Investment Table

Derivative Instruments
as of 6/30/2017

 

Security Description Maturity Date Par Value in thousands (000s) Market Value
$US in thousands (000s)
0WP287410 CDS USD P V 03MEVENT 3/20/2024 (1,988) (1,988)
0WP287410 CDS USD R F 1.00000 3/20/2024 1,988 2,020
90DAY EUR FUTR DEC17 12/18/2017 (132,500) -
90DAY EUR FUTR DEC18 12/17/2018 105,500 -
90DAY EUR FUTR DEC19 12/16/2019 (105,500) -
90DAY EUR FUTR JUN18 6/18/2018 (21,000) -
90DAY EUR FUTR SEP17 9/18/2017 (78,000) -
90DAY EUR FUTR SEP18 9/17/2018 (20,750) -
A5Q17DS TRS TRY P E 8/29/2017 (387) (13,721)
A5Q17DS TRS TRY R F .00000 8/29/2017 48,332 13,721
AUDPUT/USDCALL 7/7/2017 129,970 364
B007071 CDS USD P F 5.00000 12/20/2018 (1,989) (2,088)
B007071 CDS USD R V 00MEVENT 12/20/2018 1,989 1,989
B91ZBXRF9 CDS EUR P F 5.00000 6/20/2022 (260) (331)
B91ZBXRF9 CDS EUR R V 03MEVENT 6/20/2022 260 297
BCS3P45F3 TRS USD P F .08000 5/11/2018 (99,644) (99,644)
BCS3P45F3 TRS USD R E 5/11/2018 1,203 99,370
BR18U17DS TRS BRL P E 9/20/2017 (2) (389)
BR18U17DS TRS BRL R V 01MBZDIO 9/20/2017 1,270 383
BRT8P0UA9 CDS EUR P V 03MEVENT 12/20/2021 (50) (57)
BRT8P0UA9 CDS EUR R F 5.00000 12/20/2021 50 65
BRT9CKG39 CDS USD P V 03MEVENT 6/20/2022 (47) (47)
BRT9CKG39 CDS USD R F 5.00000 6/20/2022 47 48
BRT9SHCF6 CDS EUR P V 03MEVENT 6/20/2022 (50) (57)
BRT9SHCF6 CDS EUR R F 5.00000 6/20/2022 50 63
BWS014209 IRS USD P F 1.89700 8/31/2022 (41,600) (41,457)
BWS014209 IRS USD R V 03MLIBOR 8/31/2022 41,600 41,600
BWS015784 IRS USD P F 1.90000 11/30/2022 (64,728) (64,418)
BWS015784 IRS USD R V 03MLIBOR 11/30/2022 64,728 64,728
BWS019380 IRS USD P F 1.58000 6/13/2026 (18,380) (17,381)
BWS019380 IRS USD R V 03MLIBOR 6/13/2026 18,380 18,380
BWS021469 IRS USD P F 1.26653 5/15/2023 (43,392) (41,542)
BWS021469 IRS USD R V 03MLIBOR 5/15/2023 43,392 43,392
BWS024968 CDS USD P F 5.00000 6/20/2022 (10,580) (11,306)
BWS024968 CDS USD R V 03MEVENT 6/20/2022 10,580 10,580
BZQ17DS TRS BRL P E 8/16/2017 - (7,515)
BZQ17DS TRS BRL R F .00000 8/16/2017 24,729 7,464
CN07U17D TRS HKD P V 01MHIBOR 9/20/2017 (110,954) (14,213)
CN07U17D TRS HKD R E 9/20/2017 228 14,294
CN09U17D TRS HKD P V 01MHIBOR 9/20/2017 (170,199) (21,802)
CN09U17D TRS HKD R E 9/20/2017 351 21,996
CN10U17D TRS HKD P V 01MHIBOR 9/20/2017 (15,907) (2,038)
CN10U17D TRS HKD R E 9/20/2017 32 2,024
EURCALL/USDPUT 8/22/2017 118,890 1,098
EURCALL/USDPUT 9/27/2017 (88,120) (432)
EURCALL/USDPUT 7/12/2017 87,980 722
EURCALL/USDPUT 9/29/2017 88,930 254
EURCALL/USDPUT 9/27/2017 88,120 1,236
EURO BUND OPTION AUG17P 162.5 7/21/2017 (11,600) -
EURO BUND OPTION AUG17C 165.5 7/21/2017 (9,000) -
EURO BUND OPTION AUG17P 162 7/21/2017 (9,000) -
EURO BUND OPTION AUG17P 164 7/21/2017 5,800 -
EURO BUND OPTION AUG17P 164.5 7/21/2017 2,900 -
EURO STOXX 50 SEP17 9/15/2017 18 -
EURO-BTP FUTURE SEP17 9/7/2017 20,800 -
EURO-BUND FUTURE SEP17 9/7/2017 (45,400) -
FTSE 100 IDX FUT SEP17 9/15/2017 9 -
FTSE KLCI FUTURE JUL17 7/31/2017 8 -
FTSE/JSE TOP 40 SEP17 9/21/2017 (15) -
GBPPUT/USDCALL 7/7/2017 77,630 20
GBPPUT/USDCALL 7/7/2017 (77,630) (10)
H SHARES IDX FUT JUL17 7/28/2017 29 -
HANG SENG IDX FUT JUL17 7/28/2017 1 -
HCN17D TRS HKD P F .00000 7/28/2017 (1,160,560) (148,667)
HCN17D TRS HKD R E 7/28/2017 113 147,444
IHN17DS TRS USD P E 7/27/2017 (2) (19,094)
IHN17DS TRS USD R F .00000 7/27/2017 19,132 19,132
IMM EUR FUT OPT SEP17P 98.625 9/18/2017 323 10
JPN 10Y BOND(OSE) SEP17 9/12/2017 (2,500,000) -
KM2U17D TRS KRW P F .00000 9/14/2017 (86,638,274) (75,723)
KM2U17D TRS KRW R E 9/14/2017 281,250 76,916
KOSPI2 INX FUT SEP17 9/14/2017 92,750 -
MEX BOLSA IDX FUT SEP17 9/15/2017 (2) -
MINI MSCI EAFE SEP17 9/15/2017 145 -
MINI MSCI EMG MKT SEP17 9/15/2017 253 -
MSCI SING IX ETS JUL17 7/28/2017 (25) -
MX15U17DS TRS MXN P E 9/20/2017 (3) (193)
MX15U17DS TRS MXN R V 01MTIEE 9/20/2017 3,434 190
PL21U17DS TRS PLN P E 9/20/2017 (33) (1,754)
PL21U17DS TRS PLN R V 01MWIBOR 9/20/2017 6,560 1,769
PL22U17DS TRS PLN P E 9/20/2017 (9) (504)
PL22U17DS TRS PLN R V 01MWIBOR 9/20/2017 1,887 509
RUSSELL 1000 VALU SEP17 9/15/2017 4 -
RUSSELL 2000 MINI SEP17 9/15/2017 17 -
S+P 500 INDEX 7/21/2017 (5) (223)
S+P 500 INDEX 8/18/2017 (6) (372)
S+P 500 INDEX 8/18/2017 (5) (86)
S+P 500 INDEX 7/28/2017 (6) (78)
S+P 500 INDEX 7/14/2017 (5) (21)
S+P 500 INDEX 7/21/2017 (6) (109)
S+P 500 INDEX 7/21/2017 (6) (205)
S+P 500 INDEX 8/18/2017 (6) (175)
S+P 500 INDEX 9/15/2017 (6) (147)
S+P 500 INDEX 7/14/2017 (5) (49)
S+P 500 INDEX 7/21/2017 (5) (21)
S+P 500 INDEX 7/21/2017 (5) (46)
S+P 500 INDEX 7/31/2017 (5) (21)
S+P 500 INDEX 8/11/2017 (5) (19)
S+P 500 INDEX 8/18/2017 (5) (31)
S+P 500 INDEX 8/31/2017 (5) (22)
S+P 500 INDEX 8/31/2017 (5) (19)
S+P 500 INDEX 9/15/2017 (5) (30)
S+P 500 INDEX 7/28/2017 (5) (25)
S+P/TSX 60 IX FUT SEP17 9/14/2017 81 -
S+P500 EMINI FUT SEP17 9/15/2017 121 -
S008043 CDS USD P V 00MEVENT 12/20/2020 (1,367) (1,367)
S008043 CDS USD R F 5.00000 12/20/2020 1,367 1,465
S008722 CDS USD P V 03MEVENT 6/20/2021 (4,089) (4,089)
S008722 CDS USD R F 5.00000 6/20/2021 4,089 4,407
S008827 IRS USD P V 03MLIBOR 9/6/2018 (36,750) (36,750)
S008827 IRS USD R F 1.03450 9/6/2018 36,750 36,562
S3003355 CDS USD P V 03MEVENT 6/20/2018 (29) (29)
S3003355 CDS USD R F 5.00000 6/20/2018 29 30
S3003363 CDS USD P V 03MEVENT 6/20/2018 (1,959) (1,959)
S3003363 CDS USD R F 5.00000 6/20/2018 1,959 2,058
SET50 FUTURES SEP17 9/28/2017 19 -
SGX NIFTY 50 JUL17 7/27/2017 (7) -
SPI 200 FUTURES SEP17 9/21/2017 6 -
SWAP WESTERN/LEHMAN RECEIVABLE 9/15/2099 151 8
SWS019281 IRS USD P V 03MLIBOR 6/13/2021 (18,420) (18,420)
SWS019281 IRS USD R F 1.18500 6/13/2021 18,420 17,952
SWS021980 CDS USD P V 03MEVENT 12/20/2021 (18,400) (18,400)
SWS021980 CDS USD R F 1.00000 12/20/2021 18,400 18,779
SWS024745 CDS USD P V 03MEVENT 6/20/2022 (6,500) (6,500)
SWS024745 CDS USD R F 1.00000 6/20/2022 6,500 6,621
TA35N17D TRS ILS P F .00000 7/28/2017 (55,048) (15,774)
TA35N17D TRS ILS R E 7/28/2017 38 15,774
TOPIX INDX FUTR SEP17 9/7/2017 5,710 -
TR17U17DS TRS TRY P E 9/20/2017 (8) (2,720)
TR17U17DS TRS TRY R V 01MTRLIB 9/20/2017 9,496 2,696
TWN17D TRS USD P F .00000 7/28/2017 (12,273) (12,273)
TWN17D TRS USD R E 7/28/2017 32 12,175
TXN17D TRS TWD P F .00000 7/19/2017 (355,358) (11,682)
TXN17D TRS TWD R E 7/19/2017 35 11,796
US 10YR FUT OPTN AUG17C 126.2 7/21/2017 116 25
US 10YR FUT OPTN AUG17C 126.5 7/21/2017 240 38
US 10YR FUT OPTN AUG17C 127 7/21/2017 255 20
US 10YR FUT OPTN AUG17C 127.5 7/21/2017 40 2
US 10YR FUT OPTN AUG17C 129 7/21/2017 (198) (3)
US 10YR FUT OPTN AUG17P 125.5 7/21/2017 40 20
US 10YR FUT OPTN AUG17P 125.7 7/21/2017 83 52
US 10YR FUT OPTN AUG17P 126 7/21/2017 159 122
US 10YR FUT OPTN OCT17P 124.5 9/22/2017 17 13
US 10YR FUT OPTN SEP17C 128 8/25/2017 (234) (33)
US 10YR FUT OPTN SEP17C 129 8/25/2017 (282) (18)
US 10YR FUT OPTN SEP17P 125.5 8/25/2017 121 98
US 10YR NOTE (CBT)DEC17 12/19/2017 500 -
US 10YR NOTE (CBT)SEP17 9/20/2017 117,700 -
US 10YR ULTRA FUT SEP17 9/20/2017 (13,200) -
US 2YR NOTE (CBT) SEP17 9/29/2017 (36,400) -
US 5YR FUTR OPTN AUG17C 118.5 7/21/2017 142 10
US 5YR FUTR OPTN SEP17C 118.7 8/25/2017 121 17
US 5YR NOTE (CBT) SEP17 9/29/2017 112,300 -
US 5YR NOTE W1 OP JUL17C 118.5 7/7/2017 79 1
US BOND FUTR OPTN AUG17C 155 7/21/2017 40 26
US BOND FUTR OPTN AUG17C 157 7/21/2017 73 16
US BOND FUTR OPTN AUG17C 158 7/21/2017 162 23
US BOND FUTR OPTN AUG17C 159 7/21/2017 (40) (4)
US BOND FUTR OPTN SEP17C 159 8/25/2017 (46) (16)
US BOND FUTR OPTN SEP17C 160 8/25/2017 (116) (29)
US BOND FUTR OPTN SEP17C 161 8/25/2017 (66) (12)
US LONG BOND(CBT) SEP17 9/20/2017 (39,600) -
US ULTRA BOND CBT SEP17 9/20/2017 6,400 -
USDCALL/JPYPUT 7/17/2017 83,260 1,116
USDPUT/CADCALL 7/13/2017 83,290 1,591
USDPUT/CADCALL 7/13/2017 (83,290) (625)
USDPUT/CADCALL 7/19/2017 83,330 717
WIU17DS TRS PLN P E 9/15/2017 (17) (10,349)
WIU17DS TRS PLN R F .00000 9/15/2017 38,336 10,338
ZA18U17DS TRS ZAR P E 9/20/2017 (226) (15,297)
ZA18U17DS TRS ZAR R V 01MJIBAR 9/20/2017 203,999 15,570
ZA19U17DS TRS ZAR P E 9/20/2017 (8) (549)
ZA19U17DS TRS ZAR R V 01MJIBAR 9/20/2017 7,134 544

Commands