0001752724-23-014737.txt : 20230126
0001752724-23-014737.hdr.sgml : 20230126
20230126130956
ACCESSION NUMBER: 0001752724-23-014737
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20221130
FILED AS OF DATE: 20230126
DATE AS OF CHANGE: 20230126
PERIOD START: 20230531
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: Fidelity Rutland Square Trust II
CENTRAL INDEX KEY: 0001364924
IRS NUMBER: 000000000
STATE OF INCORPORATION: DE
FISCAL YEAR END: 0228
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-21991
FILM NUMBER: 23556598
BUSINESS ADDRESS:
STREET 1: 245 SUMMER STREET
CITY: BOSTON
STATE: MA
ZIP: 02210
BUSINESS PHONE: 617-563-7000
MAIL ADDRESS:
STREET 1: 245 SUMMER STREET
CITY: BOSTON
STATE: MA
ZIP: 02210
0001364924
S000076543
Strategic Advisers Alternatives Fund
C000236518
Strategic Advisers Alternatives Fund
FSLTX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0001364924
XXXXXXXX
S000076543
C000236518
Fidelity Rutland Square Trust II
811-21991
0001364924
1KZ3JN58GDRI3EZKKG06
245 Summer Street
Boston
02210
1-800-FIDELITY
Strategic Advisers Alternatives Fund
S000076543
549300L8V38YP5EMDB42
2023-05-31
2022-11-30
N
1835597582.30
7891991.89
1827705590.41
0.00000000
5387100.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
0.00000000
907664.06000000
0.00000000
0.00000000
1004822.19000000
N
N/A
N/A
CHICAGO BOARD OPTIONS EXCHANGE
N/A
S and P 500 INDX PUT 2100 10/20/2023
N/A
117.00000000
NC
USD
193635.00000000
0.010594430580
N/A
DE
CORP
US
N
1
CHICAGO BOARD OPTIONS EXCHANGE
N/A
Put
Purchased
S and P 500 INDX
783786106
100.00000000
2100.00000000
USD
2023-10-20
XXXX
-300810.41000000
N
N
N
ICE FUTURES US
N/A
COCOA FUTURE MAR23 CCH3
N/A
20.00000000
NC
USD
9347.60000000
0.000511439044
N/A
DCO
CORP
US
N
1
ICE FUTURES US
N/A
Long
COCOA
COCOA
2023-03-16
490252.40000000
USD
9347.60000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
KOSPI2 FUTURE TRS EQUITY BULLET GST SWAP 12/08/2022
N/A
1000000.00000000
NC
1226.68000000
0.000067115842
N/A
DIR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2022-12-08
0.00000000
KRW
82.65000000
KRW
1000000.00000000
KRW
1311.81000000
N
N
N
RBB FD INC
N/A
Abbey Capital Futures Strategy A
74925K375
5821257.94300000
NS
USD
78645194.81000000
4.302946558934
Long
EC
RF
US
N
1
N
N
N
NEW YORK MERCANTILE EXCHANGE
N/A
GASOLINE RBOB FUT MAR23 XBH3
N/A
-10.00000000
NC
USD
-29308.82000000
-0.00160358539
N/A
DCO
CORP
US
N
1
NEW YORK MERCANTILE EXCHANGE
N/A
Short
REFORMULATED 84 OCT OXG INDEX
34T99S223
2023-02-28
-977137.18000000
USD
-29308.82000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
FX Forward: HKD/USD settle 2022-12-14
N/A
1.00000000
NC
N/A
25.39000000
0.000001389173
N/A
DFE
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
106474.29000000
USD
832000.00000000
HKD
2022-12-14
25.39000000
N
N
N
NEW YORK MERCANTILE EXCHANGE
N/A
PLATINUM FUTURE JAN23 PLF3
N/A
18.00000000
NC
USD
46068.24000000
0.002520550368
N/A
DCO
CORP
US
N
1
NEW YORK MERCANTILE EXCHANGE
N/A
Long
PLATINUM BULLION
PLATINUM BULLION (1OZ = 1SHR)
2023-01-27
889301.76000000
USD
46068.24000000
N
N
N
INTERCONTINENTAL EXCHANGE INC
5493000F4ZO33MV32P92
PIMCO CDX HY39 5Y ICE 12/20/27
N/A
800000.00000000
NC
USD
10055.02000000
0.000550144402
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE INC
5493000F4ZO33MV32P92
CREDIT SUISSE INTL
CDX NA HY SERIES 39 5YR SWAP 12/20/2027
Y
2027-12-20
0.00000000
USD
0.00000000
USD
812977.78000000
USD
10055.02000000
N
N
N
CHICAGO MERCANTILE EXCH INC
SNZ2OJLFK8MNNCLQOF39
3 MONTH SOFR FUT DEC23 SFRZ3
N/A
-57.00000000
NC
USD
-10778.66000000
-0.00058973721
N/A
DE
CORP
US
N
1
CHICAGO MERCANTILE EXCH INC
SNZ2OJLFK8MNNCLQOF39
Short
UNITED STATES SOFR SECURED OVERNIGHT FINL RATE INDX
SOFRRATE
2024-03-19
-13609371.34000000
USD
-10778.66000000
N
N
N
EUREX DEUTSCHLAND
N/A
SHORT EURO-BTP FU FUT DEC22 BTSZ2
N/A
21.00000000
NC
1463.58000000
0.000080077448
N/A
DIR
CORP
DE
N
1
EUREX DEUTSCHLAND
N/A
Long
ITALY REPUBLIC OF
SHORT EURO-BTP FUT UNDERLYING
2022-12-08
2315868.75000000
EUR
1463.58000000
N
N
N
LONDON CLEARING HOUSE
N/A
PIMCO LCH SWAP 11/16/2027
N/A
-14500000.00000000
NC
16834.14000000
0.000921053154
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2027-11-16
0.00000000
ILS
0.00000000
ILS
-4249835.86000000
ILS
16834.14000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
FX Forward: USD/THB settle 2022-12-15
N/A
1.00000000
NC
N/A
-68206.84000000
-0.00373182860
N/A
DFE
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
111149880.00000000
THB
3100000.00000000
USD
2022-12-15
-68206.84000000
N
N
N
EURONEXT PARIS-MONEP
N/A
CAC40 10 EURO FUT DEC22 CFZ2
N/A
5.00000000
NC
9451.26000000
0.000517110635
N/A
DE
CORP
FR
N
1
EURONEXT PARIS-MONEP
N/A
Long
CAC GENERAL INDEX (FRANCE)
EI09CAC
2022-12-16
339794.41000000
EUR
9451.26000000
N
N
N
LONDON METAL EXCHANGE
N/A
ALUMINUM FUT MAR23 LAH23
N/A
-42.00000000
NC
USD
-84525.00000000
-0.00462465073
N/A
DCO
CORP
GB
N
1
LONDON METAL EXCHANGE
N/A
Short
ALUMINUM
ALUMINUM
2023-03-13
-2519475.00000000
USD
-84525.00000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: MXN/USD settle 2022-12-15
N/A
1.00000000
NC
N/A
53137.18000000
0.002907316160
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
5700000.00000000
USD
111263231.07000000
MXN
2022-12-15
53137.18000000
N
N
N
MINNEAPOLIS GRAIN EXCHANGE
N/A
RED WHEAT FUT MGE MAR23 MWH3
N/A
-14.00000000
NC
USD
10517.52000000
0.000575449353
N/A
DCO
CORP
US
N
1
MINNEAPOLIS GRAIN EXCHANGE
N/A
Short
WHEAT
WHEAT
2023-03-14
-670617.52000000
USD
10517.52000000
N
N
N
NEW YORK MERCANTILE EXCHANGE
N/A
PALLADIUM FUTURE MAR23 PAH3
N/A
-8.00000000
NC
USD
72854.90000000
0.003986139801
N/A
DCO
CORP
US
N
1
NEW YORK MERCANTILE EXCHANGE
N/A
Short
PALLADIUM BULLION
PALLADIUM BULLION (1OZ = 1SHR)
2023-03-29
-1565654.90000000
USD
72854.90000000
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
FX Forward: USD/MXN settle 2022-12-01
N/A
1.00000000
NC
N/A
-33.82000000
-0.00000185040
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
65773.00000000
MXN
3375.17000000
USD
2022-12-01
-33.82000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
FX Forward: BRL/USD settle 2022-12-15
N/A
1.00000000
NC
N/A
50257.60000000
0.002749764527
N/A
DFE
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
900000.00000000
USD
4943655.00000000
BRL
2022-12-15
50257.60000000
N
N
N
LONDON METAL EXCHANGE
N/A
LME LEAD FUTURE MAR23 LLH3
N/A
8.00000000
NC
USD
7700.00000000
0.000421293234
N/A
DCO
CORP
GB
N
1
LONDON METAL EXCHANGE
N/A
Long
LEAD
LEAD
2023-03-13
431250.00000000
USD
7700.00000000
N
N
N
ICE-ICE FUTURES LTD
N/A
BRENT CRUDE FUTR APR23 COJ3
N/A
-4.00000000
NC
USD
-7605.36000000
-0.00041611515
N/A
DCO
CORP
GB
N
1
ICE-ICE FUTURES LTD
N/A
Short
BRENT CRUDE OIL
BRENT CRUDE OIL
2023-02-28
-339714.64000000
USD
-7605.36000000
N
N
N
ICE FUTURES EUROPE - AGRICULTURAL PRODUCTS DIVISION
N/A
COFF ROBUSTA 10TN FUT JAN23 DFF3
N/A
-46.00000000
NC
USD
-47134.98000000
-0.00257891534
N/A
DCO
CORP
GB
N
1
ICE FUTURES EUROPE - AGRICULTURAL PRODUCTS DIVISION
N/A
Short
COFFEE ROBUSTA
COFFEE ROBUSTA
2023-01-25
-820885.02000000
USD
-47134.98000000
N
N
N
INTERCONTINENTAL EXCHANGE INC
5493000F4ZO33MV32P92
PIMCO ICE SWAP 12/20/2027
N/A
2500000.00000000
NC
USD
30357.78000000
0.001660977575
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE INC
5493000F4ZO33MV32P92
BANK OF AMERICA NA
CDX ICE SWAP 12/20/2027
Y
2027-12-20
0.00000000
USD
0.00000000
USD
2338597.22000000
USD
30357.78000000
N
N
N
SINGAPORE EXCHANGE DERIVATIVES CLEARING LTD
N/A
SGX IRON ORE 62% FUT MAR23 SCOH3
N/A
-30.00000000
NC
USD
-9819.20000000
-0.00053724188
N/A
DCO
CORP
SG
N
1
SINGAPORE EXCHANGE DERIVATIVES CLEARING LTD
N/A
Short
IRON ORE
IRON ORE
2023-03-31
-285500.80000000
USD
-9819.20000000
N
N
N
CHICAGO BOARD OF TRADE
N/A
KC HRW WHEAT FUT MAR23 KWH3
N/A
-22.00000000
NC
USD
10354.08000000
0.000566506994
N/A
DCO
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Short
WHEAT
WHEAT
2023-03-14
-1000079.08000000
USD
10354.08000000
N
N
N
EURONEXT PARIS MATIF
N/A
MILL WHEAT EURO FUT MAR23 CAH3
N/A
-52.00000000
NC
9648.76000000
0.000527916533
N/A
DCO
CORP
FR
N
1
EURONEXT PARIS MATIF
N/A
Short
WHEAT
WHEAT
2023-03-10
-861527.98000000
EUR
9648.76000000
N
N
N
CHICAGO BOARD OPTIONS EXCHANGE
N/A
S and P 500 INDX PUT 2400 11/17/2023
N/A
124.00000000
NC
USD
352780.00000000
0.019301795751
N/A
DE
CORP
US
N
1
CHICAGO BOARD OPTIONS EXCHANGE
N/A
Put
Purchased
S and P 500 INDX
783786106
100.00000000
2400.00000000
USD
2023-11-17
XXXX
-110982.25000000
N
N
N
ICE FUTURES US
N/A
COTTON NO.2 FUTR MAR23 CTH3
N/A
-30.00000000
NC
USD
-10564.10000000
-0.00057799790
N/A
DCO
CORP
US
N
1
ICE FUTURES US
N/A
Short
COTTON
COTTON
2023-03-09
-1258585.90000000
USD
-10564.10000000
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
FX Forward: USD/ILS settle 2022-12-13
N/A
1.00000000
NC
N/A
-167.67000000
-0.00000917379
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
150000.00000000
ILS
43821.06000000
USD
2022-12-13
-167.67000000
N
N
N
NEW YORK MERCANTILE EXCHANGE
N/A
NATURAL GAS FUTR MAR23 NGH23
N/A
-8.00000000
NC
USD
-40986.16000000
-0.00224249245
N/A
DCO
CORP
US
N
1
NEW YORK MERCANTILE EXCHANGE
N/A
Short
NATURAL GAS
NATURAL GAS
2023-02-24
-453253.84000000
USD
-40986.16000000
N
N
N
MEFF RENTA VAR EXCH (MADRID)
N/A
IBEX 35 INDX FUTR DEC22 IBZ2
N/A
3.00000000
NC
-992.35000000
-0.00005429484
N/A
DE
CORP
ES
N
1
MEFF RENTA VAR EXCH (MADRID)
N/A
Long
IBEX 35 INDEX (SPAIN)
EI09IBEX
2022-12-16
261758.74000000
EUR
-992.35000000
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
FX Forward: HKD/USD settle 2022-12-14
N/A
1.00000000
NC
N/A
-3.46000000
-0.00000018930
N/A
DFE
CORP
CA
N
2
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
143368.42000000
USD
1120000.00000000
HKD
2022-12-14
-3.46000000
N
N
N
COMMODITY EXCHANGE INC
N/A
SILVER FUTURE MAR23 SIH3
N/A
2.00000000
NC
USD
3105.86000000
0.000169932182
N/A
DCO
CORP
US
N
1
COMMODITY EXCHANGE INC
N/A
Long
SILVER BULLION (1 OZ BAR)
SILVER BULLION (1 OZ = 1 SHR)
2023-03-29
214704.14000000
USD
3105.86000000
N
N
N
UST BILLS
254900HROIFWPRGM1V77
UST BILLS 0% 02/23/2023
912796T33
1800000.00000000
PA
USD
1782672.38000000
0.097536079626
Long
DBT
UST
US
N
2
2023-02-23
Fixed
0.00000000
N
N
N
N
N
N
HONG KONG FUTURES EXCHANGE
N/A
HSCEI FUTURES DEC22 HCZ2
N/A
-4.00000000
NC
-9376.99000000
-0.00051304707
N/A
DE
CORP
HK
N
1
HONG KONG FUTURES EXCHANGE
N/A
Short
HANG SENG CHINA ENTERPISE INDX
EI09HSCEI
2022-12-29
-154146.63000000
HKD
-9376.99000000
N
N
N
American Beacon Global Evoluti
N/A
American Beacon AHL Mgd Futs Strat A
024525644
10694863.14500000
NS
USD
128980049.53000000
7.056937955804
Long
EC
RF
US
N
1
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
FX Forward: USD/ILS settle 2022-12-15
N/A
1.00000000
NC
N/A
-56410.94000000
-0.00308643472
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
11444123.13000000
ILS
3300000.00000000
USD
2022-12-15
-56410.94000000
N
N
N
ICE FUTURES EUROPE - AGRICULTURAL PRODUCTS DIVISION
N/A
WHITE SUGAR (ICE) FUT MAR23 QWH3
N/A
36.00000000
NC
USD
6581.32000000
0.000360086440
N/A
DCO
CORP
GB
N
1
ICE FUTURES EUROPE - AGRICULTURAL PRODUCTS DIVISION
N/A
Long
SUGAR
SUGAR
2023-02-13
963978.68000000
USD
6581.32000000
N
N
N
NEW YORK MERCANTILE EXCHANGE
N/A
WTI CRUDE FUTURE MAR23 CLH3
N/A
-6.00000000
NC
USD
2487.88000000
0.000136120391
N/A
DCO
CORP
US
N
1
NEW YORK MERCANTILE EXCHANGE
N/A
Short
WTI CRUDE
WTI CRUDE
2023-02-21
-486987.88000000
USD
2487.88000000
N
N
N
ICE FUTURES US
N/A
COFFEE 'C' FUTURE MAR23 KCH3
N/A
-44.00000000
NC
USD
-245665.28000000
-0.01344118447
N/A
DCO
CORP
US
N
1
ICE FUTURES US
N/A
Short
COFFEE
COFFEE
2023-03-21
-2557684.72000000
USD
-245665.28000000
N
N
N
SINGAPORE EXCHANGE DERIVATIVES CLEARING LTD
N/A
SGX NIFTY 50 FUT DEC22 IHZ2
N/A
32.00000000
NC
USD
40330.88000000
0.002206639855
N/A
DE
CORP
SG
N
1
SINGAPORE EXCHANGE DERIVATIVES CLEARING LTD
N/A
Long
S and P CNX NIFTY INDEX
NIFTY
2022-12-29
1170325.12000000
USD
40330.88000000
N
N
N
LONDON CLEARING HOUSE
N/A
IRS HKD 4.50000 12/21/22 5Y LCH
N/A
-43700000.00000000
NC
13975.97000000
0.000764672936
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2027-12-21
0.00000000
HKD
0.00000000
HKD
-5681373.27000000
HKD
13975.97000000
N
N
N
BANK OF NEW YORK MELLON EMPLOYEE BENEFIT COLLECTIVE INVT FD PLAN.
549300VMOZD9W6DJLT40
Absolute Convertible Arbitrage Inv
34984T253
19171081.25900000
NS
USD
210881893.85000000
11.53806690511
Long
EC
RF
US
N
1
N
N
N
CHICAGO MERCANTILE EXCH INC
SNZ2OJLFK8MNNCLQOF39
PIMCO CME SWAP 11/14/27
N/A
-26700000.00000000
NC
2425.96000000
0.000132732537
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCH INC
SNZ2OJLFK8MNNCLQOF39
Y
2027-11-14
0.00000000
ZAR
0.00000000
ZAR
-1577065.32000000
ZAR
2425.96000000
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: PEN/USD settle 2022-12-15
N/A
1.00000000
NC
N/A
-2622.25000000
-0.00014347223
N/A
DFE
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
2600000.00000000
USD
9973080.00000000
PEN
2022-12-15
-2622.25000000
N
N
N
ITALIAN DERIVATIVES MARKET
N/A
FTSE/MIB IDX FUT DEC22 STZ2
N/A
2.00000000
NC
4698.38000000
0.000257064377
N/A
DE
CORP
IT
N
1
ITALIAN DERIVATIVES MARKET
N/A
Long
FTSE MIB INDEX
EI09FTSEMIB
2022-12-16
250712.38000000
EUR
4698.38000000
N
N
N
ICE FUTURES EUROPE FINANCIALS
N/A
FTSE 100 IDX FUT DEC22 Z Z2
N/A
14.00000000
NC
29820.83000000
0.001631599211
N/A
DE
CORP
GB
N
1
ICE FUTURES EUROPE FINANCIALS
N/A
Long
FTSE 100 INDX
EI09UKX
2022-12-16
1242287.00000000
GBP
29820.83000000
N
N
N
EUROPEAN ENERGY DERIVATIVES EXCHANGE NV
N/A
ECX EMISSION FUT DEC22 MOZ22
N/A
4.00000000
NC
51067.54000000
0.002794079104
N/A
DCO
CORP
NL
N
1
EUROPEAN ENERGY DERIVATIVES EXCHANGE NV
N/A
Long
BULL CARBON EMISSION
BULL CARBON EMISSION X10 AVA 12 GENERIC FUT UNDERLYING
2022-12-19
300166.08000000
EUR
51067.54000000
N
N
N
LONDON METAL EXCHANGE
N/A
LME NICKEL FUTURE MAR23 LNH3
N/A
-2.00000000
NC
USD
-18936.00000000
-0.00103605307
N/A
DCO
CORP
GB
N
1
LONDON METAL EXCHANGE
N/A
Short
NICKEL
NICKEL
2023-03-13
-305448.00000000
USD
-18936.00000000
N
N
N
Cedar Ridge Unconstrained Cred
549300BGHA8LNTCXW526
First Trust Merger Arbitrage Cl I
46141T869
15648798.42200000
NS
USD
168381071.02000000
9.212702084159
Long
EC
RF
US
N
1
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: SGD/USD settle 2022-12-15
N/A
1.00000000
NC
N/A
11220.79000000
0.000613927651
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
1000000.00000000
USD
1375942.00000000
SGD
2022-12-15
11220.79000000
N
N
N
CMEC CHICAGO MERCANTILE EXCH
N/A
PIMCO CME SWAP 01/04/2027
N/A
-4700000.00000000
NC
614.27000000
0.000033608804
N/A
DIR
CORP
US
N
2
CMEC CHICAGO MERCANTILE EXCH
N/A
Y
2027-01-04
0.00000000
BRL
0.00000000
BRL
-890257.83000000
BRL
614.27000000
N
N
N
LONDON CLEARING HOUSE
N/A
PIMCO LCH SWAP 12/21/2027
N/A
12400000.00000000
NC
39373.50000000
0.002154258333
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2027-12-21
0.00000000
HKD
0.00000000
HKD
1569508.47000000
HKD
39373.50000000
N
N
N
ICE-ICE FUTURES LTD
N/A
ICE RTD MONTH COA FUT JAN23 XAF3
N/A
-2.00000000
NC
USD
-159918.74000000
-0.00874969912
N/A
DCO
CORP
GB
N
1
ICE-ICE FUTURES LTD
N/A
Short
COAL
COAL
2023-01-27
-407981.26000000
USD
-159918.74000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
BOVESPA INDEX FUT TRS EQUITY GST SWAP 12/14/2022
N/A
26.00000000
NC
11457.85000000
0.000626898011
N/A
DIR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2022-12-14
0.00000000
BRL
168.04000000
BRL
26.00000000
BRL
11629.23000000
N
N
N
CHICAGO BOARD OPTIONS EXCHANGE
N/A
S and P 500 INDX PUT 3730 02/17/2023
N/A
55.00000000
NC
USD
276100.00000000
0.015106371696
N/A
DE
CORP
US
N
1
CHICAGO BOARD OPTIONS EXCHANGE
N/A
Put
Purchased
S and P 500 INDX
783786106
100.00000000
3730.00000000
USD
2023-02-17
XXXX
-218076.00000000
N
N
N
EURONEXT EQF, EQUITIES AND INDICES DERIVATIVES
N/A
AMSTERDAM IDX FUT DEC22 EOZ2
N/A
2.00000000
NC
1291.61000000
0.000070668383
N/A
DE
CORP
NL
N
1
EURONEXT EQF, EQUITIES AND INDICES DERIVATIVES
N/A
Long
AMSTERDAM EXCHANGES INDEX
EI09AEX
2022-12-16
300265.64000000
EUR
1291.61000000
N
N
N
EUROPEAN ENERGY DERIVATIVES EXCHANGE NV
N/A
TTF NAT GAS F FUT MAR23 TZTH3
N/A
-10.00000000
NC
-185150.18000000
-0.01013019717
N/A
DCO
CORP
NL
N
1
EUROPEAN ENERGY DERIVATIVES EXCHANGE NV
N/A
Short
NATURAL GAS
NATURAL GAS
2023-02-27
-942391.12000000
EUR
-185150.18000000
N
N
N
ICE FUTURES EUROPE - AGRICULTURAL PRODUCTS DIVISION
N/A
COCOA FUTURE - IC MAR23 QCH3
N/A
54.00000000
NC
32863.22000000
0.001798058733
N/A
DCO
CORP
GB
N
1
ICE FUTURES EUROPE - AGRICULTURAL PRODUCTS DIVISION
N/A
Long
COCOA
COCOA
2023-03-16
1247291.78000000
GBP
32863.22000000
N
N
N
LONDON CLEARING HOUSE
N/A
PIMCO LCH SWAP 12/21/27
N/A
-44700000.00000000
NC
15964.41000000
0.000873467263
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2027-12-21
0.00000000
CNY
0.00000000
CNY
-6269777.81000000
CNY
15964.41000000
N
N
N
CHICAGO BOARD OF TRADE
N/A
WHEAT FUTURE(CBT) MAR23 W H3
N/A
-36.00000000
NC
USD
17356.16000000
0.000949614647
N/A
DCO
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Short
WHEAT
WHEAT
2023-03-14
-1449256.16000000
USD
17356.16000000
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
FX Forward: USD/HKD settle 2022-12-14
N/A
1.00000000
NC
N/A
-29.47000000
-0.00000161240
N/A
DFE
CORP
CA
N
2
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
1887000.00000000
HKD
241514.89000000
USD
2022-12-14
-29.47000000
N
N
N
CHICAGO BOARD OF TRADE
N/A
SOYBEAN OIL FUTR MAR23 BOH3
N/A
68.00000000
NC
USD
84470.12000000
0.004621648062
N/A
DCO
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Long
SOYBEAN OIL
SOYBEAN OIL
2023-03-14
2782953.88000000
USD
84470.12000000
N
N
N
LONDON CLEARING HOUSE
N/A
PIMCO LCH SWAP 09/21/27
N/A
-3900000.00000000
NC
-21789.55000000
-0.00119218051
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2027-09-21
0.00000000
SGD
0.00000000
SGD
-2784634.89000000
SGD
-21789.55000000
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
FX Forward: USD/ZAR settle 2023-02-13
N/A
1.00000000
NC
N/A
260.14000000
0.000014233145
N/A
DFE
CORP
GB
N
2
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
393000.00000000
ZAR
22859.66000000
USD
2023-02-13
260.14000000
N
N
N
EUREX DEUTSCHLAND
N/A
EURO STOXX BANK FUT DEC22 CAZ2
N/A
216.00000000
NC
31586.71000000
0.001728216522
N/A
DE
CORP
DE
N
1
EUREX DEUTSCHLAND
N/A
Long
The EURO STOXX Banks Index
SX7E
2022-12-16
1032995.23000000
EUR
31586.71000000
N
N
N
CHICAGO MERCANTILE EXCH INC
SNZ2OJLFK8MNNCLQOF39
IRS MXN 8.6300 11/15/22-5Y* CME
N/A
-63400000.00000000
NC
-14516.08000000
-0.00079422419
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCH INC
SNZ2OJLFK8MNNCLQOF39
Y
2027-11-09
0.00000000
MXN
0.00000000
MXN
-3243107.34000000
MXN
-14516.08000000
N
N
N
CHICAGO BOARD OF TRADE
N/A
SOYBEAN FUTURE MAR23 S H3
N/A
-8.00000000
NC
USD
-22595.56000000
-0.00123628007
N/A
DCO
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Short
SOYBEANS
SOYBEANS
2023-03-14
-567604.44000000
USD
-22595.56000000
N
N
N
CBOE FUTURES EXCHANGE
N/A
CBOE VIX FUTURE DEC22 UXZ2
N/A
-38.00000000
NC
USD
88786.69000000
0.004857822313
N/A
DE
CORP
US
N
1
CBOE FUTURES EXCHANGE
N/A
Short
CBOE SPX VOLATILITY INDX VIX
12497K100
2022-12-21
-929422.69000000
USD
88786.69000000
N
N
N
CHICAGO BOARD OPTIONS EXCHANGE
N/A
CBOE MINI SPX INDEX OPTIONS PUT 364 12/16/2022
N/A
514.00000000
NC
USD
14135.00000000
0.000773374009
N/A
DE
CORP
US
N
1
CHICAGO BOARD OPTIONS EXCHANGE
N/A
Put
Purchased
CBOE MINI SPX INDEX OPTIONS
EI09XSP
100.00000000
364.00000000
USD
2022-12-16
XXXX
-468011.98000000
N
N
N
EATON VANCE MUT FDS TR
549300FGUNKHMTW51F25
Eaton Vance Glbl Macro Abs Ret Advtg A
277923280
13750391.57900000
NS
USD
133791310.06000000
7.320178411775
Long
EC
RF
US
N
1
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: ZAR/USD settle 2022-12-15
N/A
1.00000000
NC
N/A
-6221.28000000
-0.00034038742
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
700000.00000000
USD
12001922.10000000
ZAR
2022-12-15
-6221.28000000
N
N
N
CHICAGO MERCANTILE EXCH INC
SNZ2OJLFK8MNNCLQOF39
NASDAQ 100 E-MINI FUT DEC22 NQZ2
N/A
1.00000000
NC
USD
6612.03000000
0.000361766689
N/A
DE
CORP
US
N
1
CHICAGO MERCANTILE EXCH INC
SNZ2OJLFK8MNNCLQOF39
Long
NASDAQ 100 INDEX (NDX)
EI09NDX
2022-12-16
234232.97000000
USD
6612.03000000
N
N
N
EUREX DEUTSCHLAND
N/A
VSTOXX FUTURE DEC22 FVSZ2
N/A
-185.00000000
NC
29791.95000000
0.001630019088
N/A
DE
CORP
DE
N
1
EUREX DEUTSCHLAND
N/A
Short
EURO STOXX 50 VOLATILITY INDX
V2X
2022-12-21
-438431.25000000
EUR
29791.95000000
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
IRS MYR P 4.00000 12/21/22 5Y GLM SWAP
N/A
19000000.00000000
NC
-19629.71000000
-0.00107400831
N/A
DIR
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
Y
2027-12-21
2963.93000000
MYR
0.00000000
MYR
19000000.00000000
MYR
-22678.71000000
N
N
N
INTERCONTINENTAL EXCHANGE INC
5493000F4ZO33MV32P92
CDX ITRAXX XOV38 5Y ICE 12/20/2027
N/A
1300000.00000000
NC
19908.17000000
0.001089243809
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE INC
5493000F4ZO33MV32P92
GOLDMAN SACHS INTERNATIONAL
CDX ITRAXX XOV38 5Y ICE
Y
2027-12-20
0.00000000
EUR
0.00000000
EUR
1364567.68000000
EUR
19908.17000000
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
FX Forward: PHP/USD settle 2022-12-15
N/A
1.00000000
NC
N/A
6300.22000000
0.000344706501
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
800000.00000000
USD
45545600.00000000
PHP
2022-12-15
6300.22000000
N
N
N
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
SET50 FUT TRS EQTY BULLET GST
N/A
58200.00000000
NC
10431.50000000
0.000570742906
N/A
DIR
CORP
GB
N
2
GOLDMAN SACHS INTERNATIONAL
W22LROWP2IHZNBB6K528
Y
2022-12-29
0.00000000
THB
856.77000000
THB
58200.00000000
THB
11317.54000000
N
N
N
LONDON CLEARING HOUSE
N/A
PIMCO LCH SWAP 03/15/28
N/A
-3214000000.00000000
NC
-217.80000000
-0.00001191658
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2028-03-15
0.00000000
KRW
0.00000000
KRW
-2403177.83000000
KRW
-217.80000000
N
N
N
Fidelity Revere Street Trust
549300BDV45LJNXBZC55
Fidelity Cash Central Fund
31635A105
3997052.38900000
NS
USD
3997851.80000000
0.218736092999
Long
STIV
RF
US
N
1
N
N
N
CHICAGO BOARD OPTIONS EXCHANGE
N/A
S and P 500 INDX PUT 3340 01/20/2023
N/A
50.00000000
NC
USD
30000.00000000
0.001641402212
N/A
DE
CORP
US
N
1
CHICAGO BOARD OPTIONS EXCHANGE
N/A
Put
Purchased
S and P 500 INDX
783786106
100.00000000
3340.00000000
USD
2023-01-20
XXXX
-480001.46000000
N
N
N
ICE-ICE FUTURES LTD
N/A
UK NATURAL GAS FUTJAN23 FNF3
N/A
-10.00000000
NC
-199825.92000000
-0.01093315690
N/A
DCO
CORP
GB
N
1
ICE-ICE FUTURES LTD
N/A
Short
NATURAL GAS
NATURAL GAS
2022-12-29
-1164463.46000000
GBP
-199825.92000000
N
N
N
CHICAGO MERCANTILE EXCH INC
SNZ2OJLFK8MNNCLQOF39
LIVE CATTLE FUTR APR23 LCJ3
N/A
8.00000000
NC
USD
-2420.40000000
-0.00013242833
N/A
DCO
CORP
US
N
1
CHICAGO MERCANTILE EXCH INC
SNZ2OJLFK8MNNCLQOF39
Long
LIVE CATTLE
LIVE CATTLE
2023-04-28
512100.40000000
USD
-2420.40000000
N
N
N
Fidelity Colchester Street Trust
549300SHPEJB1OPRCV46
FIMM MM Government Portfolio - Instl Cl
31607A703
127226537.38000000
NS
USD
127226537.38000000
6.960997331712
Long
EC
RF
US
N
1
N
N
N
MERGER FUND
549300TXJCENVSEMYP88
The Merger Fund A
589509108
9592809.29800000
NS
USD
166818953.69000000
9.127233322768
Long
EC
RF
US
N
1
N
N
N
BANK OF NEW YORK MELLON EMPLOYEE BENEFIT COLLECTIVE INVT FD PLAN.
549300VMOZD9W6DJLT40
BlackRock Systematic Multi-Strat Inv A
09260C109
28467679.28100000
NS
USD
284676792.81000000
15.57563725272
Long
EC
RF
US
N
1
N
N
N
SOUTH AFRICAN FUTURES EXCHANGE
N/A
FTSE/JSE TOP 40 FUT DEC22 AIZ2
N/A
14.00000000
NC
12912.45000000
0.000706484133
N/A
DE
CORP
ZA
N
1
SOUTH AFRICAN FUTURES EXCHANGE
N/A
Long
FTSE/JSE AFRICA TOP 40 INDEX
EI09TOP40
2022-12-15
552230.88000000
ZAR
12912.45000000
N
N
N
ICE-ICE FUTURES LTD
N/A
ICE RTD MONTH COA FUT MAR23 XAH3
N/A
-2.00000000
NC
USD
-152218.74000000
-0.00832840588
N/A
DCO
CORP
GB
N
1
ICE-ICE FUTURES LTD
N/A
Short
COAL
COAL
2023-03-31
-407981.26000000
USD
-152218.74000000
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: USD/MXN settle 2023-03-21
N/A
1.00000000
NC
N/A
0.00000000
0.000000
N/A
DFE
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
0.00000000
MXN
0.00000000
USD
2023-03-21
0.00000000
N
N
N
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
FX Forward: USD/COP settle 2022-12-15
N/A
1.00000000
NC
N/A
-46502.20000000
-0.00254429379
N/A
DFE
CORP
FR
N
2
BNP PARIBAS
R0MUWSFPU8MPRO8K5P83
6031044000.00000000
COP
1200000.00000000
USD
2022-12-15
-46502.20000000
N
N
N
LONDON CLEARING HOUSE
N/A
PIMCO LCH SWAP 09/21/2027
N/A
100900000.00000000
NC
541.17000000
0.000029609254
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2027-09-21
0.00000000
INR
0.00000000
INR
1256021.21000000
INR
541.17000000
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
FX Forward: USD/CHF settle 2022-12-15
N/A
1.00000000
NC
N/A
1505.30000000
0.000082360091
N/A
DFE
CORP
CA
N
2
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
376348.00000000
CHF
400000.00000000
USD
2022-12-15
1505.30000000
N
N
N
EUREX DEUTSCHLAND
N/A
SWISS MKT IX FUTR DEC22 SMZ2
N/A
5.00000000
NC
12529.87000000
0.000685551878
N/A
DE
CORP
DE
N
1
EUREX DEUTSCHLAND
N/A
Long
SWISS MARKET INDX
EI09SMI
2022-12-16
573810.27000000
CHF
12529.87000000
N
N
N
UST BILLS
254900HROIFWPRGM1V77
UST BILLS 0% 02/16/2023
912796YA1
57200000.00000000
PA
USD
56695186.55000000
3.101986821481
Long
DBT
UST
US
N
2
2023-02-16
Fixed
0.00000000
N
N
N
N
N
N
STATE STR INVT TR
549300CCOK7OZZUAS108
State Street Instl US Govt MMkt Premier
857492706
683819.52000000
NS
USD
683819.52000000
0.037414095770
Long
EC
RF
US
N
1
N
N
N
EUREX DEUTSCHLAND
N/A
DAX INDEX FUTURE DEC22 GXZ2
N/A
1.00000000
NC
4395.80000000
0.000240509194
N/A
DE
CORP
DE
N
1
EUREX DEUTSCHLAND
N/A
Long
DAX INDEX (DEUTSCHER AKTIEN INDEX)
EI09DAX
2022-12-16
369352.97000000
EUR
4395.80000000
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
FX Forward: CLP/USD settle 2022-12-15
N/A
1.00000000
NC
N/A
12805.94000000
0.000700656608
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
400000.00000000
USD
368398124.00000000
CLP
2022-12-15
12805.94000000
N
N
N
COMPASS EMP US 500 VOLATILITY WEIGHTED FUND92647P
N/A
Victory Market Neutral Income I
92647P654
15257369.02000000
NS
USD
137468894.87000000
7.521391606575
Long
EC
RF
US
N
1
N
N
N
LoCorr Spectrum Income Fund
N/A
LoCorr Long/Short Commodity Strats A
540132404
9989185.43600000
NS
USD
110879958.34000000
6.066620298246
Long
EC
RF
US
N
1
N
N
N
SINGAPORE EXCHANGE DERIVATIVES CLEARING LTD
N/A
FTSE CHINA A50 FUT DEC22 XUZ2
N/A
-156.00000000
NC
USD
-88373.54000000
-0.00483521746
N/A
DE
CORP
SG
N
1
SINGAPORE EXCHANGE DERIVATIVES CLEARING LTD
N/A
Short
FTSE CHINA A50 INDX
XIN9I
2022-12-29
-1892046.46000000
USD
-88373.54000000
N
N
N
ICE-ICE FUTURES LTD
N/A
ICE RTD MONTH COA FUT FEB23 XAG3
N/A
-2.00000000
NC
USD
-157818.74000000
-0.00863480096
N/A
DCO
CORP
GB
N
1
ICE-ICE FUTURES LTD
N/A
Short
COAL
COAL
2023-02-24
-407981.26000000
USD
-157818.74000000
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: USD/KRW settle 2022-12-15
N/A
1.00000000
NC
N/A
-62853.98000000
-0.00343895539
N/A
DFE
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
2559699000.00000000
KRW
1900000.00000000
USD
2022-12-15
-62853.98000000
N
N
N
MONTREAL EXCHANGE (THE)
N/A
S and P/TSX 60 IX FUT DEC22 PTZ2
N/A
1.00000000
NC
1524.92000000
0.000083433568
N/A
DE
CORP
CA
N
1
MONTREAL EXCHANGE (THE)
N/A
Long
S and P TSX 60 INDEX
EI09SPTSX60
2022-12-15
184237.77000000
CAD
1524.92000000
N
N
N
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
FX Forward: NZD/USD settle 2022-12-15
N/A
1.00000000
NC
N/A
4175.10000000
0.000228433945
N/A
DFE
CORP
US
N
2
BANK OF AMERICA, N.A.
B4TYDEB6GKMZO031MB27
373995.24000000
USD
600000.00000000
NZD
2022-12-15
4175.10000000
N
N
N
INTERCONTINENTAL EXCHANGE INC
5493000F4ZO33MV32P92
PIMCO ICE FUT 12/20/2027
N/A
4200000.00000000
NC
USD
13311.24000000
0.000728303292
N/A
DCR
CORP
US
N
2
INTERCONTINENTAL EXCHANGE INC
5493000F4ZO33MV32P92
GOLDMAN SACHS INTERNATIONAL
CDX 5Y ICE SWAP 12/20/27
Y
2027-12-20
0.00000000
USD
0.00000000
USD
4240952.76000000
USD
13311.24000000
N
N
N
LONDON CLEARING HOUSE
N/A
LCH IRS SONIO2% MAC 03/15/2033
N/A
400000.00000000
NC
-6967.95000000
-0.00038124028
N/A
DIR
CORP
GB
N
2
LONDON CLEARING HOUSE
N/A
Y
2033-03-15
0.00000000
GBP
0.00000000
GBP
435604.64000000
GBP
-6967.95000000
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: USD/IDR settle 2022-12-15
N/A
1.00000000
NC
N/A
-3605.07000000
-0.00019724566
N/A
DFE
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
61419930000.00000000
IDR
3900000.00000000
USD
2022-12-15
-3605.07000000
N
N
N
LONDON METAL EXCHANGE
N/A
LME ZINC FUTURE MAR23 LXH3
N/A
-20.00000000
NC
USD
-20825.00000000
-0.00113940670
N/A
DCO
CORP
GB
N
1
LONDON METAL EXCHANGE
N/A
Short
ZINC
ZINC
2023-03-13
-1497425.00000000
USD
-20825.00000000
N
N
N
STOCKHOLM STOCK EXCHANGE
N/A
OMXS30 IND FUTURE DEC22 QCZ2
N/A
11.00000000
NC
-904.00000000
-0.00004946092
N/A
DE
CORP
SE
N
1
STOCKHOLM STOCK EXCHANGE
N/A
Long
OMX STOCKHOLM INDEX
EI09OMX
2022-12-16
222046.07000000
SEK
-904.00000000
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: USD/MXN settle 2023-03-21
N/A
1.00000000
NC
N/A
0.00000000
0.000000
N/A
DFE
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
0.00000000
MXN
0.00000000
USD
2023-03-21
0.00000000
N
N
N
PIMCO FDS
O7M5VNOD7AVYOESOBU56
PIMCO TRENDS Managed Futures Strat Instl
72201U455
8533936.44400000
NS
USD
106503526.82000000
5.827170818912
Long
EC
RF
US
N
1
N
N
N
NEW YORK MERCANTILE EXCHANGE
N/A
NY HARB ULSD FUT MAR23 HOH3
N/A
2.00000000
NC
USD
701.56000000
0.000038384737
N/A
DCO
CORP
US
N
1
NEW YORK MERCANTILE EXCHANGE
N/A
Long
HEATING OIL
HEATING OIL
2023-02-28
269148.44000000
USD
701.56000000
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
FX Forward: USD/MXN settle 2023-03-21
N/A
1.00000000
NC
N/A
-240.10000000
-0.00001313668
N/A
DFE
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
1026000.00000000
MXN
51910.82000000
USD
2023-03-21
-240.10000000
N
N
N
CHICAGO MERCANTILE EXCH INC
SNZ2OJLFK8MNNCLQOF39
PIMCO CME SWAP 01/04/27
N/A
-18500000.00000000
NC
-53681.11000000
-0.00293707642
N/A
DIR
CORP
US
N
2
CHICAGO MERCANTILE EXCH INC
SNZ2OJLFK8MNNCLQOF39
Y
2027-01-04
0.00000000
BRL
0.00000000
BRL
-3422535.08000000
BRL
-53681.11000000
N
N
N
ICE FUTURES US
N/A
SUGAR #11 (WORLD) FUT MAR23 SBH3
N/A
140.00000000
NC
USD
-39544.40000000
-0.00216360885
N/A
DCO
CORP
US
N
1
ICE FUTURES US
N/A
Long
SUGAR
SUGAR
2023-02-28
3117528.40000000
USD
-39544.40000000
N
N
N
CHICAGO BOARD OPTIONS EXCHANGE
N/A
S and P 500 INDX PUT 2350 09/15/2023
N/A
120.00000000
NC
USD
246000.00000000
0.013459498142
N/A
DE
CORP
US
N
1
CHICAGO BOARD OPTIONS EXCHANGE
N/A
Put
Purchased
S and P 500 INDX
783786106
100.00000000
2350.00000000
USD
2023-09-15
XXXX
-234243.50000000
N
N
N
SINGAPORE EXCHANGE DERIVATIVES CLEARING LTD
N/A
MSCI SING IX ETS FUT DEC22 QZZ2
N/A
-48.00000000
NC
-4830.57000000
-0.00026429694
N/A
DE
CORP
SG
N
1
SINGAPORE EXCHANGE DERIVATIVES CLEARING LTD
N/A
Short
MSCI SINGAPORE INDEX
SIMSCI
2022-12-29
-1030251.37000000
SGD
-4830.57000000
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
FX Forward: USD/SGD settle 2022-12-16
N/A
1.00000000
NC
N/A
-384.81000000
-0.00002105426
N/A
DFE
CORP
CA
N
2
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
61000.00000000
SGD
44446.10000000
USD
2022-12-16
-384.81000000
N
N
N
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
FX Forward: USD/INR settle 2022-12-15
N/A
1.00000000
NC
N/A
-15067.69000000
-0.00082440465
N/A
DFE
CORP
US
N
2
CITIBANK N.A.
E57ODZWZ7FF32TWEFA76
261807360.00000000
INR
3200000.00000000
USD
2022-12-15
-15067.69000000
N
N
N
ROWE T PRICE INTL FUNDS INC
C339HPVTHLLM709WSU55
T. Rowe Price Dynamic Global Bond Inv
77956H575
11344863.51700000
NS
USD
108343446.59000000
5.927839098292
Long
EC
RF
US
N
1
N
N
N
SINGAPORE EXCHANGE DERIVATIVES CLEARING LTD
N/A
FTSE TAIWAN INDEX FUT DEC22 TWTZ2
N/A
-13.00000000
NC
USD
-1830.26000000
-0.00010013976
N/A
DE
CORP
SG
N
1
SINGAPORE EXCHANGE DERIVATIVES CLEARING LTD
N/A
Short
FTSE TAIWAN RIC CAPPED PRICE RETURN TWD INDEX
FTCRTWRP
2022-12-29
-674429.74000000
USD
-1830.26000000
N
N
N
2022-12-30
Stacie M. Smith
Stacie M. Smith
Stacie M. Smith
President and Treasurer