半期報告書(内国投資信託受益証券)-第3期(平成29年2月28日-平成30年2月26日)

【提出】
2017/11/27 9:31
【資料】
PDFをみる
【項目】
17項目
(3)【中間注記表】
(重要な会計方針に係る事項に関する注記)

区分第3期中間計算期間
自 平成29年 2月28日
至 平成29年 8月27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。
3.その他中間財務諸表作成のための基本となる重要な事項計算期間に関する事項
前計算期間終了日に該当する日が休業日のため、当中間計算期間は平成29年 2月28日から平成29年 8月27日までとなっております。

(中間貸借対照表に関する注記)

第2期計算期間末
平成29年 2月27日現在		第3期中間計算期間末
平成29年 8月27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
2,543,660口1,854,163,004口
2.計算期間末日における1単位当たりの純資産の額2.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1.0003円1口当たり純資産額1.0255円
(1万口当たり純資産額)(10,003円)(1万口当たり純資産額)(10,255円)

(中間損益及び剰余金計算書に関する注記)

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		第3期中間計算期間
自 平成29年 2月28日
至 平成29年 8月27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29,998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6,255,397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2期計算期間末
平成29年 2月27日現在		第3期中間計算期間末
平成29年 8月27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2期計算期間末
平成29年 2月27日現在		第3期中間計算期間末
平成29年 8月27日現在
期首元本額26,743,660円2,543,660円
期中追加設定元本額-円1,971,264,617円
期中一部解約元本額24,200,000円119,645,273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29年4月28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
2017年4月28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 JAPAN1.0000JPY0.01
US DOLLARS43,664,640.6600USD43,664,640.66
現金および現金同等物合計43,664,640.67
投資信託
PIMCO BERMUDA INCOME FD (M)273,312,147.8500USD3,337,141,325.25
投資信託合計3,337,141,325.25
債券
CASH COLLATERAL ISDA(570,000.0000)USD(570,000.00)
CASH COLLATERAL V/R 12/31/49(250,000.0000)USD(250,000.00)
債券合計(820,000.00)
短期金融商品
US T BILL ZCP 07/20/172,300,000.0000USD2,296,073.90
US T BILL ZCP 05/04/1720,344,000.0000USD20,342,921.77
短期金融商品合計22,638,995.67
証券合計3,402,624,961.59

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)
2017年4月28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(10,177,979.6500)AUD(7,611,601.78)
BRAZIL REAL234,154.2500BRL73,200.65
CANADIAN DOLLAR49,058.8800CAD35,880.11
DANISH KRONE808,260.1100DKK118,343.16
EURO4,883,268.5800EUR5,317,635.22
YEN JAPAN655,253,890.0000JPY5,878,298.11
MEXICAN PESO88,569,408.9100MXN4,667,013.16
SOUTH AFRICA RAND(359,389.5000)ZAR(26,852.68)
TURKISH LIRA168.8500TRY47.51
BRITISH POUNDS(41,195.6600)GBP(53,296.88)
US DOLLARS(20,567,850.9800)USD(20,567,850.98)
現金および現金同等物合計(12,169,184.40)
その他の有価証券等
VM CASH CCP CME FOB AUD184,109.0400AUD137,685.94
EUROBANK ERGASIAS SA /EUR/10,169,333.0000EUR8,194,571.54
NATIONAL BANK OF GREECE /EUR/1,025,700.0000EUR319,264.99
VM CASH CCP LCH FOB JPY34,617,560.0000JPY310,554.95
VM CASH CCP CME FOB MXN3,675,257.9100MXN193,661.41
VM CASH CCP ICE FOB EUR2,537.1500EUR2,762.83
VM CASH CCP CME RDR EUR507.0600EUR552.16
TOWERGATE TOPCO /GBP/347,236.0000GBP449,236.56
VM CASH CCP CME FOB USD639,957.0000USD639,957.00
VM CASH FUT FOR FOB JPY4,675,664.0000JPY41,945.49
VM CASH CCP ICE RDR AUD22,440.5200AUD16,782.14
VM CASH CCP ICE FOB ZAR303,842.5100ZAR22,702.35
DYNEGY INC NEW WT EX 02/02/2451,351.0000USD18,999.87
SEQUA CORPORATION WT EX 12/31/4910,000.0000USD0.00
VM CASH CCP ICE FOB USD68,044.4600USD68,044.46
VM CASH CCP LCH FOB USD143,397.0000USD143,397.00
VM CASH CCP CME RDR2,827,885.3400USD2,827,885.34
その他の有価証券等合計13,388,004.03
債券
REPUBLIC OF S/UP 12/31/38/EUR/3,810,000.0000EUR2,641,811.71
REPUBLIC 3.875% 01/15/22/EUR/4,000,000.0000EUR4,383,263.24
REPUBLIC OF A 5% 01/15/27/EUR/1,100,000.0000EUR1,147,822.97
REPUBLIC OF ARG 6.25% 04/22/19500,000.0000USD531,750.00
IRS PBW6MR04.25 12/11/23 CSFBUS33 FLOAT(22,600,000.0000)AUD(16,901,409.32)
IRS R04.25PBW6M 12/11/23 CSFBUS33 FIXED22,600,000.0000AUD18,622,410.54
IRS R04.75PBW6M 06/18/24 CSFBUS33 FIXED28,000,000.0000AUD23,852,072.08
IRS PBW6MR04.75 06/18/24 CSFBUS33 FLOAT(28,000,000.0000)AUD(20,939,799.16)
IRS R04.25PBW6M 12/17/24 CSFBUS33 FIXED41,400,000.0000AUD34,354,303.53
IRS PBW6MR04.25 12/17/24 CSFBUS33 FLOAT(41,400,000.0000)AUD(30,960,988.75)
IRS R03.50PBW6M 06/17/25 CSFBUS33 FIXED48,400,000.0000AUD38,261,125.32
IRS PBW6MR03.50 06/17/25 CSFBUS33 FLOAT(48,400,000.0000)AUD(36,195,938.54)
IRS PBW6MR03.25 12/17/24 CSFBUS33 FLOAT(39,200,000.0000)AUD(29,315,718.82)
IRS R03.25PBW6M 12/17/24 CSFBUS33 FIXED39,200,000.0000AUD30,461,131.15
IRS RBW6MP02.75 06/17/26 CSFBUS33 FLOAT(16,200,000.0000)AUD(12,115,169.51)
IRS P02.75RBW6M 06/17/26 CSFBUS33 FIXED16,200,000.0000AUD12,056,202.93
NATIONAL AUSTR 1.375% 07/12/19600,000.0000USD592,123.20
T/L FMG RES 0% 6/30/192,673,959.3800USD2,693,687.85
KBC BANK NV V/R 01/25/232,200,000.0000USD2,298,120.00
IRS P00.00R00.00 01/04/21 CSFBUS33 FIXED20,340,000.0000BRL6,725,928.61

証券名数量通貨時価(米ドル)
IRS R00.00P00.00 01/04/21 CSFBUS33 FLOAT(20,340,000.0000)BRL(6,358,634.49)
IRS R00.00P00.00 01/04/21 CSFBUS33 FIXED11,500,000.0000BRL4,183,869.98
IRS P00.00R00.00 01/04/21 CSFBUS33 FLOAT(11,500,000.0000)BRL(3,595,098.16)
IRS P00.00R00.00 01/04/21 CSFBUS33 FIXED15,700,000.0000BRL5,080,241.61
IRS R00.00P00.00 01/04/21 CSFBUS33 FLOAT(15,700,000.0000)BRL(4,908,090.53)
IRS P00.00R00.00 01/04/21 CSFBUS33 FLOAT(26,800,000.0000)BRL(8,378,141.80)
IRS R00.00P00.00 01/04/21 CSFBUS33 FIXED26,800,000.0000BRL8,736,264.72
IRS R00.00P00.00 01/04/21 CSFBUS33 FIXED220,000,000.0000BRL69,485,565.34
IRS P00.00R00.00 01/04/21 CSFBUS33 FLOAT(220,000,000.0000)BRL(68,775,790.92)
IRS P00.00R00.00 01/04/21 CSFBUS33 FLOAT(2,700,000.0000)BRL(844,066.52)
IRS R00.00P00.00 01/04/21 CSFBUS33 FIXED2,700,000.0000BRL868,891.97
VALEANT PHA 4.5% 05/15/23/EUR/800,000.0000EUR615,465.82
FIRST QUANTUM MINE 7% 02/15/21500,000.0000USD520,000.00
HARVEST OPERATI 2.33% 04/14/212,884,000.0000USD2,824,376.88
CADILLAC FAIRV 3.125% 03/20/22696,000.0000USD705,928.44
CADILLAC FAIRV 3.875% 03/20/27472,000.0000USD483,516.33
VALEANT PHARMACE 6.5% 03/15/22469,000.0000USD481,311.25
VALEANT PHARMACEUT 7% 03/15/24901,000.0000USD921,272.50
T/L VALEANT PHAR 0% 3/9/22756,908.1400USD761,717.53
T/L 1011778 B C 0.00% 2/28/24368,232.2400USD368,884.38
ALESC 11A A2 V/R 12/23/365,000,000.0000USD3,300,000.00
ANCHC 2014-4A A1 V/R 07/28/261,600,000.0000USD1,600,000.00
ANCHC 2014-4A A2 V/R 07/28/2614,500,000.0000USD14,500,000.00
AVERY 2013-3A AR V/R 01/18/254,660,000.0000USD4,660,000.00
GALLA 5A A1 V/R 09/19/372,092,082.5300USD2,010,491.31
BOWPK 2014-1A AR V/R 11/23/256,700,000.0000USD6,703,798.63
CGMS 2014-2A AR V/R 05/15/258,400,000.0000USD8,402,100.00
EASTL 2007-1A A2 V/R 05/01/227,248,348.9800USD7,245,530.53
EMNPK 2013-1A A1 V/R 07/15/2513,030,000.0000USD13,028,304.80
FINNS 2012-1A A1 V/R 12/24/233,500,642.7600USD3,507,540.29
PTNM 2002-1X B V/R 01/10/3811,235,658.2300USD12,168,217.86
FLAT 2013-1A A1R V/R 01/17/2613,400,000.0000USD13,409,995.33
GALL 2014-1A A V/R 07/15/23971,401.7200USD970,409.02
GKKRE 2005-1A C V/R 07/25/3521,251,652.4600USD21,082,744.33
HLA 2013-2A A V/R 08/01/255,600,000.0000USD5,594,134.50
KSA SUKUK LTD 2.894% 04/20/225,200,000.0000USD5,201,383.20
KSA SUKUK LTD 3.628% 04/20/273,500,000.0000USD3,517,097.50
LWCLO 2014-1A A1 V/R 04/25/2513,025,000.0000USD13,018,510.55
MKP 3A B V/R 05/08/392,022,306.1800USD1,971,950.76
MMCAP 17A A1 V/R 12/01/352,223,380.3700USD1,912,107.12
MARNR 2016-3A A V/R 07/23/264,800,000.0000USD4,808,586.24
OCP 2014-6A A1B V/R 07/17/265,000,000.0000USD5,014,610.85
OZLM 2014-6A A1R V/R 04/17/2619,000,000.0000USD19,001,467.18
PLMRS 2013-2A A1 V/R 10/17/271,900,000.0000USD1,900,046.80
PARK AEROSPACE 5.25% 08/15/22595,000.0000USD630,700.00
PARK AEROSPACE H 5.5% 02/15/24144,000.0000USD152,640.00
PREFER TERM SEC XVIII 2005-18 A-1 20350923 FLT1,115,749.8600USD976,281.13
PREFER TERM SEC XXIV 2006-24 A-1 20370322 FLT1,388,736.5700USD1,124,876.62
PREFER TERM SEC XXIV 2006-24 A-2 20370322 FLT5,033,204.1600USD3,271,582.70

証券名数量通貨時価(米ドル)
PTNM 2002-1A A2 V/R 01/10/383,841,562.8300USD3,830,952.43
SRERS 2011-RS A1 V/R 01/09/161,533,743.6100USD1,541,693.00
SORIN 2006-4A A2 V/R 10/28/463,740,874.0900USD3,744,188.50
SYMP 2014-14A A1 V/R 07/14/2633,900,000.0000USD33,950,534.73
WINDR 2012-1A AR V/R 01/15/2610,000,000.0000USD10,033,359.70
TELOS 2014-6A A2 V/R 01/17/2717,200,000.0000USD17,199,546.61
TELOS 2016-7A A V/R 04/17/251,843,897.3900USD1,852,789.92
TRAL 2014-3A A2 V/R 07/20/267,000,000.0000USD7,006,983.90
TRANSOCEAN INC 9% 07/15/23203,000.0000USD217,463.75
TROPC 2006-5A A1 V/R 07/15/3618,212,646.0200USD13,750,547.75
TFINS 2017-1A A1 V/R 04/20/386,700,000.0000USD6,499,000.00
WITEH 2012-1A A1 V/R 02/03/2510,000,000.0000USD10,005,032.30
BRFKREDIT A/S 4% 01/01/18/DKK/30,100,000.0000DKK4,541,134.44
NYKREDIT REAL 2% 04/01/18/DKK/23,100,000.0000DKK3,460,704.56
REALKREDIT DA 2% 04/01/18/DKK/110,500,000.0000DKK16,542,738.88
REALKREDIT DA 2% 01/01/18/DKK/105,300,000.0000DKK15,671,796.93
NORDEA KREDIT 1% 10/01/17/DKK/3,200,000.0000DKK472,142.67
NYKREDIT REAL 1% 07/01/17/DKK/183,300,000.0000DKK26,906,973.56
BRFKREDIT A/S 1% 01/01/18/DKK/24,600,000.0000DKK3,636,904.95
REALKREDIT DA 3% 10/01/47/DKK/7,752,332.0000DKK1,186,493.40
REALKREDIT 2.5% 10/01/47/DKK/11,687,269.0000DKK1,740,307.56
NYKREDIT REAL 2% 01/01/18/DKK/64,400,000.0000DKK9,604,518.20
NYKREDIT RE 2.5% 10/01/47/DKK/13,154,594.0000DKK1,959,764.47
NORDEA KREDIT 2% 10/01/47/DKK/2,886,582.0000DKK414,086.61
REALKREDIT DA 1% 04/01/18/DKK/160,230,000.0000DKK23,780,189.01
NORDEA KREDIT 2% 04/01/18/DKK/67,500,000.0000DKK10,105,787.14
NORDEA KREDIT 2% 10/01/17/DKK/29,500,000.0000DKK4,362,927.25
REALKREDIT DA 1% 01/01/18/DKK/4,700,000.0000DKK695,331.34
REALKREDIT DA 1% 01/01/18/DKK/51,600,000.0000DKK7,633,850.48
NYKREDIT REAL 1% 01/01/18/DKK/41,700,000.0000DKK6,171,017.53
NYKREDIT REAL 1% 04/01/18/DKK/319,900,000.0000DKK47,524,105.68
REALKREDIT DA 1% 04/01/18/DKK/3,600,000.0000DKK535,006.24
REPUBLIC OF ECU 9.65% 12/13/26300,000.0000USD306,000.00
CDS DE000DB5S5U8 01.000 SP 12/20/2017 SOGEFRPPHCM LONG200,000.0000EUR218,849.94
CDS DE000DB5S5U8 01.000 SP 12/20/2017 SOGEFRPPHCM SHORT(200,000.0000)EUR(217,790.00)
CDS DE0003933685 01.000 SP 12/20/2017 CITIUS33XXX LONG100,000.0000EUR109,242.67
CDS DE0003933685 01.000 SP 12/20/2017 CITIUS33XXX SHORT(100,000.0000)EUR(108,895.00)
CDS DE000DB5S5U8 01.000 SP 12/20/2017 BOFAUS6NGFX SHORT(80,000.0000)EUR(87,116.00)
CDS DE000DB5S5U8 01.000 SP 12/20/2017 BOFAUS6NGFX LONG80,000.0000EUR87,539.97
CDS XS0772553037 05.000 SP 12/20/2021 CHASUS33XXX LONG800,000.0000EUR696,716.29
CDS XS0772553037 05.000 SP 12/20/2021 CHASUS33XXX SHORT(800,000.0000)EUR(871,159.98)
CDS BE6258027729 01.000 SP 12/20/2017 BOFAUS6NGFX SHORT(1,200,000.0000)EUR(1,306,739.98)
CDS BE6258027729 01.000 SP 12/20/2017 BOFAUS6NGFX LONG1,200,000.0000EUR1,313,911.29

証券名数量通貨時価(米ドル)
CDS US82481LAD10 01.000 SP 12/20/2021 CITIUS33XXX SHORT(700,000.0000)EUR(762,264.99)
CDS US82481LAD10 01.000 SP 12/20/2021 CITIUS33XXX LONG700,000.0000EUR755,957.04
T/L NUMERICABLE 0.00% 01/14/251,393,000.0000USD1,395,611.88
CREDIT AGRICOL V/R /PERP//GBP/1,200,000.0000GBP1,654,677.73
SFR GROUP 5.625% 05/15/24/EUR/3,420,000.0000EUR4,029,016.81
BNP PARIBAS V/R /PERP/600,000.0000USD653,280.00
BPCE SA V/R /PERP/800,000.0000USD966,000.00
SFR GROUP SA 7.375% 05/01/265,025,000.0000USD5,301,375.00
RCI BANQUE SA 3.5% 04/03/181,824,000.0000USD1,849,953.70
SOCIETE GENERALE V/R /PERP/400,000.0000USD425,000.00
CREDIT AGRICOLE SA V/R /PERP/3,696,000.0000USD3,963,316.90
SOCIETE GENERALE V/R /PERP/1,000,000.0000USD1,078,750.00
T/L ACETOW 0% 4/21/23 /EUR/6,000,000.0000EUR6,521,449.19
IHO VERWAL 3.75% 09/15/26/EUR/100,000.0000EUR113,396.72
VOLKSWAGEN B V/R 11/27/17/EUR/200,000.0000EUR217,759.29
DEUTSCHE BANK 6% 09/01/1760,000.0000USD60,847.38
DEUTSCHE BANK AG V/R 05/10/1980,000.0000USD81,349.44
DEUTSCHE BANK A 1.35% 05/30/17400,000.0000USD399,986.40
DEUTSCHE BANK A 4.25% 10/14/2115,720,000.0000USD16,272,212.16
HELLENIC 5.014% 12/27/17/EUR/180,000.0000EUR191,110.72
HELLENIC RE 3.8% 08/08/17/JPY/5,000,000.0000JPY44,294.43
HELLENIC RE 4.5% 07/03/17/JPY/20,000,000.0000JPY178,525.16
CRED SUIS 2.75% 08/08/25/GBP/600,000.0000GBP787,133.00
CRED SUIS GP FU 3.75% 03/26/251,300,000.0000USD1,301,034.80
REPUBLIC 2.625% 06/14/23/EUR/3,500,000.0000EUR3,997,935.02
REPUBLIC O 3.75% 06/14/28/EUR/1,200,000.0000EUR1,405,421.06
RZD CAPIT 7.487% 03/25/31/GBP/6,300,000.0000GBP10,015,080.09
TAURS 2014- V/R 05/01/17 /GBP/1,433,257.1100GBP1,858,448.44
SORPK 1X AA V/R 11/16/27 /EUR/21,650,000.0000EUR23,575,767.05
LANSD 1 A2 V/R 06/15/45 /EUR/7,541,928.0000EUR7,153,875.47
ACAEC 2007- V/R 06/15/24 /EUR/399,354.1600EUR435,298.68
IVORY 2007- V/R 10/31/99 /EUR/4,143,614.9200EUR4,502,381.14
PHNXP 1X A1 V/R 07/29/27 /EUR/4,400,000.0000EUR4,817,510.08
ABH FINAN 2.626% 04/28/20/EUR/3,028,000.0000EUR3,335,306.11
HARVT V ARE V/R 04/05/24 /EUR/1,309,581.9300EUR1,425,705.08
AERCAP IRELAND 3.75% 05/15/191,850,000.0000USD1,903,997.80
AERCAP IRELAND C 4.5% 05/15/21800,000.0000USD846,401.60
AERCAP IRELAND 4.25% 07/01/201,405,000.0000USD1,470,581.19
AERCAP IRELAND 4.625% 10/30/203,150,000.0000USD3,346,969.50
SHIRE ACQ INV IR 2.4% 09/23/216,200,000.0000USD6,130,150.80
INTESA SANPAOL V/R /PERP//EUR/12,280,000.0000EUR14,341,797.91
UNICREDIT SPA V/R /PERP//EUR/920,000.0000EUR1,114,184.65
IRS PJY6MR00.30 03/18/26 CSFBUS33 FLOAT3,530,000,000.0000JPY31,667,713.29
IRS R00.30PJY6M 03/18/26 CSFBUS33 FIXED(3,530,000,000.0000)JPY(32,000,629.94)
IRS R00.01PJY6M 09/20/26 CSFBUS33 FIXED(6,770,000,000.0000)JPY(59,573,176.49)
IRS PJY6MR00.01 09/20/26 CSFBUS33 FLOAT6,770,000,000.0000JPY60,733,829.73
IRS RJY6MP00.45 03/20/29 CSFBUS33 FLOAT34,494,000,000.0000JPY309,446,487.84
IRS P00.45RJY6M 03/20/29 CSFBUS33 FIXED(34,494,000,000.0000)JPY(312,303,359.71)
IRS RJY6MP00.41 03/25/29 CSFBUS33 FLOAT660,000,000.0000JPY5,920,875.57
IRS P00.41RJY6M 03/25/29 CSFBUS33 FIXED(660,000,000.0000)JPY(5,954,184.11)
IRS P00.40RJY6M 03/27/29 CSFBUS33 FIXED(1,460,000,000.0000)JPY(13,151,277.51)

証券名数量通貨時価(米ドル)
IRS RJY6MP00.40 03/27/29 CSFBUS33 FLOAT1,460,000,000.0000JPY13,097,694.45
IRS RJY6MP00.45 03/29/29 CSFBUS33 FLOAT1,460,000,000.0000JPY13,097,694.45
IRS P00.45RJY6M 03/29/29 CSFBUS33 FIXED(1,460,000,000.0000)JPY(13,216,255.17)
AA BOND C 2.875% 01/31/22/GBP/200,000.0000GBP265,090.14
ASTON MART 5.75% 04/15/22/GBP/70,000.0000GBP93,109.57
KENNEDY WI 3.95% 06/30/22/GBP/500,000.0000GBP668,725.12
UBS GROUP FUNDI 2.95% 09/24/20310,000.0000USD313,698.30
UBS GROUP FUND 4.125% 09/24/252,470,000.0000USD2,540,026.97
UBS GROUP FUND 4.125% 04/15/262,500,000.0000USD2,586,455.00
KUWAIT INTL BOND 3.5% 03/20/2713,800,000.0000USD14,131,903.80
KUWAIT INTL BON 2.75% 03/20/224,460,000.0000USD4,505,157.50
RMFE V-A II V/R 07/18/23 /EUR/7,000,000.0000EUR7,632,330.24
GAZPROM ( 6.605% 02/13/18/EUR/100,000.0000EUR114,033.86
SILVA 7 A V/R 11/15/19 /EUR/3,192,582.4900EUR3,486,071.03
ALTICE LUX 7.25% 05/15/22/EUR/6,600,000.0000EUR7,605,788.55
SBERBANK 3.352% 11/15/19/EUR/5,600,000.0000EUR6,464,994.97
ALTICE LUXEMBOU 7.75% 05/15/221,850,000.0000USD1,970,490.50
GAZPROM N (GPN 4.375% 09/19/224,550,000.0000USD4,617,112.50
GAZPROM NEFT (GPN 6% 11/27/2311,600,000.0000USD12,584,840.00
GAZPROM (GAZ C 8.625% 04/28/342,222,000.0000USD2,944,603.29
GAZPROM (GAZ CA 6.51% 03/07/221,900,000.0000USD2,118,648.20
GAZPROM (GAZ C 7.288% 08/16/37837,000.0000USD995,871.81
GAZPROM (GAZ CA 9.25% 04/23/196,500,000.0000USD7,301,424.00
GAZPROM (GAZ C 5.999% 01/23/211,222,000.0000USD1,327,568.58
GAZPROM (GAZ CA 4.95% 02/06/28600,000.0000USD604,650.00
GAZPROM (GAZ C 8.146% 04/11/18300,000.0000USD317,292.00
NIELSEN CO LUX SAR 5% 02/01/2583,000.0000USD83,311.25
SBERBANK (SB C 6.125% 02/07/228,900,000.0000USD9,762,944.00
GAZPROM (GAZ C 8.625% 04/28/34400,000.0000USD530,081.60
GAZPROM (GAZ CA 6.51% 03/07/224,498,000.0000USD5,015,620.84
GAZPROM (GAZ C 7.288% 08/16/37100,000.0000USD118,981.10
GAZPROM (GAZ CA 9.25% 04/23/19700,000.0000USD786,307.20
SBERBANK (SB C 5.717% 06/16/21900,000.0000USD974,250.00
GAZPROM (GAZ C 5.999% 01/23/21400,000.0000USD434,556.00
SBERBANK (SB C 6.125% 02/07/221,700,000.0000USD1,864,832.00
GAZPROM N (GPN 4.375% 09/19/221,400,000.0000USD1,420,650.00
GAZPROM NEFT (GPN 6% 11/27/23600,000.0000USD650,940.00
CSN RESOURCES SA 6.5% 07/21/20100,000.0000USD81,250.00
T/L INTELSAT JACK ZCP 06/30/193,800,000.0000USD3,761,209.60
T/L AVOLON TLB BOR 0% 03/21/221,241,000.0000USD1,261,169.97
T/L ENDO LUXEMBO 0% 04/12/20242,272,000.0000USD2,286,554.43
PETRONAS CAPITA 5.25% 08/12/192,800,000.0000USD2,982,288.40
UNITED MEXICA 4% 03/15/15/EUR/200,000.0000EUR196,876.71
IRS R05.61PMXIE 07/07/21 CSFBUS33 FIXED70,400,000.0000MXN3,486,951.37
IRS PMXIER05.61 07/07/21 CSFBUS33 FLOAT(70,400,000.0000)MXN(3,709,607.30)
IRS R05.98PMXIE 08/26/24 CSFBUS33 FIXED11,300,000.0000MXN546,640.22
IRS PMXIER05.98 08/26/24 CSFBUS33 FLOAT(11,300,000.0000)MXN(595,434.13)

証券名数量通貨時価(米ドル)
IRS PMXIER06.71 09/20/29 CSFBUS33 FLOAT(11,200,000.0000)MXN(590,164.80)
IRS R06.71PMXIE 09/20/29 CSFBUS33 FIXED11,200,000.0000MXN545,668.55
IRS PMXIER06.35 09/01/23 CSFBUS33 FLOAT(39,100,000.0000)MXN(2,060,307.47)
IRS R06.35PMXIE 09/01/23 CSFBUS33 FIXED39,100,000.0000MXN1,954,159.74
IRS PMXIER06.75 08/31/21 CSFBUS33 FLOAT(114,800,000.0000)MXN(6,049,189.18)
IRS R06.75PMXIE 08/31/21 CSFBUS33 FIXED114,800,000.0000MXN5,936,524.91
IRS PMXIER05.43 11/17/21 CSFBUS33 FLOAT(54,400,000.0000)MXN(2,866,514.73)
IRS R05.43PMXIE 11/17/21 CSFBUS33 FIXED54,400,000.0000MXN2,659,357.39
IRS PMXIER05.27 02/05/20 CSFBUS33 FLOAT(25,400,000.0000)MXN(1,338,409.45)
IRS R05.27PMXIE 02/05/20 CSFBUS33 FIXED25,400,000.0000MXN1,272,040.57
IRS R06.62PMXIE 02/18/30 CSFBUS33 FIXED12,100,000.0000MXN582,443.86
IRS PMXIER06.62 02/18/30 CSFBUS33 FLOAT(12,100,000.0000)MXN(637,588.76)
IRS R05.14PMXIE 04/02/20 CSFBUS33 FIXED11,600,000.0000MXN577,342.07
IRS PMXIER05.14 04/02/20 CSFBUS33 FLOAT(11,600,000.0000)MXN(611,242.11)
IRS PMXIER05.85 05/02/22 CSFBUS33 FLOAT(112,200,000.0000)MXN(5,912,186.64)
IRS R05.85PMXIE 05/02/22 CSFBUS33 FIXED112,200,000.0000MXN5,550,472.44
IRS PMXIER05.81 05/02/22 CSFBUS33 FLOAT(48,900,000.0000)MXN(2,576,701.66)
IRS R05.81PMXIE 05/02/22 CSFBUS33 FIXED48,900,000.0000MXN2,414,611.49
IRS R05.78PMXIE 09/29/22 CSFBUS33 FIXED96,760,000.0000MXN4,744,153.85
IRS PMXIER05.78 09/29/22 CSFBUS33 FLOAT(96,760,000.0000)MXN(5,098,602.31)
IRS PMXIER05.99 01/30/26 CSFBUS33 FLOAT(98,900,000.0000)MXN(5,211,365.94)
IRS R05.99PMXIE 01/30/26 CSFBUS33 FIXED98,900,000.0000MXN4,707,165.14
IRS R05.09PMXIE 02/05/21 CSFBUS33 FIXED147,100,000.0000MXN7,195,555.70
IRS PMXIER05.09 02/05/21 CSFBUS33 FLOAT(147,100,000.0000)MXN(7,751,182.31)
IRS PMXIER05.95 01/30/26 CSFBUS33 FLOAT(104,300,000.0000)MXN(5,495,909.68)
IRS R05.95PMXIE 01/30/26 CSFBUS33 FIXED104,300,000.0000MXN4,949,386.37
IRS R06.08PMXIE 03/10/26 CSFBUS33 FIXED220,600,000.0000MXN10,557,227.79
IRS PMXIER06.08 03/10/26 CSFBUS33 FLOAT(220,600,000.0000)MXN(11,624,138.79)
IRS R05.61PMXIE 05/21/21 CSFBUS33 FIXED391,600,000.0000MXN19,436,512.76
IRS PMXIER05.61 05/21/21 CSFBUS33 FLOAT(391,600,000.0000)MXN(20,634,690.62)
IRS PMXIER05.68 05/28/21 CSFBUS33 FLOAT(33,700,000.0000)MXN(1,775,763.72)
IRS R05.68PMXIE 05/28/21 CSFBUS33 FIXED33,700,000.0000MXN1,676,369.36
IRS R05.65PMXIE 06/02/21 CSFBUS33 FIXED103,500,000.0000MXN5,141,593.90
IRS PMXIER05.65 06/02/21 CSFBUS33 FLOAT(103,500,000.0000)MXN(5,453,755.06)
IRS R05.79PMXIE 06/02/23 CSFBUS33 FIXED32,500,000.0000MXN1,579,911.40
IRS PMXIER05.79 06/02/23 CSFBUS33 FLOAT(32,500,000.0000)MXN(1,712,531.78)
IRS R05.90PMXIE 07/20/21 CSFBUS33 FIXED226,800,000.0000MXN11,356,823.67
IRS PMXIER05.90 07/20/21 CSFBUS33 FLOAT(226,800,000.0000)MXN(11,950,837.16)
IRS PMXIER05.79 09/06/21 CSFBUS33 FLOAT(408,800,000.0000)MXN(21,541,015.14)
IRS R05.79PMXIE 09/06/21 CSFBUS33 FIXED408,800,000.0000MXN20,352,500.83
IRS R06.49PMXIE 09/08/26 CSFBUS33 FIXED141,900,000.0000MXN6,969,200.08
IRS PMXIER06.49 09/08/26 CSFBUS33 FLOAT(141,900,000.0000)MXN(7,477,177.22)
IRS PMXIER07.03 11/10/21 CSFBUS33 FLOAT(221,100,000.0000)MXN(11,650,485.44)
IRS R07.03PMXIE 11/10/21 CSFBUS33 FIXED221,100,000.0000MXN11,550,522.76
IRS PMXIER07.38 11/04/26 CSFBUS33 FLOAT(5,800,000.0000)MXN(305,621.06)
IRS R07.38PMXIE 11/04/26 CSFBUS33 FIXED5,800,000.0000MXN303,918.40
IRS PMXIER07.38 11/17/21 CSFBUS33 FLOAT(23,600,000.0000)MXN(1,243,561.54)
IRS R07.38PMXIE 11/17/21 CSFBUS33 FIXED23,600,000.0000MXN1,250,492.44
IRS R07.35PMXIE 11/17/21 CSFBUS33 FIXED30,200,000.0000MXN1,597,833.40
IRS PMXIER07.35 11/17/21 CSFBUS33 FLOAT(30,200,000.0000)MXN(1,591,337.22)
IRS PMXIER07.19 12/03/21 CSFBUS33 FLOAT(15,100,000.0000)MXN(795,668.61)
IRS R07.19PMXIE 12/03/21 CSFBUS33 FIXED15,100,000.0000MXN794,054.38
IRS R07.86PMXIE 02/02/27 CSFBUS33 FIXED187,600,000.0000MXN10,170,862.74

証券名数量通貨時価(米ドル)
IRS PMXIER07.86 02/02/27 CSFBUS33 FLOAT(187,600,000.0000)MXN(9,885,260.37)
IRS R08.01PMXIE 02/04/27 CSFBUS33 FIXED79,800,000.0000MXN4,370,775.73
IRS PMXIER08.01 02/04/27 CSFBUS33 FLOAT(79,800,000.0000)MXN(4,204,924.19)
IRS PMXIER07.81 02/17/27 CSFBUS33 FLOAT(117,200,000.0000)MXN(6,175,653.07)
IRS R07.81PMXIE 02/17/27 CSFBUS33 FIXED117,200,000.0000MXN6,332,318.08
IRS R07.53PMXIE 02/23/22 CSFBUS33 FIXED100,100,000.0000MXN5,335,711.06
IRS PMXIER07.53 02/23/22 CSFBUS33 FLOAT(100,100,000.0000)MXN(5,274,597.88)
PETROLEOS MEXI 5.375% 03/13/22140,000.0000USD147,350.00
PETROLEOS MEXICA 6.5% 03/13/27942,000.0000USD1,020,892.50
GTCOE 201 2.64% 06/10/25 /GBP/4,000,000.0000GBP5,196,217.31
PETROBRAS 6.25% 12/14/26/GBP/2,200,000.0000GBP2,952,420.71
PETROBRAS 6.625% 01/16/34/GBP/2,900,000.0000GBP3,675,753.07
BABSE 2014 1.3% 04/15/27 /EUR/17,350,000.0000EUR18,934,362.38
GTCOE 201 2.44% 06/10/25 /EUR/4,000,000.0000EUR4,384,983.78
HARBM PR2A V/R 10/15/22 /EUR/5,000,000.0000EUR5,436,225.16
JUBIL V-A C V/R 08/21/21 /EUR/7,412,000.0000EUR8,051,710.63
WODST V-A A V/R 09/14/23 /EUR/6,748,000.0000EUR7,331,700.93
JUBIL V-X B V/R 08/21/21 /EUR/3,673,728.7000EUR4,001,706.95
WODST III-X V/R 08/27/22 /EUR/1,394,136.5300EUR1,519,848.99
CADOG 3A C V/R 01/17/23 /EUR/1,500,000.0000EUR1,627,751.37
PGAEA 2007- V/R 12/28/96 /EUR/1,066,832.3800EUR1,143,437.49
PANTH V-X A V/R 10/15/84 /EUR/1,186,607.4700EUR1,293,747.56
ARESE 2007- V/R 03/14/25 /EUR/6,000,000.0000EUR6,578,796.98
UPC HOLDI 6.375% 09/15/22/EUR/1,500,000.0000EUR1,719,138.94
PETROBRAS 4.25% 10/02/23/EUR/2,000,000.0000EUR2,278,747.62
VOLKSWAGE 1.875% 03/30/27/EUR/1,900,000.0000EUR2,096,406.86
VOLKSWAGE 1.125% 10/02/23/EUR/900,000.0000EUR988,112.99
COOPERATIEVE R V/R /PERP//EUR/1,800,000.0000EUR2,176,956.93
DRYD 2014-3 V/R 08/23/26 /EUR/20,200,000.0000EUR22,035,685.41
RABOBANK STIC 6.5% /PERP//EUR/1,131,000.0000EUR1,422,747.12
OI EUROPE 3.125% 11/15/24/EUR/300,000.0000EUR331,088.38
HARBM PR2A V/R 10/15/22 /EUR/314,128.9800EUR341,152.52
CGMSE 2014- V/R 08/15/27 /EUR/7,400,000.0000EUR8,068,439.46
HARBM 9A B V/R 05/08/23 /EUR/5,000,000.0000EUR5,449,808.94
HARBM 9A C V/R 05/08/23 /EUR/7,150,000.0000EUR7,685,331.54
AERCAP AVIATIO 6.375% 05/30/171,073,000.0000USD1,076,831.68
PETROBRAS GLOB 6.875% 01/20/40464,000.0000USD445,440.00
PETROBRAS GLOB 5.375% 01/27/211,203,000.0000USD1,238,909.55
PETROBRAS GLOBA 6.75% 01/27/41710,000.0000USD672,725.00
PETROBRAS GLOB 5.625% 05/20/4375,000.0000USD63,093.75
PETROBRAS GLOBA 6.25% 03/17/2430,000.0000USD31,110.00
PETROBRAS GLOBA 6.85% 06/05/152,144,000.0000USD1,919,952.00
PETROBRAS GLOB 8.375% 05/23/212,020,000.0000USD2,292,700.00
PETROBRAS GLOBA 8.75% 05/23/262,340,000.0000USD2,734,290.00
PETROBRAS GLOB 6.125% 01/17/221,087,000.0000USD1,141,730.45
PETROBRAS GLOB 7.375% 01/17/272,128,000.0000USD2,293,558.40
COOPERATIEVE RABOBA V/R /PERP/14,470,000.0000USD14,629,604.10
T/L ATOTECH B V 0% 01/24/2024100,000.0000USD100,718.80
NORWEGIAN AIR 4.875% 05/10/28500,000.0000USD512,887.00
NOVO BANCO SA 5% 04/23/19/EUR/2,728,000.0000EUR2,532,525.44
NOVO BANCO SA 5% 04/04/19/EUR/33,000.0000EUR30,635.39

証券名数量通貨時価(米ドル)
BANCO ESP 2.625% 05/08/17/EUR/3,100,000.0000EUR978,966.03
NOVO BANCO SA 5% 05/21/19/EUR/202,000.0000EUR187,529.23
NOVO BANCO SA 5% 05/14/19/EUR/119,000.0000EUR110,475.14
RUSSIAN FEDERA 5.625% 04/04/42200,000.0000USD223,203.80
RUSSIAN FEDERA 5.625% 04/04/421,000,000.0000USD1,116,019.00
SAUDI INTERNATI 3.25% 10/26/261,000,000.0000USD977,735.00
SAUDI INTERNATIO 4.5% 10/26/466,600,000.0000USD6,535,221.00
FLEX LTD 5% 02/15/231,500,000.0000USD1,619,437.50
IRS R08.00PJI3M 03/15/22 CSFBUS33 FIXED37,800,000.0000ZAR2,886,984.61
IRS PJI3MR08.00 03/15/22 CSFBUS33 FLOAT(37,800,000.0000)ZAR(2,824,320.54)
IRS PJI3MR08.30 03/15/27 CSFBUS33 FLOAT(18,700,000.0000)ZAR(1,397,216.77)
IRS R08.30PJI3M 03/15/27 CSFBUS33 FIXED18,700,000.0000ZAR1,431,066.63
IRS PJI3MR08.25 03/15/24 CSFBUS33 FLOAT(56,300,000.0000)ZAR(4,206,593.82)
IRS R08.25PJI3M 03/15/24 CSFBUS33 FIXED56,300,000.0000ZAR4,333,163.37
IRS PJI3MR08.00 03/15/24 CSFBUS33 FLOAT(52,800,000.0000)ZAR(3,945,082.66)
IRS R08.00PJI3M 03/15/24 CSFBUS33 FIXED52,800,000.0000ZAR4,011,078.21
IRS PJI3MR08.25 09/20/27 CSFBUS33 FLOAT(406,900,000.0000)ZAR(30,402,540.39)
IRS R08.25PJI3M 09/20/27 CSFBUS33 FIXED406,900,000.0000ZAR30,872,592.55
IRS R08.00PJI3M 09/20/27 CSFBUS33 FIXED236,200,000.0000ZAR17,624,462.27
IRS PJI3MR08.00 09/20/27 CSFBUS33 FLOAT(236,200,000.0000)ZAR(17,648,267.49)
KEB HANA BANK 3.5% 10/25/171,900,000.0000USD1,916,723.80
KOOKMIN BANK 1.625% 07/14/171,900,000.0000USD1,899,524.62
SHINHAN BANK 4.375% 07/27/172,400,000.0000USD2,415,066.29
GENERALITAT 4.9% 09/15/21/EUR/1,250,000.0000EUR1,443,565.18
BANCO SANTANDE V/R /PERP//EUR/5,700,000.0000EUR6,357,398.44
BANCO POPULAR V/R /PERP//EUR/7,600,000.0000EUR6,864,329.48
BANCO BILBAO V V/R /PERP//EUR/2,200,000.0000EUR2,483,072.75
MERLIN PR 1.875% 11/02/26/EUR/900,000.0000EUR958,977.92
TELEFONICA EMI 4.103% 03/08/27500,000.0000USD513,892.50
TELEFONICA EMI 5.213% 03/08/47900,000.0000USD938,701.80
BANCO BILBAO VIZCAY V/R /PERP/2,400,000.0000USD2,535,652.80
CORP ANDIN 3.95% 10/15/21/MXN/689,761.2000MXN35,828.00
ENDO DAC/FIN L 5.875% 10/15/24200,000.0000USD204,250.00
FASTIGHET 1.125% 03/14/22/EUR/1,000,000.0000EUR1,089,055.61
FASTIGHET 1.875% 03/14/25/EUR/1,100,000.0000EUR1,206,790.48
MOLNLYCKE 1.875% 02/28/25/EUR/1,130,000.0000EUR1,258,323.08
AKELIUS R 3.375% 09/23/20/EUR/1,000,000.0000EUR1,180,006.89
UBS GROUP AG V/R /PERP//EUR/3,200,000.0000EUR3,815,489.07
CREDIT SUISSE 4.282% 01/09/286,700,000.0000USD6,818,998.70
CREDIT SUISSE 6.5% 08/08/233,985,000.0000USD4,445,773.60
UBS AG STAMFOR 7.625% 08/17/221,000,000.0000USD1,170,000.00
UBS GROUP FUND 3.491% 05/23/232,000,000.0000USD2,033,202.00
UBS GROUP FUND 4.253% 03/23/282,200,000.0000USD2,271,104.00
UBS AG V/R 05/22/231,400,000.0000USD1,436,481.20
UBS AG 5.125% 05/15/24500,000.0000USD527,242.00
UBS GROUP AG V/R /PERP/200,000.0000USD220,525.00
EI GROUP 6.875% 02/15/21/GBP/50,000.0000GBP71,551.23
EI GROUP PL 6.5% 12/06/18/GBP/1,051,000.0000GBP1,468,138.49
SLT 1 C V/R 10/24/19 /GBP/2,600,000.0000GBP3,307,407.06

証券名数量通貨時価(米ドル)
UNIQUE PUB 6.542% 3/30/21/GBP/1,125,560.0000GBP1,589,265.96
UNIQUE PU 5.659% 06/30/27/GBP/1,880,947.9000GBP2,709,863.19
RMAC 2004-N V/R 06/12/36 /GBP/5,603,238.0100GBP6,918,190.94
SPIRIT IS 6.582% 12/28/27/GBP/450,000.0000GBP637,495.29
SPIRIT ISS V/R 12/28/31 /GBP/760,000.0000GBP944,734.10
GREENE KI 5.702% 12/15/34/GBP/4,156,000.0000GBP5,055,597.15
PARGN 13X A V/R 01/15/39 /GBP/4,436,799.6100GBP5,406,723.74
THEAT 2007- V/R 10/15/31 /GBP/700,062.1100GBP869,477.11
THEAT 2007- V/R 10/15/31 /GBP/1,486,459.6600GBP1,846,182.82
ESAIL 2007- V/R 06/13/45 /GBP/17,380,240.1000GBP21,481,159.30
ESAIL 2007- V/R 06/13/45 /GBP/1,336,029.1000GBP1,651,568.33
ESAIL 2007- V/R 06/13/45 /GBP/2,137,646.5600GBP2,642,509.32
ESAIL 2006- V/R 09/10/44 /GBP/1,739,882.7100GBP2,229,178.57
ESAIL 2007- V/R 09/13/45 /GBP/7,880,488.2000GBP9,411,439.00
BARCLAYS BANK V/R /PERP//GBP/9,970,000.0000GBP15,788,096.10
TESCO PRO 5.8% 10/13/40 /GBP/404,006.4700GBP558,931.44
TESCO PRO 5.744% 04/13/40 /GBP167,134.7900GBP231,088.05
CO-OP GRP H S/UP 07/08/26/GBP/600,000.0000GBP927,246.12
TESCO PRO 6.051% 10/13/39 /GB2,744,564.3100GBP3,932,172.77
TESCO PRO 5.411% 07/13/44/GBP/1,981,528.6100GBP2,645,191.76
TRINI 2015- V/R 07/15/51 /GBP/794,748.6900GBP1,039,002.24
EI GROUP 6.375% 02/15/22/GBP/5,600,000.0000GBP7,825,983.50
HSBC HOLD 2.625% 08/16/28/GBP/360,000.0000GBP463,679.26
ROFIN 2 A V/R 06/20/45 /GBP/10,358,585.9100GBP13,534,094.08
SANTANDER UK G V/R /PERP//GBP/2,100,000.0000GBP2,800,820.90
ONCIL 2016- V/R 06/12/21 /GBP/13,409,031.4400GBP17,486,772.76
BARCLAYS PLC V/R /PERP//GBP/2,600,000.0000GBP3,518,734.65
LLOYDS BANKING V/R /PERP//GBP/5,226,000.0000GBP7,542,589.49
LLOYDS BANKING V/R /PERP//GBP/1,700,000.0000GBP2,530,754.74
SLT 1 B V/R 10/24/19 /GBP/7,819,000.0000GBP9,990,596.89
TIG FINCO V/R 03/02/20/GBP/1,930,000.0000GBP2,564,354.72
TIG FINCO V/R 03/02/20/GBP/335,602.0000GBP445,908.06
TIG FINCO 8.75% 04/02/20/GBP/1,723,824.0000GBP2,184,246.23
BARCLAYS P 3.25% 02/12/27/GBP/10,400,000.0000GBP13,738,011.96
BARCLAYS PLC V/R /PERP//GBP/5,353,000.0000GBP7,388,859.55
VIRGIN MEDIA 5% 04/15/27/GBP/300,000.0000GBP399,022.76
SANTANDER UK G V/R /PERP//GBP/1,900,000.0000GBP2,623,345.32
HWKSM 2016- V/R 05/25/53 /GBP/9,054,522.7700GBP11,859,926.28
RMS 29 A V/R 09/20/21 /GBP/13,310,000.0000GBP17,275,078.85
RIPON 1A A1 V/R 02/20/22 /GBP/24,800,000.0000GBP32,149,168.80
GRIF 1 A V/R 08/28/39 /EUR/1,367,312.3000EUR1,183,303.31
ROYAL BK 6.934% 04/09/18 /EUR/6,180,000.0000EUR7,146,239.60
ROYAL BK SC 2.5% 03/22/23/EUR/6,700,000.0000EUR7,598,834.95
ROYAL BK SCO V/R 03/08/23/EUR/1,900,000.0000EUR2,099,959.34
BARCLAYS PLC V/R /PERP//EUR/600,000.0000EUR723,198.91
BARCLAYS PLC V/R /PERP//EUR/2,300,000.0000EUR2,617,907.40
HSBC HOLDINGS V/R /PERP//EUR/7,210,000.0000EUR8,691,233.16
BARCLAYS PLC V/R /PERP/200,000.0000USD213,273.00
BARCLAYS PLC 3.684% 01/10/231,000,000.0000USD1,018,460.00
BARCLAYS PLC V/R 01/10/231,000,000.0000USD1,015,348.00
BARCLAYS PLC 4.337% 01/10/28700,000.0000USD714,963.90
BARCLAYS BANK PLC V/R 04/10/234,800,000.0000USD5,052,897.60
BARCLAYS BANK 7.625% 11/21/225,640,000.0000USD6,186,375.00

証券名数量通貨時価(米ドル)
HSBC HOLDINGS PL 4.3% 03/08/26500,000.0000USD528,692.00
HSBC HOLDINGS PLC V/R 03/13/23800,000.0000USD810,061.60
HSBC HOLDINGS PLC V/R 03/13/28700,000.0000USD716,177.00
LLOYDS BANKING GROU V/R /PERP/2,700,000.0000USD2,916,000.00
LLOYDS BANK PLC V/R /PERP/200,000.0000USD272,650.00
ROYAL BK SCOTLND 4.8% 04/05/262,300,000.0000USD2,418,031.40
ROYAL BK SCOTLND GR V/R /PERP/2,000,000.0000USD2,164,000.00
ROYAL BK SCOTL 3.875% 09/12/235,500,000.0000USD5,516,516.50
ROYAL BK SCOTLND GR V/R /PERP/1,900,000.0000USD1,972,437.50
ROYAL BK SCOTLND GR V/R /PERP/1,400,000.0000USD1,456,000.00
SANTANDER UK G 2.875% 08/05/21800,000.0000USD796,241.60
BG ENERGY CAPITAL V/R 11/30/721,400,000.0000USD1,435,140.00
BARCLAYS BANK PLC V/R 04/10/23800,000.0000USD842,149.60
BARCLAYS PLC V/R /PERP/1,200,000.0000USD1,290,288.00
T/L VIRGIN MEDIA0% 01/31/25400,000.0000USD401,950.00
WESTFIELD 2.125% 03/30/25/GBP/800,000.0000GBP1,036,757.39
WESTFIELD 2.625% 03/30/29/GBP/1,100,000.0000GBP1,432,934.55
WELLS FAR 2.125% 12/20/23/GBP/2,100,000.0000GBP2,766,634.46
ALLIANCE DA 4.5% 03/15/22/EUR/173,000.0000EUR197,229.79
NETFLIX I 3.625% 05/15/27/EUR/1,500,000.0000EUR1,663,479.99
QUINTILES 3.25% 03/15/25/EUR/700,000.0000EUR766,642.67
DIGITAL E 2.625% 04/15/24/EUR/1,400,000.0000EUR1,609,052.96
ZIMMER BI 2.425% 12/13/26/EUR/500,000.0000EUR566,087.92
ZIMMER BI 1.414% 12/13/22/EUR/300,000.0000EUR332,806.42
CDS DE000DB5S5U8 01.000 SP 12/20/2017 JPM SHORT(500,000.0000)EUR(544,474.99)
CDS DE000DB5S5U8 01.000 SP 12/20/2017 JPM LONG500,000.0000EUR547,124.84
CDS XS0772553037 05.000 NA 12/20/2021 CSFBUS33 FIXED800,000.0000EUR699,257.47
CDS XS0772553037 05.000 NA 12/20/2021 CSFBUS33 FLOAT(800,000.0000)EUR(871,159.98)
CDS NA 05.000 SP 12/20/2021 MYC LONG200,000.0000EUR174,179.07
CDS NA 05.000 SP 12/20/2021 MYC SHORT(200,000.0000)EUR(217,790.00)
CDS DE000DB5S5U8 01.000 NA 12/20/2017 CSFBUS33 FIXED1,580,000.0000EUR1,729,308.84
CDS DE000DB5S5U8 01.000 NA 12/20/2017 CSFBUS33 FLOAT(1,580,000.0000)EUR(1,720,540.97)
AT&T INC 5.65% 02/15/47264,000.0000USD280,949.33
ASP AMC MERGER SUB 8% 05/15/25620,000.0000USD616,125.00
ACCR 2005-2 M5 V/R 07/25/359,805,923.2000USD8,297,361.34
ACE 2006-OP2 A1 V/R 08/25/3610,271,456.9700USD9,333,301.12
ACE 2005-HE5 M4 V/R 08/25/355,023,000.0000USD4,294,569.56
AGFC CAP TRST 1 V/R 1/15/67 144A2,200,000.0000USD1,199,000.00
ACBN 2003-1A 7.001% 03/20/21988,170.8800USD1,064,754.12
FNMA TBA 15YR TBA 2.5% MAY173,000,000.0000USD3,017,460.99
FNCI 15YR TBA 3.0% MAY 173,000,000.0000USD3,086,250.09
FNMA TBA 30YR 3.0% MAY 1749,000,000.0000USD48,946,404.78
FNMA 30YR TBA 3.0% JUNE 1719,000,000.0000USD18,943,593.18
FNMA 30YR TBA 3.5% MAY 17(7,600,000.0000)USD(7,815,234.51)

証券名数量通貨時価(米ドル)
ALLY FINANCIAL 6.25% 12/01/175,090,000.0000USD5,223,612.50
ALLY FINANCIAL 4.75% 09/10/182,350,000.0000USD2,426,375.00
ALLY FINANCIAL I 3.5% 01/27/19300,000.0000USD304,500.00
ALLY FINANCIAL 3.25% 09/29/17400,000.0000USD403,250.00
ALLY FINANCIAL I 3.6% 05/21/18200,000.0000USD203,020.00
CWALT 2007-J2 2A1 6% 07/25/3767,689.9200USD65,468.87
SPRINGLEAF FINAN 6.5% 09/15/17400,000.0000USD407,500.00
AH4R 2014-SFR 6.231% 10/17/241,150,000.0000USD1,271,238.98
FHLMC GOLD 30 YR 3% 5/15/4794,000,000.0000USD93,875,160.48
FHLMC GOLD TBA 30YR 3.5% MAY1775,000,000.0000USD77,124,024.75
AMSI 2002-AR1 M1 V/R 09/25/32769,030.0700USD715,781.20
AMSI 2004-R9 M4 V/R 10/25/349,000,000.0000USD6,759,858.60
AMSI 2006-R1 M2 V/R 03/25/3627,500,000.0000USD21,256,708.00
QUEST 2005-X1 M3 V/R 03/25/356,059,500.0000USD5,661,884.70
AMGEN INC 4.4% 05/01/45200,000.0000USD198,151.20
ANHEUSER-BUSCH I 4.9% 02/01/46553,000.0000USD606,519.34
ARSI 2003-W3 M2 V/R 09/25/332,884,760.4200USD2,853,960.41
ARSI 2006-W3 A2C V/R 04/25/369,438,154.6100USD3,872,692.86
ABFC 2005-WMC1 M V/R 06/25/3512,354,238.0000USD10,935,122.74
AVNT 2016-B A 3.92% 08/15/1765,545.2300USD65,746.27
AVNT 2017-A A 2.41% 07/15/18550,000.0000USD551,105.28
BAMLL 2014-ICTS V/R 06/15/165,000,000.0000USD5,006,537.50
BAMLL 2014-INLD V/R 12/15/165,600,000.0000USD5,620,529.60
BCAP 2011-R11 8A V/R 06/26/19926,236.4600USD882,441.96
BCRR 2009-1 2A1 V/R 07/17/17467,753.0100USD467,729.62
BCRR 2009-1 2A2 V/R 07/17/1713,800,000.0000USD13,819,442.82
BCAP 2012-RR6 3A V/R 08/26/14295,717.6500USD293,921.40
BGC PARTNERS I 5.375% 12/09/191,450,000.0000USD1,523,806.45
BGC PARTNERS I 5.125% 05/27/21400,000.0000USD420,101.60
BCAP 2012-RR11 3 V/R 04/25/368,630,171.8700USD6,834,755.23
BCAP 2012-RR11 1.24% 10/25/152,613,442.6600USD2,370,721.79
BCAP 2014-RR1 3A V/R 04/26/15187,111.0500USD187,330.49
BMC SOFTWARE F 8.125% 07/15/2137,000.0000USD37,809.56
BOAA 2006-6 CB5 6% 07/25/464,168,302.6300USD3,619,057.06
BOAA 2007-1 1A1 V/R 04/25/22428,074.6500USD414,018.43
BANK OF AMERIC 3.875% 08/01/25300,000.0000USD307,920.30
BARCLAYS BANK V/R 11/6/174,440,000.0000USD4,450,531.68
BOMFT 2017-RN2 A V/R 04/28/325,720,000.0000USD5,714,718.04
BSARM 2004-8 2A1 V/R 11/25/34569,099.3300USD550,248.60
BSABS 2007-HE3 1 V/R 04/25/379,470,096.2000USD10,427,858.17
BSABS 2005-2 M3 V/R 06/25/353,853,000.0000USD3,541,978.52
BSABS 2005-HE12 V/R 12/25/356,400,000.0000USD6,127,988.48
BSABS 2006-HE1 1 V/R 12/25/359,109,000.0000USD8,731,340.86
BSABS 2005-HE10 V/R 11/25/356,887,080.7900USD6,147,328.42
BSABS 2006-HE3 M V/R 04/25/3612,900,000.0000USD12,333,763.53
BSABS 2006-4 A V/R 10/25/368,804,690.1100USD8,521,578.82
BSABS 2007-HE1 1A V/R 02/25/3711,596,989.3200USD10,268,630.73
BLACKSTONE CQP H 6.5% 03/20/217,400,000.0000USD7,457,364.80
BOSTON SCIENTI 3.375% 05/15/222,260,000.0000USD2,322,663.02
BOXER PARENT CO IN 9% 10/15/19519,000.0000USD520,624.47
BRIXMOR OPERATI 3.25% 09/15/23300,000.0000USD295,753.20

証券名数量通貨時価(米ドル)
BROADCOM CRP / 2.375% 01/15/201,295,000.0000USD1,296,658.90
BROADCOM CRP / CA 3% 01/15/221,760,000.0000USD1,775,820.64
BROADCOM CRP / 3.625% 01/15/24133,000.0000USD135,129.20
BROADCOM CRP / 3.875% 01/15/27930,000.0000USD945,573.78
BLX 2005-AA A V/R 09/25/383,133,497.3700USD2,754,333.85
BLX 2005-AA B V/R 09/25/381,518,909.4200USD1,308,363.21
BLX 2005-AA C V/R 09/25/38110,065.9000USD97,643.43
BWAY HOLDING CO 5.5% 04/15/24172,000.0000USD174,365.00
BWAY HOLDING CO 7.25% 04/15/2525,000.0000USD25,031.25
CBOE HOLDINGS I 3.65% 01/12/27600,000.0000USD606,990.00
CDW LLC/CDW FINANC 5% 09/01/25184,000.0000USD189,520.00
CGCMT 2009-RR1 L V/R 07/17/40522,728.5900USD522,875.01
CHS/COMMUNITY H 6.25% 03/31/23858,000.0000USD876,232.50
CIT GROUP INC 5.25% 03/15/181,611,000.0000USD1,664,243.55
CIT GROUP INC 4.25% 08/15/17225,000.0000USD226,800.00
CIT GROUP INC 3.875% 02/19/19972,000.0000USD1,001,160.00
CIT GROUP INC 5% 05/15/185,840,000.0000USD5,877,376.00
CITM 2007-1 1A V/R 08/25/2428,874,556.5800USD28,747,202.46
COMM 2014-LC15 X V/R 03/10/2433,000,000.0000USD365,715.90
CSMC 2007-4R 1A1 V/R 10/26/36557,068.5900USD465,130.77
CVS PASS-THROU 7.507% 01/10/32767,983.3300USD959,452.33
CWL 2006-22 1A V/R 06/25/351,820,521.1400USD1,440,416.17
CWL 2004-BC1 M2 V/R 01/25/341,327,832.8400USD1,296,469.56
CWL 2003-2 3A V/R 08/26/33560,255.5400USD494,844.31
CWL 2004-10 MV3 V/R 12/25/343,150,000.0000USD3,110,296.77
CWL 2005-6 M6 V/R 06/25/357,000,000.0000USD5,513,772.60
CWL 2005-3 MF2 V/R 06/25/358,643,817.5100USD7,795,487.33
CWALT 2004-15 2A V/R 09/25/342,927,592.9400USD2,871,855.67
CWALT 2005-28CB 5.5% 08/25/35152,706.8500USD142,089.89
CWALT 2005-36 3A V/R 08/25/351,173,764.3200USD967,807.42
CWL 2006-25 2A3 V/R 11/25/334,379,571.5600USD4,327,728.38
CWALT 2005-86CB 5.5% 02/25/3633,516.1500USD29,095.49
CWL 2007-BC1 2A3 V/R 05/25/3735,242,218.8100USD33,226,134.82
CWALT 2006-OA1 2 V/R 03/20/4613,025,980.8600USD10,965,833.41
CWHL 2005-23 A1 5.5% 11/25/3512,289,224.2600USD11,292,539.91
CWHL 2004-22 A3 V/R 11/25/3426,670.9500USD26,216.23
CWHL 2004-7 2A1 V/R 06/25/343,319.8600USD3,262.88
CAESARS ENTERTAI 8.5% 02/15/205,632,036.3400USD6,899,244.52
CAESARS ENTERTAINM 9% 02/15/201,970,064.6700USD2,415,791.80
CAESARS ENTERTAINM 9% 02/15/206,625,239.9500USD8,124,200.49
CALIFORNIA RESOURC 8% 12/15/22367,000.0000USD282,131.25
CRELT 2006-1A B V/R 01/20/374,586,250.3800USD4,328,750.77
CBAC 2006-2A A S/UP 01/25/392,661,009.1400USD2,230,078.67
CEDAR FAIR/CAN 5.375% 04/15/27164,000.0000USD169,928.60
CXHE 2005-B M2 V/R 03/25/355,513,525.1200USD4,870,934.79
CHARTER COMM O 3.579% 07/23/20441,000.0000USD456,023.99
CHARTER COMM O 4.908% 07/23/25992,000.0000USD1,064,932.83
CHARTER COMM O 6.384% 10/23/35620,000.0000USD712,547.40
CHARTER COMM O 6.484% 10/23/45300,000.0000USD353,544.30
CHARTER COMM O 4.464% 07/23/22661,000.0000USD702,793.05
CHARTER COMM O 5.375% 05/01/47300,000.0000USD308,091.60

証券名数量通貨時価(米ドル)
CHESAPEAKE ENERGY V/R 04/15/19189,000.0000USD189,000.00
CCMFC 2004-A A1 V/R 03/25/351,134,646.6200USD1,034,531.87
CHICAGO IL 6.314% 01/01/44220,000.0000USD194,678.00
CHICAGO IL 7.375% 01/01/33440,000.0000USD443,559.60
CHICAGO IL 7.75% 01/01/42780,000.0000USD806,036.40
CHICAGO IL 7.045% 01/01/29370,000.0000USD379,194.50
CHOBANI LLC/FINA 7.5% 04/15/25115,000.0000USD119,025.00
CIMAREX ENERGY C 3.9% 05/15/27261,000.0000USD264,453.81
CMLTI 2006-HE1 M V/R 01/25/36135,807.6600USD135,005.61
CMLTI 2005-HE1 M V/R 05/25/356,300,000.0000USD5,663,432.25
CMLTI 2005-OPT4 V/R 07/25/353,174,000.0000USD3,137,765.30
CMLTI 2006-WMC1 V/R 12/25/357,891,949.1100USD7,757,617.09
CMLTI 2007-WFH1 V/R 01/25/371,860,000.0000USD1,676,211.35
CMLTI 2013-7 2A2 V/R 08/25/368,914,369.4400USD8,274,133.19
CGCMT 2014-GC19 V/R 03/10/4725,400,000.0000USD441,761.88
IHEARTCOMMUNICATIO 9% 03/01/214,900,000.0000USD3,742,375.00
COMMSCOPE TECH LLC 5% 03/15/2712,000.0000USD12,135.00
CWL 2006-BC2 M1 V/R 09/25/427,700,000.0000USD7,284,796.75
CROWN CASTLE INTL 4% 03/01/27255,000.0000USD262,804.28
CUMBERLAND FARM 6.75% 05/01/2540,000.0000USD41,606.00
CWL 2006-7 2A3 V/R 04/25/46549,820.0400USD550,012.92
CWALT 2006-OA12 V/R 09/20/463,474,574.9200USD2,606,285.25
CWALT 2006-OC6 1 V/R 07/25/3616,529,153.3700USD14,269,791.66
CWALT 2006-OC7 2 V/R 05/25/3516,152,989.1800USD14,527,334.58
CWL 2006-18 2A3 V/R 03/25/3733,000,000.0000USD26,156,149.80
CWALT 2006-OC11 V/R 01/25/3719,626,075.0900USD18,290,612.92
CWL 2007-1 2A3 V/R 07/25/374,131,906.0000USD3,581,403.49
CWALT 2006-OC9 A V/R 12/25/3627,252,033.2100USD17,930,145.50
CYRUSONE LP/CYRUSO 5% 03/15/24192,000.0000USD197,760.00
CYRUSONE LP/CY 5.375% 03/15/2798,000.0000USD101,185.00
D.R. HORTON INC 4% 02/15/20290,000.0000USD301,830.84
DIAMOND RESORTS 7.75% 09/01/232,949,000.0000USD3,155,430.00
DBALT 2007-1 1A4 V/R 08/25/3750,859,588.0600USD38,141,502.15
DMARC 2014-RS1 4 V/R 11/27/368,706,214.0000USD8,567,758.21
DYNEGY INC 8.034% 02/02/241,284,794.0000USD1,185,222.47
EMCM 2004-AA M1 V/R 04/25/421,889,445.9700USD1,849,075.31
EMCM 2005-B M1 V/R 04/25/4210,016,000.0000USD8,200,595.99
EAGLE HOLDING 7.625% 05/15/22320,000.0000USD326,800.00
KINDER MORGAN I 7.25% 06/01/18200,000.0000USD211,197.00
KINDER MORGAN I 7.75% 01/15/322,500,000.0000USD3,191,197.50
EL PASO NATURA 8.625% 01/15/221,900,000.0000USD2,314,160.10
EQUINIX INC 5.375% 05/15/27574,000.0000USD601,144.46
DXC TECHNOLOGY 2.875% 03/27/20100,000.0000USD101,196.70
DXC TECHNOLOGY 4.25% 04/15/24204,000.0000USD209,324.81
DXC TECHNOLOGY 4.75% 04/15/27379,000.0000USD392,197.54
FBRSI 2005-2 M3 V/R 09/25/357,500,000.0000USD6,040,959.75
FBRSI 2005-3 AV2 V/R 10/25/3519,038,570.8400USD17,799,517.80
FBRSI 2005-3 M1 V/R 10/25/3513,418,359.0000USD8,154,691.01
CAS 2015-C02 2M2 V/R 05/25/25175,918.8300USD188,808.07

証券名数量通貨時価(米ドル)
FGLMC P#N31025 4% 09/01/339,976.6900USD10,503.35
FGLMC P#N31292 4.5% 05/01/366,418.2800USD6,591.37
FGLMC P#N31368 5% 01/01/375,286.1800USD5,680.45
FGLMC P#N31486 5% 01/01/386,124.4000USD6,625.92
FGLMC P#P20463 5% 06/01/34521,744.6000USD550,188.61
FGLMC P#P30085 4.5% 12/01/1911,090.0900USD11,192.03
FGLMC P#P50561 6% 07/01/37112,800.3300USD123,952.70
FGLMC P#P51370 5% 02/01/37145,679.1900USD150,587.66
FGLMC P#L10223 5.5% 01/01/352,482,172.2600USD2,703,428.85
FGLMC P#G08715 3% 08/01/464,786,816.5000USD4,784,947.25
FGLMC P#H00960 5.5% 07/01/3784,506.4900USD88,052.81
FGLMC P#H11244 5.5% 06/01/37278,530.1100USD302,792.55
FGLMC P#H09129 5% 08/01/35131,290.6500USD137,526.14
FGLMC P#K00034 5.5% 05/01/377,574.6500USD8,236.11
FGLMC P#U30361 5.75% 05/01/37811,111.2000USD914,283.68
FNMA P#256499 5.5% 11/01/3620,447.3100USD21,555.94
FNMA P#256578 6.5% 01/01/379,559.5900USD10,374.46
FNMA P#256219 5.5% 04/01/361,136.5000USD1,207.25
FNMA P#256452 7% 09/01/36345.4900USD378.26
FNMA P#256736 7% 05/01/372,712.6200USD2,994.13
FNMA P#256900 5.5% 09/01/37105,861.8800USD114,768.19
FNMA P#256937 6.5% 10/01/3729,284.3000USD32,914.16
FNMA P#257000 6% 10/01/4740,342.9400USD44,344.34
FNMA P#257172 5.5% 04/01/3899,018.5700USD107,004.42
FNMA P#257257 5% 05/01/389,860.5200USD10,380.23
FNMA P#357231 6% 06/01/328,470.9300USD9,386.50
FHR 4065 QS V/R 06/15/42106,453.9500USD25,393.11
STACR 2015-HQ2 M V/R 05/25/25250,000.0000USD271,654.90
FNMA P#588380 6% 08/01/3133,224.0600USD34,252.67
FNMA P#618825 8.5% 09/01/3112,771.9700USD13,180.09
FNMA P#618874 7% 09/01/3140,216.4900USD40,716.07
FNMA P#619077 5% 01/01/3230,866.4700USD32,275.28
FNMA P#AH2705 4.5% 01/01/41660,992.2100USD698,388.29
FNMA P#AO3255 2.5% 10/01/22654,025.7300USD667,153.73
FNMA P#AP2150 3.5% 08/01/4277,455.4100USD80,047.80
FNMA P#AS5370 3.5% 07/01/45194,600.6300USD200,342.18
FNMA P#AS6621 3.5% 02/01/465,163,408.7800USD5,315,751.39
FNMA P#AX9528 3.5% 02/01/457,536,910.3800USD7,759,281.42
FNMA P#657465 4.75% 06/01/33229,898.2900USD237,052.74
FNMA P#672406 7.5% 09/01/3214,641.0700USD14,683.85
FNMA P#689088 4.5% 07/01/3366,574.8900USD70,789.21
FNMA P#706361 4.5% 05/01/3321,161.4300USD21,705.51
FNMA P#734384 5.5% 07/01/3363,801.5700USD69,198.42
FNMA P#781950 4.5% 05/01/3411,780.7000USD12,124.67
FNMA P#821007 4.5% 05/01/358,120.4800USD8,337.00
FNMA P#834851 5% 12/01/3510,185.7300USD10,559.70
FNMA P#838752 4.5% 09/01/358,896.1600USD9,080.02
FNMA P#870799 5% 10/01/3610,711.8600USD11,609.86
FNMA P#880871 5.5% 04/01/363,845.4400USD4,171.23
FNMA P#BA4793 3.5% 02/01/4613,084,329.4800USD13,470,373.07

証券名数量通貨時価(米ドル)
FNMA P#BA5236 3.5% 12/01/45666,344.4100USD686,004.42
FNMA P#BC2387 3% 03/01/3124,907.0200USD25,651.23
FNMA P#BC4409 3% 03/01/317,675,714.3300USD7,905,059.84
FNMA P#899303 5.5% 03/01/371,911.1000USD2,015.83
FNMA P#923096 5.5% 03/01/3738,322.3600USD40,703.19
FNMA P#932584 5% 12/01/35556,476.8300USD596,317.07
FNMA P#968312 4.5% 02/01/3811,270.7600USD12,012.18
FNMA P#973183 5.5% 02/01/385,124.0500USD5,400.65
FNMA P#AB1137 5.5% 06/01/35892,951.1600USD960,898.39
FNMA P#AB4405 5% 10/01/51551,167.0300USD594,857.74
FNMA P#AC4439 6% 09/01/39441,049.6000USD491,712.58
FNMA P#MA0250 5% 11/01/3925,182.3000USD26,945.28
FNMA P#MA0926 4% 12/01/41253,835.4200USD265,435.19
FNMA P#MA1137 4% 07/01/42379,358.9500USD396,294.32
FNMA P#MA1191 4% 08/01/4294,469.6700USD98,818.12
FNMA P#MA1205 4% 09/01/42366,946.1700USD383,798.38
FNMA P#AD7185 5% 10/01/3582,426.9300USD84,897.62
FNMA P#AD7363 4% 07/01/40160,702.6100USD169,269.33
FFML 2006-FF8 II V/R 07/25/361,875,534.7000USD1,816,445.79
FFML 2006-FF5 2A V/R 04/25/369,934,609.2900USD9,090,919.55
FCRE 2016-1A A1 V/R 05/21/368,261,645.7900USD8,267,428.94
GEBL 2006-2A A V/R 11/15/344,263,422.6600USD4,055,008.23
ALLY FINANCIAL INC 8% 11/01/312,545,000.0000USD3,041,275.00
GNMA II P#AN5342 5.5% 06/20/40908,163.0000USD991,988.25
GNMA II P#4490 5.5% 07/20/39200,728.4800USD210,818.39
GNMA II P#4138 5.5% 05/20/3821,844.8800USD22,954.14
GNMA II P#4163 5.5% 06/20/38263,651.3700USD277,436.77
GNMA II P#4182 5.5% 07/20/38168,463.4000USD179,050.40
GNMA II P#4238 5.5% 09/20/38652,709.3400USD686,845.89
GNMA II P#4215 5.5% 08/20/38950,805.4400USD1,000,606.52
GNMA II P#4259 5.5% 10/20/38109,165.2800USD114,938.21
GNMA II P#4336 5.5% 01/20/3933,170.4500USD34,890.17
GNMA II P#4363 5.5% 02/20/39139,393.0500USD146,762.96
GNMA II P#4534 5.5% 09/20/39218,260.5500USD229,675.33
GNMA II P#4555 5.5% 10/20/39451,158.7700USD474,515.89
GNMA II P#4594 5.5% 12/20/39779,105.7100USD819,064.33
GNMA II P#4574 5.5% 11/20/39669,104.4100USD704,474.53
GNMA II P#4611 4.5% 01/20/40380,484.7900USD396,261.36
GNMA II P#4613 5.5% 01/20/40377,317.6400USD395,899.56
GNMA II P#4649 4.5% 03/20/4077,463.8500USD80,868.30
GNMA II P#4692 5% 05/20/401,046,129.0000USD1,128,070.43
GNMA II P#4739 5.5% 07/20/40561,617.1700USD589,638.71
GNMA II P#4859 5% 11/20/40108,735.2000USD113,081.32
GNMA II P#5033 5% 04/20/4127,690.1400USD28,724.54
GNMA II P#745458 5% 08/20/301,151,948.9200USD1,253,096.85
GSAA 2007-10 A2 6.5% 11/25/3729,951.9100USD21,479.68
GSAMP 2005-WMC2 V/R 11/25/357,970,155.4100USD5,105,812.27
GSAMP 2006-HE4 A V/R 06/25/367,197,212.2800USD7,089,509.60
GSAMP 2006-HE4 A V/R 06/25/3620,000,000.0000USD17,900,950.00
GSAMP 2006-HE3 A V/R 05/25/361,988,789.8300USD1,868,762.98
GSMS 2007-GG10 A V/R 05/10/171,223,928.3900USD1,224,349.42
GT 1999-5 A6 V/R 03/01/3066,517,042.2300USD52,568,332.00
GT 1998-4 A7 6.87% 04/01/307,617,868.0600USD8,194,802.73
GT 1996-7 M1 V/R 09/15/263,362,400.0400USD3,643,668.50

証券名数量通貨時価(米ドル)
GPMF 2005-AR5 3A V/R 11/25/45127,226.5900USD92,070.77
HCA INC 3.75% 03/15/191,045,000.0000USD1,069,818.75
HVMLT 2006-12 2A V/R 12/19/362,139,406.9900USD1,774,014.46
CAESARS ENTERT 11.25% 06/01/179,658,296.1400USD11,541,663.89
HEXION INC 10.375% 02/01/22220,000.0000USD226,600.00
HEXION INC 13.75% 02/01/22232,000.0000USD229,100.00
HILTON WORLDWI 4.625% 04/01/251,080,000.0000USD1,112,400.00
HILTON WORLDWI 4.875% 04/01/27690,000.0000USD708,975.00
HEAT 2006-3 2A4 V/R 07/25/36687,504.2600USD677,263.13
HEAT 2006-5 2A4 V/R 10/25/3623,475,000.0000USD9,456,190.11
HOST HOTELS & RESO 4% 06/15/25200,000.0000USD202,908.00
HOWARD HUGHES 5.375% 03/15/25605,000.0000USD612,562.50
HYATT HOTELS CO 4.85% 03/15/26100,000.0000USD108,341.30
IHEARTCOMMUNICATIO 9% 09/15/221,476,000.0000USD1,119,915.00
ILLINOIS ST 6.63% 02/01/35655,000.0000USD660,547.85
ILLINOIS ST 6.725% 04/01/3590,000.0000USD92,258.10
ILLINOIS ST 7.35% 07/01/35400,000.0000USD419,168.00
INABS 2005-B M5 V/R 08/25/355,750,000.0000USD4,878,061.95
INABS 2006-B 1A2 V/R 06/25/367,207,328.6100USD6,771,260.72
RAST 2005-A13 1 5.5% 10/25/353,036,390.8200USD2,866,249.09
INTL LEASE FIN 8.875% 09/01/1750,000.0000USD51,316.75
INTL LEASE FINA 8.25% 12/15/207,590,000.0000USD8,976,404.58
INTL LEASE FIN 3.875% 04/15/18600,000.0000USD611,200.80
INTREPID AVIAT 6.875% 02/15/192,406,000.0000USD2,309,760.00
JPMCC 2016-FLRR V/R 07/15/171,890,503.2500USD1,895,493.23
JPMAC 2006-WMC1 V/R 03/25/3617,364,987.4300USD16,114,810.79
JPMAC 2006-NC1 A V/R 04/25/361,079,877.4200USD1,068,489.36
JPALT 2006-A1 4A V/R 03/25/36933,817.9100USD743,900.82
JPALT 2006-S1 3A V/R 03/25/361,014,647.7400USD998,100.36
JPMAC 2006-CW1 A V/R 05/25/3620,378,589.8100USD19,802,372.96
JPMAC 2006-CW1 M V/R 05/25/3612,851,000.0000USD10,697,569.50
JPMAC 2006-CW2 M V/R 08/25/368,600,000.0000USD6,357,261.90
JPMCC 2007-CB20 V/R 09/12/175,830,000.0000USD5,899,813.08
JMAC 2008-R1 A V/R 06/25/471,415,738.0400USD1,333,620.56
JEFFERIES FIN 6.875% 04/15/221,000,000.0000USD992,500.00
JEFFERIES LOAN 6.875% 06/01/201,200,000.0000USD1,221,000.00
KINDER MORGAN E 6.85% 02/15/202,750,000.0000USD3,066,335.25
KRAFT HEINZ FO 4.375% 06/01/46226,000.0000USD215,888.53
KRAFT HEINZ FOODS 3% 06/01/26100,000.0000USD95,465.70
KRAFT HEINZ FOO 3.95% 07/15/25155,000.0000USD159,415.18
LBUBS 2007-C6 AM V/R 07/15/401,500,000.0000USD1,513,792.20
LBMLT 2004-2 M4 V/R 06/25/342,260,585.1400USD2,194,458.05
LBMLT 2006-WL1 2 V/R 01/25/361,351,960.5800USD1,291,604.46
LBMLT 2006-1 2A3 V/R 02/25/369,034,154.5300USD6,171,751.33
LBMLT 2006-2 2A3 V/R 03/25/4620,092,179.2200USD9,460,125.31
MAMHC 2002-A B2 V/R 03/25/323,600,000.0000USD3,637,978.20
MARM 2004-3 4A2 V/R 04/25/345,833.5800USD5,462.46
MABS 2006-HE5 A4 V/R 11/25/3642,402.7700USD28,362.81
MABS 2007-HE2 A1 V/R 08/25/3720,941,576.1000USD16,479,361.82
MLMI 2003-A2 1A1 V/R 02/25/3339,301.4700USD37,893.29
MLMI 2005-A6 2A3 V/R 08/25/3556,587.0800USD54,844.83
MSAC 2005-HE4 M2 V/R 07/25/354,273,812.5800USD4,129,820.14
MSAC 2005-HE4 M3 V/R 07/25/355,512,000.0000USD4,702,705.01
MSHEL 2006-1 M1 V/R 12/25/3527,532,999.9700USD26,334,703.24
MSAC 2003-SD1 A1 V/R 03/25/33153,400.7800USD146,845.12
MSDWC 2001-TOP3 V/R 07/15/335,918,184.9500USD6,169,559.86
MSC 2007-T27 AM V/R 07/11/175,418,000.0000USD5,485,788.39
MURPHY OIL USA 5.625% 05/01/27107,000.0000USD109,942.50

証券名数量通貨時価(米ドル)
NCSLT 2007-2 A2 V/R 06/26/28933,439.8700USD924,726.40
NCSLT 2005-3W A5 V/R 10/25/3326,500,000.0000USD24,159,891.00
NCSLT 2006-3 A4 V/R 03/26/2917,951,644.0300USD17,726,778.15
NCSCT 2007-4AR1 V/R 03/25/382,149,122.8100USD2,127,548.37
NLFC 1999-LTL1 6.45% 01/22/26688,823.6400USD696,174.35
NAVIENT CORP 5.875% 03/25/21383,000.0000USD398,320.00
NAVIENT CORP 6.5% 06/15/221,926,000.0000USD1,993,410.00
NAVSL 2016-AA A2 V/R 09/15/2610,000,000.0000USD10,405,116.00
NAVSL 2016-5A A V/R 12/25/282,752,100.2400USD2,795,757.36
NAVSL 2016-7A A V/R 12/25/284,427,817.6900USD4,474,555.96
NSLT 2016-1A A V/R 08/25/247,407,118.1900USD7,473,182.28
NHELI 2006-AF1 A V/R 10/25/3627,847,691.5700USD13,036,746.43
NHELI 2005-FM1 M V/R 05/25/357,400,000.0000USD6,364,994.56
NMRR 2011-3RA 3A V/R 11/26/367,865,756.3900USD7,783,321.69
NMRR 2014-6R 2A1 V/R 05/26/239,812,901.6300USD4,726,200.57
NHEL 2005-2 M3 V/R 10/25/352,500,000.0000USD2,206,886.75
NHEL 2006-3 A2C V/R 10/25/368,195,799.4700USD4,856,790.61
ONEMAIN FIN HOL 6.75% 12/15/191,800,000.0000USD1,899,000.00
OOMLT 2006-3 2A2 V/R 02/25/377,295,125.1500USD4,406,283.31
PFRMS 2006-1 1A3 V/R 09/25/3630,248,541.3900USD9,583,424.55
PHILLIPS 66 V/R 04/15/191,000,000.0000USD1,001,344.00
PHILLIPS 66 V/R 04/15/20900,000.0000USD901,469.70
PROG 2016-SFR1 A V/R 09/17/189,952,918.3300USD10,096,732.03
QVC INC 5.125% 07/02/223,400,000.0000USD3,567,637.00
QVC INC 5.95% 03/15/438,100,000.0000USD7,618,365.90
QVC INC 5.45% 08/15/3450,000.0000USD46,376.75
RAAC 2007-SP2 M1 V/R 06/25/379,549,000.0000USD6,379,222.82
RASC 2007-KS1 A3 V/R 11/25/363,206,801.9500USD3,004,219.61
RASC 2007-EMX1 A V/R 01/25/3738,686,439.3600USD22,045,243.09
RBSGC 2007-A 1A1 6% 01/25/3716,186.5400USD14,641.34
RBSSP 2009-9 11A V/R 04/26/37255,119.5100USD241,642.95
RASC 2006-KS9 AI V/R 11/25/3610,110,861.5500USD9,424,575.70
SL GREEN REALTY 7.75% 03/15/20500,000.0000USD564,812.50
RAMC 2007-1 AF3 V/R 04/25/379,377,410.6200USD4,777,474.69
RAMC 2007-2 AF2 S/UP 06/25/373,947,388.6300USD1,879,774.10
RAMC 2007-3 AV2 V/R 09/25/3778,396.0000USD62,825.03
RAMC 2004-3 AV2A V/R 11/25/3467,328.7000USD59,895.50
RALI 2005-QA1 M2 V/R 01/25/354,937,000.0100USD4,440,739.68
RASC 2004-KS2 M2 V/R 03/25/344,941,743.3900USD4,681,437.06
RAMP 2005-EFC5 M V/R 10/25/355,000,000.0000USD4,855,252.00
RAMP 2005-EFC6 M V/R 11/25/3513,000,000.0000USD11,533,113.80
RAMP 2005-NC1 AI V/R 10/25/347,059,083.7800USD6,757,461.84
RAMP 2005-NC1 AI V/R 12/25/3517,768,665.3000USD14,991,636.14
RAMP 2005-RS8 M2 V/R 09/25/3512,590,678.0000USD9,961,658.82
RIO OIL FINANCE 9.25% 07/06/24536,472.9900USD553,237.77
RIO OIL FINANCE 9.75% 01/06/27656,435.7400USD676,128.81
SBA TOWER TRUS 2.877% 07/15/211,500,000.0000USD1,500,600.00
NAVIENT CORP 5.625% 08/01/334,640,000.0000USD3,735,200.00
NAVIENT CORP 4.625% 09/25/172,435,000.0000USD2,459,350.00
NAVIENT CORP 5.5% 01/15/191,044,000.0000USD1,087,065.00
NAVIENT CORP 4.875% 06/17/19300,000.0000USD310,470.00
SANTANDER HOLDIN 4.5% 07/17/252,000,000.0000USD2,045,288.00
SAST 2003-1 M1 V/R 06/25/331,741,087.1800USD1,655,856.96
SAST 2004-1 M1 V/R 03/25/352,406,705.4400USD2,305,295.54

証券名数量通貨時価(米ドル)
EW SCRIPPS CO 5.125% 05/15/25135,000.0000USD138,881.25
SABR 2006-NC1 A3 V/R 03/25/3611,572,050.2800USD9,182,430.00
SEQUA CORP 7% 12/15/17480,000.0000USD483,720.00
SEMT 2004-5 A2 V/R 06/20/3477,911.3600USD72,870.23
SMITHFIELD FOODS 2.7% 01/31/20140,000.0000USD140,484.40
SMITHFIELD FOOD 3.35% 02/01/2270,000.0000USD70,472.50
SMITHFIELD FOOD 4.25% 02/01/27120,000.0000USD122,691.60
SVHE 2005-4 M4 V/R 03/25/368,102,000.0000USD4,919,016.68
SVHE 2006-OPT3 M V/R 06/25/3646,232,905.5000USD22,079,323.85
SVHE 2006-OPT4 M V/R 06/25/365,975,447.4900USD2,672,812.88
LIFESTORAGE LP 3.5% 07/01/261,200,000.0000USD1,156,568.40
SPANISH BROADCA 12.5% 04/15/17900,000.0000USD920,250.00
SURF 2005-BC2 M3 V/R 12/25/353,522,701.5100USD3,220,828.89
SCFT 2016-AA A 3.05% 04/25/293,370,905.0500USD3,393,182.69
SPRINGLEAF FINAN 6.9% 12/15/174,490,000.0000USD4,621,736.60
SPRINGLEAF FINA 5.25% 12/15/19250,000.0000USD254,427.50
SPRINGLEAF FINA 8.25% 12/15/2015,389,000.0000USD16,900,199.80
SPRINT CAPITAL C 6.9% 05/01/197,990,000.0000USD8,559,287.50
SPRINT COMMUNI 8.375% 08/15/175,478,000.0000USD5,586,190.50
SPRINT COMMUNICATI 7% 08/15/20500,000.0000USD542,500.00
SPRINT CORP 7.125% 06/15/24224,000.0000USD244,861.12
SPRINT SPECTRUM 3.36% 09/20/211,500,000.0000USD1,516,875.00
SARM 2005-9 2A1 V/R 05/25/35168,871.1000USD129,167.38
SARM 2005-19XS 1 V/R 10/25/3513,146,431.3000USD11,201,414.16
SAIL 2006-3 A5 V/R 06/25/3618,113,798.4000USD16,130,540.35
SAIL 2004-BNC2 A V/R 12/25/3412,273,458.9900USD11,790,995.45
SAIL 2005-3 M3 V/R 04/25/354,440,000.0000USD3,940,800.14
SAMI 2002-AR3 A1 V/R 09/19/3290,556.1400USD88,397.26
SASC 2006-OPT1 A V/R 04/25/361,343,148.3000USD1,313,630.87
SASC 2007-TC1 M1 V/R 04/25/318,945,000.0000USD7,887,901.37
SUGAR HSP GMNG 5.875% 05/15/25182,000.0000USD182,682.50
SYMANTEC CORP 5% 04/15/25300,000.0000USD310,875.00
TICC 2012-1A A1 V/R 08/25/232,711,944.5000USD2,719,039.16
T-MOBILE USA INC 4% 04/15/22336,000.0000USD345,240.00
TECH DATA CORP 3.7% 02/15/22147,000.0000USD149,662.46
TECH DATA CORP 4.95% 02/15/27183,000.0000USD187,609.95
TEMPO ACQUISITI 6.75% 06/01/25305,000.0000USD314,150.00
TEAM HEALTH HO 6.375% 02/01/2577,000.0000USD75,363.75
TERRAFORM GLOBA 9.75% 08/15/221,120,000.0000USD1,248,800.00
TIME WARNER INC 3.8% 02/15/27384,000.0000USD383,088.38
TIMES SQUARE H 8.528?08/01/262,106,125.5300USD2,529,868.93
ULTRA RESOURCE 7.125% 04/15/2575,000.0000USD74,391.00
UNITED AIR 2016- 3.1% 07/07/28500,000.0000USD494,375.00
US TIPS 2.375% 01/15/2525,614,377.0000USD29,682,554.81
US TREAS BDS 2.25% 08/15/46100,000.0000USD85,847.70
US TREAS NTS 1.375% 08/31/2356,200,000.0000USD53,989,316.80
US TREAS NTS 2% 10/31/212,700,000.0000USD2,726,473.50
US TREAS NTS 2.125% 12/31/2130,200,000.0000USD30,653,000.00
US TREASURY 1.5% 01/31/22200,000.0000USD197,281.20
US TREAS NTS 2% 02/15/2513,421,000.0000USD13,250,875.40
US TREAS NTS 1.75% 03/31/229,300,000.0000USD9,267,124.50
US TIPS 0.125% 04/15/201,144,264.0000USD1,158,061.54
US TREAS NTS 2% 08/15/252,300,000.0000USD2,261,051.80
WI TREASURY SEC 1.875% 08/31/2224,200,000.0000USD24,190,537.80

証券名数量通貨時価(米ドル)
US TREAS NTS 1.75% 09/30/2211,500,000.0000USD11,410,610.50
US TIPS 0.625% 07/15/2175,658.8000USD78,463.47
US TREAS NTS 2.125% 08/15/2165,100,000.0000USD66,169,332.60
WI US TREAS NTS 1.75% 5/15/225,400,000.0000USD5,378,907.60
US TREAS NTS 1.125% 09/30/2137,390,000.0000USD36,377,852.70
US TREAS NTS 1.75% 11/30/2126,400,000.0000USD26,374,735.20
US TREAS NTS 2.25% 12/31/2389,100,000.0000USD90,114,581.70
US TIPS 0.375% 01/15/275,042.3000USD5,058.79
US TREAS NTS 2.125% 06/30/2219,600,000.0000USD19,858,778.80
US TREAS NTS 2% 07/31/227,400,000.0000USD7,447,693.00
USBR 2016-1 A V/R 09/25/271,742,398.7800USD1,741,841.21
USBR 2017-1 A V/R 01/25/5715,639,920.7700USD15,616,617.29
VOLT 2015-NPL4 A V/R 02/25/181,359,219.1900USD1,371,222.05
VENTAS REALTY L 3.25% 10/15/26100,000.0000USD95,832.30
VERIZON COMMUN 4.125% 08/15/46270,000.0000USD236,433.87
VERIZON COMMUNI 5.25% 03/16/371,690,000.0000USD1,756,324.05
VERIZON COMMUNIC 5.5% 03/16/47960,000.0000USD1,020,884.16
VERIZON COMMUN 3.125% 03/16/221,690,000.0000USD1,717,048.45
VERIZON COMMUNICA V/R 03/16/22850,000.0000USD859,870.20
VERIZON COMMUN 4.125% 03/16/272,540,000.0000USD2,602,519.56
VBTOW 2016-2A 5.193% 10/15/21397,749.7100USD392,974.13
VIACOM INC 2.75% 12/15/19780,000.0000USD788,028.54
VOLKSWAGEN GROU 1.65% 05/22/18300,000.0000USD299,436.60
WFCG 2015-BXRP F V/R 11/15/163,454,736.6100USD3,475,317.17
WFRBS 2014-C19 X V/R 03/15/478,800,000.0000USD256,775.20
WABR 2016-BOCA A V/R 06/15/186,100,000.0000USD6,122,077.12
WAMU 2005-AR1 A3 V/R 01/25/45204,435.4300USD187,638.42
WMALT 2006-AR8 3 V/R 10/25/4625,537,195.3700USD15,619,462.92
WELLCARE HEALTH 5.25% 04/01/25448,000.0000USD467,040.00
WELLS FARGO & CO 2.5% 03/04/21300,000.0000USD301,030.50
WELLS FARGO & COM V/R 03/04/21100,000.0000USD102,715.20
WELLS FARGO & COMP 3% 10/23/262,810,000.0000USD2,712,847.06
WELLS FARGO & COM V/R 02/11/226,670,000.0000USD6,711,660.82
WFHET 2006-2 M1 V/R 07/25/3610,000,000.0000USD9,333,071.00
WFHET 2007-1 A2 V/R 03/25/373,768,017.6500USD3,247,068.11
WFMBS 2006-AR14 V/R 10/25/36143,717.5500USD135,242.04
WESTMORELAND CO 8.75% 01/01/22710,000.0000USD660,300.00
WYNDHAM WORLDWID 4.5% 04/01/27203,000.0000USD207,509.24
WYNDHAM WORLDWI 4.15% 04/01/24179,000.0000USD182,813.06
CASH COLLATERAL V/R 12/31/495,880,000.0000USD5,880,000.00
CASH COLLATERAL ISDA V/R 12/31/49120,000.0000USD120,000.00
CASH COLLATERAL ISDA BRC(260,000.0000)USD(260,000.00)
CASH COLLATERAL V/R 12/31/49(1,860,000.0000)USD(1,860,000.00)
CASH COLLATERAL V/R 12/31/491,000,000.0000USD1,000,000.00
CASH COLLATERAL ISDA FBF(1,650,000.0000)USD(1,650,000.00)
CASH COLLATERAL CME CDS FOB USD409,000.0000USD409,000.00
CASH COLLATERAL CME FOB4,122,000.0000USD4,122,000.00
CASH COLLATERAL V/R 12/31/49(1,770,000.0000)USD(1,770,000.00)
CASH COLLATERAL ISDA GLM7,330,000.0000USD7,330,000.00
CASH COLLATERAL ISDA GST1,643,000.0000USD1,643,000.00
CASH COLLATERAL ISDA JPM USD1,660,000.0000USD1,660,000.00
CASH COLLATERAL ISDA MEI570,000.0000USD570,000.00
CASH COLLATERAL ISDA MYC1,421,000.0000USD1,421,000.00
CASH COLLATERAL ISDA MYC(120,000.0000)USD(120,000.00)

証券名数量通貨時価(米ドル)
CASH COLLATERAL ISDA6,000.0000USD6,000.00
CASH COLLATERAL SAL FOB232,000.0000USD232,000.00
CASH COLLATERAL V/R 12/31/49(105,000.0000)USD(105,000.00)
CASH COLLATERAL CME TOR560,000.0000USD560,000.00
CASH COLLATERAL ISDA UAG340,000.0000USD340,000.00
T/L SEQUA CORP 0% 5/19/17496,412.1200USD492,689.03
T/L IHEARTCOMMUNI ZCP 01/30/1911,688,000.0000USD10,037,070.00
T/L CHRYSLER GROU ZCP 12/31/18757,832.3100USD760,731.02
T/L DAVITA HEALTH 0% 6/18/21194,500.0000USD196,947.98
T/L AWAS AVIATION 0% 10/2/21825,000.0000USD834,130.81
T/L MGM GROWTH 0% 04/25/23613,800.0000USD616,485.38
T/L KFC HOLDINGS CO 0% 6/16/231,094,500.0000USD1,101,797.03
T/L TRANSDIGM INC 0% 06/07/23696,491.2200USD696,273.91
T/L DIAMOND RESORTS INTERNATIONAL INC 0% 08/16/231,094,500.0000USD1,106,129.06
T/L HILTON WORLDWI 0% 10/26/236,956,578.9400USD7,011,473.30
T/L NEXSTAR BROAD 0% 01/17/2024609,127.2700USD613,981.41
T/L HD SUPPLY INC 0% 10/16/23199,000.0000USD200,554.79
T/L MISSION BROADCASTING INC 0% 01/17/202459,054.5500USD59,525.16
T/L SERTA SIMMONS 0% 10/20/23199,500.0000USD200,397.75
T/L VISTA OPERAT 0% 08/04/23431,809.3700USD431,404.76
T/L VISTA OPERAT 0% 08/04/2398,729.6600USD98,637.15
T/L ENERGY FUTURE INTERMEDIATE HOLDING COMPANY LLC 0% 06/30/1747,395,680.0800USD47,711,667.08
T/L QUIKRETE HOLD 0% 11/03/23299,250.0000USD301,806.19
T/L TEAM HEALTH 0% 1/12/24463,000.0000USD461,090.13
T/L WILSONART LLC 0% 12/14/23199,500.0000USD201,027.37
T/L VISTRA OPERATI 0% 12/13/23299,250.0000USD300,605.90
T/L CHARTER COMMU 0% 01/15/24300,000.0000USD301,875.00
T/L PRESTIGE BRAND 0% 01/12/2496,320.9500USD97,243.99
T/L AMWINS GR 0% 1/19/24222,442.5000USD222,743.69
T/L CHARTER COMM 0% 07/01/2020661,556.0100USD665,041.09
T/L CHARTER COMMUN 0% 01/03/21508,678.7600USD511,341.18
T/L GARTNER TLB 0% 03/15/2024129,000.0000USD129,886.88
T/L REYNOLDS GROUP 0% 02/05/23199,001.2500USD200,214.56
T/L SPRINT COMM 0% 1/31/242,000,000.0000USD2,003,958.00
T/L AVOLON 0% 9/16/20153,000.0000USD154,857.88
T/L KINETIC CONCEP 0% 01/25/24300,000.0000USD300,906.30
T/L CHANGE HEALTH 0% 2/3/241,500,000.0000USD1,506,027.00
T/L HCA INC 0% 02/10/20243,016,839.0000USD3,049,161.41
T/L UPC FINANCIN 0% 04/15/20251,100,000.0000USD1,105,362.50
T/L ANCESTRY COM 0% 10/19/23792,000.0000USD800,662.90
T/L CENTURYLINK 0% 2/8/184,000,000.0000USD4,000,000.00
T/L HELIX GEN FUNDIN 0% 3/9/240.0000USD0.00
T/L UNIVISION COMM 0% 03/15/248,475,669.7300USD8,426,815.97
T/L RPI FINANCE 0% 3/16/23562,000.0000USD564,897.67
T/L BWAY HOLDING 0% 04/03/24390,000.0000USD388,815.96
T/L VERTIV GROUP 0% 11/30/2023387,068.9700USD390,093.14
T/L CCC INFORMAT 0% 03/31/2024100,000.0000USD99,765.60
T/L LAS VEGAS 0% 03/20/2024100,000.0000USD100,203.10
T/L CAESARS ENTER 0% 04/04/242,000,000.0000USD1,989,166.00
T/L UTILITY ONE 0% 04/07/20230.0000USD0.00

証券名数量通貨時価(米ドル)
T/L CAMELOT FINAN ZCP 10/03/23199,000.0000USD200,119.38
T/L NIELSEN FINANC 0% 10/04/23399,500.0000USD401,664.09
T/L SEQUA CORP ZCP 10/26/211,580,000.0000USD1,597,775.00
T/L SEQUA CORP ZCP 04/26/22650,000.0000USD661,375.00
T/L AIR METHODS CO 0% 04/12/24400,000.0000USD400,083.20
T/L CITYCENTER HOL 0% 04/10/24300,000.0000USD300,825.00
T/L BMC SOFTWARE0% 09/10/22218,491.6600USD219,898.75
CDX NA 00.110 SP 05/25/2046 BOFAUS6S SHORT(21,284,280.9200)USD(21,284,280.92)
CDX NA 00.110 SP 05/25/2046 BOFAUS6S LONG21,284,280.9200USD19,262,274.23
CDX NA 00.500 SP 01/17/2047 CSFPGB2L LONG1,300,000.0000USD1,294,469.81
CDX NA 00.500 SP 01/17/2047 CSFPGB2L SHORT(1,300,000.0000)USD(1,300,000.00)
CDX NA 00.500 SP 05/11/2063 CSFPGB2L LONG2,483,955.9200USD2,483,628.21
CDX NA 00.500 SP 05/11/2063 CSFPGB2L SHORT(2,483,955.9200)USD(2,483,955.92)
CDS XS0114288789 01.000 SP 06/20/2019 CITIUS33XXX LONG4,000,000.0000USD4,046,410.68
CDS XS0114288789 01.000 SP 06/20/2019 CITIUS33XXX SHORT(4,000,000.0000)USD(4,000,000.00)
CDX NA 00.500 SP 01/17/2047 CSFPGB2L LONG3,000,000.0000USD2,987,238.03
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(1,490,373.5500)USD(1,490,373.55)
CDX NA 00.500 SP 05/11/2063 BOFAUS6S LONG1,490,373.5500USD1,490,176.93
CDX NA 00.500 SP 01/17/2047 BOFAUS6S LONG1,500,000.0000USD1,493,619.02
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 LONG3,400,000.0000USD3,385,536.43
CDS XS0114288789 01.000 SP 06/20/2019 CHASUS33XXX SHORT(1,700,000.0000)USD(1,700,000.00)
CDS XS0114288789 01.000 SP 06/20/2019 CHASUS33XXX LONG1,700,000.0000USD1,719,724.54
CDX NA 00.500 SP 01/17/2047 DEUTGB2L SHORT(5,600,000.0000)USD(5,600,000.00)
CDX NA 00.500 SP 01/17/2047 DEUTGB2L LONG5,600,000.0000USD5,576,177.66
CDS XS0114288789 01.000 SP 06/20/2019 GSILGB2XXXX LONG200,000.0000USD202,320.53
CDS XS0114288789 01.000 SP 06/20/2019 GSILGB2XXXX SHORT(200,000.0000)USD(200,000.00)
CDX NA 00.500 SP 05/11/2063 BOFAUS6NGFX LONG99,358.2400USD99,345.13
CDX NA 00.500 SP 05/11/2063 BOFAUS6NGFX SHORT(99,358.2400)USD(99,358.24)
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 LONG800,000.0000USD796,596.81
CDX NA 00.500 SP 01/17/2047 CSFPGB2L LONG600,000.0000USD597,447.61
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 LONG100,000.0000USD101,160.27
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(2,483,955.9200)USD(2,483,955.92)
CDX NA 00.500 SP 05/11/2063 CSFPGB2L LONG2,483,955.9200USD2,483,628.21
CDX NA 00.500 SP 01/17/2047 BOFAUS6NGFX LONG2,000,000.0000USD1,991,492.02
CDX NA 00.500 SP 01/17/2047 BOFAUS6NGFX SHORT(2,000,000.0000)USD(2,000,000.00)
CDX NA 00.500 SP 05/11/2063 BOFAUS6NGFX SHORT(1,987,164.7300)USD(1,987,164.73)
CDX NA 00.500 SP 05/11/2063 BOFAUS6NGFX LONG1,987,164.7300USD1,986,902.56
CDS XS0114288789 01.000 SP 06/20/2024 CITIUS33XXX LONG200,000.0000USD187,136.96

証券名数量通貨時価(米ドル)
CDS XS0114288789 01.000 SP 06/20/2024 CITIUS33XXX SHORT(200,000.0000)USD(200,000.00)
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 BOFAUS6NGFX LONG300,000.0000USD279,624.22
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 LONG900,000.0000USD838,872.65
CDS XS0114288789 01.000 SP 09/20/2024 BARCGB33XXX LONG300,000.0000USD279,624.22
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 LONG9,935,823.6600USD9,934,512.83
CDX NA 00.500 SP 05/11/2063 MSCSUS33 SHORT(9,935,823.6600)USD(9,935,823.66)
CDX NA 00.500 SP 01/17/2047 CSFPGB2L LONG10,000,000.0000USD9,957,460.10
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 LONG400,000.0000USD424,573.88
CDS US85171RAA23 05.000 SP 09/20/2021 BARCGB33XXX SHORT(400,000.0000)USD(400,000.00)
CDS US85171RAA23 05.000 SP 12/20/2019 GSILGB2XXXX LONG200,000.0000USD214,036.17
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 LONG1,950,000.0000USD1,924,883.94
CDS US71645WAH43 01.000 SP 12/20/2019 BNPAFRPPXXX SHORT(1,950,000.0000)USD(1,950,000.00)
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 LONG1,150,000.0000USD1,135,187.97
CDS US71645WAH43 01.000 SP 12/20/2019 BARCGB33XXX LONG770,000.0000USD760,082.38
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 LONG100,000.0000USD98,712.00
CDS US71645WAH43 01.000 SP 12/20/2019 CITIUS33XXX LONG200,000.0000USD197,423.99
CDS US71645WAH43 01.000 SP 12/20/2019 CITIUS33XXX SHORT(200,000.0000)USD(200,000.00)
CDS US71645WAH43 01.000 SP 12/20/2019 MSCSUS33XXX SHORT(1,000,000.0000)USD(1,000,000.00)

証券名数量通貨時価(米ドル)
CDS US71645WAH43 01.000 SP 12/20/2019 MSCSUS33XXX LONG1,000,000.0000USD987,119.97
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 LONG400,000.0000USD392,741.64
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 LONG200,000.0000USD196,370.82
CDS XS0114288789 01.000 SP 03/20/2020 GSILGB2XXXX LONG100,000.0000USD100,749.78
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 FIXED40,158,000.0000USD43,582,875.03
CDX HY24 5Y 05.000 NA 06/20/2020 CSFBUS33 FLOAT(40,158,000.0000)USD(40,158,000.00)
CDS US71645WAH43 01.000 SP 09/20/2020 GSILGB2XXXX LONG160,000.0000USD154,945.85
CDS US71645WAH43 01.000 SP 09/20/2020 GSILGB2XXXX SHORT(160,000.0000)USD(160,000.00)
CDS XS0114288789 01.000 SP 09/20/2020 CHASUS33XXX LONG1,000,000.0000USD1,002,839.31
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 LONG2,900,000.0000USD2,865,785.10
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 SHORT(16,000,000.0000)USD(16,000,000.00)
CDX NA 00.500 SP 10/17/2057 GSILGB2X LONG16,000,000.0000USD15,811,228.16
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 LONG1,300,000.0000USD1,284,662.29
CDX NA 00.500 SP 10/17/2057 MLILGB3L SHORT(14,900,000.0000)USD(14,900,000.00)
CDX NA 00.500 SP 10/17/2057 MLILGB3L LONG14,900,000.0000USD14,724,206.22
CDX EM24 ICE 01.000 NA 12/20/2020 CSFBUS33 FIXED784,000.0000USD758,359.28
CDX EM24 ICE 01.000 NA 12/20/2020 CSFBUS33 FLOAT(784,000.0000)USD(784,000.00)
CDS XS0114288789 01.000 SP 12/20/2020 BOFAUS6NGFX LONG790,000.0000USD789,693.26
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 BARCGB33XXX LONG800,000.0000USD799,689.38
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 SHORT(2,200,000.0000)USD(2,200,000.00)
CDS XS0114288789 01.000 SP 12/20/2020 CITIUS33XXX LONG2,200,000.0000USD2,199,145.78
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 LONG100,000.0000USD99,961.17

証券名数量通貨時価(米ドル)
CDX NA HY 25 05.000 NA 12/20/2020 CSFBUS33 FIXED50,930,600.0000USD55,030,105.86
CDX NA HY 25 05.000 NA 12/20/2020 CSFBUS33 FLOAT(50,930,600.0000)USD(50,930,600.00)
CDX NA 00.500 SP 10/17/2057 DEUTSCHE BAN LONG8,800,000.0000USD8,696,175.49
CDX NA 00.500 SP 10/17/2057 DEUTSCHE BAN SHORT(8,800,000.0000)USD(8,800,000.00)
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 01/17/2047 MERRILL LY LONG1,200,000.0000USD1,194,895.21
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 LONG1,600,000.0000USD1,581,122.82
CDX NA 00.500 SP 09/17/2058 MLILGB3L SHORT(15,600,000.0000)USD(15,600,000.00)
CDX NA 00.500 SP 09/17/2058 MLILGB3L LONG15,600,000.0000USD15,287,479.27
CDX NA 00.500 SP 09/17/2058 MSCSUS33 LONG10,500,000.0000USD10,289,649.51
CDX NA 00.500 SP 09/17/2058 MSCSUS33 SHORT(10,500,000.0000)USD(10,500,000.00)
CDX NA 00.500 SP 01/17/2047 UBSWUS33 LONG600,000.0000USD597,447.61
CDX NA 00.500 SP 01/17/2047 UBSWUS33 SHORT(600,000.0000)USD(600,000.00)
CDX NA 00.500 SP 09/17/2058 GSILGB2X SHORT(44,300,000.0000)USD(44,300,000.00)
CDX NA 00.500 SP 09/17/2058 GSILGB2X LONG44,300,000.0000USD43,412,521.27
CDX NA 00.500 SP 09/17/2058 DEUTGB2L SHORT(6,100,000.0000)USD(6,100,000.00)
CDX NA 00.500 SP 09/17/2058 DEUTGB2L LONG6,100,000.0000USD5,977,796.38
CDX NA 00.500 SP 05/11/2063 MLILGB3L LONG1,192,298.8400USD1,192,141.54
CDX NA 00.500 SP 05/11/2063 MLILGB3L SHORT(1,192,298.8400)USD(1,192,298.84)
CDX NA HY 26 05.000 NA 06/20/2021 MSNYS33 FIXED14,859,900.0000USD16,150,868.67
CDX NA HY 26 05.000 NA 06/20/2021 MSNYS33 FLOAT(14,859,900.0000)USD(14,859,900.00)
CDS US71645WAH43 01.000 SP 06/20/2021 GSILGB2XXXX SHORT(1,115,000.0000)USD(1,115,000.00)
CDS US71645WAH43 01.000 SP 06/20/2021 GSILGB2XXXX LONG1,115,000.0000USD1,053,746.28
CDX NA 00.500 SP 09/17/2058 CSFPGB2L LONG14,300,000.0000USD14,013,522.67
CDX NA 00.500 SP 09/17/2058 CSFPGB2L SHORT(14,300,000.0000)USD(14,300,000.00)
CDS US71645WAH43 01.000 SP 06/20/2021 BARCGB33XXX LONG4,400,000.0000USD4,158,281.29
CDS US71645WAH43 01.000 SP 06/20/2021 BARCGB33XXX SHORT(4,400,000.0000)USD(4,400,000.00)
CDS US71645WAH43 01.000 SP 06/20/2021 BNPAFRPPXXX LONG200,000.0000USD189,012.79
CDS US71645WAH43 01.000 SP 06/20/2021 BNPAFRPPXXX SHORT(200,000.0000)USD(200,000.00)
CDS US836205AN45 01.000 SP 06/20/2021 GST LONG500,000.0000USD489,550.68
CDS US836205AN45 01.000 SP 06/20/2021 GST SHORT(500,000.0000)USD(500,000.00)
CDX NA 00.500 SP 09/17/2058 JPMSUS3X LONG4,200,000.0000USD4,115,859.80
CDX NA 00.500 SP 09/17/2058 JPMSUS3X SHORT(4,200,000.0000)USD(4,200,000.00)
CDX NA 00.500 SP 09/17/2058 SBNYUS33 SHORT(11,200,000.0000)USD(11,200,000.00)
CDX NA 00.500 SP 09/17/2058 SBNYUS33 LONG11,200,000.0000USD10,975,626.14

証券名数量通貨時価(米ドル)
CDS US836205AN45 01.000 SP 06/20/2021 BRC LONG2,400,000.0000USD2,349,843.26
CDS US836205AN45 01.000 SP 06/20/2021 BRC SHORT(2,400,000.0000)USD(2,400,000.00)
CDS US836205AN45 01.000 SP 12/20/2021 GST SHORT(2,400,000.0000)USD(2,400,000.00)
CDS US836205AN45 01.000 SP 12/20/2021 GST LONG2,400,000.0000USD2,322,098.14
CDS US084670BH03 01.000 NA 12/20/2021 CSFBUS33 FLOAT(900,000.0000)USD(900,000.00)
CDS US084670BH03 01.000 NA 12/20/2021 CSFBUS33 FIXED900,000.0000USD919,670.40
CDS US71645WAH43 01.000 SP 12/20/2021 GSILGB2XXXX LONG5,800,000.0000USD5,377,174.61
CDS US71645WAH43 01.000 SP 12/20/2021 GSILGB2XXXX SHORT(5,800,000.0000)USD(5,800,000.00)
CDS US836205AN45 01.000 SP 12/20/2021 BRC SHORT(500,000.0000)USD(500,000.00)
CDS US836205AN45 01.000 SP 12/20/2021 BRC LONG500,000.0000USD483,770.45
CDS US706451BG56 01.000 SP 12/20/2021 BARCGB33XXX SHORT(700,000.0000)USD(700,000.00)
CDS US706451BG56 01.000 SP 12/20/2021 BARCGB33XXX LONG700,000.0000USD671,708.67
CDS US706451BG56 01.000 SP 12/20/2021 GSILGB2XXXX LONG100,000.0000USD95,958.38
CDS US706451BG56 01.000 SP 12/20/2021 GSILGB2XXXX SHORT(100,000.0000)USD(100,000.00)
CDX NA HY 27 05.000 NA 12/20/2021 CSFBUS33 FIXED(14,127,300.0000)USD(15,284,523.65)
CDX NA HY 27 05.000 NA 12/20/2021 CSFBUS33 FLOAT14,127,300.0000USD14,127,300.00
CDS US836205AN45 01.000 SP 12/20/2021 JPM LONG1,800,000.0000USD1,741,573.60
CDS US836205AN45 01.000 SP 12/20/2021 JPM SHORT(1,800,000.0000)USD(1,800,000.00)
CDS US836205AN45 01.000 SP 12/20/2021 MYC LONG300,000.0000USD290,262.27
CDS US836205AN45 01.000 SP 12/20/2021 MYC SHORT(300,000.0000)USD(300,000.00)
CDS US836205AN45 01.000 SP 12/20/2021 DUB SHORT(700,000.0000)USD(700,000.00)
CDS US836205AN45 01.000 SP 12/20/2021 DUB LONG700,000.0000USD677,278.62
CDS US78442FEQ72 05.000 NA 09/20/2020 CSFBUS33 FLOAT(100,000.0000)USD(100,000.00)
CDS US78442FEQ72 05.000 NA 09/20/2020 CSFBUS33 FIXED100,000.0000USD109,284.00
CDS US165167CF27 05.000 NA 09/20/2018 CSFBUS33 FLOAT(56,000.0000)USD(56,000.00)
CDS US165167CF27 05.000 NA 09/20/2018 CSFBUS33 FIXED56,000.0000USD58,818.37
CDS US165167CF27 05.000 NA 03/20/2019 CSFBUS33 FIXED100,000.0000USD106,027.50
CDS US165167CF27 05.000 NA 03/20/2019 CSFBUS33 FLOAT(100,000.0000)USD(100,000.00)
CDS XS0114288789 01.000 SP 12/20/2021 BOFAUS6NGFX SHORT(200,000.0000)USD(200,000.00)
CDS XS0114288789 01.000 SP 12/20/2021 BOFAUS6NGFX LONG200,000.0000USD196,778.36
CDS XS0114288789 01.000 SP 12/20/2021 CHASUS33XXX SHORT(900,000.0000)USD(900,000.00)

証券名数量通貨時価(米ドル)
CDS XS0114288789 01.000 SP 12/20/2021 CHASUS33XXX LONG900,000.0000USD885,502.63
CDS US71645WAH43 01.000 SP 12/20/2021 CHASUS33XXX LONG300,000.0000USD278,129.72
CDS US71645WAH43 01.000 SP 12/20/2021 CHASUS33XXX SHORT(300,000.0000)USD(300,000.00)
CDS US706451BG56 01.000 SP 12/20/2021 DEUTGB2L SHORT(100,000.0000)USD(100,000.00)
CDS US706451BG56 01.000 SP 12/20/2021 DEUTGB2L LONG100,000.0000USD95,958.38
CDS US71645WAH43 01.000 SP 12/20/2021 BARCGB33XXX SHORT(10,000,000.0000)USD(10,000,000.00)
CDS US71645WAH43 01.000 SP 12/20/2021 BARCGB33XXX LONG10,000,000.0000USD9,270,990.70
CDX NA 00.500 SP 11/17/2059 GSILGB2X LONG2,000,000.0000USD1,940,054.36
CDX NA 00.500 SP 11/17/2059 GSILGB2X SHORT(2,000,000.0000)USD(2,000,000.00)
CDX EM27 ICE 01.000 NA 06/20/2022 CSFBUS33 FLOAT(7,000,000.0000)USD(7,000,000.00)
CDX EM27 ICE 01.000 NA 06/20/2022 CSFBUS33 FIXED7,000,000.0000USD6,688,381.00
CDS US91086QAW87 01.000 SP 06/20/2022 BOFAUS6NGFX LONG2,300,000.0000USD2,279,506.31
CDS US91086QAW87 01.000 SP 06/20/2022 BOFAUS6NGFX SHORT(2,300,000.0000)USD(2,300,000.00)
CDS XS0114288789 01.000 SP 06/20/2022 BARCGB33XXX SHORT(3,100,000.0000)USD(3,100,000.00)
CDS XS0114288789 01.000 SP 06/20/2022 BARCGB33XXX LONG3,100,000.0000USD3,022,038.22
CDS US195325BB02 01.000 SP 06/20/2022 BNPAFRPPXXX SHORT(1,800,000.0000)USD(1,800,000.00)
CDS US195325BB02 01.000 SP 06/20/2022 BNPAFRPPXXX LONG1,800,000.0000USD1,777,496.94
CDS XS1508675334 01.000 SP 06/20/2022 CITIUS33XXX LONG700,000.0000USD704,133.86
CDS XS1508675334 01.000 SP 06/20/2022 CITIUS33XXX SHORT(700,000.0000)USD(700,000.00)
CDX NA 00.500 SP 11/17/2059 MSCSUS33 SHORT(39,200,000.0000)USD(39,200,000.00)
CDX NA 00.500 SP 11/17/2059 MSCSUS33 LONG39,200,000.0000USD38,025,065.46
CDS XS1508675334 01.000 SP 06/20/2022 CHASUS33XXX SHORT(300,000.0000)USD(300,000.00)
CDS XS1508675334 01.000 SP 06/20/2022 CHASUS33XXX LONG300,000.0000USD301,771.66
CDS US195325BB02 01.000 SP 06/20/2022 GSILGB2XXXX SHORT(1,000,000.0000)USD(1,000,000.00)
CDS US195325BB02 01.000 SP 06/20/2022 GSILGB2XXXX LONG1,000,000.0000USD987,498.30
CDS US71645WAH43 01.000 SP 06/20/2018 BNPAFRPPXXX LONG200,000.0000USD200,626.61
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 SHORT(19,279.4300)USD(19,279.43)
CDX NA 00.110 SP 05/25/2046 MSCSUS33 LONG19,279.4300USD17,447.88
CDS NA 01.000 SP 06/20/2020 BOFAUS6NGFX LONG100,000.0000USD99,395.36
CDS NA 01.000 SP 06/20/2020 BOFAUS6NGFX SHORT(100,000.0000)USD(100,000.00)

証券名数量通貨時価(米ドル)
IRS RUS3MP01.75 12/21/26 CSFBUS33 FLOAT(73,400,000.0000)USD(73,400,000.00)
IRS P01.75RUS3M 12/21/26 CSFBUS33 FIXED73,400,000.0000USD70,063,455.47
IRS RUS3MP01.75 12/21/26 CSFBUS33 FLOAT4,100,000.0000USD4,100,000.00
IRS P01.75RUS3M 12/21/26 CSFBUS33 FIXED(4,100,000.0000)USD(3,923,421.98)
IRS P01.50RUS3M 06/21/27 CSFBUS33 FIXED(115,900,000.0000)USD(107,696,846.03)
IRS RUS3MP01.50 06/21/27 CSFBUS33 FLOAT115,900,000.0000USD115,900,000.00
IRS RUS3MP01.25 06/21/20 CSFBUS33 FLOAT121,500,000.0000USD121,500,000.00
IRS P01.25RUS3M 06/21/20 CSFBUS33 FIXED(121,500,000.0000)USD(119,641,983.12)
IRS RUS3MP01.50 06/21/24 CSFBUS33 FLOAT(80,700,000.0000)USD(80,700,000.00)
IRS P01.50RUS3M 06/21/24 CSFBUS33 FIXED80,700,000.0000USD77,313,744.07
IRS RUS3MP01.50 06/21/27 CSFBUS33 FLOAT115,600,000.0000USD115,600,000.00
IRS P01.50RUS3M 06/21/27 CSFBUS33 FIXED(115,600,000.0000)USD(107,125,238.00)
IRS RUS3MP01.50 06/21/32 CSFBUS33 FLOAT12,800,000.0000USD12,800,000.00
IRS P01.50RUS3M 06/21/32 CSFBUS33 FIXED(12,800,000.0000)USD(11,201,870.72)
IRS PUS3MR01.75 06/21/47 CSFBUS33 FLOAT76,600,000.0000USD76,600,000.00
IRS R01.75PUS3M 06/21/47 CSFBUS33 FIXED(76,600,000.0000)USD(62,792,365.12)
IRS P01.75RUS3M 06/21/47 CSFBUS33 FIXED(8,800,000.0000)USD(7,280,740.46)
IRS RUS3MP01.75 06/21/47 CSFBUS33 FLOAT8,800,000.0000USD8,800,000.00
SINOPEC GRP OVE 2.75% 05/17/174,700,000.0000USD4,702,585.00
CNPC GENERAL CAPI V/R 11/25/171,500,000.0000USD1,504,620.00
債券合計3,667,271,596.77
短期金融商品
ARGENT LETRAS DEL ZCP 05/26/174,946,000.0000USD4,937,027.96
ARGENT LETRAS DEL ZCP 08/25/173,400,000.0000USD3,381,888.20
ARGENT LETRAS DEL ZCP 09/15/174,017,000.0000USD3,975,259.75
ARGENT LETRAS DEL ZCP 12/15/173,046,000.0000USD2,995,736.52
ARGENT LETRAS DEL ZCP 06/16/172,190,000.0000USD2,183,669.83
BK OF NOVA SCO 0% 5/1/17 /CAD/16,300,000.0000CAD11,920,589.48
CANADIAN IMP BK 0% 5/8/1761,300,000.0000CAD44,829,519.86
ROYAL BANK 0% 5/1/17 /CAD/38,000,000.0000CAD27,790,331.31
TORONTO-DOMINION 0% 5/3/1780,000,000.0000CAD58,506,767.68
MITSUBISHI UFJ 1.713170% 9/19/172,500,000.0000USD2,506,367.50
SUMITOMO MITSUI BK V/R 9/15/173,000,000.0000USD3,007,353.00
SUMITOMO MITSUI V/R 10/6/172,670,000.0000USD2,677,476.00
BARCLAYS BANK PLC NY BRANCH4,000,000.0000USD4,010,116.00
RC R/P BNP PA 1.020% 05/01/179,900,000.0000USD9,900,000.00
RC R/P BANK O 1.000% 05/01/1764,900,000.0000USD64,900,000.00
RC R/P GOLDMA 0.990% 05/01/1750,000,000.0000USD50,000,000.00
MIZUHO BANK V/R 12/12/176,800,000.0000USD6,824,303.20
T/L TEMPO ACQUISIT 0% 08/16/172,600,000.0000USD2,580,348.81
短期金融商品合計306,926,755.10
証券合計3,975,417,171.50

証券名数量未実現評価益/(評価損)
(米ドル)
為替予約
AUD/USD FWD 20170502 000011553 USD(28,142,000.0000)(21,045,987.52)
AUD/USD FWD 20170502 000004066 USD9,704,539.90007,257,537.69
AUD/USD FWD 20170502 000005539 USD1,531,000.00001,144,957.96
AUD/USD FWD 20170502 000003731 USD1,321,000.0000987,909.51
AUD/USD FWD 20170502 000003534 USD15,585,460.100011,655,582.36
AUD/USD FWD 20170602 000003534 USD(15,585,460.1000)(11,648,839.60)
AUD/USD FWD 20170602 000004066 USD(9,704,539.9000)(7,253,339.20)
BRL/USD FWD 20170503 000015298 USD(4,638,259.6000)(1,449,621.02)
GBP/USD FWD 20170502 000011091 USD(204,741,000.0000)(264,883,620.74)
GBP/USD FWD 20170502 000000908 USD(6,687,000.0000)(8,651,304.68)
GBP/USD FWD 20170502 000004334 USD(2,101,000.0000)(2,718,168.26)
GBP/USD FWD 20170502 000028854 USD4,129,000.00005,341,892.78
GBP/USD FWD 20170502 000006038 USD(20,231,000.0000)(26,173,851.51)
GBP/USD FWD 20170502 000017142 USD(4,092,000.0000)(5,294,024.04)
GBP/USD FWD 20170602 000000908 USD(233,723,000.0000)(302,656,693.92)
CAD/USD FWD 20170502 000000908 USD(144,759,949.1200)(105,872,850.96)
CAD/USD FWD 20170502 000004334 USD61,281,000.000044,818,986.32
CAD/USD FWD 20170502 000000605 USD45,542,000.000033,307,979.23
CAD/USD FWD 20170502 000006038 USD195,253,949.1200142,802,566.46
CAD/USD FWD 20170502 000017142 USD29,332,000.000021,452,497.62
CAD/USD FWD 20170502 000017142 USD(186,649,000.0000)(136,509,178.67)
CAD/USD FWD 20170602 000006038 USD(195,253,949.1200)(142,866,199.54)
DKK/USD FWD 20170703 000006038 USD(43,552,220.6500)(6,398,352.21)
DKK/USD FWD 20170703 000011553 USD(185,133,000.0000)(27,198,294.88)
DKK/USD FWD 20180102 000006038 USD(112,153,000.0000)(16,657,680.82)
DKK/USD FWD 20180403 000006038 USD(125,030,000.0000)(18,676,478.08)
DKK/USD FWD 20180403 000011091 USD(11,170,000.0000)(1,668,529.63)
DKK/USD FWD 20180102 000000642 USD(108,262,000.0000)(16,079,764.62)
DKK/USD FWD 20180102 000011091 USD(52,325,000.0000)(7,771,643.64)
DKK/USD FWD 20171002 000011091 USD(30,186,000.0000)(4,457,412.70)
DKK/USD FWD 20180102 000004066 USD(56,385,000.0000)(8,374,660.80)
DKK/USD FWD 20180403 000000908 USD(339,906,000.0000)(50,773,789.95)
DKK/USD FWD 20180403 000004334 USD(143,752,000.0000)(21,473,095.07)
DKK/USD FWD 20180403 000003731 USD(69,166,000.0000)(10,331,738.65)
DKK/USD FWD 20171002 000000605 USD(3,240,000.0000)(478,434.28)
EUR/USD FWD 20170502 000000908 USD(4,050,000.0000)(4,410,246.58)
EUR/USD FWD 20170502 000000908 USD1,189,000.00001,294,761.28
EUR/USD FWD 20170502 000004066 USD236,415,302.8600257,444,390.45
EUR/USD FWD 20170502 000006038 USD(235,025,302.8600)(255,930,750.26)
EUR/USD FWD 20170502 000011091 USD(6,860,000.0000)(7,470,195.44)
EUR/USD FWD 20170502 000011091 USD2,374,000.00002,585,166.76
EUR/USD FWD 20170502 000004334 USD3,281,000.00003,572,844.21
EUR/USD FWD 20170502 000000642 USD(1,374,000.0000)(1,496,216.99)
EUR/USD FWD 20170602 000004066 USD(236,415,302.8600)(257,861,938.11)
MXN/USD FWD 20170517 000006038 USD5,389,000.0000283,190.43
MXN/USD FWD 20170517 000003534 USD982,236,126.170051,616,231.00
MXN/USD FWD 20170517 000004334 USD20,987,715.10001,102,898.50

証券名数量未実現評価益/(評価損)
(米ドル)
MXN/USD FWD 20170517 000004608 USD7,861,000.0000413,093.33
ZAR/USD FWD 20170505 000004334 USD8,706,000.0000650,149.95
ZAR/USD FWD 20170505 000004334 USD(17,129,000.0000)(1,279,165.92)
ZAR/USD FWD 20170505 000011091 USD3,644,000.0000272,128.01
ZAR/USD FWD 20170505 000011091 USD(18,107,000.0000)(1,352,201.37)
ZAR/USD FWD 20170505 000000908 USD5,049,000.0000377,051.13
ZAR/USD FWD 20170505 000004066 USD10,614,000.0000792,636.29
ZAR/USD FWD 20170505 000004608 USD7,350,000.0000548,886.07
RUB/USD FWD 20170621 000000908 USD832,415,299.220014,435,994.70
RUB/USD FWD 20170524 000006038 USD34,547,002.2700602,925.07
RUB/USD FWD 20170524 000011091 USD94,296,000.00001,645,683.23
TRY/USD FWD 20170815 000000902 USD5,977,835.63001,631,742.28
TRY/USD FWD 20170815 000015298 USD16,415,000.00004,480,727.01
TRY/USD FWD 20170815 000011091 USD32,668,980.69008,917,501.31
TRY/USD FWD 20170815 000003534 USD22,765,264.12006,214,129.38
USD/RUB FWD 20170621 000000908 USD(14,493,676.1000)(14,493,676.10)
USD/DKK FWD 20170703 000006038 USD6,385,487.96006,385,487.96
USD/DKK FWD 20170703 000011553 USD28,241,297.250028,241,297.25
USD/DKK FWD 20180102 000006038 USD16,366,764.290016,366,764.29
USD/DKK FWD 20180403 000006038 USD18,502,150.910018,502,150.91
USD/DKK FWD 20180403 000011091 USD1,656,287.07001,656,287.07
USD/AUD FWD 20170502 000011553 USD21,511,181.960021,511,181.96
USD/DKK FWD 20180102 000000642 USD15,856,844.020015,856,844.02
USD/DKK FWD 20180102 000011091 USD7,609,248.89007,609,248.89
USD/DKK FWD 20171002 000011091 USD4,422,856.69004,422,856.69
USD/ZAR FWD 20170505 000004334 USD(659,960.4100)(659,960.41)
USD/ZAR FWD 20170505 000004334 USD1,252,440.32001,252,440.32
USD/ZAR FWD 20170505 000011091 USD(289,910.3500)(289,910.35)
USD/ZAR FWD 20170505 000011091 USD1,401,447.92001,401,447.92
USD/DKK FWD 20180102 000004066 USD8,315,145.26008,315,145.26
USD/ZAR FWD 20170505 000000908 USD(383,149.8800)(383,149.88)
USD/DKK FWD 20180403 000000908 USD50,732,996.010050,732,996.01
USD/ZAR FWD 20170505 000004066 USD(788,558.9300)(788,558.93)
USD/DKK FWD 20180403 000004334 USD21,019,447.290021,019,447.29
USD/TRY FWD 20170815 000000902 USD(1,616,290.0000)(1,616,290.00)
USD/ZAR FWD 20170505 000004608 USD(582,552.4000)(582,552.40)
USD/TRY FWD 20170815 000015298 USD(4,360,718.3200)(4,360,718.32)
USD/EUR FWD 20170502 000000908 USD4,411,280.25004,411,280.25
USD/EUR FWD 20170502 000000908 USD(1,281,725.2400)(1,281,725.24)
USD/RUB FWD 20170524 000006038 USD(577,347.0200)(577,347.02)
USD/RUB FWD 20170524 000011091 USD(1,607,939.4300)(1,607,939.43)
USD/BRL FWD 20170503 000015298 USD1,488,076.36001,488,076.36
USD/TRY FWD 20170815 000011091 USD(8,616,760.0000)(8,616,760.00)
USD/JPY FWD 20170502 000006038 USD123,993,017.1900123,993,017.19
USD/AUD FWD 20170502 000004066 USD(7,249,291.3100)(7,249,291.31)
USD/JPY FWD 20170502 000005539 USD4,708,639.32004,708,639.32
USD/EUR FWD 20170502 000004066 USD(257,929,095.4200)(257,929,095.42)

証券名数量未実現評価益/(評価損)
(米ドル)
USD/GBP FWD 20170502 000011091 USD255,466,033.1800255,466,033.18
USD/GBP FWD 20170502 000000908 USD8,484,396.11008,484,396.11
USD/EUR FWD 20170502 000006038 USD252,613,773.9400252,613,773.94
USD/CAD FWD 20170502 000000908 USD108,792,169.8500108,792,169.85
USD/CAD FWD 20170502 000004334 USD(45,973,312.2100)(45,973,312.21)
USD/AUD FWD 20170502 000005539 USD(1,154,129.0400)(1,154,129.04)
USD/EUR FWD 20170502 000011091 USD7,352,305.16007,352,305.16
USD/EUR FWD 20170502 000011091 USD(2,522,588.1900)(2,522,588.19)
USD/CAD FWD 20170502 000000605 USD(34,101,851.7800)(34,101,851.78)
USD/EUR FWD 20170502 000004334 USD(3,509,104.9600)(3,509,104.96)
USD/GBP FWD 20170502 000004334 USD2,611,352.02002,611,352.02
USD/GBP FWD 20170502 000028854 USD(5,226,071.5800)(5,226,071.58)
USD/EUR FWD 20170502 000000642 USD1,466,294.33001,466,294.33
USD/JPY FWD 20170502 000028854 USD(128,509,285.1500)(128,509,285.15)
USD/CAD FWD 20170502 000006038 USD(143,402,480.2900)(143,402,480.29)
USD/CAD FWD 20170502 000017142 USD139,434,765.6100139,434,765.61
USD/CAD FWD 20170502 000017142 USD(21,607,382.4000)(21,607,382.40)
USD/AUD FWD 20170502 000003731 USD(997,803.6100)(997,803.61)
USD/GBP FWD 20170502 000006038 USD25,951,137.220025,951,137.22
USD/MXN FWD 20170517 000006038 USD(289,103.2400)(289,103.24)
USD/MXN FWD 20170517 000003534 USD(52,234,099.6100)(52,234,099.61)
USD/MXN FWD 20170517 000004334 USD(1,099,000.0000)(1,099,000.00)
USD/TRY FWD 20170815 000003534 USD(6,149,390.0000)(6,149,390.00)
USD/MXN FWD 20170517 000004608 USD(416,924.2800)(416,924.28)
USD/DKK FWD 20180403 000003731 USD10,325,549.040010,325,549.04
USD/GBP FWD 20170502 000017142 USD5,248,710.19005,248,710.19
USD/EUR FWD 20170602 000004066 USD258,297,194.0500258,297,194.05
USD/JPY FWD 20170602 000028854 USD128,653,866.0500128,653,866.05
USD/AUD FWD 20170502 000003534 USD(11,695,750.0700)(11,695,750.07)
USD/AUD FWD 20170602 000003534 USD11,689,095.080011,689,095.08
USD/AUD FWD 20170602 000004066 USD7,245,234.81007,245,234.81
USD/GBP FWD 20170602 000000908 USD301,470,462.9700301,470,462.97
USD/DKK FWD 20171002 000000605 USD478,126.4500478,126.45
USD/CAD FWD 20170602 000006038 USD143,463,592.3000143,463,592.30
JPY/USD FWD 20170502 000006038 USD(13,775,687,787.0000)(123,582,020.16)
JPY/USD FWD 20170502 000005539 USD(518,400,000.0000)(4,650,578.63)
JPY/USD FWD 20170502 000028854 USD14,294,087,787.0000128,232,598.79
JPY/USD FWD 20170602 000028854 USD(14,294,087,787.0000)(128,384,282.74)
為替予約合計(10,303,095.98)
先物
F/C AUST 10YR BOND FUT JUN 1787.00008,439,910.82
F/C EURO-BUND FUTURE JUN171.0000176,170.33
F/C US 10YR NOTE (CBT)JUN174,443.0000558,568,406.25
先物合計567,184,487.40

(注)
「IRS」はInterest Rate Swap(金利スワップ)です。
「V/R」はVariable Rate(変動利付)です。
「VM」はVariation Margin(変動証拠金)です。
「T/L」はTerm Loan(ターム・ローン、証書貸付)です。
(注)はアセットマネジメントOneにて追記

IRBANK 採用情報

フルスタックエンジニア

  • 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。
  • UI からデータベースまで一貫して関われるポジションです。
Detail

プロダクトMLエンジニア

  • MLとLLMを掛け合わせ、分析から予測までをスピーディかつ正確な投資体験に落とし込むポジションです。
Detail

AI Agent エンジニア

  • 開示資料・決算・企業データを横断し、投資家の意思決定を支援するAI Agent機能を設計・実装するポジションです。
  • RAG・検索・ランキングを含む情報取得/推論パイプラインの設計から運用まで一気通貫で担います。
Detail

UI/UXデザイナー

  • IRBANK初の一人目デザイナーとして、複雑な金融情報を美しく直感的に届ける体験をつくるポジションです。
Detail

Webメディアディレクター

  • 月間500万PVを超える、大規模DBサイトを運営できます。
  • これから勢いよく伸びるであろうサービスの根幹部分を支えるポジションです。
Detail

クラウドインフラ & セキュリティエンジニア

  • Google Cloud 上でマイクロサービス基盤の信頼性・可用性・セキュリティを担うポジションです。
  • 大規模金融データを安全かつ高速に処理するインフラを設計・構築できます。
Detail

学生インターン

  • 月間500万PVを超える日本最大級のIRデータプラットフォームの運営に携わり、金融・データ・プロダクトの現場を学生のうちから体験できます。
Detail

マーケティングマネージャー

  • IRBANKのブランドと文化の構築。
  • 百万人の現IRBANKユーザーとまだIRBANKを知らない数千万人に対してマーケティングをしてみたい方。
Detail