (30,172,000.0000) | (22,996,495.50) |
| BRL/USD FWD 20160705 000003534 USD | (9,900,000.0000) | (2,809,857.78) |
| BRL/USD FWD 20160503 000028854 USD | 5,861,945.7000 | 1,698,720.79 |
| BRL/USD FWD 20161004 01433 USD | (9,900,000.0000) | (2,732,853.62) |
| BRL/USD FWD 20160602 000003534 USD | (43,890,193.2300) | (12,590,055.72) |
| BRL/USD FWD 20160503 000003534 USD | (49,752,138.9300) | (14,417,566.63) |
| BRL/USD FWD 20160503 000003534 USD | 43,890,193.2300 | 12,718,845.84 |
| GBP/USD FWD 20160503 000011091 USD | (60,844,000.0000) | (89,130,434.78) |
| GBP/USD FWD 20160503 000028854 USD | (809,000.0000) | (1,185,104.89) |
| GBP/USD FWD 20160503 000004334 USD | (1,813,000.0000) | (2,655,865.46) |
| GBP/USD FWD 20160503 000003731 USD | (1,302,000.0000) | (1,907,301.07) |
| GBP/USD FWD 20160602 000004334 USD | (67,279,000.0000) | (98,564,725.08) |
| 証券名 | 数量 | 未実現評価益/(評価損) (米ドル) |
| CAD/USD FWD 20160513 000003731 USD | 43,765,000.0000 | 34,939,075.16 |
| CAD/USD FWD 20160513 000003731 USD | (113,460,000.0000) | (90,578,943.63) |
| CAD/USD FWD 20160513 000000908 USD | 8,600,000.0000 | 6,865,669.97 |
| CAD/USD FWD 20160513 000000908 USD | (29,838,000.0000) | (23,820,681.47) |
| CAD/USD FWD 20160513 000004334 USD | 43,963,000.0000 | 35,097,145.24 |
| CAD/USD FWD 20160513 000004334 USD | (8,580,000.0000) | (6,849,703.30) |
| DKK/USD FWD 20160513 000000642 USD | (12,690,000.0000) | (1,953,380.85) |
| DKK/USD FWD 20160513 000011091 USD | (3,315,000.0000) | (510,280.34) |
| DKK/USD FWD 20170403 000006038 USD | (19,217,320.0000) | (2,999,072.69) |
| DKK/USD FWD 20160513 000004334 USD | (4,550,000.0000) | (700,384.78) |
| EUR/USD FWD 20160513 000011091 USD | 4,203,000.0000 | 4,815,287.94 |
| EUR/USD FWD 20160513 000011091 USD | (1,801,000.0000) | (2,063,367.49) |
| EUR/USD FWD 20160513 000003731 USD | 5,773,000.0000 | 6,614,003.63 |
| EUR/USD FWD 20160513 000003731 USD | (159,550,302.8600) | (182,793,397.29) |
| EUR/USD FWD 20160513 000000642 USD | (5,111,000.0000) | (5,855,564.28) |
| EUR/USD FWD 20160513 000004334 USD | 27,156,000.0000 | 31,112,053.11 |
| EUR/USD FWD 20160513 000004334 USD | (12,523,000.0000) | (14,347,335.44) |
| EUR/USD FWD 20160513 000000908 USD | 7,931,000.0000 | 9,086,378.45 |
| EUR/USD FWD 20160513 000000908 USD | (13,719,000.0000) | (15,717,567.27) |
| EUR/USD FWD 20160513 000006038 USD | 2,747,000.0000 | 3,147,179.63 |
| EUR/USD FWD 20160513 000003534 USD | 987,000.0000 | 1,130,784.96 |
| EUR/USD FWD 20160513 000004066 USD | (291,000.0000) | (333,392.53) |
| MXN/USD FWD 20160520 000011553 USD | 7,968,000.0000 | 464,360.67 |
| RUB/USD FWD 20160518 000000902 USD | 636,414,804.5000 | 9,794,857.97 |
| RUB/USD FWD 20160615 000028854 USD | 11,338,380.0000 | 173,102.49 |
| RUB/USD FWD 20160518 000000642 USD | (636,414,804.5000) | (9,794,857.97) |
| RUB/USD FWD 20160715 000000642 USD | 636,414,804.5000 | 9,643,416.08 |
| USD/BRL FWD 20160705 000003534 USD | 2,572,430.8200 | 2,572,430.82 |
| USD/BRL FWD 20160503 000028854 USD | (1,611,000.0000) | (1,611,000.00) |
| USD/BRL FWD 20161004 01433 USD | 2,515,563.4600 | 2,515,563.46 |
| USD/BRL FWD 20160602 000003534 USD | 12,055,427.0400 | 12,055,427.04 |
| USD/CAD FWD 20160513 000003731 USD | 81,333,333.3300 | 81,333,333.33 |
| USD/CAD FWD 20160513 000003731 USD | (31,869,686.6800) | (31,869,686.68) |
| USD/EUR FWD 20160513 000011091 USD | 2,032,814.2700 | 2,032,814.27 |
| USD/EUR FWD 20160513 000011091 USD | (4,752,162.3200) | (4,752,162.32) |
| USD/EUR FWD 20160513 000003731 USD | 177,569,116.3100 | 177,569,116.31 |
| USD/EUR FWD 20160513 000003731 USD | (6,369,954.1800) | (6,369,954.18) |
| USD/DKK FWD 20160513 000000642 USD | 1,907,410.1900 | 1,907,410.19 |
| USD/CAD FWD 20160513 000000908 USD | 22,671,661.3400 | 22,671,661.34 |
| USD/CAD FWD 20160513 000000908 USD | (6,693,842.6300) | (6,693,842.63) |
| USD/EUR FWD 20160513 000000642 USD | 5,728,015.2500 | 5,728,015.25 |
| USD/EUR FWD 20160513 000004334 USD | 13,912,182.8400 | 13,912,182.84 |
| USD/EUR FWD 20160513 000004334 USD | (30,801,832.7200) | (30,801,832.72) |
| USD/EUR FWD 20160513 000000908 USD | 15,370,000.4000 | 15,370,000.40 |
| USD/EUR FWD 20160513 000000908 USD | (8,879,058.9600) | (8,879,058.96) |
| USD/EUR FWD 20160513 000006038 USD | (3,071,025.7700) | (3,071,025.77) |
| USD/CAD FWD 20160513 000004334 USD | 6,651,900.1700 | 6,651,900.17 |
| 証券名 | 数量 | 未実現評価益/(評価損) (米ドル) |
| USD/CAD FWD 20160513 000004334 USD | (33,681,490.0600) | (33,681,490.06) |
| USD/RUB FWD 20160518 000000902 USD | (8,255,210.3600) | (8,255,210.36) |
| USD/DKK FWD 20160513 000011091 USD | 506,023.9100 | 506,023.91 |
| USD/BRL FWD 20160503 000003534 USD | 13,534,389.9700 | 13,534,389.97 |
| USD/BRL FWD 20160503 000003534 USD | (12,168,060.2200) | (12,168,060.22) |
| USD/EUR FWD 20160513 000003534 USD | (1,127,202.3600) | (1,127,202.36) |
| USD/DKK FWD 20170403 000006038 USD | 2,897,044.4000 | 2,897,044.40 |
| USD/EUR FWD 20160513 000004066 USD | 331,354.1300 | 331,354.13 |
| USD/DKK FWD 20160513 000004334 USD | 689,364.0300 | 689,364.03 |
| USD/MXN FWD 20160520 000011553 USD | (456,131.4800) | (456,131.48) |
| USD/JPY FWD 20160502 000000908 USD | (64,657,813.3900) | (64,657,813.39) |
| USD/RUB FWD 20160615 000028854 USD | (160,163.5800) | (160,163.58) |
| USD/AUD FWD 20160503 000005539 USD | 320,863.6900 | 320,863.69 |
| USD/AUD FWD 20160503 000005539 USD | (23,042,356.4000) | (23,042,356.40) |
| USD/AUD FWD 20160503 000000642 USD | 19,874,547.4000 | 19,874,547.40 |
| USD/JPY FWD 20160502 000006038 USD | 63,251,576.2500 | 63,251,576.25 |
| USD/GBP FWD 20160503 000011091 USD | 86,702,954.2300 | 86,702,954.23 |
| USD/JPY FWD 20160502 000011091 USD | 2,296,000.0000 | 2,296,000.00 |
| USD/AUD FWD 20160503 000011091 USD | 1,283,381.4000 | 1,283,381.40 |
| USD/GBP FWD 20160503 000028854 USD | 1,157,693.7400 | 1,157,693.74 |
| USD/AUD FWD 20160503 000003731 USD | 1,619,847.4100 | 1,619,847.41 |
| USD/GBP FWD 20160503 000004334 USD | 2,607,346.3300 | 2,607,346.33 |
| USD/GBP FWD 20160503 000003731 USD | 1,895,876.1800 | 1,895,876.18 |
| USD/JPY FWD 20160502 000004066 USD | (2,445,674.2600) | (2,445,674.26) |
| USD/RUB FWD 20160518 000000642 USD | 9,570,147.4400 | 9,570,147.44 |
| USD/JPY FWD 20160602 000000908 USD | 64,711,769.0300 | 64,711,769.03 |
| USD/RUB FWD 20160715 000000642 USD | (9,428,018.2900) | (9,428,018.29) |
| USD/JPY FWD 20160602 000011091 USD | 1,649,000.0000 | 1,649,000.00 |
| USD/GBP FWD 20160602 000004334 USD | 98,147,672.4600 | 98,147,672.46 |
| USD/AUD FWD 20160602 000005539 USD | 23,014,024.8900 | 23,014,024.89 |
| JPY/USD FWD 20160502 000000908 USD | 7,173,137,817.0000 | 67,041,803.98 |
| JPY/USD FWD 20160502 000006038 USD | (7,187,276,609.0000) | (67,173,948.40) |
| JPY/USD FWD 20160502 000011091 USD | (250,661,208.0000) | (2,342,737.59) |
| JPY/USD FWD 20160502 000004066 USD | 264,800,000.0000 | 2,474,882.00 |
| JPY/USD FWD 20160602 000000908 USD | (7,173,137,817.0000) | (67,088,831.06) |
| JPY/USD FWD 20160602 000011091 USD | (183,202,580.0000) | (1,713,454.73) |
| 為替予約合計 | (17,899,545.08) | |
| 先物 | ||
| F/C AUST 10YR BOND FUT JUN 16 | 11.0000 | 7,118.44 |
| F/C US 10YR NOTE (CBT)JUN16 | 2,180.0000 | (1,091,793.17) |
| F/C 90DAY EURO$ FUTR JUN16 | (2,098.0000) | (52,450.00) |
| 先物合計 | (1,137,124.73) |
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。
