NPORT-P false 0000351601 XXXXXXXX S000028091 C000085555 C000085556 C000178376 C000085557 C000085554 C000085558 RUSSELL INVESTMENT CO 811-03153 0000351601 549300J63VJ9OS4TCK93 1301 SECOND AVENUE 18TH FLOOR SEATTLE 98101 800-787-7354 Commodity Strategies Fund S000028091 1E2MXG7NXLQLNN8B4J13 2020-10-31 2020-04-30 N 246533571.76 9609934.32 236923637.44 0.00000000 44011572.98000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 204296.88000000 0.00000000 0.00000000 4984668.30000000 USD N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 9840.00000000 OU Notional Amount USD -79658.07000000 -0.03362183311 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 EUROBOBCO Calendar Swap EUROBOBCO COM FWD EUROBOBCO CAL21 7.70 12/21 JPM Y equity-performance leg equity-performance leg 2021-12-31 0.00000000 USD -35843.46000000 USD 9840.00000000 USD -43814.61000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -1.00000000 NC USD 967.68000000 0.000408435397 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short WTI Midland (Argus) vs. WTI Trade Month Futures WOTF1 Comdty 2020-12-24 -1297.68000000 USD 967.68000000 N N N AVIATION CAPITAL GROUP 549300ODEK8HY3445C77 05369AAC5 200000.00000000 PA USD 163411.22000000 0.068972105006 Long DBT CORP US Y 2 2023-05-01 Fixed 3.88000000 N N N N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 -5.00000000 NC USD -3708.45000000 -0.00156525116 N/A DCO GB N 2 ICE Futures Europe 549300UF4R84F48NCH34 Short Dated Brent vs Brent 1st Line AGDM20 Comdty 2020-06-30 -13291.55000000 USD -3708.45000000 N N N Crown Castle Towers LLC N/A 22822RBB5 600000.00000000 PA USD 602123.82000000 0.254142569524 Long DBT CORP US Y 2 2022-05-15 Fixed 3.22000000 N N N N N N CASH MGMT BILL 254900HROIFWPRGM1V77 9127964A4 2300000.00000000 PA USD 2298842.34000000 0.970288302526 Long STIV UST US N 2 2020-09-29 None 0.00000000 N N N N N N Canadian Imperial Bank of Commerce 2IGI19DL77OX0HC3ZE78 000000000 100932.54000000 OU Notional Amount USD -5004.77000000 -0.00211239792 N/A DCO CA N 2 Canadian Imperial Bank of Commerce 2IGI19DL77OX0HC3ZE78 CIBC CUSTOM INDEX 17 WITH FEE PIMCODB2 FIN FUT NICKEL LME 07/13/20 652.72000000 USD -32.37000000 USD FIN FUT SOYBEAN MEAL CBT 12/14/20 3108.05000000 USD -154.11000000 USD FIN FUT NICKEL LME 09/14/20 1971.37000000 USD -97.75000000 USD FIN FUT SOYBEAN OIL CBT 07/14/20 569.70000000 USD -28.25000000 USD FIN FUT SOYBEAN MEAL CBT 07/14/20 1882.50000000 USD -93.34000000 USD FIN FUT ZINC LME 09/14/20 2471.20000000 USD -122.54000000 USD FIN FUT COPPER FUTURE CMX 07/29/20 219.32000000 USD -10.87000000 USD FIN FUT COPPER FUTURE CMX 09/28/20 3283.00000000 USD -162.79000000 USD FIN FUT CRUDE OIL NYM 08/20/20 6912.98000000 USD -342.78000000 USD FIN FUT NATURAL GAS NYM 06/26/20 4254.95000000 USD -210.98000000 USD FIN FUT CORN CBT 07/14/20 937.49000000 USD -46.49000000 USD FIN FUT GAS OIL ICE 09/10/20 4351.52000000 USD -215.77000000 USD FIN FUT LIVE CATTLE CME 06/30/20 4486.07000000 USD -222.44000000 USD FIN FUT SUGAR #11 NYB 06/30/20 96.41000000 USD -4.78000000 USD FIN FUT GOLD 100 OZ FUTR 12/29/20 6587.23000000 USD -326.63000000 USD FIN FUT COCOA NYB 09/15/20 777.76000000 USD -38.57000000 USD FIN FUT BRENT CRUDE ICE 09/30/20 8097.61000000 USD -401.52000000 USD FIN FUT SOYBEAN CBT 11/13/20 6967.13000000 USD -345.47000000 USD FIN FUT WHEAT FUTURE KCB 09/14/20 3090.78000000 USD -153.26000000 USD FIN FUT SILVER FUTURE CMX 07/29/20 1691.43000000 USD -83.87000000 USD FIN FUT COTTON NO.2 NYB 07/09/20 2071.57000000 USD -102.72000000 USD FIN FUT PRI ALUM (LME) 07/13/20 653.44000000 USD -32.40000000 USD FIN FUT PLATINUM FUTURE 07/29/20 2158.44000000 USD -107.03000000 USD FIN FUT WHEAT FUTURE CBT 07/14/20 1457.63000000 USD -72.28000000 USD CASH Uninvested USD 852.70000000 USD -42.28000000 USD FIN FUT SOYBEAN CBT 07/14/20 1134.70000000 USD -56.26000000 USD FIN FUT LEAD LME 09/14/20 3122.81000000 USD -154.85000000 USD FIN FUT HEATING OIL NYM 08/31/20 5276.21000000 USD -261.62000000 USD FIN FUT GASOLINE NYM 08/31/20 7902.19000000 USD -391.83000000 USD FIN FUT COCOA NYB 07/16/20 821.09000000 USD -40.71000000 USD FIN FUT COFFEE C NYB 09/18/20 3033.20000000 USD -150.40000000 USD FIN FUT SILVER FUTURE CMX 09/28/20 1300.67000000 USD -64.49000000 USD FIN FUT WHEAT FUTURE KCB 07/14/20 1106.51000000 USD -54.87000000 USD FIN FUT GOLD 100 OZ FUTR 06/26/20 3390.05000000 USD -168.10000000 USD FIN FUT WHEAT FUTURE CBT 09/14/20 4242.10000000 USD -210.35000000 USD Y equity-performance leg 2021-02-16 0.00000000 USD 0.00000000 USD 100932.54000000 USD -5004.77000000 N N N AbbVie Inc FR5LCKFTG8054YNNRU85 00287YAT6 300000.00000000 PA USD 300111.00000000 0.126669927594 Long DBT CORP US N 2 2020-05-14 Fixed 2.50000000 N N N N N N Spirit AeroSystems Inc ZD2NBKV6GCC3UMGBM518 85205TAH3 200000.00000000 PA USD 188119.54000000 0.079400916697 Long DBT CORP US N 2 2021-06-15 Floating 1.54000000 N N N N N N KEURIG DR PEPPER INC DYTQ8KRTKO7Y2BVU5K74 49271VAG5 100000.00000000 PA USD 106992.92000000 0.045159242512 Long DBT CORP US N 2 2023-05-25 Fixed 4.06000000 N N N N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 1.00000000 NC USD -1002.32000000 -0.00042305614 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long WTI Houston (Argus) vs. WTI Trade Month Futures HRTK1 Comdty 2021-04-23 2502.32000000 USD -1002.32000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -1.00000000 NC USD 732.68000000 0.000309247320 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short Nymex Mont Belvieu LDH Propane 5 Decimal OPIS Swap BAPV0 Comdty 2020-10-30 -16377.68000000 USD 732.68000000 N N N Macquarie Bank Limited 4ZHCHI4KYZG2WVRT8631 000000000 4800.00000000 OU Notional Amount USD -366.09000000 -0.00015451814 N/A DCO AU N 2 Macquarie Bank Limited 4ZHCHI4KYZG2WVRT8631 MEHMIDCAL Calendar Swap MEHMIDCAL COM FWD MEHMIDCAL21 1.10 12/31/21 MAC Y equity-performance leg equity-performance leg 2021-12-31 0.00000000 USD 0.00000000 USD 4800.00000000 USD -366.09000000 N N N Campbell Soup Co 5493007JDSMX8Z5Z1902 134429BC2 700000.00000000 PA USD 693874.11000000 0.292868249659 Long DBT CORP US N 2 2021-03-15 Floating 1.37000000 N N N N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 1.00000000 NC USD -882.32000000 -0.00037240691 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long WTI Houston (Argus) vs. WTI Trade Month Futures HRTU1 Comdty 2021-08-25 2502.32000000 USD -882.32000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 1.00000000 NC USD 3849.78000000 0.001624903298 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Brent-Dubai ICE REJ0 Comdty 2020-04-30 2452.22000000 USD 3849.78000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -1.00000000 NC USD 737.68000000 0.000311357704 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short WTI Midland (Argus) vs. WTI Trade Month Futures WOTU1 Comdty 2021-08-25 -1297.68000000 USD 737.68000000 N N N Societe Generale O2RNE8IBXP4R0TD8PU41 000000000 380950.00000000 OU Notional Amount USD 8062.43000000 0.003402965650 N/A DCO FR N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 LBMA Silver Price - Price/USD SLVRLND Index Y equity-performance leg equity-performance leg 2020-06-08 0.00000000 USD 0.00000000 USD 380950.00000000 USD 8062.43000000 N N N London Metal Exchange 213800NB8G5VRT1DXC91 000000000 3.00000000 NC USD -8901.00000000 -0.00375690669 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Long Nickel LNM0 Comdty 2020-06-15 227781.00000000 USD -8901.00000000 N N N London Metal Exchange 213800NB8G5VRT1DXC91 000000000 8.00000000 NC USD -46924.00000000 -0.01980553755 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Long Zinc LXM0 Comdty 2020-06-15 434274.00000000 USD -46924.00000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 1.00000000 NC USD -1104.82000000 -0.00046631902 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Nymex Mont Belvieu Normal Butane 5 Decimal OPIS Swap DAEZ0 Comdty 2020-12-31 16172.32000000 USD -1104.82000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 3600.00000000 OU Notional Amount USD -3393.64000000 -0.00143237713 N/A DCO US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 NAPHTHA vs Dated Brent NAPHTHACO COM FWD NAPHTHACO CA21 -7.* 12/31/21 MYC Y equity-performance leg equity-performance leg 2021-12-31 0.00000000 USD 0.00000000 USD 3600.00000000 USD -3393.64000000 N N N Pernod Ricard SA 52990097YFPX9J0H5D87 714264AD0 700000.00000000 PA USD 733649.43000000 0.309656494357 Long DBT CORP FR Y 2 2022-01-15 Fixed 4.45000000 N N N N N N NEXTERA ENERGY CAPITAL UMI46YPGBLUE4VGNNT48 65339KAW0 100000.00000000 PA USD 103518.17000000 0.043692630722 Long DBT CORP US N 2 2023-01-15 Fixed 2.80000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912796WY1 5000000.00000000 PA USD 4998703.10000000 2.109837226041 Long STIV UST US N 2 2020-07-30 None 0.00000000 N N N N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 1.00000000 NC USD -1810.69000000 -0.00076425046 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Long Brent 1st Line vs Dubai 1st Line AFYQ20 Comdty 2020-08-31 3251.69000000 USD -1810.69000000 N N N London Metal Exchange 213800NB8G5VRT1DXC91 000000000 1.00000000 NC USD 293.75000000 0.000123985096 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Long Aluminum LAN20 Comdty 2020-07-13 36950.00000000 USD 293.75000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -50.00000000 NC USD 1029624.68000000 0.434580817315 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short NY Harb Ultra Low Sulfur Diesel HOZ0 Comdty 2020-11-30 -3222654.68000000 USD 1029624.68000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 1.00000000 NC USD -1222.32000000 -0.00051591306 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long WTI Houston (Argus) vs. WTI Trade Month Futures HRTF1 Comdty 2020-12-24 2502.32000000 USD -1222.32000000 N N N BRITISH TRA INTL FINANCE 549300GGLD5FF6EQTM03 000000000 500000.00000000 PA USD 484192.59000000 0.204366518778 Long DBT CORP NL Y 2 2021-11-04 None 0.00000000 N N N N N N Macquarie Bank Limited 4ZHCHI4KYZG2WVRT8631 000000000 6644.71000000 OU Notional Amount USD -33951.59000000 -0.01433018265 N/A DCO AU N 2 Macquarie Bank Limited 4ZHCHI4KYZG2WVRT8631 EUROBOBCO Calendar Swap EUROBOBCO COM FWD EUROBOBCO CAL21 4.95 12/21 MAC Y equity-performance leg equity-performance leg 2021-12-31 0.00000000 USD -28939.57000000 USD 6644.71000000 USD -5012.02000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 37.00000000 NC USD -11907.72000000 -0.00502597382 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Long White Sugar QWQ0 Comdty 2020-07-16 633877.72000000 USD -11907.72000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 4800.00000000 OU Notional Amount USD -7905.04000000 -0.00333653496 N/A DCO US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 ULSD10ppm vs Dated Brent ULSDCO COM FWD ULSDCO 2H20 10.62 12/31/20 MYC Y equity-performance leg equity-performance leg 2020-12-31 0.00000000 USD 0.00000000 USD 4800.00000000 USD -7905.04000000 N N N Commodities Exchange Center N/A 000000000 -3.00000000 NC USD 6019.03000000 0.002540493664 N/A DCO US N 1 Commodities Exchange Center N/A Short Silver SIN0 Comdty 2020-07-29 -230614.03000000 USD 6019.03000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 1.00000000 NC USD 1949.39000000 0.000822792533 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Gasoline XBM1 Comdty 2021-05-28 40617.61000000 USD 1949.39000000 N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 -0.90000000 NC USD -5271.06000000 -0.00222479278 N/A DCO FR N 3 BNP Paribas R0MUWSFPU8MPRO8K5P83 Call Written BNP Paribas R0MUWSFPU8MPRO8K5P83 BNP Paribas R0MUWSFPU8MPRO8K5P83 N/A 900.00000000 OU Notional Amount N/A -5271.06000000 0.00000000 DCO US FUELCO Calendar Swap FUELCO equity-performance leg equity-performance leg 2020-12-31 0.00000000 N/A 0.00000000 N/A 900.00000000 USD 1000.00000000 13.00000000 USD 2020-12-31 XXXX -3696.06000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 6.00000000 NC USD -27989.29000000 -0.01181363341 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Long Low Sulfur Gas Oil QSZ1 Comdty 2021-12-10 239039.29000000 USD -27989.29000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 1.00000000 NC USD -882.32000000 -0.00037240691 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long WTI Houston (Argus) vs. WTI Trade Month Futures HRTZ1 Comdty 2021-11-24 2502.32000000 USD -882.32000000 N N N United States Treasury 254900HROIFWPRGM1V77 9127962G3 42500000.00000000 PA USD 42479077.68000000 17.92943842116 Long STIV UST US N 2 2020-09-17 None 0.00000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 10.00000000 NC USD 36280.00000000 0.015312950785 N/A DCO US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long Live Cattle LCQ0 Comdty 2020-08-31 332120.00000000 USD 36280.00000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 92.00000000 NC USD 89934.33000000 0.037959205325 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Natural Gas NGM20 Comdty 2020-05-27 1703145.67000000 USD 89934.33000000 N N N Hyundai Capital America 549300RIPPWJB5Z0FK07 44891AAX5 900000.00000000 PA USD 896518.85000000 0.378399918086 Long DBT CORP US Y 2 2020-09-18 Floating 1.69000000 N N N N N N AVIATION CAPITAL GROUP 549300ODEK8HY3445C77 05367AAJ2 500000.00000000 PA USD 433009.96000000 0.182763511770 Long DBT CORP US Y 2 2022-01-20 Fixed 2.88000000 N N N N N N London Metal Exchange 213800NB8G5VRT1DXC91 000000000 -4.00000000 NC USD 3213.00000000 0.001356133155 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Short Lead LLM0 Comdty 2020-06-15 -165938.00000000 USD 3213.00000000 N N N McDonald's Corp UE2136O97NLB5BYP9H04 58013MFG4 300000.00000000 PA USD 296671.51000000 0.125218198237 Long DBT CORP US N 2 2021-10-28 Floating 1.32000000 N N N N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 24.00000000 NC USD -21189.33000000 -0.00894352721 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Light Sweet Crude Oil CLH1 Comdty 2021-02-22 781029.33000000 USD -21189.33000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -1.00000000 NC USD -232.32000000 -0.00009805691 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short LLS Argus v WTI Spread Calendar Swap WJAN0 Comdty 2020-07-31 -547.68000000 USD -232.32000000 N N N United States Treasury 254900HROIFWPRGM1V77 912796SV2 3268000.00000000 PA USD 3267041.83000000 1.378942964619 Long STIV UST US N 2 2020-06-18 None 0.00000000 N N N N N N General Mills Inc 2TGYMUGI08PO8X8L6150 370334CB8 800000.00000000 PA USD 795790.01000000 0.335884599189 Long DBT CORP US N 2 2021-04-16 Floating 1.72000000 N N N N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 1.00000000 NC USD -1002.32000000 -0.00042305614 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long WTI Houston (Argus) vs. WTI Trade Month Futures HRTJ1 Comdty 2021-03-25 2502.32000000 USD -1002.32000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 1.00000000 NC USD -13757.12000000 -0.00580656288 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Ethanol CUAG1 Comdty 2021-02-26 58697.12000000 USD -13757.12000000 N N N Russell Investments Trust Company Commingled Employee Benefit Funds Trust-U.S. Cash Management Fund 845SLB3N6EI7ZN7PZ398 000000000 93775939.80000000 NS USD 93775939.80000000 39.58066017104 Long STIV PF US N N/A N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XCH7 300000.00000000 PA USD 288223.50000000 0.121652488166 Long DBT CORP US N 2 2021-04-09 Floating 2.17000000 N N N N N N ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 000000000 4.00000000 NC USD 2502.72000000 0.001056340358 N/A DCO US N 1 ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 Long Cocoa CCN0 Comdty 2020-07-16 94057.28000000 USD 2502.72000000 N N N Macquarie Bank Limited 4ZHCHI4KYZG2WVRT8631 000000000 7606093.79000000 OU Notional Amount USD -130497.32000000 -0.05507990735 N/A DCO AU N 2 Macquarie Bank Limited 4ZHCHI4KYZG2WVRT8631 Bloomberg Commodity Index Total Return BCOMTR Index Y equity-performance leg 2021-02-16 0.00000000 USD 0.00000000 USD 7606093.79000000 USD -130497.32000000 N N N TTX Co 549300I8CNSYS1OGX775 87305QCK5 550000.00000000 PA USD 549892.26000000 0.232096833368 Long DBT CORP US Y 2 2020-06-15 Fixed 2.60000000 N N N N N N BRISTOL-MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122BF4 900000.00000000 PA USD 914342.56000000 0.385922894768 Long DBT CORP US Y 2 2021-08-15 Fixed 2.25000000 N N N N N N Macquarie Bank Limited 4ZHCHI4KYZG2WVRT8631 000000000 2700.00000000 OU Notional Amount USD -3219.55000000 -0.00135889775 N/A DCO AU N 2 Macquarie Bank Limited 4ZHCHI4KYZG2WVRT8631 LLSDUB (Light Louisiana Sweet/Dubai Heavy) Calendar Swap LLSDUB COM FWD LLSDUB CAL20 -0.30 12/20 MAC Y equity-performance leg equity-performance leg 2020-12-31 0.00000000 USD 0.00000000 USD 2700.00000000 USD -3219.55000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 18.00000000 NC USD -206440.75000000 -0.08713387664 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Light Sweet Crude Oil CLZ3 Comdty 2023-11-20 929140.75000000 USD -206440.75000000 N N N UMBS, TBA N/A 01F030660 100000.00000000 PA USD 105441.05000000 0.044504233996 Long ABS-MBS USGSE US N 2 2050-06-11 Fixed 3.00000000 N N N N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 -2.00000000 NC USD 10719.88000000 0.004524613970 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Short Brent Crude Oil COV0 Comdty 2020-08-28 -72759.88000000 USD 10719.88000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 8172.00000000 OU Notional Amount USD -29342.73000000 -0.01238488920 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 NAP +EBOB + 10PPM + ROT - BRENT calendar swap EURMARG3 COM FWD EURMARG3 G0-Z0 6.90 12/31/20 JPM Y equity-performance leg equity-performance leg 2020-12-31 0.00000000 USD 0.00000000 USD 8172.00000000 USD -29342.73000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -1.00000000 NC USD -102.32000000 -0.00004318691 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short WTI Midland (Argus) vs. WTI Trade Month Futures WOTX0 Comdty 2020-10-23 -47.68000000 USD -102.32000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 900.00000000 OU Notional Amount USD 2551.93000000 0.001077110763 N/A DCO US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 MEHDUB Calendar Swap MEHDUB COM FWD MEHDUB 1H20 0.90 06/30/20 MYC Y equity-performance leg equity-performance leg 2020-06-30 0.00000000 USD 0.00000000 USD 900.00000000 USD 2551.93000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 1.00000000 NC USD -13547.12000000 -0.00571792673 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Ethanol CUAH1 Comdty 2021-03-31 58697.12000000 USD -13547.12000000 N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 000000000 2098553.13000000 OU Notional Amount USD -26722.62000000 -0.01127900123 N/A DCO US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 J.P. Morgan JMABDEWE Commodity Index JMABDEWE CASH Uninvested USD 683144.73000000 USD -8699.05000000 USD LME COPPER FUTURE 06/15/20 47161.01000000 USD -600.54000000 USD FIN FUT NATURAL GAS ICE 05/28/20 44510.89000000 USD -566.79000000 USD FIN FUT SOYBEAN MEAL CBT 07/14/20 122251.47000000 USD -1556.73000000 USD FIN FUT COFFEE C NYB 07/21/20 25242.31000000 USD -321.43000000 USD FIN FUT NICKEL LME 06/15/20 47336.88000000 USD -602.78000000 USD FIN FUT GASOLINE NYM 05/29/20 95800.45000000 USD -1219.91000000 USD FIN FUT NATURAL GAS NYM 05/27/20 46308.32000000 USD -589.68000000 USD FIN FUT HEATING OIL NYM 05/29/20 197780.31000000 USD -2518.50000000 USD FIN FUT SOYBEAN CBT 07/14/20 168139.00000000 USD -2141.05000000 USD FIN FUT BRENT CRUDE ICE 05/29/20 230709.89000000 USD -2937.82000000 USD FIN FUT LEAN HOGS FUTURE CME 06/12/20 26619.78000000 USD -338.97000000 USD FIN FUT COCOA NYB 07/16/20 25463.45000000 USD -324.25000000 USD FIN FUT CORN CBT 07/14/20 121649.56000000 USD -1549.06000000 USD FIN FUT ZINC LME 06/15/20 47651.26000000 USD -606.78000000 USD FIN FUT WHEAT FUTURE CBT 07/14/20 121352.67000000 USD -1545.28000000 USD FIN FUT PRI ALUM (LME) 06/15/20 47431.16000000 USD -603.98000000 USD Y equity-performance leg 2021-02-16 0.00000000 USD 0.00000000 USD 2098553.13000000 USD -26722.62000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -14.00000000 NC USD 60272.93000000 0.025439812865 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short Light Sweet Crude Oil CLZ2 Comdty 2022-11-21 -589892.93000000 USD 60272.93000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 15.00000000 NC USD -104997.76000000 -0.04431713151 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Long Brent Crude Oil COU1 Comdty 2021-07-30 668997.76000000 USD -104997.76000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 11.00000000 NC USD 71972.40000000 0.030377889170 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Platinum PLN0 Comdty 2020-07-29 375177.60000000 USD 71972.40000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 1.00000000 NC USD -1571.69000000 -0.00066337407 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Long Brent 1st Line vs Dubai 1st Line AFYX20 Comdty 2020-11-30 3251.69000000 USD -1571.69000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 -2.00000000 NC USD 1876.62000000 0.000792077996 N/A DCO GB N 2 ICE Futures Europe 549300UF4R84F48NCH34 Short Dated Brent vs Brent 1st Line AGDK20 Comdty 2020-05-29 -8996.62000000 USD 1876.62000000 N N N AVIATION CAPITAL GROUP 549300ODEK8HY3445C77 05367AAA1 200000.00000000 PA USD 180099.90000000 0.076016011718 Long DBT CORP US Y 2 2020-10-15 Fixed 7.13000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -53.00000000 NC USD 1299.44000000 0.000548463637 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short Corn C U0 Comdty 2020-09-14 -866524.44000000 USD 1299.44000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -1.00000000 NC USD -52.32000000 -0.00002208306 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short WTI Midland (Argus) vs. WTI Trade Month Futures WOTV0 Comdty 2020-09-25 -47.68000000 USD -52.32000000 N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XAY2 400000.00000000 PA USD 399256.56000000 0.168516980540 Long DBT CORP US N 2 2020-07-13 Fixed 3.20000000 N N N N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -1.00000000 NC USD 737.68000000 0.000311357704 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short WTI Midland (Argus) vs. WTI Trade Month Futures WOTX1 Comdty 2021-10-25 -1297.68000000 USD 737.68000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 1.00000000 NC USD -882.32000000 -0.00037240691 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long WTI Houston (Argus) vs. WTI Trade Month Futures HRTV1 Comdty 2021-09-24 2502.32000000 USD -882.32000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 32465623.13000000 OU Notional Amount USD -107067.83000000 -0.04519086029 N/A DCO US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 Bloomberg Commodity Index BCOM Index Y equity-performance leg 2021-03-15 0.00000000 USD 0.00000000 USD 32465623.13000000 USD -107067.83000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 -43.00000000 NC USD 114070.40000000 0.048146483496 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Short Low Sulfur Gas Oil QSZ0 Comdty 2020-12-10 -1423420.40000000 USD 114070.40000000 N N N Kraft Heinz Foods Co 5493003STKEZ2S0RNU91 50077LAH9 53000.00000000 PA USD 52898.39000000 0.022327189710 Long DBT CORP US N 2 2020-07-02 Fixed 2.80000000 N N N N N N Masco Corp 5GCSNMQXHEYA1JO8QN11 574599BK1 900000.00000000 PA USD 907230.51000000 0.382921062584 Long DBT CORP US N 2 2021-04-01 Fixed 3.50000000 N N N N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 -2.00000000 NC USD -2213.38000000 -0.00093421662 N/A DCO GB N 2 ICE Futures Europe 549300UF4R84F48NCH34 Short Dated Brent vs Brent 1st Line AGDZ20 Comdty 2020-12-31 -1146.62000000 USD -2213.38000000 N N N FLORIDA GAS TRANSMISSION 549300Q0UQF87NXNOC32 340711AT7 400000.00000000 PA USD 401609.70000000 0.169510186632 Long DBT CORP US Y 2 2020-07-15 Fixed 5.45000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 -4.00000000 NC USD -1240.00000000 -0.00052337538 N/A DCO US N 1 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Call Written Natural Gas CSO IWV0IWF1 Comdty 10000.00000000 0.30000000 USD 2020-09-25 XXXX -93.88000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -1.00000000 NC USD -200.00000000 -0.00008441538 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short WTI Houston (Argus) vs. WTI Trade Month Futures HRTN0 Comdty 2020-06-25 -1430.00000000 USD -200.00000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 1.00000000 NC USD -1428.22000000 -0.00060281870 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Brent-Dubai ICE REN0 Comdty 2020-07-30 2452.22000000 USD -1428.22000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 10800.00000000 OU Notional Amount USD -45784.28000000 -0.01932448804 N/A DCO US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 NAP +EBOB + 10PPM + ROT - BRENT calendar swap EURMARG3 COM FWD EURMARG3 G0-Z0 7.55 12/31/20 MYC Y equity-performance leg equity-performance leg 2020-12-31 0.00000000 USD 0.00000000 USD 10800.00000000 USD -45784.28000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 37.00000000 NC USD 24268.30000000 0.010243089403 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long Soybean Oil BOZ0 Comdty 2020-12-14 584011.70000000 USD 24268.30000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 30000.00000000 OU Notional Amount USD 11156.91000000 0.004709074248 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Wheat W N0 Comdty Y equity-performance leg equity-performance leg 2020-06-26 0.00000000 USD 0.00000000 USD 30000.00000000 USD 11156.91000000 N N N Kraft Heinz Foods Co 5493003STKEZ2S0RNU91 50077LAP1 800000.00000000 PA USD 788478.65000000 0.332798642853 Long DBT CORP US N 2 2021-02-10 Floating 2.30000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9127962W8 1000000.00000000 PA USD 999875.59000000 0.422024412930 Long STIV UST US N 2 2020-06-23 None 0.00000000 N N N N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -1.00000000 NC USD 737.68000000 0.000311357704 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short WTI Midland (Argus) vs. WTI Trade Month Futures WOTZ1 Comdty 2021-11-24 -1297.68000000 USD 737.68000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 16.00000000 NC USD -321111.64000000 -0.13553381311 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Light Sweet Crude Oil CLK1 Comdty 2021-04-20 842871.64000000 USD -321111.64000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -58.00000000 NC USD 9189.92000000 0.003878853161 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short Light Sweet Crude Oil CLZ1 Comdty 2021-11-19 -2036289.92000000 USD 9189.92000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 7200.00000000 OU Notional Amount USD 43576.62000000 0.018392685707 N/A DCO GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 HOBR(Heating Oil/Brent) Calendar Swap HOBR COM FWD HOBR CAL21 17.32 12/31/21 GST Y equity-performance leg equity-performance leg 2021-12-31 0.00000000 USD 0.00000000 USD 7200.00000000 USD 43576.62000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -3.00000000 NC USD -12180.00000000 -0.00514089692 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Call Written New York Mercantile Exchange 5493008GFNDTXFPHWI47 New York Mercantile Exchange 5493008GFNDTXFPHWI47 N/A 150.00000000 NC N/A -12180.00000000 -0.01000000 DCO US Short Platinum PLN0 Comdty 2020-07-29 150.00000000 USD 50.00000000 775.00000000 USD 2020-06-17 XXXX -7315.86000000 N N N SEVEN & I HOLDINGS 52990037G8JRM3TWGY86 81783HAA3 900000.00000000 PA USD 914313.09000000 0.385910456161 Long DBT CORP JP Y 2 2021-09-17 Fixed 3.35000000 N N N N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -1.00000000 NC USD 917.68000000 0.000387331551 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short WTI Midland (Argus) vs. WTI Trade Month Futures WOTG1 Comdty 2021-01-25 -1297.68000000 USD 917.68000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -36.00000000 NC USD -67265.01000000 -0.02839100848 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short Light Sweet Crude Oil CLZ0 Comdty 2020-11-20 -999054.99000000 USD -67265.01000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -105.00000000 NC USD -27455.80000000 -0.01158845959 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short Soybean Meal SMZ0 Comdty 2020-12-14 -3100494.20000000 USD -27455.80000000 N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 675.00000000 OU Notional Amount USD -3368.96000000 -0.00142196027 N/A DCO FR N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 NAP +EBOB + 10PPM + ROT - BRENT calendar swap EURMARG3 COM FWD EURMARG3 4Q20 6.10 12/31/20 BPS Y equity-performance leg equity-performance leg 2020-12-31 0.00000000 USD -225.00000000 USD 675.00000000 USD -3143.96000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 70000.00000000 OU Notional Amount USD 31448.97000000 0.013273884505 N/A DCO US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 KC HRW Wheat KWN0 Comdty Y equity-performance leg equity-performance leg 2020-06-26 0.00000000 USD 0.00000000 USD 70000.00000000 USD 31448.97000000 N N N London Metal Exchange 213800NB8G5VRT1DXC91 000000000 3.00000000 NC USD -16531.03000000 -0.00697736628 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Long Aluminum LAK20 Comdty 2020-05-18 126537.28000000 USD -16531.03000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 -12.00000000 NC USD 28396.85000000 0.011985655085 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Short Brent Crude Oil COZ2 Comdty 2022-10-31 -536596.85000000 USD 28396.85000000 N N N FED HOME LN DISCOUNT NT 2549001DPIFGXC1TOL40 313384YT0 3200000.00000000 PA USD 3199580.45000000 1.350469072892 Long DBT USGSE US N 2 2020-06-29 None 0.00000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 4.00000000 NC USD -16.65000000 -0.00000702758 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long Soybean Meal SMN0 Comdty 2020-07-14 118056.65000000 USD -16.65000000 N N N CVS Health Corp 549300EJG376EN5NQE29 126650DD9 200000.00000000 PA USD 199592.07000000 0.084243206864 Long DBT CORP US N 2 2021-03-09 Floating 1.72000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 600.00000000 OU Notional Amount USD -2156.25000000 -0.00091010336 N/A DCO GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 NAP +EBOB + 10PPM + ROT - BRENT calendar swap EURMARG3 COM FWD EURMARG3 4Q20 5.95 12/31/20 GST Y equity-performance leg equity-performance leg 2020-12-31 0.00000000 USD 0.00000000 USD 600.00000000 USD -2156.25000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 211.00000000 NC USD -195302.35000000 -0.08243261504 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long Wheat W U0 Comdty 2020-09-14 5765702.35000000 USD -195302.35000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -1.00000000 NC USD 797.68000000 0.000336682320 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short WTI Midland (Argus) vs. WTI Trade Month Futures WOTK1 Comdty 2021-04-23 -1297.68000000 USD 797.68000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 4.00000000 NC USD -5153.48000000 -0.00217516498 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Ethanol CUAK0 Comdty 2020-05-29 169373.48000000 USD -5153.48000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -1.00000000 NC USD -2352.32000000 -0.00099285998 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short WTI Midland (Argus) vs. WTI Trade Month Futures WOTM0 Comdty 2020-05-22 -147.68000000 USD -2352.32000000 N N N CANADIAN PACIFIC RR CO 54930036474DURYNB481 13645RAP9 400000.00000000 PA USD 416850.26000000 0.175942875309 Long DBT CORP CA N 2 2022-01-15 Fixed 4.50000000 N N N N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 1.00000000 NC USD -772.22000000 -0.00032593624 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Brent-Dubai ICE REX0 Comdty 2020-11-30 2452.22000000 USD -772.22000000 N N N London Metal Exchange 213800NB8G5VRT1DXC91 000000000 -1.00000000 NC USD 84.00000000 0.000035454461 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Short Nickel LNN0 Comdty 2020-07-13 -73182.00000000 USD 84.00000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 35000.00000000 OU Notional Amount USD 3144.89000000 0.001327385496 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 KC HRW Wheat KWN0 Comdty Y equity-performance leg equity-performance leg 2020-06-26 0.00000000 USD 0.00000000 USD 35000.00000000 USD 3144.89000000 N N N Canadian Imperial Bank of Commerce 2IGI19DL77OX0HC3ZE78 000000000 11835318.90000000 OU Notional Amount USD -203057.88000000 -0.08570604528 N/A DCO CA N 2 Canadian Imperial Bank of Commerce 2IGI19DL77OX0HC3ZE78 Bloomberg Commodity Index Total Return BCOMTR Index Y equity-performance leg 2021-02-16 0.00000000 USD 0.00000000 USD 11835318.90000000 USD -203057.88000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 1.00000000 NC USD -11104.43000000 -0.00468692365 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Light Sweet Crude Oil CLM3 Comdty 2023-05-22 50094.43000000 USD -11104.43000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 6.00000000 NC USD -111207.92000000 -0.04693829674 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Ethanol CUAJ0 Comdty 2020-04-30 338007.92000000 USD -111207.92000000 N N N ERAC USA Finance LLC LTKX5ODQW6Z7BQ2K1V47 26884TAQ5 700000.00000000 PA USD 702219.91000000 0.296390819247 Long DBT CORP US Y 2 2021-12-01 Fixed 2.60000000 N N N N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 2.00000000 NC USD -30873.07000000 -0.01303081040 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Gasoline XBV0 Comdty 2020-09-30 95586.67000000 USD -30873.07000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -1.00000000 NC USD -312.32000000 -0.00013182306 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short LLS Argus v WTI Spread Calendar Swap WJAU0 Comdty 2020-09-30 -547.68000000 USD -312.32000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 1.00000000 NC USD -1152.32000000 -0.00048636768 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long WTI Houston (Argus) vs. WTI Trade Month Futures HRTG1 Comdty 2021-01-25 2502.32000000 USD -1152.32000000 N N N Newcrest Finance Pty Ltd 549300I0XDZ4K7PDSS04 65120FAA2 400000.00000000 PA USD 411692.42000000 0.173765870070 Long DBT CORP AU Y 2 2021-11-15 Fixed 4.45000000 N N N N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 1.00000000 NC USD -1663.69000000 -0.00070220515 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Long Brent 1st Line vs Dubai 1st Line AFYU20 Comdty 2020-09-30 3251.69000000 USD -1663.69000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 3.00000000 NC USD -19293.72000000 -0.00814343398 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long NY Harb Ultra Low Sulfur Diesel HOZ0 Comdty 2020-11-30 150875.52000000 USD -19293.72000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 3240.00000000 OU Notional Amount USD 9345.61000000 0.003944566317 N/A DCO US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 MEHDUB Calendar Swap MEHDUB COM FWD MEHDUB 1H20 1.18 06/30/20 CBK Y equity-performance leg equity-performance leg 2020-06-30 240.00000000 USD 0.00000000 USD 3240.00000000 USD 9105.61000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 30000.00000000 OU Notional Amount USD 8461.29000000 0.003571315252 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Wheat W N0 Comdty Y equity-performance leg equity-performance leg 2020-06-26 0.00000000 USD 0.00000000 USD 30000.00000000 USD 8461.29000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 70000.00000000 OU Notional Amount USD 3494.33000000 0.001474876056 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 KC HRW Wheat KWN0 Comdty Y equity-performance leg equity-performance leg 2020-06-26 0.00000000 USD 0.00000000 USD 70000.00000000 USD 3494.33000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 1.00000000 NC USD -873.69000000 -0.00036876438 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Long Brent 1st Line vs Dubai 1st Line AFYK20 Comdty 2020-05-29 2091.69000000 USD -873.69000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -9.00000000 NC USD -14562.00000000 -0.00614628416 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Call Written New York Mercantile Exchange 5493008GFNDTXFPHWI47 New York Mercantile Exchange 5493008GFNDTXFPHWI47 N/A 90000.00000000 NC N/A -14562.00000000 -0.01000000 DCO US Short Natural Gas NGN20 Comdty 2020-06-26 90000.00000000 USD 10000.00000000 2.30000000 USD 2020-06-25 XXXX -5851.97000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 600.00000000 OU Notional Amount USD -2096.43000000 -0.00088485472 N/A DCO US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 NAP +EBOB + 10PPM + ROT - BRENT calendar swap EURMARG3 COM FWD EURMARG3 4Q20 5.85 12/31/20 MYC Y equity-performance leg equity-performance leg 2020-12-31 0.00000000 USD 0.00000000 USD 600.00000000 USD -2096.43000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 1200.00000000 OU Notional Amount USD -399.01000000 -0.00016841291 N/A DCO US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 NAP +EBOB + 10PPM + ROT - BRENT calendar swap EURMARG3 COM FWD EURMARG3 CAL21 3.45 12/31/21 MYC Y equity-performance leg equity-performance leg 2021-12-31 0.00000000 USD 0.00000000 USD 1200.00000000 USD -399.01000000 N N N Societe Generale O2RNE8IBXP4R0TD8PU41 000000000 24232138.69000000 OU Notional Amount USD -414861.31000000 -0.17510338541 N/A DCO FR N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 BCOM Post Roll TR (BCOMMTR) BCOMTR2B FIN FUT LIVE CATTLE CME 06/30/20 838088.46000000 USD -14348.32000000 USD FIN FUT NICKEL LME 07/13/20 738582.22000000 USD -12644.74000000 USD FIN FUT NATURAL GAS NYM 06/26/20 2462167.27000000 USD -42153.02000000 USD FIN FUT COPPER FUTURE CMX 07/29/20 1792403.99000000 USD -30686.48000000 USD FIN FUT SUGAR #11 NYB 06/30/20 704842.23000000 USD -12067.11000000 USD FIN FUT ZINC LME 07/13/20 866985.99000000 USD -14843.05000000 USD FIN FUT SOYBEAN CBT 07/14/20 1567227.52000000 USD -26831.39000000 USD FIN FUT CORN CBT 07/14/20 1489832.27000000 USD -25506.36000000 USD FIN FUT PRI ALUM (LME) 07/13/20 1091512.09000000 USD -18687.01000000 USD FIN FUT WHEAT FUTURE CBT 07/14/20 889518.22000000 USD -15228.81000000 USD FIN FUT CRUDE OIL NYM 06/22/20 857166.51000000 USD -14674.94000000 USD FIN FUT HEATING OIL NYM 06/30/20 282303.65000000 USD -4833.12000000 USD FIN FUT COFFEE C NYB 07/21/20 722848.51000000 USD -12375.38000000 USD FIN FUT GASOLINE NYM 06/30/20 323041.32000000 USD -5530.56000000 USD FIN FUT GAS OIL ICE 07/10/20 347834.12000000 USD -5955.02000000 USD FIN FUT BRENT CRUDE ICE 05/29/20 834348.62000000 USD -14284.29000000 USD FIN FUT SOYBEAN OIL CBT 07/14/20 681112.00000000 USD -11660.84000000 USD FIN FUT SOYBEAN MEAL CBT 07/14/20 990414.67000000 USD -16956.19000000 USD FIN FUT COTTON NO.2 NYB 07/09/20 375803.80000000 USD -6433.87000000 USD FIN FUT GOLD 100 OZ FUTR 06/26/20 4498965.22000000 USD -77023.60000000 USD FIN FUT WHEAT FUTURE KCB 07/14/20 468506.82000000 USD -8020.97000000 USD FIN FUT SILVER FUTURE CMX 07/29/20 943987.11000000 USD -16161.34000000 USD FIN FUT LEAN HOGS FUTURE CME 06/12/20 464646.10000000 USD -7954.88000000 USD Y equity-performance leg 2021-02-16 0.00000000 USD 0.00000000 USD 24232138.69000000 USD -414861.31000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 1.00000000 NC USD -801.22000000 -0.00033817647 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Brent-Dubai ICE REV0 Comdty 2020-10-30 2452.22000000 USD -801.22000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 -14.00000000 NC USD 225843.09000000 0.095323156625 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Short Low Sulfur Gas Oil QSU0 Comdty 2020-09-10 -629043.09000000 USD 225843.09000000 N N N Macquarie Bank Limited 4ZHCHI4KYZG2WVRT8631 000000000 2610938.61000000 OU Notional Amount USD -129429.11000000 -0.05462904056 N/A DCO AU N 2 Macquarie Bank Limited 4ZHCHI4KYZG2WVRT8631 Macquarie Commodity Product 235E PIMCODB1 FIN FUT COCOA NYB 09/15/20 20119.16000000 USD -997.34000000 USD FIN FUT SOYBEAN OIL CBT 07/14/20 14737.17000000 USD -730.55000000 USD FIN FUT BRENT CRUDE ICE 09/30/20 209470.35000000 USD -10383.84000000 USD FIN FUT LEAD LME 09/14/20 80781.45000000 USD -4004.49000000 USD FIN FUT WHEAT FUTURE KCB 09/14/20 79952.89000000 USD -3963.41000000 USD FIN FUT WHEAT FUTURE KCB 07/14/20 28623.24000000 USD -1418.91000000 USD FIN FUT COCOA NYB 07/16/20 21240.08000000 USD -1052.91000000 USD FIN FUT COTTON NO.2 NYB 07/09/20 53587.71000000 USD -2656.44000000 USD FIN FUT GAS OIL ICE 09/10/20 112565.89000000 USD -5580.10000000 USD FIN FUT SILVER FUTURE CMX 07/29/20 43754.21000000 USD -2168.98000000 USD FIN FUT PRI ALUM (LME) 07/13/20 16903.24000000 USD -837.93000000 USD FIN FUT SOYBEAN CBT 11/13/20 180226.90000000 USD -8934.18000000 USD FIN FUT NICKEL LME 07/13/20 16884.67000000 USD -837.00000000 USD FIN FUT SOYBEAN MEAL CBT 07/14/20 48696.71000000 USD -2413.99000000 USD FIN FUT COPPER FUTURE CMX 07/29/20 5673.33000000 USD -281.24000000 USD FIN FUT SILVER FUTURE CMX 09/28/20 33645.87000000 USD -1667.89000000 USD FIN FUT COPPER FUTURE CMX 09/28/20 84925.09000000 USD -4209.90000000 USD FIN FUT PLATINUM FUTURE 07/29/20 55834.80000000 USD -2767.84000000 USD CASH Uninvested USD 22057.66000000 USD -1093.44000000 USD FIN FUT GOLD 100 OZ FUTR 12/29/20 170399.45000000 USD -8447.02000000 USD FIN FUT CRUDE OIL NYM 08/20/20 178826.03000000 USD -8864.74000000 USD FIN FUT SOYBEAN MEAL CBT 12/14/20 80399.61000000 USD -3985.56000000 USD FIN FUT CORN CBT 07/14/20 24251.25000000 USD -1202.18000000 USD FIN FUT GASOLINE NYM 08/31/20 204415.16000000 USD -10133.24000000 USD FIN FUT COFFEE C NYB 09/18/20 78463.20000000 USD -3889.57000000 USD FIN FUT ZINC LME 09/14/20 63925.47000000 USD -3168.90000000 USD FIN FUT SOYBEAN CBT 07/14/20 29352.60000000 USD -1455.06000000 USD FIN FUT WHEAT FUTURE CBT 09/14/20 109735.40000000 USD -5439.79000000 USD FIN FUT LIVE CATTLE CME 06/30/20 116046.27000000 USD -5752.63000000 USD FIN FUT SUGAR #11 NYB 06/30/20 2494.05000000 USD -123.63000000 USD FIN FUT NATURAL GAS NYM 06/26/20 110067.78000000 USD -5456.27000000 USD FIN FUT WHEAT FUTURE CBT 07/14/20 37706.09000000 USD -1869.16000000 USD FIN FUT NICKEL LME 09/14/20 50995.60000000 USD -2527.95000000 USD FIN FUT HEATING OIL NYM 08/31/20 136485.87000000 USD -6765.86000000 USD FIN FUT GOLD 100 OZ FUTR 06/26/20 87694.38000000 USD -4347.17000000 USD Y equity-performance leg equity-performance leg 2021-02-16 0.00000000 USD 0.00000000 USD 2610938.61000000 USD -129429.11000000 N N N ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 000000000 -46.00000000 NC USD 43295.20000000 0.018273904819 N/A DCO US N 1 ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 Short Sugar SBN0 Comdty 2020-06-30 -577557.60000000 USD 43295.20000000 N N N DELL INT LLC / EMC CORP N/A 25272KAD5 1400000.00000000 PA USD 1427271.40000000 0.602418321541 Long DBT CORP US Y 2 2021-06-15 Fixed 4.42000000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 2400.00000000 OU Notional Amount USD -12908.44000000 -0.00544835464 N/A DCO US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 EUROBOBCO Calendar Swap EUROBOBCO COM FWD EUROBOBCO CAL21 4.97 12/21 MYC Y equity-performance leg equity-performance leg 2021-12-31 0.00000000 USD 0.00000000 USD 2400.00000000 USD -12908.44000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 9000.00000000 OU Notional Amount USD -4613.71000000 -0.00194734052 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 MEHCO (Huston/Brent) Calendar Swap MEHCO COM FWD MEHCO CAL20 -3.10 12/31/20 JPM Y equity-performance leg equity-performance leg 2020-12-31 0.00000000 USD 0.00000000 USD 9000.00000000 USD -4613.71000000 N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 28140.00000000 OU Notional Amount USD -133987.98000000 -0.05655323438 N/A DCO FR N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 NAP +EBOB + 10PPM + ROT - BRENT calendar swap EURMARG3 COM FWD EURMARG3 CAL20 8.05 12/31/20 BPS Y equity-performance leg equity-performance leg 2020-12-31 0.00000000 USD -138.00000000 USD 28140.00000000 USD -133849.98000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 39.00000000 NC USD -457738.39000000 -0.19320081142 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Long Low Sulfur Gas Oil QSZ0 Comdty 2020-12-10 1645288.39000000 USD -457738.39000000 N N N SABINE PASS LIQUEFACTION 549300KJYBG7C6WJYZ11 785592AE6 900000.00000000 PA USD 900000.92000000 0.379869619479 Long DBT CORP US N 2 2021-02-01 Fixed 5.63000000 N N N N N N London Metal Exchange 213800NB8G5VRT1DXC91 000000000 3.00000000 NC USD -2034.00000000 -0.00085850446 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Long Lead LLZ0 Comdty 2020-12-14 126009.00000000 USD -2034.00000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 1.00000000 NC USD -2227.69000000 -0.00094025654 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Long Brent 1st Line vs Dubai 1st Line AFYN20 Comdty 2020-07-31 3251.69000000 USD -2227.69000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 1.00000000 NC USD -2085.43000000 -0.00088021187 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Gasoline XBQ0 Comdty 2020-07-31 36777.43000000 USD -2085.43000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 4650268.20000000 OU Notional Amount USD 84371.51000000 0.035611267373 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 JP Morgan FNJ 2 Index JMABFNJ2 FIN FUT NICKEL LME 09/14/20 83523.03000000 USD 1515.39000000 USD FIN FUT SILVER FUTURE CMX 07/29/20 70525.07000000 USD 1279.56000000 USD FIN FUT GASOLINE NYM 08/31/20 65157.74000000 USD 1182.18000000 USD FIN FUT COCOA NYB 09/15/20 30894.07000000 USD 560.52000000 USD FIN FUT ZINC LME 09/14/20 101000.56000000 USD 1832.49000000 USD FIN FUT GAS OIL ICE 09/10/20 92894.47000000 USD 1685.42000000 USD FIN FUT SOYBEAN CBT 11/13/20 144467.69000000 USD 2621.13000000 USD FIN FUT SUGAR #11 NYB 09/30/20 89339.87000000 USD 1620.93000000 USD FIN FUT PRI ALUM (LME) 09/14/20 181670.56000000 USD 3296.12000000 USD FIN FUT CORN CBT 09/14/20 156878.48000000 USD 2846.30000000 USD FIN FUT NATURAL GAS NYM 08/27/20 29510.56000000 USD 535.42000000 USD CASH Uninvested USD 2790323.30000000 USD 50625.85000000 USD FIN FUT WHEAT FUTURE CBT 09/14/20 66941.19000000 USD 1214.54000000 USD FIN FUT LEAD LME 09/14/20 130194.64000000 USD 2362.17000000 USD FIN FUT PLATINUM FUTURE 07/29/20 78444.99000000 USD 1423.26000000 USD FIN FUT COTTON NO.2 NYB 12/08/20 32106.28000000 USD 582.52000000 USD FIN FUT COPPER FUTURE CMX 09/28/20 136882.65000000 USD 2483.51000000 USD FIN FUT HEATING OIL NYM 08/31/20 93818.50000000 USD 1702.18000000 USD FIN FUT CRUDE OIL NYM 08/20/20 54035.74000000 USD 980.39000000 USD FIN FUT GOLD 100 OZ FUTR 06/26/20 141280.83000000 USD 2563.31000000 USD FIN FUT BRENT CRUDE ICE 09/30/20 80377.97000000 USD 1458.33000000 USD Y equity-performance leg equity-performance leg 2020-12-31 0.00000000 USD 0.00000000 USD 4650268.20000000 USD 84371.51000000 N N N CASH MGMT BILL 254900HROIFWPRGM1V77 9127963G2 600000.00000000 PA USD 599882.66000000 0.253196627606 Long STIV UST US N 2 2020-07-28 None 0.00000000 N N N N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -1.00000000 NC USD 3147.68000000 0.001328563090 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short WTI Houston (Argus) vs. WTI Trade Month Futures HRTV0 Comdty 2020-09-25 -4147.68000000 USD 3147.68000000 N N N FED HOME LN DISCOUNT NT 2549001DPIFGXC1TOL40 313384YQ6 800000.00000000 PA USD 799975.93000000 0.337651379424 Long DBT USGSE US N 2 2020-06-26 None 0.00000000 N N N N N N ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 000000000 -166.00000000 NC USD -60240.04000000 -0.02542593075 N/A DCO US N 1 ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 Short Sugar SBV0 Comdty 2020-09-30 -1916089.56000000 USD -60240.04000000 N N N ERAC USA Finance LLC LTKX5ODQW6Z7BQ2K1V47 26884TAD4 200000.00000000 PA USD 205662.94000000 0.086805580997 Long DBT CORP US Y 2 2021-08-16 Fixed 4.50000000 N N N N N N TRANSCANADA PIPELINES 5BV01I6231JPDAPMGH09 893526DK6 300000.00000000 PA USD 301614.39000000 0.127304473820 Long DBT CORP CA N 2 2020-10-01 Fixed 3.80000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 70000.00000000 OU Notional Amount USD 5940.34000000 0.002507280431 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Wheat W N0 Comdty Y equity-performance leg equity-performance leg 2020-06-26 0.00000000 USD 0.00000000 USD 70000.00000000 USD 5940.34000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 5.00000000 NC USD 8669.45000000 0.003659174784 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Ethanol CUAN0 Comdty 2020-07-31 202905.55000000 USD 8669.45000000 N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 000000000 -4.50000000 NC USD -115.54000000 -0.00004876676 N/A DCO US N 3 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Call Written J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 N/A 4500.00000000 OU Notional Amount N/A -115.54000000 0.00000000 DCO US QSCO Calendar Swap QSCO equity-performance leg equity-performance leg 2020-12-31 0.00000000 N/A 0.00000000 N/A 4500.00000000 USD 1000.00000000 18.10000000 USD 2020-12-31 XXXX 11584.46000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 156.00000000 NC USD -1419830.40000000 -0.59927764715 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Long Brent Crude Oil COZ1 Comdty 2021-10-29 7457030.40000000 USD -1419830.40000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -3.00000000 NC USD -1384.35000000 -0.00058430218 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short Platinum PLN0 Comdty 2020-07-29 -120565.65000000 USD -1384.35000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -1.00000000 NC USD 417.68000000 0.000176293089 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short Nymex Mont Belvieu LDH Propane 5 Decimal OPIS Swap BAPZ0 Comdty 2020-12-31 -16377.68000000 USD 417.68000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 900.00000000 OU Notional Amount USD 2731.75000000 0.001153008635 N/A DCO GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 MEHDUB Calendar Swap MEHDUB COM FWD MEHDUB 1H20 1.10 06/30/20 GST Y equity-performance leg equity-performance leg 2020-06-30 0.00000000 USD 0.00000000 USD 900.00000000 USD 2731.75000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 2400.00000000 OU Notional Amount USD -6787.10000000 -0.00286467828 N/A DCO GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 HOBR(Heating Oil/Brent) Calendar Swap HOBR COM FWD HOBR CAL21 14.08 12/31/21 GST Y equity-performance leg equity-performance leg 2021-12-31 0.00000000 USD 0.00000000 USD 2400.00000000 USD -6787.10000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -1.00000000 NC USD 2917.68000000 0.001231485398 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short WTI Houston (Argus) vs. WTI Trade Month Futures HRTZ0 Comdty 2020-11-25 -4147.68000000 USD 2917.68000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 22.00000000 NC USD -44555.10000000 -0.01880567953 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Light Sweet Crude Oil CLM2 Comdty 2022-05-20 847335.10000000 USD -44555.10000000 N N N VMware Inc 549300BUDHS3LRWBE814 928563AA3 600000.00000000 PA USD 600534.64000000 0.253471813318 Long DBT CORP US N 2 2020-08-21 Fixed 2.30000000 N N N N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 6.00000000 NC USD -54212.71000000 -0.02288193385 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Ethanol CUAX0 Comdty 2020-11-30 319442.71000000 USD -54212.71000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 9000.00000000 OU Notional Amount USD -4613.71000000 -0.00194734052 N/A DCO US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 MEHCO (Huston/Brent) Calendar Swap MEHCO COM FWD MEHCO CAL20 -3.10 12/31/20 CBK Y equity-performance leg equity-performance leg 2020-12-31 0.00000000 USD 0.00000000 USD 9000.00000000 USD -4613.71000000 N N N United States Treasury 254900HROIFWPRGM1V77 912796TX7 13000000.00000000 PA USD 12998988.86000000 5.486573226908 Long STIV UST US N 2 2020-06-04 None 0.00000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1200.00000000 OU Notional Amount USD -3417.43000000 -0.00144241834 N/A DCO FR N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 HOBR(Heating Oil/Brent) Calendar Swap HOBR COM FWD HOBR CAL21 14.10 12/31/21 BPS Y equity-performance leg equity-performance leg 2021-12-31 0.00000000 USD 0.00000000 USD 1200.00000000 USD -3417.43000000 N N N Societe Generale O2RNE8IBXP4R0TD8PU41 000000000 599250.00000000 OU Notional Amount USD -1821.72000000 -0.00076890597 N/A DCO FR N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 LBMA Gold Price PM USD GOLDLNPM Index Y equity-performance leg equity-performance leg 2020-06-08 0.00000000 USD 0.00000000 USD 599250.00000000 USD -1821.72000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 13.00000000 NC USD 5306.44000000 0.002239725870 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Ethanol CUAU0 Comdty 2020-09-30 561168.56000000 USD 5306.44000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 3720.00000000 OU Notional Amount USD -4651.98000000 -0.00196349340 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 LLSDUB (Light Louisiana Sweet/Dubai Heavy) Calendar Swap LLSDUB COM FWD LLSDUB CAL20 -0.20 12/20 JPM Y equity-performance leg equity-performance leg 2020-12-31 120.00000000 USD 0.00000000 USD 3720.00000000 USD -4771.98000000 N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 2400.00000000 OU Notional Amount USD -7175.09000000 -0.00302843991 N/A DCO FR N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 NAP +EBOB + 10PPM + ROT - BRENT calendar swap EURMARG3 COM FWD EURMARG3 CAL21 6.12 12/31/21 BPS Y equity-performance leg equity-performance leg 2021-12-31 0.00000000 USD -3384.00000000 USD 2400.00000000 USD -3791.09000000 N N N SOUTHERN CO 549300FC3G3YU2FBZD92 842587CM7 400000.00000000 PA USD 400297.79000000 0.168956459695 Long DBT CORP US N 2 2020-06-15 Fixed 2.75000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9127962L2 11409000.00000000 PA USD 11408657.07000000 4.815330877607 Long STIV UST US N 2 2020-05-12 None 0.00000000 N N N N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 32.00000000 NC USD -266926.44000000 -0.11266349060 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Light Sweet Crude Oil CLU1 Comdty 2021-08-20 1355246.44000000 USD -266926.44000000 N N N AMERICAN ELECTRIC POWER 1B4S6S7G0TW5EE83BO58 025537AH4 600000.00000000 PA USD 603261.61000000 0.254622804426 Long DBT CORP US N 2 2020-11-13 Fixed 2.15000000 N N N N N N FRESENIUS MED CARE US B8RI7LM5Z25R6H3S2R89 35803QAA5 1000000.00000000 PA USD 1021153.25000000 0.431005222203 Long DBT CORP US Y 2 2021-02-15 Fixed 5.75000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1200.00000000 OU Notional Amount USD -458.72000000 -0.00019361512 N/A DCO GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 NAP +EBOB + 10PPM + ROT - BRENT calendar swap EURMARG3 COM FWD EURMARG3 CAL21 3.5 12/31/21 GST Y equity-performance leg equity-performance leg 2021-12-31 0.00000000 USD 0.00000000 USD 1200.00000000 USD -458.72000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 45.00000000 NC USD -826588.21000000 -0.34888380869 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Long WTI Crude Oil ENM1 Comdty 2021-05-19 2312038.21000000 USD -826588.21000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 11.00000000 NC USD -34214.91000000 -0.01444132395 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Long WTI Crude Oil ENZ2 Comdty 2022-11-18 450344.91000000 USD -34214.91000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 3.00000000 NC USD -10611.32000000 -0.00447879330 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Long WTI Crude Oil ENZ1 Comdty 2021-11-18 115461.32000000 USD -10611.32000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 9.00000000 NC USD 8982.60000000 0.003791348173 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Long Brent Crude Oil COQ0 Comdty 2020-06-30 245807.40000000 USD 8982.60000000 N N N Cargill, Incorporated QXZYQNMR4JZ5RIRN4T31 000000000 43495105.07000000 OU Notional Amount USD -1037307.41000000 -0.43782352035 N/A DCO US N 2 Cargill, Incorporated QXZYQNMR4JZ5RIRN4T31 Cargill Custom Index CARGILL Gold, 100 oz February 2021 4700.00000000 USD 8019610.00000000 USD Crude Oil July 2020 55000.00000000 USD 1456400.00000000 USD Heating Oil July 2020 546000.00000000 USD 482937.00000000 USD Corn September 2020 820000.00000000 USD 2677300.00000000 USD Lean Hogs October 2020 1400000.00000000 USD 809200.00000000 USD London Cocoa March 2021 400.00000000 USD 669600.00000000 USD Coffee July 2020 1200000.00000000 USD 1275600.00000000 USD Low Sulfur Gas Oil July 2020 2300.00000000 USD 619850.00000000 USD Gasoline, RBOB July 2020 714000.00000000 USD 576840.60000000 USD Soybean November 2020 -2000000.00000000 USD -845000.00000000 USD Soybean July 2020 5075000.00000000 USD 431375.00000000 USD Soybean Oil October 2020 4500000.00000000 USD 1219500.00000000 USD Light Sweet Crude Oil July 2020 -21000.00000000 USD -458850.00000000 USD Soybean Meal August 2020 5900.00000000 USD 1741680.00000000 USD Soybean Oil July 2020 12780000.00000000 USD 3399480.00000000 USD Crude Palm Oil September 2020 -7775.00000000 USD -16210875.00000000 USD Cattle December 2020 1720000.00000000 USD 1724300.00000000 USD Natural Gas July 2020 1500000.00000000 USD 3255000.00000000 USD Crude Palm Oil July 2020 7775.00000000 USD 16234200.00000000 USD Soybean Oil December 2020 -12780000.00000000 USD -3501720.00000000 USD Light Sweet Crude Oil May 2021 90000.00000000 USD 2934900.00000000 USD Wheat July 2020 300000.00000000 USD 1572750.00000000 USD Nickel September 2020 108.00000000 USD 1320516.00000000 USD London Cocoa September 2020 -1200.00000000 USD -2200800.00000000 USD Soybean September 2020 325000.00000000 USD 2777937.50000000 USD ICE Sugar #11 May 2021 11984000.00000000 USD 1355390.40000000 USD London Cocoa December 2020 800.00000000 USD 1376800.00000000 USD Copper September 2020 1350000.00000000 USD 3175875.00000000 USD Natural Gas September 2020 500000.00000000 USD 1165500.00000000 USD Aluminum July 2020 1300.00000000 USD 1936675.00000000 USD Silver September 2020 110000.00000000 USD 1658690.00000000 USD KHR Wheat July 2020 170000.00000000 USD 829600.00000000 USD Cotton July 2020 3650000.00000000 USD 2092545.00000000 USD Zinc July 2020 800.00000000 USD 1550800.00000000 USD Y equity-performance leg 2021-03-31 0.00000000 USD 0.00000000 USD 43495105.07000000 USD -1037307.41000000 N N N VOLKSWAGEN GROUP AMERICA 5493002SQ1AVQBY41K40 928668AN2 400000.00000000 PA USD 400643.40000000 0.169102333700 Long DBT CORP US Y 2 2020-11-13 Fixed 3.88000000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 7200.00000000 OU Notional Amount USD -43239.42000000 -0.01825036136 N/A DCO US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 EUROBOBCO Calendar Swap EUROBOBCO COM FWD EUROBOBCO CAL21 5.60 12/21 MYC Y equity-performance leg equity-performance leg 2021-12-31 0.00000000 USD 0.00000000 USD 7200.00000000 USD -43239.42000000 N N N London Metal Exchange 213800NB8G5VRT1DXC91 000000000 -8.00000000 NC USD 26614.50000000 0.011233366281 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Short Zinc LXK0 Comdty 2020-05-18 -413612.50000000 USD 26614.50000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 4800.00000000 OU Notional Amount USD -29781.64000000 -0.01257014298 N/A DCO US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 EUROBOBCO Calendar Swap EUROBOBCO COM FWD EUROBOBCO CAL21 5.80 12/21 MYC Y equity-performance leg equity-performance leg 2021-12-31 0.00000000 USD 0.00000000 USD 4800.00000000 USD -29781.64000000 N N N COMCAST CABLE COMMUNICAT N/A 00209TAB1 400000.00000000 PA USD 483872.33000000 0.204231344423 Long DBT CORP US N 2 2022-11-15 Fixed 9.46000000 N N N N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 1.00000000 NC USD -864.22000000 -0.00036476731 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Brent-Dubai ICE REU0 Comdty 2020-09-30 2452.22000000 USD -864.22000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 1.00000000 NC USD -1549.69000000 -0.00065408838 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Long Brent 1st Line vs Dubai 1st Line AFYZ20 Comdty 2020-12-31 3251.69000000 USD -1549.69000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -6.00000000 NC USD -3036.00000000 -0.00128142553 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Call Written New York Mercantile Exchange 5493008GFNDTXFPHWI47 New York Mercantile Exchange 5493008GFNDTXFPHWI47 N/A 60000.00000000 NC N/A -3036.00000000 0.00000000 DCO US Short Natural Gas NGN20 Comdty 2020-06-26 60000.00000000 USD 10000.00000000 2.30000000 USD 2020-05-26 XXXX 2206.65000000 N N N London Metal Exchange 213800NB8G5VRT1DXC91 000000000 6.00000000 NC USD 3882.00000000 0.001638502617 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Long Zinc LXZ0 Comdty 2020-12-14 289218.00000000 USD 3882.00000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 1.00000000 NC USD -1002.32000000 -0.00042305614 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long WTI Houston (Argus) vs. WTI Trade Month Futures HRTM1 Comdty 2021-05-25 2502.32000000 USD -1002.32000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 1.00000000 NC USD -1234.22000000 -0.00052093578 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Brent-Dubai ICE REK0 Comdty 2020-05-29 2452.22000000 USD -1234.22000000 N N N ZIMMER BIOMET HOLDINGS 2P2YLDVPES3BXQ1FRB91 98956PAP7 300000.00000000 PA USD 296760.21000000 0.125255636460 Long DBT CORP US N 2 2021-03-19 Floating 1.80000000 N N N N N N London Metal Exchange 213800NB8G5VRT1DXC91 000000000 5.00000000 NC USD -70987.50000000 -0.02996218560 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Long Copper LPK20 Comdty 2020-05-18 717268.75000000 USD -70987.50000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 70000.00000000 OU Notional Amount USD 29614.48000000 0.012499588610 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Wheat W N0 Comdty Y equity-performance leg equity-performance leg 2020-06-26 0.00000000 USD 0.00000000 USD 70000.00000000 USD 29614.48000000 N N N Macquarie Bank Limited 4ZHCHI4KYZG2WVRT8631 000000000 55000.00000000 OU Notional Amount USD 26038.21000000 0.010990127570 N/A DCO AU N 2 Macquarie Bank Limited 4ZHCHI4KYZG2WVRT8631 KC HRW Wheat KWN0 Comdty Y equity-performance leg equity-performance leg 2020-06-26 0.00000000 USD 0.00000000 USD 55000.00000000 USD 26038.21000000 N N N Georgia-Pacific LLC L2EVHWFHVAQK72TMH265 37331NAB7 100000.00000000 PA USD 102107.49000000 0.043097215247 Long DBT CORP US Y 2 2020-11-01 Fixed 5.40000000 N N N N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 1800.00000000 OU Notional Amount USD 3138.36000000 0.001324629333 N/A DCO US N 2 Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 NAP +EBOB + 10PPM + ROT - BRENT calendar swap EURMARG3 COM FWD EURMARG3 2Q20 5.4 06/30/20 MYC Y equity-performance leg equity-performance leg 2020-06-30 0.00000000 USD 0.00000000 USD 1800.00000000 USD 3138.36000000 N N N London Metal Exchange 213800NB8G5VRT1DXC91 000000000 8.00000000 NC USD -33864.00000000 -0.01429321293 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Long Nickel LNK0 Comdty 2020-05-18 616488.00000000 USD -33864.00000000 N N N IMPERIAL BRANDS FIN PLC 2138008L3B3MCG1DFS50 453140AD7 800000.00000000 PA USD 801488.82000000 0.338289935381 Long DBT CORP GB Y 2 2020-07-21 Fixed 2.95000000 N N N N N N Macquarie Bank Limited 4ZHCHI4KYZG2WVRT8631 000000000 1800.00000000 OU Notional Amount USD -1896.67000000 -0.00080054063 N/A DCO AU N 2 Macquarie Bank Limited 4ZHCHI4KYZG2WVRT8631 NAP +EBOB + 10PPM + ROT - BRENT calendar swap EURMARG3 COM FWD EURMARG3 2Q20 2.60 06/30/20 MAC Y equity-performance leg equity-performance leg 2020-06-30 0.00000000 USD -4760.94000000 USD 1800.00000000 USD 2864.27000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -7.00000000 NC USD -16310.00000000 -0.00688407462 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Call Written New York Mercantile Exchange 5493008GFNDTXFPHWI47 New York Mercantile Exchange 5493008GFNDTXFPHWI47 N/A 350.00000000 NC N/A -16310.00000000 -0.01000000 DCO US Short Platinum PLN0 Comdty 2020-07-29 350.00000000 USD 50.00000000 850.00000000 USD 2020-06-17 XXXX -1180.34000000 N N N Macquarie Bank Limited 4ZHCHI4KYZG2WVRT8631 000000000 1200.00000000 OU Notional Amount USD 18.96000000 0.000008002578 N/A DCO AU N 2 Macquarie Bank Limited 4ZHCHI4KYZG2WVRT8631 NAP +EBOB + 10PPM + ROT - BRENT calendar swap EURMARG3 COM FWD EURMARG3 CAL21 3.1 12/31/21 MAC Y equity-performance leg equity-performance leg 2021-12-31 0.00000000 USD 0.00000000 USD 1200.00000000 USD 18.96000000 N N N United States Treasury 254900HROIFWPRGM1V77 9127962V0 1000000.00000000 PA USD 999921.67000000 0.422043862235 Long STIV UST US N 2 2020-06-16 None 0.00000000 N N N N N N London Metal Exchange 213800NB8G5VRT1DXC91 000000000 -3.00000000 NC USD -2925.00000000 -0.00123457500 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Short Nickel LNM0 Comdty 2020-06-15 -215955.00000000 USD -2925.00000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 1.00000000 NC USD -882.32000000 -0.00037240691 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long WTI Houston (Argus) vs. WTI Trade Month Futures HRTN1 Comdty 2021-06-25 2502.32000000 USD -882.32000000 N N N KOMATSU FINANCE AMERICA 549300SRAAFEEQ8Z4D68 000000000 300000.00000000 PA USD 300068.55000000 0.126652010429 Long DBT CORP US Y 2 2020-09-11 Fixed 2.12000000 N N N N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 4.00000000 NC USD 35731.60000000 0.015081483800 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Palladium PAU0 Comdty 2020-09-28 744988.40000000 USD 35731.60000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 -15.00000000 NC USD 232706.97000000 0.098220241979 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Short Low Sulfur Gas Oil QSH1 Comdty 2021-03-11 -713456.97000000 USD 232706.97000000 N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 4950.00000000 OU Notional Amount USD -76882.32000000 -0.03245025309 N/A DCO FR N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 EUROBOBCO Calendar Swap EUROBOBCO COM FWD EUROBOBCO CAL20 6.80 12/20 BPS Y equity-performance leg equity-performance leg 2020-12-31 0.00000000 USD -4050.00000000 USD 4950.00000000 USD -72832.32000000 N N N AbbVie Inc FR5LCKFTG8054YNNRU85 00287YAL3 300000.00000000 PA USD 312091.24000000 0.131726510436 Long DBT CORP US N 2 2022-11-06 Fixed 2.90000000 N N N N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -1.00000000 NC USD -152.32000000 -0.00006429075 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short WTI Midland (Argus) vs. WTI Trade Month Futures WOTZ0 Comdty 2020-11-25 -47.68000000 USD -152.32000000 N N N KOMATSU FINANCE AMERICA 549300SRAAFEEQ8Z4D68 000000000 300000.00000000 PA USD 298254.00000000 0.125886130747 Long DBT CORP US Y 2 2022-09-11 Fixed 2.44000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 1.00000000 NC USD 514.76000000 0.000217268317 N/A DCO US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long Live Cattle LCM0 Comdty 2020-06-30 33865.24000000 USD 514.76000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 3600.00000000 OU Notional Amount USD 2140.79000000 0.000903578057 N/A DCO US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 NAP +EBOB + 10PPM + ROT - BRENT calendar swap EURMARG3 COM FWD EURMARG3 2Q20 4.25 06/30/20 MYC Y equity-performance leg equity-performance leg 2020-06-30 0.00000000 USD 0.00000000 USD 3600.00000000 USD 2140.79000000 N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1200.00000000 OU Notional Amount USD -15694.31000000 -0.00662420608 N/A DCO FR N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 EUROBOBCO Calendar Swap EUROBOBCO COM FWD EUROBOBCO 2Q20 10.65 6/30/20 BPS Y equity-performance leg equity-performance leg 2020-06-30 0.00000000 USD 0.00000000 USD 1200.00000000 USD -15694.31000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 14.00000000 NC USD 5135.20000000 0.002167449417 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long KC HRW Wheat KWU0 Comdty 2020-09-14 341189.80000000 USD 5135.20000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 2.00000000 NC USD 4961.38000000 0.002094084006 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Light Sweet Crude Oil CLN0 Comdty 2020-06-22 38738.62000000 USD 4961.38000000 N N N ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 000000000 93.00000000 NC USD -48243.75000000 -0.02036257357 N/A DCO US N 1 ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 Long Coffee KCU0 Comdty 2020-09-18 3797306.25000000 USD -48243.75000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 15.00000000 NC USD -55942.31000000 -0.02361195809 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Long WTI Crude Oil ENZ0 Comdty 2020-11-19 500242.31000000 USD -55942.31000000 N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 -9.00000000 NC USD -52710.57000000 -0.02224791522 N/A DCO FR N 3 BNP Paribas R0MUWSFPU8MPRO8K5P83 Call Written BNP Paribas R0MUWSFPU8MPRO8K5P83 BNP Paribas R0MUWSFPU8MPRO8K5P83 N/A 9000.00000000 OU Notional Amount N/A -52710.57000000 -0.02000000 DCO US FUELCO Calendar Swap FUELCO equity-performance leg equity-performance leg 2020-12-31 0.00000000 N/A 0.00000000 N/A 9000.00000000 USD 1000.00000000 13.00000000 USD 2020-12-31 XXXX -38310.57000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 25.00000000 NC USD 1079000.00000000 0.455421000478 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Put Purchased New York Mercantile Exchange 5493008GFNDTXFPHWI47 New York Mercantile Exchange 5493008GFNDTXFPHWI47 N/A 25000.00000000 NC N/A 1079000.00000000 0.46000000 DCO US Long Light Sweet Crude Oil CLM0 Comdty 2020-05-19 25000.00000000 USD 1000.00000000 62.00000000 USD 2020-05-14 XXXX 942909.50000000 N N N Macquarie Bank Limited 4ZHCHI4KYZG2WVRT8631 000000000 10800.00000000 OU Notional Amount USD -42335.49000000 -0.01786883337 N/A DCO AU N 2 Macquarie Bank Limited 4ZHCHI4KYZG2WVRT8631 NAP +EBOB + 10PPM + ROT - BRENT calendar swap EURMARG3 COM FWD EURMARG3 G0-Z0 7.23 12/31/20 MAC Y equity-performance leg equity-performance leg 2020-12-31 0.00000000 USD 0.00000000 USD 10800.00000000 USD -42335.49000000 N N N London Metal Exchange 213800NB8G5VRT1DXC91 000000000 1.00000000 NC USD 206.36000000 0.000087099793 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Long Zinc LXN0 Comdty 2020-07-13 48256.14000000 USD 206.36000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 -8.00000000 NC USD -17699.20000000 -0.00747042388 N/A DCO US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short Lean Hogs LHQ0 Comdty 2020-08-14 -183260.80000000 USD -17699.20000000 N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 600.00000000 OU Notional Amount USD 7877.13000000 0.003324754796 N/A DCO FR N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 EUROBOBCO Calendar Swap EUROBOBCO COM FWD EUROBOBCO 2Q20 10.70 6/30/20 BPS Y equity-performance leg equity-performance leg 2020-06-30 0.00000000 USD 0.00000000 USD 600.00000000 USD 7877.13000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 -2.00000000 NC USD -2953.38000000 -0.00124655354 N/A DCO GB N 2 ICE Futures Europe 549300UF4R84F48NCH34 Short Dated Brent vs Brent 1st Line AGDV20 Comdty 2020-10-30 -1146.62000000 USD -2953.38000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1343.05000000 OU Notional Amount USD -5903.61000000 -0.00249177754 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 HOBR(Heating Oil/Brent) Calendar Swap HOBR COM FWD HOBR CAL21 15.50 12/31/21 JPM Y equity-performance leg equity-performance leg 2021-12-31 0.00000000 USD -48.95000000 USD 1343.05000000 USD -5854.66000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -1.00000000 NC USD -502.32000000 -0.00021201768 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short WTI Midland (Argus) vs. WTI Trade Month Futures WOTN0 Comdty 2020-06-25 -47.68000000 USD -502.32000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 45000.00000000 OU Notional Amount USD -11793.38000000 -0.00497771354 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Wheat W N0 Comdty Y equity-performance leg equity-performance leg 2020-06-26 0.00000000 USD 0.00000000 USD 45000.00000000 USD -11793.38000000 N N N Air Lease Corp 5493004NW4M4P8TMMK63 00912XAZ7 300000.00000000 PA USD 284840.08000000 0.120224424661 Long DBT CORP US N 2 2021-03-01 Fixed 2.50000000 N N N N N N Exelon Corp 3SOUA6IRML7435B56G12 30161NAH4 300000.00000000 PA USD 300168.00000000 0.126693985979 Long DBT CORP US N 2 2020-06-15 Fixed 2.85000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 18969020.61000000 OU Notional Amount USD 767.70000000 0.000324028454 N/A DCO US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Merrill Lynch Commodity eXtra BIN1 Index MLBXBIN1 Bloomberg Gold 3M Forward Sub-Index 33770.10000000 USD 2603489.63000000 USD Bloomberg Nickel 3M Forward Sub-Index 5284.11000000 USD 407376.20000000 USD Bloomberg Silver 3M Forward Sub-Index 7044.91000000 USD 543124.01000000 USD Bloomberg Coffee 3M Forward Sub-Index 6056.49000000 USD 466922.37000000 USD Bloomberg Live Cattle 3M Forward Sub-Index 3532.42000000 USD 272330.28000000 USD Bloomberg Gold Sub-Index 2M Forward 33770.10000000 USD 2603489.63000000 USD Bloomberg Soybeans Sub-Index 2M Forward 12418.83000000 USD 957424.19000000 USD Bloomberg Aluminum Sub-Index 2M Forward 2094.21000000 USD 161451.87000000 USD Bloomberg Soybeans 3M Forward Sub-Index 12418.83000000 USD 957424.19000000 USD Bloomberg Heating Oil Sub-Index 2M Forward 2621.76000000 USD 202123.09000000 USD Bloomberg Brent Crude Sub-Index 2M Forward 6401.96000000 USD 493555.95000000 USD Bloomberg Silver Sub-Index 2M Forward 7044.91000000 USD 543124.01000000 USD Bloomberg Wheat Sub-Index 2M Forward 7451.89000000 USD 574500.04000000 USD Bloomberg Copper Sub-Index 2M Forward 12769.22000000 USD 984437.16000000 USD Bloomberg Gas Oil 3M Forward Sub-Index 2994.29000000 USD 230843.35000000 USD Bloomberg Brent Crude 3M Forward Sub-Index 6401.96000000 USD 493555.95000000 USD Bloomberg Zinc 3M Forward Sub-Index 6452.40000000 USD 497444.76000000 USD Bloomberg Sugar 3M Forward Sub-Index 5800.34000000 USD 447174.82000000 USD Bloomberg Heating Oil 3M Forward Sub-Index 2621.76000000 USD 202123.09000000 USD Bloomberg Gas Oil Sub-Index 2M Forward 2994.29000000 USD 230843.35000000 USD Bloomberg Coffee Sub-Index 2M Forward 6056.49000000 USD 466922.37000000 USD Bloomberg Soy Meal Sub-Index 2M Forward 8336.96000000 USD 642734.37000000 USD Bloomberg Wheat 3M Forward Sub-Index 7451.89000000 USD 574500.04000000 USD Bloomberg Live Cattle Sub-Index 2M Forward 3532.42000000 USD 272330.28000000 USD Bloomberg Soy Meal 3M Forward Sub-Index 8336.96000000 USD 642734.37000000 USD Bloomberg Nickel Sub-Index 2M Forward 5284.11000000 USD 407376.20000000 USD Bloomberg Copper 3M Forward Sub-Index 12769.22000000 USD 984437.16000000 USD Bloomberg Zinc Sub-Index 2M Forward 6452.40000000 USD 497444.76000000 USD Bloomberg Sugar Sub-Index 2M Forward 5800.34000000 USD 447174.82000000 USD Bloomberg Aluminum 3M Forward Sub-Index 2094.21000000 USD 161451.87000000 USD Y equity-performance leg 2020-04-30 0.00000000 USD 0.00000000 USD 18969020.61000000 USD 767.70000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 19000.00000000 OU Notional Amount USD -16026.50000000 -0.00676441581 N/A DCO US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 MEHMIDCAL Calendar Swap MEHMIDCAL COM FWD MEHMIDCAL20-21 1.84 12/31/21 CBK Y equity-performance leg equity-performance leg 2021-12-31 0.00000000 USD 0.00000000 USD 19000.00000000 USD -16026.50000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -198.00000000 NC USD -696856.73000000 -0.29412714473 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short Natural Gas NGV20 Comdty 2020-09-28 -4102663.27000000 USD -696856.73000000 N N N AERCAP IRELAND CAP/GLOBA N/A 00772BAQ4 400000.00000000 PA USD 394904.54000000 0.166680093327 Long DBT CORP IE N 2 2020-10-30 Fixed 4.63000000 N N N N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 1.00000000 NC USD 3830.38000000 0.001616715006 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Ethanol CUAM0 Comdty 2020-06-30 37749.62000000 USD 3830.38000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -1.00000000 NC USD 797.68000000 0.000336682320 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short WTI Midland (Argus) vs. WTI Trade Month Futures WOTJ1 Comdty 2021-03-25 -1297.68000000 USD 797.68000000 N N N London Metal Exchange 213800NB8G5VRT1DXC91 000000000 242.00000000 NC USD -831221.25000000 -0.35083930796 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Long Aluminum LAM20 Comdty 2020-06-17 9791271.25000000 USD -831221.25000000 N N N BG Energy Capital PLC S2M8QDKEE05NZN8JD460 05541VAE6 500000.00000000 PA USD 516767.18000000 0.218115501510 Long DBT CORP GB Y 2 2021-10-15 Fixed 4.00000000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 490650.00000000 OU Notional Amount USD 7651.69000000 0.003229601774 N/A DCO US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 LBMA Silver Price - Price/USD SLVRLND Index Y equity-performance leg equity-performance leg 2020-05-12 0.00000000 USD 0.00000000 USD 490650.00000000 USD 7651.69000000 N N N ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 000000000 -3.00000000 NC USD 16184.01000000 0.006830897151 N/A DCO US N 1 ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 Short Coffee KCN0 Comdty 2020-07-21 -135771.51000000 USD 16184.01000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -1.00000000 NC USD -62.32000000 -0.00002630383 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short WTI Houston (Argus) vs. WTI Trade Month Futures HRTM0 Comdty 2020-05-22 -3297.68000000 USD -62.32000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 10350.00000000 OU Notional Amount USD -35613.89000000 -0.01503180112 N/A DCO GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 NAP +EBOB + 10PPM + ROT - BRENT calendar swap EURMARG3 COM FWD EURMARG3 G0-Z0 6.75 12/31/20 GST Y equity-performance leg equity-performance leg 2020-12-31 0.00000000 USD 0.00000000 USD 10350.00000000 USD -35613.89000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 4.00000000 NC USD -28454.00000000 -0.01200977678 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Light Sweet Crude Oil CLZ0 Comdty 2020-11-20 146934.00000000 USD -28454.00000000 N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 19682252.10000000 OU Notional Amount USD -337711.14000000 -0.14254007900 N/A DCO FR N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 BNP Paribas Modified PR DJ Commodity TR Index BCOMTR1H FIN FUT CORN CBT 07/14/20 1210097.66000000 USD -20763.04000000 USD FIN FUT LIVE CATTLE CME 06/30/20 680726.89000000 USD -11680.02000000 USD FIN FUT WHEAT FUTURE KCB 07/14/20 380538.81000000 USD -6529.34000000 USD FIN FUT BRENT CRUDE ICE 05/29/20 677689.25000000 USD -11627.90000000 USD FIN FUT PRI ALUM (LME) 07/13/20 886567.06000000 USD -15211.86000000 USD FIN FUT CRUDE OIL NYM 06/22/20 696222.80000000 USD -11945.90000000 USD FIN FUT HEATING OIL NYM 06/30/20 229297.62000000 USD -3934.32000000 USD FIN FUT SILVER FUTURE CMX 07/29/20 766741.74000000 USD -13155.87000000 USD FIN FUT COFFEE C NYB 07/21/20 587124.68000000 USD -10073.98000000 USD FIN FUT WHEAT FUTURE CBT 07/14/20 722500.07000000 USD -12396.77000000 USD FIN FUT GOLD 100 OZ FUTR 06/26/20 3654228.33000000 USD -62699.82000000 USD FIN FUT SOYBEAN CBT 07/14/20 1272960.99000000 USD -21841.66000000 USD FIN FUT SOYBEAN OIL CBT 07/14/20 553224.72000000 USD -9492.32000000 USD FIN FUT SOYBEAN MEAL CBT 07/14/20 804451.95000000 USD -13802.91000000 USD FIN FUT COPPER FUTURE CMX 07/29/20 1455857.76000000 USD -24979.83000000 USD FIN FUT GASOLINE NYM 06/30/20 262386.28000000 USD -4502.06000000 USD FIN FUT GAS OIL ICE 07/10/20 282523.92000000 USD -4847.59000000 USD FIN FUT LEAN HOGS FUTURE CME 06/12/20 377402.99000000 USD -6475.54000000 USD FIN FUT NICKEL LME 07/13/20 599904.19000000 USD -10293.25000000 USD FIN FUT ZINC LME 07/13/20 704198.54000000 USD -12082.75000000 USD FIN FUT COTTON NO.2 NYB 07/09/20 305241.95000000 USD -5237.39000000 USD FIN FUT NATURAL GAS NYM 06/26/20 1999864.62000000 USD -34313.99000000 USD FIN FUT SUGAR #11 NYB 06/30/20 572499.30000000 USD -9823.03000000 USD Y equity-performance leg 2021-02-16 0.00000000 USD 0.00000000 USD 19682252.10000000 USD -337711.14000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 6.00000000 NC USD -55472.71000000 -0.02341375077 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Ethanol CUAV0 Comdty 2020-10-30 319442.71000000 USD -55472.71000000 N N N United States Treasury 254900HROIFWPRGM1V77 912796XE4 1799000.00000000 PA USD 1796638.82000000 0.758319785823 Long STIV UST US N 2 2021-02-25 None 0.00000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1200.00000000 OU Notional Amount USD 413.89000000 0.000174693417 N/A DCO GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 NAP +EBOB + 10PPM + ROT - BRENT calendar swap EURMARG3 COM FWD EURMARG3 2Q20 4 06/30/20 GST Y equity-performance leg equity-performance leg 2020-06-30 0.00000000 USD 0.00000000 USD 1200.00000000 USD 413.89000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 4.00000000 NC USD -4446.76000000 -0.00187687478 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Long Brent 1st Line vs Dubai 1st Line AFYM20 Comdty 2020-06-30 6366.76000000 USD -4446.76000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 -2.00000000 NC USD -2573.38000000 -0.00108616431 N/A DCO GB N 2 ICE Futures Europe 549300UF4R84F48NCH34 Short Dated Brent vs Brent 1st Line AGDX20 Comdty 2020-11-30 -1146.62000000 USD -2573.38000000 N N N Electricite de France SA 549300X3UK4GG3FNMO06 268317AN4 300000.00000000 PA USD 300690.50000000 0.126914521171 Long DBT CORP FR Y 2 2020-10-13 Fixed 2.35000000 N N N N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -1.00000000 NC USD 180.00000000 0.000075973846 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short WTI Houston (Argus) vs. WTI Trade Month Futures HRTQ0 Comdty 2020-07-24 -1430.00000000 USD 180.00000000 N N N Constellation Brands Inc 5493005GKEG8QCVY7037 21036PAV0 500000.00000000 PA USD 503295.55000000 0.212429437365 Long DBT CORP US N 2 2020-11-06 Fixed 2.25000000 N N N N N N Commodities Exchange Center N/A 000000000 -1.00000000 NC USD -2423.62000000 -0.00102295407 N/A DCO US N 1 Commodities Exchange Center N/A Short Copper HGN0 Comdty 2020-07-29 -56176.38000000 USD -2423.62000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 -72.00000000 NC USD 463180.29000000 0.195497711838 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Short Brent Crude Oil COM2 Comdty 2022-04-29 -3397900.29000000 USD 463180.29000000 N N N ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 000000000 -159.00000000 NC USD -340021.50000000 -0.14351522865 N/A DCO US N 1 ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 Short Cotton CTZ0 Comdty 2020-12-08 -4344118.50000000 USD -340021.50000000 N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 -4.00000000 NC USD -9040.00000000 -0.00381557538 N/A DCO US N 1 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Put Written Natural Gas CSO IWV0IWF1 Comdty 10000.00000000 0.60000000 USD 2020-09-25 XXXX -7453.88000000 N N N United States Treasury 254900HROIFWPRGM1V77 9127962M0 5900000.00000000 PA USD 5899591.78000000 2.490081548530 Long STIV UST US N 2 2020-05-19 None 0.00000000 N N N N N N DAIMLER FINANCE NA LLC 549300423Z16BB673J12 233851BV5 200000.00000000 PA USD 200002.86000000 0.084416591844 Long DBT CORP US Y 2 2020-05-18 Fixed 2.45000000 N N N N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 13.00000000 NC USD -51271.14000000 -0.02164036503 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Long Brent Crude Oil COH1 Comdty 2021-01-29 504841.14000000 USD -51271.14000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 53.00000000 NC USD -7940.33000000 -0.00335143005 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Gasoline XBU0 Comdty 2020-08-31 1869989.33000000 USD -7940.33000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 -10.00000000 NC USD -15114.21000000 -0.00637935925 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Short Brent Crude Oil COU0 Comdty 2020-07-31 -282685.79000000 USD -15114.21000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38381RCM9 636919.06000000 PA USD 634161.77000000 0.267665048896 Long ABS-MBS USGA US N 2 2049-02-20 Floating 1.12000000 N N N N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 11.00000000 NC USD -12518.32000000 -0.00528369399 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Ethanol CUAQ0 Comdty 2020-08-31 484913.32000000 USD -12518.32000000 N N N Macquarie Bank Limited 4ZHCHI4KYZG2WVRT8631 000000000 9000.00000000 OU Notional Amount USD -75984.20000000 -0.03207117737 N/A DCO AU N 2 Macquarie Bank Limited 4ZHCHI4KYZG2WVRT8631 EUROBOBCO Calendar Swap EUROBOBCO COM FWD EUROBOBCO CAL20 6.70 12/20 MAC Y equity-performance leg equity-performance leg 2020-12-31 0.00000000 USD 0.00000000 USD 9000.00000000 USD -75984.20000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 2400.00000000 OU Notional Amount USD -845.79000000 -0.00035698844 N/A DCO US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 NAP +EBOB + 10PPM + ROT - BRENT calendar swap EURMARG3 COM FWD EURMARG3 CAL21 3.47 12/31/21 MYC Y equity-performance leg equity-performance leg 2021-12-31 0.00000000 USD 0.00000000 USD 2400.00000000 USD -845.79000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -1.00000000 NC USD -252.32000000 -0.00010649844 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short WTI Midland (Argus) vs. WTI Trade Month Futures WOTQ0 Comdty 2020-07-24 -47.68000000 USD -252.32000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -39.00000000 NC USD 19223.72000000 0.008113888596 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short Corn C N0 Comdty 2020-07-14 -643223.72000000 USD 19223.72000000 N N N London Metal Exchange 213800NB8G5VRT1DXC91 000000000 8.00000000 NC USD 7261.38000000 0.003064860930 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Long Zinc LXK0 Comdty 2020-05-18 379736.62000000 USD 7261.38000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 55000.00000000 OU Notional Amount USD 17983.35000000 0.007590357042 N/A DCO GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Wheat W N0 Comdty Y equity-performance leg equity-performance leg 2020-06-26 0.00000000 USD 0.00000000 USD 55000.00000000 USD 17983.35000000 N N N United States Treasury 254900HROIFWPRGM1V77 912796TV1 400000.00000000 PA USD 399992.06000000 0.168827418117 Long STIV UST US N 2 2020-05-14 None 0.00000000 N N N N N N NetApp Inc QTX3D84DZDD5JYOCYH15 64110DAD6 500000.00000000 PA USD 513326.77000000 0.216663383842 Long DBT CORP US N 2 2022-12-15 Fixed 3.25000000 N N N N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -1.00000000 NC USD 737.68000000 0.000311357704 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short WTI Midland (Argus) vs. WTI Trade Month Futures WOTV1 Comdty 2021-09-24 -1297.68000000 USD 737.68000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 6.00000000 NC USD -52952.71000000 -0.02235011692 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Ethanol CUAZ0 Comdty 2020-12-31 319442.71000000 USD -52952.71000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -1.00000000 NC USD 2997.68000000 0.001265251552 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short WTI Houston (Argus) vs. WTI Trade Month Futures HRTX0 Comdty 2020-10-23 -4147.68000000 USD 2997.68000000 N N N NISSAN MOTOR ACCEPTANCE 7D6DIU2QXTUJRFNNJA49 654740BD0 200000.00000000 PA USD 185029.98000000 0.078096884717 Long DBT CORP US Y 2 2022-09-28 Fixed 2.60000000 N N N N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -1.00000000 NC USD 737.68000000 0.000311357704 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short WTI Midland (Argus) vs. WTI Trade Month Futures WOTN1 Comdty 2021-06-25 -1297.68000000 USD 737.68000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -10.00000000 NC USD -34740.50000000 -0.01466316336 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short Gasoline XBN0 Comdty 2020-06-30 -304577.50000000 USD -34740.50000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 67500.00000000 OU Notional Amount USD -6739.06000000 -0.00284440171 N/A DCO GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 KC HRW Wheat KWN0 Comdty Y equity-performance leg equity-performance leg 2020-06-26 0.00000000 USD 0.00000000 USD 67500.00000000 USD -6739.06000000 N N N United States Treasury 254900HROIFWPRGM1V77 912796TZ2 2454000.00000000 PA USD 2453438.53000000 1.035539786789 Long STIV UST US N 2 2020-06-11 None 0.00000000 N N N N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 16.00000000 NC USD -304368.98000000 -0.12846712269 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Light Sweet Crude Oil CLN1 Comdty 2021-06-22 837968.98000000 USD -304368.98000000 N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 -9.00000000 NC USD -484.72000000 -0.00020458912 N/A DCO FR N 3 BNP Paribas R0MUWSFPU8MPRO8K5P83 Call Written BNP Paribas R0MUWSFPU8MPRO8K5P83 BNP Paribas R0MUWSFPU8MPRO8K5P83 N/A 9000.00000000 OU Notional Amount N/A -484.72000000 0.00000000 DCO US QSCO Calendar Swap QSCO equity-performance leg equity-performance leg 2020-12-31 0.00000000 N/A 0.00000000 N/A 9000.00000000 USD 1000.00000000 21.00000000 USD 2020-12-31 XXXX 11665.28000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1249976.50000000 OU Notional Amount USD -187956.19000000 -0.07933197043 N/A DCO GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 GS CUSTOM BASKET1042 ABGS1042 FIN FUT BRENT CRUDE ICE 05/29/20 90870.59000000 USD -13664.01000000 USD FIN FUT CORN CBT 07/14/20 95187.06000000 USD -14313.07000000 USD FIN FUT HEATING OIL NYM 05/29/20 36195.36000000 USD -5442.62000000 USD FIN FUT COFFEE C NYB 07/21/20 15602.22000000 USD -2346.07000000 USD FIN FUT GASOLINE NYM 05/29/20 96131.29000000 USD -14455.05000000 USD FIN FUT SUGAR #11 NYB 06/30/20 15197.56000000 USD -2285.22000000 USD CASH Uninvested USD 431331.82000000 USD -64858.41000000 USD FIN FUT SOYBEAN OIL CBT 07/14/20 14702.96000000 USD -2210.85000000 USD FIN FUT GAS OIL ICE 06/11/20 23965.38000000 USD -3603.62000000 USD FIN FUT WHEAT FUTURE KCB 07/14/20 10116.72000000 USD -1521.23000000 USD FIN FUT COTTON NO.2 NYB 07/09/20 8228.26000000 USD -1237.27000000 USD FIN FUT WHEAT FUTURE CBT 07/14/20 80978.69000000 USD -12176.59000000 USD FIN FUT SOYBEAN CBT 07/14/20 98694.19000000 USD -14840.43000000 USD FIN FUT SOYBEAN MEAL CBT 07/14/20 21357.51000000 USD -3211.48000000 USD FIN FUT NATURAL GAS NYM 05/27/20 48335.42000000 USD -7268.09000000 USD FIN FUT CRUDE OIL NYM 06/22/20 97705.00000000 USD -14691.68000000 USD FIN FUT LIVE CATTLE CME 06/30/20 49909.13000000 USD -7504.73000000 USD FIN FUT SILVER FUTURE CMX 07/29/20 15467.34000000 USD -2325.79000000 USD Y equity-performance leg 2021-02-16 0.00000000 USD 0.00000000 USD 1249976.50000000 USD -187956.19000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 -4.00000000 NC USD -1120.00000000 -0.00047272615 N/A DCO US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Put Written Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A 160000.00000000 NC N/A -1120.00000000 0.00000000 DCO US Short Live Cattle LCM0 Comdty 2020-06-30 160000.00000000 USD 40000.00000000 70.00000000 USD 2020-06-05 XXXX 4909.36000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 405.00000000 NC USD 428449.50000000 0.180838646843 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long Soybean S X0 Comdty 2020-11-13 16940988.00000000 USD 428449.50000000 N N N London Metal Exchange 213800NB8G5VRT1DXC91 000000000 -5.00000000 NC USD -36395.70000000 -0.01536178508 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Short Copper LPK20 Comdty 2020-05-18 -609885.55000000 USD -36395.70000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -47.00000000 NC USD -45049.61000000 -0.01901440079 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short Natural Gas NGZ20 Comdty 2020-11-25 -1353200.39000000 USD -45049.61000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 1980.00000000 OU Notional Amount USD -25105.99000000 -0.01059665902 N/A DCO US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 EBOBFUEL Ratio Calendar Swap EBOBFUEL COM FWD EBOBFUEL CAL20 21.50 12/20 MYC Y equity-performance leg equity-performance leg 2020-12-31 0.00000000 USD 0.00000000 USD 1980.00000000 USD -25105.99000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 -2.00000000 NC USD -3613.38000000 -0.00152512431 N/A DCO GB N 2 ICE Futures Europe 549300UF4R84F48NCH34 Short Dated Brent vs Brent 1st Line AGDU20 Comdty 2020-09-30 -1146.62000000 USD -3613.38000000 N N N London Metal Exchange 213800NB8G5VRT1DXC91 000000000 4.00000000 NC USD -21887.00000000 -0.00923799762 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Long Lead LLM0 Comdty 2020-06-15 184612.00000000 USD -21887.00000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 1.00000000 NC USD -10974.10000000 -0.00463191436 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Long WTI Crude Oil ENM0 Comdty 2020-05-18 29814.10000000 USD -10974.10000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 2.00000000 NC USD -973.60000000 -0.00041093409 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Gasoline XBZ0 Comdty 2020-11-30 66636.40000000 USD -973.60000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 1.00000000 NC USD -882.32000000 -0.00037240691 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long WTI Houston (Argus) vs. WTI Trade Month Futures HRTX1 Comdty 2021-10-25 2502.32000000 USD -882.32000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -1.00000000 NC USD 548.72000000 0.000231602049 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short Nymex Mont Belvieu LDH Propane 5 Decimal OPIS Swap BAPX0 Comdty 2020-11-30 -16377.68000000 USD 548.72000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 -3.60000000 NC USD -11801.61000000 -0.00498118724 N/A DCO GB N 3 Goldman Sachs International W22LROWP2IHZNBB6K528 Call Written Goldman Sachs International W22LROWP2IHZNBB6K528 Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 3600.00000000 OU Notional Amount N/A -11801.61000000 0.00000000 DCO US FUELCO Calendar Swap FUELCO equity-performance leg equity-performance leg 2020-12-31 0.00000000 N/A 0.00000000 N/A 3600.00000000 USD 1000.00000000 13.00000000 USD 2020-12-31 XXXX -5741.73000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 1.00000000 NC USD -1011.22000000 -0.00042681262 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Brent-Dubai ICE REQ0 Comdty 2020-08-28 2452.22000000 USD -1011.22000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 -2.00000000 NC USD -4193.38000000 -0.00176992892 N/A DCO GB N 2 ICE Futures Europe 549300UF4R84F48NCH34 Short Dated Brent vs Brent 1st Line AGDQ20 Comdty 2020-08-31 -1146.62000000 USD -4193.38000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 749990.00000000 OU Notional Amount USD 149.25000000 0.000062994980 N/A DCO US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 LBMA Gold Price PM USD GOLDLNPM Index Y equity-performance leg equity-performance leg 2020-05-12 0.00000000 USD 0.00000000 USD 749990.00000000 USD 149.25000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 -2.00000000 NC USD -4953.38000000 -0.00209070739 N/A DCO GB N 2 ICE Futures Europe 549300UF4R84F48NCH34 Short Dated Brent vs Brent 1st Line AGDN20 Comdty 2020-07-31 -1146.62000000 USD -4953.38000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 1.00000000 NC USD -5328.58000000 -0.00224907065 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long NY Harb Ultra Low Sulfur Diesel HOM1 Comdty 2021-05-28 52704.58000000 USD -5328.58000000 N N N GE CAPITAL INTL FUNDING 549300G6UZOB126GBY72 36164QNA2 800000.00000000 PA USD 832103.78000000 0.351211803512 Long DBT CORP IE N 2 2035-11-15 Fixed 4.42000000 N N N N N N Comcast Corp 51M0QTTNCGUN7KFCFZ59 20030NCW9 900000.00000000 PA USD 898440.30000000 0.379210917790 Long DBT CORP US N 2 2021-10-01 Floating 1.87000000 N N N N N N INTERPUBLIC GROUP COS 5493008IUOJ5VWTRC333 460690BM1 700000.00000000 PA USD 704493.22000000 0.297350330938 Long DBT CORP US N 2 2020-10-01 Fixed 3.50000000 N N N N N N ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 000000000 -3.00000000 NC USD -4761.56000000 -0.00200974459 N/A DCO US N 1 ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 Short Cotton CTN0 Comdty 2020-07-09 -81233.44000000 USD -4761.56000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 1200.00000000 OU Notional Amount USD -4758.45000000 -0.00200843193 N/A DCO US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 EUROBOBCO Calendar Swap EUROBOBCO COM FWD EUROBOBCO CAL21 3.55 12/21 MYC Y equity-performance leg equity-performance leg 2021-12-31 0.00000000 USD 0.00000000 USD 1200.00000000 USD -4758.45000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 1.00000000 NC USD -1235.86000000 -0.00052162798 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Nymex Mont Belvieu Normal Butane 5 Decimal OPIS Swap DAEX0 Comdty 2020-11-30 16172.32000000 USD -1235.86000000 N N N TAKEDA PHARMACEUTICAL 549300ZLMVP4X0OGR454 874060AT3 700000.00000000 PA USD 767662.85000000 0.324012774029 Long DBT CORP JP N 2 2023-11-26 Fixed 4.40000000 N N N N N N Celanese US Holdings LLC CD30XVRLT4QO00B1C706 15089QAD6 300000.00000000 PA USD 310349.34000000 0.130991294643 Long DBT CORP US N 2 2022-11-15 Fixed 4.63000000 N N N N N N Campbell Soup Co 5493007JDSMX8Z5Z1902 134429BD0 400000.00000000 PA USD 405462.68000000 0.171136440576 Long DBT CORP US N 2 2021-03-15 Fixed 3.30000000 N N N N N N SPRINT SPECTRUM / SPEC I N/A 85208NAA8 225000.00000000 PA USD 225562.50000000 0.095204726061 Long DBT CORP US Y 2 2021-09-20 Fixed 3.36000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 50000.00000000 OU Notional Amount USD -5491.10000000 -0.00231766659 N/A DCO GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 KC HRW Wheat KWN0 Comdty Y equity-performance leg equity-performance leg 2020-06-26 0.00000000 USD 0.00000000 USD 50000.00000000 USD -5491.10000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -12.00000000 NC USD -240.00000000 -0.00010129846 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Call Written New York Mercantile Exchange 5493008GFNDTXFPHWI47 New York Mercantile Exchange 5493008GFNDTXFPHWI47 N/A 12000.00000000 NC N/A -240.00000000 0.00000000 DCO US Short Light Sweet Crude Oil CLM0 Comdty 2020-05-19 12000.00000000 USD 1000.00000000 53.00000000 USD 2020-05-14 XXXX 12379.52000000 N N N INTERPUBLIC GROUP COS 5493008IUOJ5VWTRC333 460690BN9 600000.00000000 PA USD 617052.14000000 0.260443468903 Long DBT CORP US N 2 2021-10-01 Fixed 3.75000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -66.00000000 NC USD 64889.28000000 0.027388267671 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short Wheat W N0 Comdty 2020-07-14 -1794914.28000000 USD 64889.28000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 -2.00000000 NC USD -14419.38000000 -0.00608608754 N/A DCO GB N 2 ICE Futures Europe 549300UF4R84F48NCH34 Short Dated Brent vs Brent 1st Line AGDJ20 Comdty 2020-04-30 -1206.62000000 USD -14419.38000000 N N N ICE Futures U.S. Energy Division N/A 000000000 5.00000000 NC USD 7860.65000000 0.003317798968 N/A DCO US N 2 ICE Futures U.S. Energy Division N/A Long California Carbon Allowance Future Vintage 2020 CBRZ20 Comdty 2020-12-24 74339.35000000 USD 7860.65000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 -5.00000000 NC USD -10553.85000000 -0.00445453653 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Short Brent Crude Oil CON0 Comdty 2020-05-29 -121846.15000000 USD -10553.85000000 N N N ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 000000000 239.00000000 NC USD 200200.74000000 0.084500112425 N/A DCO US N 1 ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 Long Cocoa CCU0 Comdty 2020-09-15 5523849.26000000 USD 200200.74000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 -6.00000000 NC USD 12054.84000000 0.005088069780 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Short Low Sulfur Gas Oil QSM1 Comdty 2021-06-10 -212154.84000000 USD 12054.84000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1800.00000000 OU Notional Amount USD 8443.12000000 0.003563646114 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 NAP +EBOB + 10PPM + ROT - BRENT calendar swap EURMARG3 COM FWD EURMARG3 2Q20 8.35 06/30/20 JPM Y equity-performance leg equity-performance leg 2020-06-30 0.00000000 USD 0.00000000 USD 1800.00000000 USD 8443.12000000 N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380LJY0 271271.15000000 PA USD 264363.23000000 0.111581618810 Long ABS-MBS USGA US N 2 2068-08-20 Floating 2.27000000 N N N N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 -3.00000000 NC USD 3661.97000000 0.001545633031 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Short Brent Crude Oil COM3 Comdty 2023-04-28 -135661.97000000 USD 3661.97000000 N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1200.00000000 OU Notional Amount USD -7564.83000000 -0.00319294017 N/A DCO FR N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 EUROBOBCO Calendar Swap EUROBOBCO COM FWD EUROBOBCO CAL21 5.9 12/31/21 BPS Y equity-performance leg equity-performance leg 2021-12-31 0.00000000 USD 0.00000000 USD 1200.00000000 USD -7564.83000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -1.00000000 NC USD 737.68000000 0.000311357704 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short WTI Midland (Argus) vs. WTI Trade Month Futures WOTQ1 Comdty 2021-07-23 -1297.68000000 USD 737.68000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 1.00000000 NC USD -1340.86000000 -0.00056594606 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Nymex Mont Belvieu Normal Butane 5 Decimal OPIS Swap DAEV0 Comdty 2020-10-30 16172.32000000 USD -1340.86000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 67500.00000000 OU Notional Amount USD -5466.15000000 -0.00230713577 N/A DCO GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 KC HRW Wheat KWN0 Comdty Y equity-performance leg equity-performance leg 2020-06-26 0.00000000 USD 0.00000000 USD 67500.00000000 USD -5466.15000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 5994.00000000 OU Notional Amount USD 4478.49000000 0.001890267281 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 NAP +EBOB + 10PPM + ROT - BRENT calendar swap EURMARG3 COM FWD EURMARG3 2Q20 4.90 06/30/20 JPM Y equity-performance leg equity-performance leg 2020-06-30 2394.00000000 USD 0.00000000 USD 5994.00000000 USD 2084.49000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 1.00000000 NC USD 5710.31000000 0.002410190077 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Long Brent 1st Line vs Dubai 1st Line AFYJ20 Comdty 2020-04-30 591.69000000 USD 5710.31000000 N N N VOLKSWAGEN INTL FIN NV 5299004PWNHKYTR23649 928670AB4 400000.00000000 PA USD 401346.05000000 0.169398906051 Long DBT CORP NL Y 2 2020-08-12 Fixed 4.00000000 N N N N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -42.00000000 NC USD -13491.50000000 -0.00569445081 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short Light Sweet Crude Oil CLM1 Comdty 2021-05-20 -1372928.50000000 USD -13491.50000000 N N N Bayer US Finance II LLC 529900XWNEXYNJ3X6T40 07274NAA1 400000.00000000 PA USD 408140.30000000 0.172266602188 Long DBT CORP US Y 2 2021-06-25 Fixed 3.50000000 N N N N N N London Metal Exchange 213800NB8G5VRT1DXC91 000000000 -3.00000000 NC USD 11687.61000000 0.004933070472 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Short Aluminum LAK20 Comdty 2020-05-18 -121693.86000000 USD 11687.61000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -11.00000000 NC USD -57036.15000000 -0.02407364272 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short Natural Gas NGF21 Comdty 2020-12-29 -285613.85000000 USD -57036.15000000 N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 -1.00000000 NC USD -1270.00000000 -0.00053603769 N/A DCO US N 1 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Call Written New York Mercantile Exchange 5493008GFNDTXFPHWI47 New York Mercantile Exchange 5493008GFNDTXFPHWI47 N/A 1000.00000000 NC N/A -1270.00000000 0.00000000 DCO US Short Brent/WTI Futures Spread BYZ0 Comdty 2020-10-30 1000.00000000 USD 1000.00000000 3.00000000 USD 2020-10-29 XXXX -683.47000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 -58.00000000 NC USD 14878.24000000 0.006279761766 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Short Brent Crude Oil COM1 Comdty 2021-04-30 -2124918.24000000 USD 14878.24000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1500.00000000 OU Notional Amount USD 4717.76000000 0.001991257626 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 MEHDUB Calendar Swap MEHDUB COM FWD MEHDUB 1H20 1.21 06/30/20 JPM Y equity-performance leg equity-performance leg 2020-06-30 0.00000000 USD 0.00000000 USD 1500.00000000 USD 4717.76000000 N N N HP ENTERPRISE CO 549300BX44RGX6ANDV88 42824CBB4 600000.00000000 PA USD 589706.67000000 0.248901577053 Long DBT CORP US N 2 2021-10-05 Floating 2.09000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 21344107.07000000 OU Notional Amount USD -382206.67000000 -0.16132061542 N/A DCO GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Modified Strategy D222 on the Bloomberg Commodity Index Total Return BCOMF1TCA FIN FUT BRENT CRUDE ICE 05/29/20 734909.39000000 USD -13159.94000000 USD FIN FUT WHEAT FUTURE KCB 07/14/20 412669.30000000 USD -7389.63000000 USD FIN FUT SILVER FUTURE CMX 07/29/20 831480.96000000 USD -14889.24000000 USD FIN FUT LEAN HOGS FUTURE CME 06/12/20 409268.71000000 USD -7328.73000000 USD FIN FUT NATURAL GAS NYM 06/26/20 2168721.57000000 USD -38835.07000000 USD FIN FUT CRUDE OIL NYM 06/22/20 755007.80000000 USD -13519.84000000 USD FIN FUT COFFEE C NYB 07/21/20 636698.07000000 USD -11401.29000000 USD FIN FUT SUGAR #11 NYB 06/30/20 620837.82000000 USD -11117.28000000 USD FIN FUT SOYBEAN OIL CBT 07/14/20 599935.80000000 USD -10742.99000000 USD FIN FUT COPPER FUTURE CMX 07/29/20 1578781.93000000 USD -28271.08000000 USD FIN FUT HEATING OIL NYM 06/30/20 248658.17000000 USD -4452.70000000 USD FIN FUT GASOLINE NYM 06/30/20 284540.65000000 USD -5095.24000000 USD FIN FUT CORN CBT 07/14/20 1312271.27000000 USD -23498.70000000 USD FIN FUT SOYBEAN CBT 07/14/20 1380442.41000000 USD -24719.44000000 USD FIN FUT COTTON NO.2 NYB 07/09/20 331014.80000000 USD -5927.45000000 USD FIN FUT LIVE CATTLE CME 06/30/20 738203.51000000 USD -13218.93000000 USD FIN FUT SOYBEAN MEAL CBT 07/14/20 872375.20000000 USD -15621.53000000 USD FIN FUT GAS OIL ICE 07/10/20 306378.60000000 USD -5486.29000000 USD FIN FUT GOLD 100 OZ FUTR 06/26/20 3962770.13000000 USD -70960.91000000 USD FIN FUT PRI ALUM (LME) 07/13/20 961423.63000000 USD -17216.11000000 USD FIN FUT NICKEL LME 07/13/20 650556.61000000 USD -11649.45000000 USD FIN FUT ZINC LME 07/13/20 763656.98000000 USD -13674.72000000 USD FIN FUT WHEAT FUTURE CBT 07/14/20 783503.77000000 USD -14030.12000000 USD Y equity-performance leg 2021-02-16 0.00000000 USD 0.00000000 USD 21344107.07000000 USD -382206.67000000 N N N Macquarie Bank Limited 4ZHCHI4KYZG2WVRT8631 000000000 1200.00000000 OU Notional Amount USD -5984.97000000 -0.00252611772 N/A DCO AU N 2 Macquarie Bank Limited 4ZHCHI4KYZG2WVRT8631 HOBR(Heating Oil/Brent) Calendar Swap HOBR COM FWD HOBR CAL21 16.25 12/31/21 MAC Y equity-performance leg equity-performance leg 2021-12-31 0.00000000 USD 0.00000000 USD 1200.00000000 USD -5984.97000000 N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1200.00000000 OU Notional Amount USD -2543.15000000 -0.00107340492 N/A DCO FR N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 NAP +EBOB + 10PPM + ROT - BRENT calendar swap EURMARG3 COM FWD EURMARG3 2H20 5.25 12/31/20 BPS Y equity-performance leg equity-performance leg 2020-12-31 0.00000000 USD 0.00000000 USD 1200.00000000 USD -2543.15000000 N N N Macquarie Bank Limited 4ZHCHI4KYZG2WVRT8631 000000000 1800.00000000 OU Notional Amount USD -25368.00000000 -0.01070724739 N/A DCO AU N 2 Macquarie Bank Limited 4ZHCHI4KYZG2WVRT8631 EBOBFUEL Ratio Calendar Swap EBOBFUEL COM FWD EBOBFUEL CAL20 22.1 12/20 MAC Y equity-performance leg equity-performance leg 2020-12-31 0.00000000 USD 0.00000000 USD 1800.00000000 USD -25368.00000000 N N N London Metal Exchange 213800NB8G5VRT1DXC91 000000000 -8.00000000 NC USD 4768.88000000 0.002012834199 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Short Nickel LNK0 Comdty 2020-05-18 -587392.88000000 USD 4768.88000000 N N N AVIATION CAPITAL GROUP 549300ODEK8HY3445C77 05369AAF8 100000.00000000 PA USD 79175.77000000 0.033418265418 Long DBT CORP US Y 2 2024-01-30 Fixed 4.38000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1800.00000000 OU Notional Amount USD -25098.64000000 -0.01059355675 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 EBOBFUEL Ratio Calendar Swap EBOBFUEL COM FWD EBOBFUEL CAL20 21.95 12/20 JPM Y equity-performance leg equity-performance leg 2020-12-31 0.00000000 USD 0.00000000 USD 1800.00000000 USD -25098.64000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 2700.00000000 OU Notional Amount USD -2794.00000000 -0.00117928292 N/A DCO GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 MEHDUB Calendar Swap MEHDUB COM FWD MEHDUB CAL20 -0.75 12/31/20 GST Y equity-performance leg equity-performance leg 2020-12-31 0.00000000 USD 0.00000000 USD 2700.00000000 USD -2794.00000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 40000.00000000 OU Notional Amount USD 1098.20000000 0.000463524877 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 KC HRW Wheat KWN0 Comdty Y equity-performance leg equity-performance leg 2020-06-26 0.00000000 USD 0.00000000 USD 40000.00000000 USD 1098.20000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 11.00000000 NC USD 19754.33000000 0.008337846832 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Natural Gas NGH21 Comdty 2021-02-24 302985.67000000 USD 19754.33000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 3.00000000 NC USD -823.79000000 -0.00034770274 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long Soybean S N0 Comdty 2020-07-14 129111.29000000 USD -823.79000000 N N N Macquarie Bank Limited 4ZHCHI4KYZG2WVRT8631 000000000 3600.00000000 OU Notional Amount USD 3091.80000000 0.001304977432 N/A DCO AU N 2 Macquarie Bank Limited 4ZHCHI4KYZG2WVRT8631 MEHCO (Huston/Brent) Calendar Swap MEHCO COM FWD MEHCO CAL21 -3.25 12/31/21 MAC Y equity-performance leg equity-performance leg 2021-12-31 0.00000000 USD 0.00000000 USD 3600.00000000 USD 3091.80000000 N N N London Metal Exchange 213800NB8G5VRT1DXC91 000000000 -3.00000000 NC USD 595.11000000 0.000251182197 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Short Aluminum LAN20 Comdty 2020-07-13 -112326.36000000 USD 595.11000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 100000.00000000 OU Notional Amount USD 17735.80000000 0.007485871900 N/A DCO GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Wheat W N0 Comdty Y equity-performance leg equity-performance leg 2020-06-26 0.00000000 USD 0.00000000 USD 100000.00000000 USD 17735.80000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 12.00000000 NC USD -28957.49000000 -0.01222228829 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Long Brent Crude Oil COH2 Comdty 2022-01-31 505117.49000000 USD -28957.49000000 N N N London Metal Exchange 213800NB8G5VRT1DXC91 000000000 1.00000000 NC USD 897.00000000 0.000378603000 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Long Nickel LNZ0 Comdty 2020-12-14 72819.00000000 USD 897.00000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 2941192.03000000 OU Notional Amount USD -75161.49000000 -0.03172393046 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 J.P. Morgan NIC 2 Index JMABNIC2 FIN FUT GOLD 100 OZ FUTR 08/27/20 608553.40000000 USD -15551.44000000 USD FIN FUT SILVER FUTURE CMX 09/28/20 126797.03000000 USD -3240.27000000 USD FIN FUT NICKEL LME 09/14/20 308377.47000000 USD -7880.52000000 USD FIN FUT HEATING OIL NYM 08/31/20 103033.65000000 USD -2633.00000000 USD FIN FUT COPPER FUTURE CMX 09/28/20 301814.19000000 USD -7712.79000000 USD FIN FUT SUGAR #11 NYB 09/30/20 57638.14000000 USD -1472.93000000 USD FIN FUT LEAN HOGS FUTURE CME 08/14/20 28993.50000000 USD -740.92000000 USD FIN FUT LIVE CATTLE CME 08/31/20 56083.13000000 USD -1433.19000000 USD FIN FUT SOYBEAN MEAL CBT 12/14/20 250288.39000000 USD -6396.06000000 USD FIN FUT SOYBEAN CBT 11/13/20 582770.49000000 USD -14892.57000000 USD FIN FUT GAS OIL ICE 09/10/20 103024.47000000 USD -2632.77000000 USD FIN FUT BRENT CRUDE ICE 07/31/20 244520.46000000 USD -6248.66000000 USD FIN FUT GASOLINE NYM 08/31/20 167561.28000000 USD -4281.99000000 USD CASH Uninvested USD 1736.42000000 USD -44.37000000 USD Y equity-performance leg 2021-02-16 0.00000000 USD 0.00000000 USD 2941192.03000000 USD -75161.49000000 N N N DISCOVERY COMMUNICATIONS L2Z2MO2EQURH3BREWI15 25470DAY5 400000.00000000 PA USD 400117.80000000 0.168880490069 Long DBT CORP US N 2 2020-06-15 Fixed 2.80000000 N N N N N N London Metal Exchange 213800NB8G5VRT1DXC91 000000000 -242.00000000 NC USD 1124167.25000000 0.474485054402 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Short Aluminum LAM20 Comdty 2020-06-17 -10084217.25000000 USD 1124167.25000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 1.00000000 NC USD -1600.69000000 -0.00067561431 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Long Brent 1st Line vs Dubai 1st Line AFYV20 Comdty 2020-10-30 3251.69000000 USD -1600.69000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 1.00000000 NC USD -882.32000000 -0.00037240691 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long WTI Houston (Argus) vs. WTI Trade Month Futures HRTQ1 Comdty 2021-07-23 2502.32000000 USD -882.32000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 -54.00000000 NC USD 589804.06000000 0.248942683124 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Short Brent Crude Oil COZ3 Comdty 2023-10-31 -3021964.06000000 USD 589804.06000000 N N N Lloyds Banking Group PLC 549300PPXHEU2JF0AM85 53944YAG8 200000.00000000 PA USD 198620.56000000 0.083833154912 Long DBT CORP GB N 2 2021-06-21 Floating 2.00000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 65000.00000000 OU Notional Amount USD 15412.47000000 0.006505247921 N/A DCO GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Wheat W N0 Comdty Y equity-performance leg equity-performance leg 2020-06-26 0.00000000 USD 0.00000000 USD 65000.00000000 USD 15412.47000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 1.00000000 NC USD -13967.12000000 -0.00589519904 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Ethanol CUAF1 Comdty 2021-01-29 58697.12000000 USD -13967.12000000 N N N Commodities Exchange Center N/A 000000000 31.00000000 NC USD 25860.20000000 0.010914993657 N/A DCO US N 1 Commodities Exchange Center N/A Long Gold (100 oz) GCQ0 Comdty 2020-08-27 5247239.80000000 USD 25860.20000000 N N N ANR Pipeline Co N/A 001814AR3 200000.00000000 PA USD 221372.55000000 0.093436244855 Long DBT CORP US N 2 2021-11-01 Fixed 9.63000000 N N N N N N Woodside Finance Ltd 254900AIZKU6TGRRNZ98 980236AL7 300000.00000000 PA USD 304319.68000000 0.128446314301 Long DBT CORP AU Y 2 2021-05-10 Fixed 4.60000000 N N N N N N BROADCOM CRP / CAYMN FI N/A 11134LAK5 400000.00000000 PA USD 398692.31000000 0.168278823636 Long DBT CORP US N 2 2021-01-15 Fixed 2.20000000 N N N N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 9.00000000 NC USD 9341.86000000 0.003942983528 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Long White Sugar QWV0 Comdty 2020-09-15 138258.14000000 USD 9341.86000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 2771.10000000 OU Notional Amount USD -20322.56000000 -0.00857768360 N/A DCO US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 HOBR(Heating Oil/Brent) Calendar Swap HOBR COM FWD HOBR CAL21 15.67 12/31/21 CBK Y equity-performance leg equity-performance leg 2021-12-31 0.00000000 USD -1836.90000000 USD 2771.10000000 USD -18485.66000000 N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 41556.00000000 OU Notional Amount USD 38394.23000000 0.016205318479 N/A DCO FR N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 NAP +EBOB + 10PPM + ROT - BRENT calendar swap EURMARG3 COM FWD EURMARG3 2Q20 8.23 06/30/20 BPS Y equity-performance leg equity-performance leg 2020-06-30 33156.00000000 USD 0.00000000 USD 41556.00000000 USD 5238.23000000 N N N United States Treasury 254900HROIFWPRGM1V77 912828N71 217712.00000000 PA USD 229485.12000000 0.096860373443 Long DBT UST US N 2 2026-01-15 Fixed 0.63000000 N N N N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 2.00000000 NC USD 6102.85000000 0.002575872152 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long NY Harb Ultra Low Sulfur Diesel HOU0 Comdty 2020-08-31 74654.75000000 USD 6102.85000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -501.00000000 NC USD -207362.07000000 -0.08752274456 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short Corn C Z0 Comdty 2020-12-14 -8240750.43000000 USD -207362.07000000 N N N London Metal Exchange 213800NB8G5VRT1DXC91 000000000 -8.00000000 NC USD -6974.00000000 -0.00294356446 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Short Zinc LXM0 Comdty 2020-06-15 -380376.00000000 USD -6974.00000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 1.00000000 NC USD -750.22000000 -0.00031665054 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Brent-Dubai ICE REZ0 Comdty 2020-12-31 2452.22000000 USD -750.22000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -1.00000000 NC USD 867.68000000 0.000366227705 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short WTI Midland (Argus) vs. WTI Trade Month Futures WOTH1 Comdty 2021-02-25 -1297.68000000 USD 867.68000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -7.00000000 NC USD 4832.08000000 0.002039509460 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short Corn C H1 Comdty 2021-03-12 -127507.08000000 USD 4832.08000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 1.00000000 NC USD -1072.32000000 -0.00045260152 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long WTI Houston (Argus) vs. WTI Trade Month Futures HRTH1 Comdty 2021-02-25 2502.32000000 USD -1072.32000000 N N N AVIATION CAPITAL GROUP 549300ODEK8HY3445C77 05367AAD5 1100000.00000000 PA USD 1035960.74000000 0.437255122027 Long DBT CORP US Y 2 2021-04-06 Fixed 6.75000000 N N N N N N FED HOME LN DISCOUNT NT 2549001DPIFGXC1TOL40 313384YQ6 5200000.00000000 PA USD 5199917.68000000 2.194765256935 Long DBT USGSE US N 2 2020-06-26 None 0.00000000 N N N N N N Mitsubishi Corp KVIPTY4PULAPGC1VVD26 000000000 300000.00000000 PA USD 304363.03000000 0.128464611335 Long DBT CORP JP Y 2 2022-07-14 Fixed 2.63000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 4320.00000000 OU Notional Amount USD -13903.96000000 -0.00586854066 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 NAP +EBOB + 10PPM + ROT - BRENT calendar swap EURMARG3 COM FWD EURMARG3 CAL21 6.35 12/31/21 JPM Y equity-performance leg equity-performance leg 2021-12-31 0.00000000 USD -9467.76000000 USD 4320.00000000 USD -4436.20000000 N N N Commodities Exchange Center N/A 000000000 -1.00000000 NC USD -16488.25000000 -0.00695930983 N/A DCO US N 1 Commodities Exchange Center N/A Short Gold (100 oz) GCM0 Comdty 2020-06-26 -152931.75000000 USD -16488.25000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 -99.00000000 NC USD 466528.34000000 0.196910846482 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Short Brent Crude Oil COZ0 Comdty 2020-10-30 -3728578.34000000 USD 466528.34000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -1.00000000 NC USD 550.00000000 0.000232142307 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short WTI Houston (Argus) vs. WTI Trade Month Futures HRTU0 Comdty 2020-08-25 -1430.00000000 USD 550.00000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 31.00000000 NC USD 61313.88000000 0.025879173839 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Natural Gas NGN20 Comdty 2020-06-26 611386.12000000 USD 61313.88000000 N N N BMW US Capital LLC KK5MZM9DIXLXZL9DZL15 05565EAU9 600000.00000000 PA USD 602774.35000000 0.254417143225 Long DBT CORP US Y 2 2021-04-12 Fixed 3.10000000 N N N N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -1.00000000 NC USD -182.32000000 -0.00007695306 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short LLS Argus v WTI Spread Calendar Swap WJAQ0 Comdty 2020-08-31 -547.68000000 USD -182.32000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -1.00000000 NC USD 797.68000000 0.000336682320 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short WTI Midland (Argus) vs. WTI Trade Month Futures WOTM1 Comdty 2021-05-25 -1297.68000000 USD 797.68000000 N N N London Metal Exchange 213800NB8G5VRT1DXC91 000000000 29.00000000 NC USD -11505.75000000 -0.00485631156 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Long Aluminum LAZ20 Comdty 2020-12-16 1123293.25000000 USD -11505.75000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 1.00000000 NC USD -1972.22000000 -0.00083242855 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Brent-Dubai ICE REM0 Comdty 2020-06-30 2452.22000000 USD -1972.22000000 N N N London Metal Exchange 213800NB8G5VRT1DXC91 000000000 -6.00000000 NC USD -2212.50000000 -0.00093384519 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Short Zinc LXN0 Comdty 2020-07-13 -288562.50000000 USD -2212.50000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -12.00000000 NC USD -120.00000000 -0.00005064923 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Call Written New York Mercantile Exchange 5493008GFNDTXFPHWI47 New York Mercantile Exchange 5493008GFNDTXFPHWI47 N/A 12000.00000000 NC N/A -120.00000000 0.00000000 DCO US Short Light Sweet Crude Oil CLM0 Comdty 2020-05-19 12000.00000000 USD 1000.00000000 55.00000000 USD 2020-05-14 XXXX 14294.05000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 3600.00000000 OU Notional Amount USD 415.14000000 0.000175221014 N/A DCO US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 NAP +EBOB + 10PPM + ROT - BRENT calendar swap EURMARG3 COM FWD EURMARG3 CAL21 3 12/31/21 MYC Y equity-performance leg equity-performance leg 2021-12-31 0.00000000 USD 0.00000000 USD 3600.00000000 USD 415.14000000 N N N Commodities Exchange Center N/A 000000000 42.00000000 NC USD 58690.65000000 0.024771968991 N/A DCO US N 1 Commodities Exchange Center N/A Long Copper HGN0 Comdty 2020-07-29 2402509.35000000 USD 58690.65000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 1.00000000 NC USD 983.00000000 0.000414901615 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Put Purchased New York Mercantile Exchange 5493008GFNDTXFPHWI47 New York Mercantile Exchange 5493008GFNDTXFPHWI47 N/A 10000.00000000 NC N/A 983.00000000 0.00000000 DCO US Long Natural Gas NGM20 Comdty 2020-05-27 10000.00000000 USD 10000.00000000 1.80000000 USD 2020-05-26 XXXX 100.73000000 N N N LG&E AND KU ENERGY LLC N/A 50188FAD7 200000.00000000 PA USD 201091.08000000 0.084875904393 Long DBT CORP US N 2 2020-11-15 Fixed 3.75000000 N N N N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -1.00000000 NC USD -82.32000000 -0.00003474537 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short WTI Midland (Argus) vs. WTI Trade Month Futures WOTU0 Comdty 2020-08-25 -47.68000000 USD -82.32000000 N N N CVS Health Corp 549300EJG376EN5NQE29 126650CK4 400000.00000000 PA USD 416970.48000000 0.175993617397 Long DBT CORP US N 2 2022-07-20 Fixed 3.50000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 91.00000000 NC USD 62135.07000000 0.026225779188 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long KC HRW Wheat KWN0 Comdty 2020-07-14 2158264.93000000 USD 62135.07000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 125000.00000000 OU Notional Amount USD 26207.50000000 0.011061580973 N/A DCO GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Wheat W N0 Comdty Y equity-performance leg equity-performance leg 2020-06-26 0.00000000 USD 0.00000000 USD 125000.00000000 USD 26207.50000000 N N N SABINE PASS LIQUEFACTION 549300KJYBG7C6WJYZ11 785592AH9 100000.00000000 PA USD 103175.99000000 0.043548204440 Long DBT CORP US N 2 2022-03-15 Fixed 6.25000000 N N N N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 23.00000000 NC USD -189218.47000000 -0.07986474969 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Light Sweet Crude Oil CLM0 Comdty 2020-05-19 622538.47000000 USD -189218.47000000 N N N Bayer US Finance II LLC 529900XWNEXYNJ3X6T40 07274NAU7 600000.00000000 PA USD 606613.50000000 0.256037559846 Long DBT CORP US Y 2 2021-07-15 Fixed 2.75000000 N N N N N N Pernod Ricard SA 52990097YFPX9J0H5D87 714264AA6 700000.00000000 PA USD 728517.01000000 0.307490218313 Long DBT CORP FR Y 2 2021-04-07 Fixed 5.75000000 N N N N N N 2020-05-29 RUSSELL INVESTMENT CO Mark Swanson Mark Swanson Treasurer