NPORT-P false 0000351601 XXXXXXXX S000028091 C000085557 C000085554 C000085558 C000085555 C000178376 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 2020-10-31 N 240331042.05 8234162.28 232096879.77 0.00000000 48558047.28000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 104773.44000000 0.00000000 0.00000000 1648601.64000000 USD N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 3600.00000000 OU Notional Amount USD 2406.09000000 0.001036674858 N/A DCO US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 LLSCO Calendar Swap LLSCO COM FWD LLSCO CAL22 -2.1 12/31/22 MYC Y equity-performance leg equity-performance leg 2022-12-31 0.00000000 USD 0.00000000 USD 3600.00000000 USD 2406.09000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -1.00000000 NC USD -1129.00000000 -0.00048643480 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 1.00000000 NC N/A -1129.00000000 0.00000000 DCO US Short NYMEX Henry Hub Natural European Style Option GKZ20 Comdty 2020-11-25 1.00000000 USD 10000.00000000 3.75000000 USD 2020-11-24 XXXX 358.73000000 N N N Canadian Imperial Bank of Commerce 2IGI19DL77OX0HC3ZE78 000000000 116248.99000000 OU Notional Amount USD -3011.42000000 -0.00129748405 N/A DCO CA N 2 Canadian Imperial Bank of Commerce 2IGI19DL77OX0HC3ZE78 CIBC CUSTOM INDEX 17 WITH FEE PIMCODB2 FIN FUT PRI ALUM (LME) 01/18/21 4356.28000000 USD -112.85000000 USD FIN FUT CORN CBT 03/12/21 9905.62000000 USD -256.60000000 USD FIN FUT NICKEL LME 03/15/21 5334.55000000 USD -138.19000000 USD FIN FUT SUGAR #11 NYB 02/26/21 8341.42000000 USD -216.08000000 USD FIN FUT WHEAT FUTURE CBT 03/12/21 4390.76000000 USD -113.74000000 USD CASH Uninvested USD 29153.06000000 USD -755.21000000 USD FIN FUT HEATING OIL NYM 02/26/21 491.39000000 USD -12.73000000 USD FIN FUT GAS OIL ICE 03/11/21 485.28000000 USD -12.57000000 USD FIN FUT GOLD 100 OZ FUTR 04/28/21 4538.31000000 USD -117.56000000 USD FIN FUT SOYBEAN CBT 03/12/21 3567.05000000 USD -92.40000000 USD FIN FUT SOYBEAN CBT 01/14/21 1638.70000000 USD -42.45000000 USD FIN FUT NATURAL GAS NYM 12/29/20 3404.42000000 USD -88.19000000 USD FIN FUT SOYBEAN OIL CBT 03/12/21 4048.40000000 USD -104.87000000 USD FIN FUT SOYBEAN MEAL CBT 03/12/21 4049.06000000 USD -104.89000000 USD FIN FUT COCOA NYB 03/16/21 3075.99000000 USD -79.68000000 USD FIN FUT COPPER FUTURE CMX 03/29/21 8713.52000000 USD -225.72000000 USD FIN FUT BRENT CRUDE ICE 03/31/21 4560.15000000 USD -118.13000000 USD FIN FUT SOYBEAN OIL CBT 01/14/21 3020.35000000 USD -78.24000000 USD FIN FUT COTTON NO.2 NYB 03/09/21 7480.84000000 USD -193.79000000 USD FIN FUT WHEAT FUTURE KCB 12/14/20 1278.22000000 USD -33.11000000 USD FIN FUT GASOLINE NYM 02/26/21 5367.97000000 USD -139.06000000 USD FIN FUT CORN CBT 12/14/20 2236.59000000 USD -57.94000000 USD FIN FUT COCOA NYB 12/15/20 857.23000000 USD -22.21000000 USD FIN FUT NICKEL LME 01/18/21 2036.46000000 USD -52.75000000 USD FIN FUT PLATINUM FUTURE 01/27/21 2523.72000000 USD -65.38000000 USD FIN FUT COTTON NO.2 NYB 12/08/20 877.09000000 USD -22.72000000 USD FIN FUT LEAN HOGS FUTURE CME 04/15/21 3192.66000000 USD -82.71000000 USD FIN FUT COPPER FUTURE CMX 12/29/20 10154.78000000 USD -263.06000000 USD FIN FUT WHEAT FUTURE KCB 03/12/21 3654.69000000 USD -94.67000000 USD FIN FUT ZINC LME 03/15/21 2525.93000000 USD -65.43000000 USD FIN FUT LIVE CATTLE CME 12/31/20 2123.30000000 USD -55.00000000 USD FIN FUT NATURAL GAS NYM 02/24/21 3887.72000000 USD -100.71000000 USD FIN FUT WHEAT FUTURE CBT 12/14/20 1008.62000000 USD -26.13000000 USD FIN FUT SOYBEAN MEAL CBT 01/14/21 1642.27000000 USD -42.54000000 USD FIN FUT CRUDE OIL NYM 02/22/21 4500.10000000 USD -116.57000000 USD FIN FUT SILVER FUTURE CMX 12/29/20 3396.21000000 USD -87.98000000 USD FIN FUT PRI ALUM (LME) 03/15/21 4153.49000000 USD -107.60000000 USD Y equity-performance leg 2021-02-16 0.00000000 USD 0.00000000 USD 116248.99000000 USD -3011.42000000 N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 600.00000000 OU Notional Amount USD -2770.07000000 -0.00119349730 N/A DCO FR N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 NAPHTHA vs Dated Brent NAPHTHACO COM FWD NAPHTHACO 2H20 -3.3 12/31/20 BPS Y equity-performance leg equity-performance leg 2020-12-31 0.00000000 USD 0.00000000 USD 600.00000000 USD -2770.07000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -76.00000000 NC USD 273265.15000000 0.117737537131 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short NYMEX WTI Light Sweet Crude Oil CLZ1 Comdty 2021-11-19 -3257785.15000000 USD 273265.15000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 1.00000000 NC USD -1772.32000000 -0.00076361216 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 -1772.32000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -1.00000000 NC USD -2719.11000000 -0.00117154095 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short KC HRW Wheat KWN1 Comdty 2021-07-14 -25193.39000000 USD -2719.11000000 N N N United States Treasury 254900HROIFWPRGM1V77 912796A82 7000000.00000000 PA USD 6997686.08000000 3.014984986844 Long STIV UST US N 2 2021-01-26 None 0.00000000 N N N N N N London Metal Exchange 213800NB8G5VRT1DXC91 000000000 -362.00000000 NC USD -1626391.25000000 -0.70073809333 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Short Aluminum LAZ20 Comdty 2020-12-16 -15143258.75000000 USD -1626391.25000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 1200.00000000 OU Notional Amount USD 713.96000000 0.000307612924 N/A DCO US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 MEHCO (Huston/Brent) Calendar Swap MEHCO COM FWD MEHCO 4Q20 -2.1 12/31/20 CBK Y equity-performance leg equity-performance leg 2020-12-31 0.00000000 USD 0.00000000 USD 1200.00000000 USD 713.96000000 N N N INTERPUBLIC GROUP COS 5493008IUOJ5VWTRC333 460690BN9 600000.00000000 PA USD 618461.48000000 0.266466951478 Long DBT CORP US N 2 2021-10-01 Fixed 3.75000000 N N N N N N Macquarie Bank Limited 4ZHCHI4KYZG2WVRT8631 000000000 6644.71000000 OU Notional Amount USD -12081.96000000 -0.00520556761 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 16857.61000000 N N N BROADCOM INC 549300WV6GIDOZJTV909 11135FAN1 403000.00000000 PA USD 438364.85000000 0.188871496434 Long DBT CORP US N 2 2026-09-15 Fixed 3.46000000 N N N N N N ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 000000000 -6.00000000 NC USD 7383.15000000 0.003181063876 N/A DCO US N 1 ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 Short Coffee KCH1 Comdty 2021-03-19 -247795.65000000 USD 7383.15000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -1.00000000 NC USD -6350.00000000 -0.00273592648 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 1.00000000 NC N/A -6350.00000000 0.00000000 DCO US Short NYMEX WTI Light Sweet Crude Oil CLZ1 Comdty 2021-11-19 1.00000000 USD 1000.00000000 40.00000000 USD 2021-11-16 XXXX -150.66000000 N N N Macquarie Bank Limited 4ZHCHI4KYZG2WVRT8631 000000000 3018178.73000000 OU Notional Amount USD -79739.24000000 -0.03435601550 N/A DCO AU N 2 Macquarie Bank Limited 4ZHCHI4KYZG2WVRT8631 Macquarie Commodity Product 235E PIMCODB1 FIN FUT NICKEL LME 03/15/21 138501.21000000 USD -3659.15000000 USD FIN FUT GOLD 100 OZ FUTR 12/29/20 53628.25000000 USD -1416.84000000 USD CASH Uninvested USD 756902.56000000 USD -19997.10000000 USD FIN FUT SOYBEAN OIL CBT 03/12/21 105108.75000000 USD -2776.94000000 USD FIN FUT LEAN HOGS FUTURE CME 04/15/21 82891.17000000 USD -2189.96000000 USD FIN FUT COPPER FUTURE CMX 12/29/20 263648.99000000 USD -6965.52000000 USD FIN FUT GAS OIL ICE 03/11/21 12599.33000000 USD -332.87000000 USD FIN FUT WHEAT FUTURE KCB 12/14/20 33186.53000000 USD -876.78000000 USD FIN FUT SOYBEAN MEAL CBT 03/12/21 105125.93000000 USD -2777.39000000 USD FIN FUT WHEAT FUTURE CBT 03/12/21 113997.41000000 USD -3011.77000000 USD FIN FUT WHEAT FUTURE KCB 03/12/21 94887.03000000 USD -2506.88000000 USD FIN FUT NATURAL GAS NYM 02/24/21 100937.00000000 USD -2666.72000000 USD FIN FUT ZINC LME 03/15/21 65580.90000000 USD -1732.62000000 USD FIN FUT SOYBEAN OIL CBT 01/14/21 78417.56000000 USD -2071.76000000 USD FIN FUT COFFEE C NYB 12/18/20 26550.88000000 USD -701.47000000 USD FIN FUT SILVER FUTURE CMX 12/29/20 88175.95000000 USD -2329.58000000 USD FIN FUT HEATING OIL NYM 02/26/21 12757.96000000 USD -337.06000000 USD FIN FUT CORN CBT 03/12/21 257180.08000000 USD -6794.61000000 USD FIN FUT PRI ALUM (LME) 01/18/21 113102.45000000 USD -2988.13000000 USD FIN FUT ZINC LME 01/18/21 142660.16000000 USD -3769.03000000 USD FIN FUT BRENT CRUDE ICE 03/31/21 118395.52000000 USD -3127.97000000 USD FIN FUT GOLD 100 OZ FUTR 04/28/21 117828.35000000 USD -3112.98000000 USD FIN FUT CORN CBT 12/14/20 58068.62000000 USD -1534.15000000 USD FIN FUT SOYBEAN CBT 01/14/21 42545.59000000 USD -1124.04000000 USD FIN FUT SOYBEAN CBT 03/12/21 92611.53000000 USD -2446.76000000 USD FIN FUT NICKEL LME 01/18/21 52872.74000000 USD -1396.88000000 USD FIN FUT COPPER FUTURE CMX 03/29/21 226229.57000000 USD -5976.91000000 USD FIN FUT GASOLINE NYM 02/26/21 139368.90000000 USD -3682.08000000 USD FIN FUT COCOA NYB 12/15/20 22256.19000000 USD -588.00000000 USD FIN FUT SOYBEAN MEAL CBT 01/14/21 42638.37000000 USD -1126.49000000 USD FIN FUT COTTON NO.2 NYB 03/09/21 194225.44000000 USD -5131.37000000 USD FIN FUT SUGAR #11 NYB 02/26/21 216568.69000000 USD -5721.67000000 USD FIN FUT PLATINUM FUTURE 01/27/21 65523.38000000 USD -1731.11000000 USD FIN FUT COCOA NYB 03/16/21 79861.99000000 USD -2109.93000000 USD FIN FUT LIVE CATTLE CME 12/31/20 55127.44000000 USD -1456.45000000 USD FIN FUT PRI ALUM (LME) 03/15/21 107837.18000000 USD -2849.02000000 USD FIN FUT WHEAT FUTURE CBT 12/14/20 26186.88000000 USD -691.85000000 USD FIN FUT COTTON NO.2 NYB 12/08/20 22771.89000000 USD -601.63000000 USD Y equity-performance leg equity-performance leg 2021-02-16 0.00000000 USD 0.00000000 USD 3018178.73000000 USD -79739.24000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 -2.00000000 NC USD -1595.38000000 -0.00068737675 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 -1595.38000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 16549513.47000000 OU Notional Amount USD -362726.89000000 -0.15628253613 N/A DCO GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Modified Strategy D222 on the Bloomberg Commodity Index Total Return BCOMF1TCA FIN FUT COFFEE C NYB 12/18/20 378167.91000000 USD -8288.56000000 USD FIN FUT ZINC LME 01/18/21 600962.81000000 USD -13171.71000000 USD FIN FUT GOLD 100 OZ FUTR 12/29/20 2659211.35000000 USD -58283.74000000 USD FIN FUT NATURAL GAS NYM 12/29/20 2096680.57000000 USD -45954.37000000 USD FIN FUT COTTON NO.2 NYB 12/08/20 240654.87000000 USD -5274.60000000 USD FIN FUT NICKEL LME 01/18/21 489423.73000000 USD -10727.03000000 USD FIN FUT CRUDE OIL NYM 12/21/20 755426.48000000 USD -16557.19000000 USD FIN FUT WHEAT FUTURE CBT 12/14/20 540942.01000000 USD -11856.19000000 USD FIN FUT SOYBEAN MEAL CBT 01/14/21 664345.06000000 USD -14560.90000000 USD FIN FUT CORN CBT 12/14/20 988293.35000000 USD -21661.09000000 USD FIN FUT WHEAT FUTURE KCB 12/14/20 276798.77000000 USD -6066.79000000 USD FIN FUT SOYBEAN OIL CBT 01/14/21 456386.70000000 USD -10002.94000000 USD FIN FUT SILVER FUTURE CMX 12/29/20 794118.06000000 USD -17405.22000000 USD FIN FUT PRI ALUM (LME) 01/18/21 722618.41000000 USD -15838.12000000 USD FIN FUT LEAN HOGS FUTURE CME 12/14/20 275325.81000000 USD -6034.50000000 USD FIN FUT GAS OIL ICE 01/12/21 213645.97000000 USD -4682.62000000 USD FIN FUT HEATING OIL NYM 12/31/20 186099.09000000 USD -4078.86000000 USD FIN FUT COPPER FUTURE CMX 12/29/20 1241344.03000000 USD -27207.38000000 USD FIN FUT BRENT CRUDE ICE 11/30/20 636791.19000000 USD -13956.98000000 USD Y equity-performance leg 2021-02-16 0.00000000 USD 0.00000000 USD 16549513.47000000 USD -362726.89000000 N N N Merrill Lynch International GGDZP1UYGU9STUHRDP48 000000000 600.00000000 OU Notional Amount USD -29645.48000000 -0.01277289036 N/A DCO GB N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 LBMA Gold Price PM USD GOLDLNPM COM FWD GOLDLNPM 1929.99 01/29/21 MEI Y equity-performance leg equity-performance leg 2021-01-29 0.00000000 USD 0.00000000 USD 600.00000000 USD -29645.48000000 N N N London Metal Exchange 213800NB8G5VRT1DXC91 000000000 6.00000000 NC USD 24200.00000000 0.010426680455 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Long Zinc LXF1 Comdty 2021-01-18 354175.00000000 USD 24200.00000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 2.00000000 NC USD -2104.24000000 -0.00090662140 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Ethanol CUAG1 Comdty 2021-02-26 116134.24000000 USD -2104.24000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 23.00000000 NC USD 68595.33000000 0.029554611017 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Ethanol CUAF1 Comdty 2021-01-29 1230674.67000000 USD 68595.33000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 1.00000000 NC USD -2395.69000000 -0.00103219397 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 -2395.69000000 N N N United States Treasury 254900HROIFWPRGM1V77 912828N71 218754.00000000 PA USD 239257.92000000 0.103085366867 Long DBT UST US N 2 2026-01-15 Fixed 0.63000000 N N N N N N Commodities Exchange Center N/A 000000000 -23.00000000 NC USD 43293.25000000 0.018653094364 N/A DCO US N 1 Commodities Exchange Center N/A Short Gold (100 oz) GCZ0 Comdty 2020-12-29 -4367063.25000000 USD 43293.25000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 2400.00000000 OU Notional Amount USD -1701.60000000 -0.00073314212 N/A DCO US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 ULSD10ppm vs Dated Brent ULSDCO COM FWD ULSDCO CAL21 6.45 12/31/21 MYC Y equity-performance leg equity-performance leg 2021-12-31 0.00000000 USD 0.00000000 USD 2400.00000000 USD -1701.60000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 10000.00000000 OU Notional Amount USD 784.50000000 0.000338005405 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Wheat W H1 Comdty Y equity-performance leg equity-performance leg 2021-02-19 0.00000000 USD 0.00000000 USD 10000.00000000 USD 784.50000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 1200.00000000 OU Notional Amount USD -738.88000000 -0.00031834982 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 -738.88000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 125000.00000000 OU Notional Amount USD -52779.00000000 -0.02274007304 N/A DCO GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Wheat W H1 Comdty Y equity-performance leg equity-performance leg 2021-02-19 0.00000000 USD 0.00000000 USD 125000.00000000 USD -52779.00000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -193.00000000 NC USD -98515.05000000 -0.04244565894 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short Natural Gas NGH21 Comdty 2021-02-24 -6239604.95000000 USD -98515.05000000 N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 -12.00000000 NC USD -960.00000000 -0.00041362038 N/A DCO US N 1 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Call Written Brent Crude Oil COF1 Comdty 1000.00000000 47.00000000 USD 2020-11-25 XXXX 10180.92000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 9840.00000000 OU Notional Amount USD -46834.27000000 -0.02017875899 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 -10990.81000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 -1.00000000 NC USD 3490.33000000 0.001503824611 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Short Brent Crude Oil COH1 Comdty 2021-01-29 -42340.33000000 USD 3490.33000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 7200.00000000 OU Notional Amount USD 64744.14000000 0.027895308228 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 64744.14000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 3450.00000000 OU Notional Amount USD -12522.41000000 -0.00539533750 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 3450.00000000 USD -12522.41000000 N N N Macquarie Bank Limited 4ZHCHI4KYZG2WVRT8631 000000000 1200.00000000 OU Notional Amount USD -9508.59000000 -0.00409681940 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 -9508.59000000 N N N Macquarie Bank Limited 4ZHCHI4KYZG2WVRT8631 000000000 4800.00000000 OU Notional Amount USD -3100.41000000 -0.00133582579 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 -3100.41000000 N N N United States Treasury 254900HROIFWPRGM1V77 9127964T3 2100000.00000000 PA USD 2099872.53000000 0.904739663920 Long STIV UST US N 2 2020-11-24 None 0.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9127964S5 2500000.00000000 PA USD 2499897.42000000 1.077092213595 Long STIV UST US N 2 2020-11-17 None 0.00000000 N N N N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 1.00000000 NC USD -1772.32000000 -0.00076361216 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 -1772.32000000 N N N ZIMMER BIOMET HOLDINGS 2P2YLDVPES3BXQ1FRB91 98956PAP7 300000.00000000 PA USD 300045.68000000 0.129276050715 Long DBT CORP US N 2 2021-03-19 Floating 0.98000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 7.00000000 NC USD -2314.15000000 -0.00099706208 N/A DCO US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long Live Cattle LCZ0 Comdty 2020-12-31 305554.15000000 USD -2314.15000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 -44.00000000 NC USD 152621.06000000 0.065757480303 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Short Brent Crude Oil COM3 Comdty 2023-04-28 -2111941.06000000 USD 152621.06000000 N N N Mitsubishi Corp KVIPTY4PULAPGC1VVD26 000000000 300000.00000000 PA USD 309700.85000000 0.133436024778 Long DBT CORP JP Y 2 2022-07-14 Fixed 2.63000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 600.00000000 OU Notional Amount USD -1697.88000000 -0.00073153934 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 -1697.88000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 1.00000000 NC USD -1762.22000000 -0.00075926053 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Brent-Dubai ICE REX0 Comdty 2020-11-30 2452.22000000 USD -1762.22000000 N N N Cargill, Incorporated QXZYQNMR4JZ5RIRN4T31 000000000 51741160.48000000 OU Notional Amount USD 1802810.38000000 0.776749080722 N/A DCO US N 2 Cargill, Incorporated QXZYQNMR4JZ5RIRN4T31 Cargill Custom Index CARGILL Wheat July 2021 285000.00000000 USD 1688625.00000000 USD Soybean Meal March 2021 5600.00000000 USD 2017120.00000000 USD KHR Wheat July 2021 160000.00000000 USD 893200.00000000 USD Natural Gas January 2021 710000.00000000 USD 2462990.00000000 USD Copper May 2021 1275000.00000000 USD 3897037.50000000 USD Crude Oil January 2021 53000.00000000 USD 2010820.00000000 USD Silver July 2021 105000.00000000 USD 2520105.00000000 USD Low Sulfur Gas Oil January 2021 2200.00000000 USD 683650.00000000 USD London Cocoa July 2021 1000.00000000 USD 1594000.00000000 USD CASH Uninvested USD 5072308.00000000 USD 6575527.05000000 USD Soybean Oil May 2021 4260000.00000000 USD 1410912.00000000 USD Lean Hogs December 2020 1320000.00000000 USD 865590.00000000 USD ICE Sugar #11 May 2021 11312000.00000000 USD 1514676.80000000 USD Heating Oil January 2021 546000.00000000 USD 597651.60000000 USD Gasoline, RBOB January 2021 672000.00000000 USD 690278.40000000 USD Gold, 100 oz August 2021 4400.00000000 USD 8359560.00000000 USD Coffee July 2021 1125000.00000000 USD 1240875.00000000 USD Cocoa March 2021 -2350.00000000 USD -5299750.00000000 USD Cotton December 2020 -3150000.00000000 USD -2170980.00000000 USD Soybean March 2021 305000.00000000 USD 3196400.00000000 USD Cotton July 2021 1100000.00000000 USD 783860.00000000 USD Soybean July 2021 1950000.00000000 USD 20343375.00000000 USD Light Sweet Crude Oil January 2021 66000.00000000 USD 2385900.00000000 USD Aluminum January 2021 1225.00000000 USD 2268087.50000000 USD Zinc March 2021 750.00000000 USD 1897875.00000000 USD London Cocoa March 2021 850.00000000 USD 1374450.00000000 USD Cattle December 2020 16400000.00000000 USD 17761200.00000000 USD Soybean November 2021 -1950000.00000000 USD -18934500.00000000 USD Corn December 2020 1530000.00000000 USD -13196075.00000000 USD Nickel December 2020 102.00000000 USD 1544382.00000000 USD Y equity-performance leg 2021-03-31 0.00000000 USD 0.00000000 USD 51741160.48000000 USD 1802810.38000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 1.00000000 NC USD -2366.69000000 -0.00101969918 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 -2366.69000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 20.00000000 NC USD -59791.94000000 -0.02576163025 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long NYMEX WTI Light Sweet Crude Oil CLZ2 Comdty 2022-11-21 872191.94000000 USD -59791.94000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 1200.00000000 OU Notional Amount USD -1066.48000000 -0.00045949777 N/A DCO US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 ULSD10ppm vs Dated Brent ULSDCO COM FWD ULSDCO CAL21 6.63 12/31/21 MYC Y equity-performance leg equity-performance leg 2021-12-31 0.00000000 USD 0.00000000 USD 1200.00000000 USD -1066.48000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 1.00000000 NC USD 3520.28000000 0.001516728705 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long KC HRW Wheat KWK1 Comdty 2021-05-14 24167.22000000 USD 3520.28000000 N N N Bayer US Finance II LLC 529900XWNEXYNJ3X6T40 07274NAU7 600000.00000000 PA USD 609002.33000000 0.262391433527 Long DBT CORP US Y 2 2021-07-15 Fixed 2.75000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9127964F3 1000000.00000000 PA USD 999655.46000000 0.430706117630 Long STIV UST US N 2 2021-03-04 None 0.00000000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 2400.00000000 OU Notional Amount USD 1604.06000000 0.000691116572 N/A DCO US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 LLSCO Calendar Swap LLSCO COM FWD LLSCO CAL22 -2.1 12/31/22 MYC Y equity-performance leg equity-performance leg 2022-12-31 0.00000000 USD 0.00000000 USD 2400.00000000 USD 1604.06000000 N N N ICE Endex Derivatives N/A 000000000 -5.00000000 NC 3073.41000000 0.001324192726 N/A DCO NL N 1 ICE Endex Derivatives N/A Short ICE Endex Dutch TTF Natural Gas TZTZ0 Comdty 2020-11-27 -54945.83000000 EUR 3073.41000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -1.00000000 NC USD 1147.68000000 0.000494483166 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 1147.68000000 N N N VOLKSWAGEN GROUP AMERICA 5493002SQ1AVQBY41K40 928668AN2 400000.00000000 PA USD 400396.21000000 0.172512534591 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 1200.00000000 OU Notional Amount USD 753.77000000 0.000324765244 N/A DCO US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 MEHCO (Huston/Brent) Calendar Swap MEHCO COM FWD MEHCO CAL22 -2.68 12/31/22 MYC Y equity-performance leg equity-performance leg 2022-12-31 0.00000000 USD 0.00000000 USD 1200.00000000 USD 753.77000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 67500.00000000 OU Notional Amount USD 36258.23000000 0.015622023887 N/A DCO GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 KC HRW Wheat KWH1 Comdty Y equity-performance leg equity-performance leg 2021-02-19 0.00000000 USD 0.00000000 USD 67500.00000000 USD 36258.23000000 N N N United States Treasury 254900HROIFWPRGM1V77 9127963J6 300000.00000000 PA USD 299963.17000000 0.129240500905 Long STIV UST US N 2 2020-12-10 None 0.00000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 7.00000000 NC USD -9206.54000000 -0.00396667978 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long Soybean S F1 Comdty 2021-01-14 378894.04000000 USD -9206.54000000 N N N London Metal Exchange 213800NB8G5VRT1DXC91 000000000 1.00000000 NC USD 1725.00000000 0.000743224123 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Long Aluminum LAF21 Comdty 2021-01-18 44562.50000000 USD 1725.00000000 N N N London Metal Exchange 213800NB8G5VRT1DXC91 000000000 3.00000000 NC USD 8985.00000000 0.003871228259 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Long Nickel LNZ0 Comdty 2020-12-14 263553.00000000 USD 8985.00000000 N N N United States Treasury 254900HROIFWPRGM1V77 912796UC1 28200000.00000000 PA USD 28193355.24000000 12.14723578702 Long STIV UST US N 2 2021-01-28 None 0.00000000 N N N N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 1.00000000 NC USD -1772.32000000 -0.00076361216 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 -1772.32000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 33.00000000 NC USD 109148.14000000 0.047026974299 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long Wheat W Z0 Comdty 2020-12-14 878376.86000000 USD 109148.14000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 2834.90000000 OU Notional Amount USD 1876.36000000 0.000808438270 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 MEHCO (Huston/Brent) Calendar Swap MEHCO COM FWD MEHCO 4Q20 -2.2 12/31/20 JPM Y equity-performance leg equity-performance leg 2020-12-31 134.90000000 USD 0.00000000 USD 2834.90000000 USD 1741.46000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 55000.00000000 OU Notional Amount USD -18688.18000000 -0.00805188765 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Wheat W H1 Comdty Y equity-performance leg equity-performance leg 2021-02-19 0.00000000 USD 0.00000000 USD 55000.00000000 USD -18688.18000000 N N N London Metal Exchange 213800NB8G5VRT1DXC91 000000000 3.00000000 NC USD 2053.50000000 0.000884759847 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Long Lead LLH1 Comdty 2021-03-15 134859.00000000 USD 2053.50000000 N N N Campbell Soup Co 5493007JDSMX8Z5Z1902 134429BD0 400000.00000000 PA USD 404298.18000000 0.174193716176 Long DBT CORP US N 2 2021-03-15 Fixed 3.30000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 5000.00000000 OU Notional Amount USD 287.20000000 0.000123741430 N/A DCO FR N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 Wheat W K1 Comdty Y equity-performance leg equity-performance leg 2021-04-23 0.00000000 USD 0.00000000 USD 5000.00000000 USD 287.20000000 N N N Macquarie Bank Limited 4ZHCHI4KYZG2WVRT8631 000000000 1200.00000000 OU Notional Amount USD 499.61000000 0.000215259248 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 499.61000000 N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 2400.00000000 OU Notional Amount USD -8219.93000000 -0.00354159435 N/A DCO FR N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 ULSD10ppm vs Dated Brent ULSDCO COM FWD ULSDCO CAL21 9.17 12/31/21 BPS Y equity-performance leg equity-performance leg 2021-12-31 0.00000000 USD 0.00000000 USD 2400.00000000 USD -8219.93000000 N N N UMBS, TBA N/A 01F0306B9 100000.00000000 PA USD 104515.63000000 0.045031036222 Long ABS-MBS USGSE US N 2 2050-11-12 Fixed 3.00000000 N N N N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 15967667.58000000 OU Notional Amount USD 222731.84000000 0.095965029870 N/A DCO US N 2 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Merrill Lynch Commodity eXtra BIN1 Index MLBXBIN1 Bloomberg Soybean Oil 3M Forward Sub-Index 3752.49000000 USD 338498.59000000 USD Bloomberg Soy Meal Sub-Index 2M Forward 4959.89000000 USD 447414.05000000 USD Bloomberg Gold Sub-Index 2M Forward 22123.19000000 USD 1995655.06000000 USD Bloomberg Live Cattle Sub-Index 2M Forward 4818.63000000 USD 434671.85000000 USD Bloomberg Lean Hogs Sub-Index 2M Forward 2233.54000000 USD 201480.03000000 USD Bloomberg Copper Sub-Index 2M Forward 10119.62000000 USD 912855.59000000 USD Bloomberg Aluminum Sub-Index 2M Forward 372.61000000 USD 33611.94000000 USD Bloomberg Gold 3M Forward Sub-Index 22122.84000000 USD 1995623.13000000 USD Bloomberg Natural Gas Sub-Index 2M Forward 8786.54000000 USD 792603.08000000 USD Bloomberg Nickel 3M Forward Sub-Index 3887.02000000 USD 350634.01000000 USD Bloomberg Silver Sub-Index 2M Forward 6586.46000000 USD 594140.94000000 USD Bloomberg Aluminum 3M Forward Sub-Index 372.61000000 USD 33611.94000000 USD Bloomberg Zinc 3M Forward Sub-Index 4807.83000000 USD 433697.82000000 USD Bloomberg Sugar Sub-Index 2M Forward 3925.78000000 USD 354130.93000000 USD Bloomberg Cotton 3M Forward Sub-Index 1905.89000000 USD 171923.88000000 USD Bloomberg Nickel Sub-Index 2M Forward 3887.02000000 USD 350634.01000000 USD Bloomberg Soybeans 3M Forward Sub-Index 8080.09000000 USD 728876.12000000 USD Bloomberg Copper 3M Forward Sub-Index 10119.62000000 USD 912855.59000000 USD Bloomberg Silver 3M Forward Sub-Index 6586.46000000 USD 594140.94000000 USD Bloomberg Soy Meal 3M Forward Sub-Index 4959.89000000 USD 447414.05000000 USD Bloomberg Cotton Sub-Index 2M Forward 1905.89000000 USD 171923.88000000 USD Bloomberg Soybeans Sub-Index 2M Forward 8080.09000000 USD 728876.12000000 USD Bloomberg Lean Hogs 3M Forward Sub-Index 2233.54000000 USD 201480.03000000 USD Bloomberg Live Cattle 3M Forward Sub-Index 4818.63000000 USD 434671.85000000 USD Bloomberg Natural Gas 3M Forward Sub-Index 8786.54000000 USD 792603.08000000 USD Bloomberg Zinc Sub-Index 2M Forward 4807.83000000 USD 433697.82000000 USD Bloomberg Soybean Oil Sub-Index 2M Forward 3752.49000000 USD 338498.59000000 USD Bloomberg Sugar 3M Forward Sub-Index 3925.78000000 USD 354130.93000000 USD Bloomberg Unleaded Gasoline Sub-Index 2M Forward 2147.16000000 USD 193687.81000000 USD Bloomberg Unleaded Gasoline 3M Forward Sub-Index 2147.16000000 USD 193687.81000000 USD Y equity-performance leg 2020-10-30 0.00000000 USD 0.00000000 USD 15967667.58000000 USD 222731.84000000 N N N ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 000000000 78.00000000 NC USD 47285.25000000 0.020373065784 N/A DCO US N 1 ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 Long Cotton CTH1 Comdty 2021-03-09 2674134.75000000 USD 47285.25000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 100000.00000000 OU Notional Amount USD -36976.50000000 -0.01593149379 N/A DCO GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Wheat W H1 Comdty Y equity-performance leg equity-performance leg 2021-02-19 0.00000000 USD 0.00000000 USD 100000.00000000 USD -36976.50000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 11.00000000 NC USD -88728.47000000 -0.03822906627 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long NYMEX WTI Light Sweet Crude Oil CLK1 Comdty 2021-04-20 504088.47000000 USD -88728.47000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 1.00000000 NC USD -1822.32000000 -0.00078515488 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 -1822.32000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 1.00000000 NC USD -1157.12000000 -0.00049855043 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Ethanol CUAH1 Comdty 2021-03-31 58697.12000000 USD -1157.12000000 N N N Canadian Imperial Bank of Commerce 2IGI19DL77OX0HC3ZE78 000000000 8496414.39000000 OU Notional Amount USD -183895.69000000 -0.07923229738 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 8496414.39000000 USD -183895.69000000 N N N NetApp Inc QTX3D84DZDD5JYOCYH15 64110DAD6 500000.00000000 PA USD 522691.71000000 0.225204108955 Long DBT CORP US N 2 2022-12-15 Fixed 3.25000000 N N N N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -12.00000000 NC USD -23088.19000000 -0.00994765204 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short Natural Gas NGJ21 Comdty 2021-03-29 -338951.81000000 USD -23088.19000000 N N N Russell Investments Trust Company Commingled Employee Benefit Funds Trust-U.S. Cash Management Fund 845SLB3N6EI7ZN7PZ398 000000000 87605118.55000000 NS USD 87587597.54000000 37.73751617289 Long STIV PF US N N/A N N N KOMATSU FINANCE AMERICA 549300SRAAFEEQ8Z4D68 000000000 300000.00000000 PA USD 309340.36000000 0.133280706016 Long DBT CORP US Y 2 2022-09-11 Fixed 2.44000000 N N N N N N London Metal Exchange 213800NB8G5VRT1DXC91 000000000 5.00000000 NC USD 17360.00000000 0.007479635235 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Long Zinc LXH1 Comdty 2021-03-15 298952.50000000 USD 17360.00000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 3000.00000000 OU Notional Amount USD 4784.48000000 0.002061415045 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 3000.00000000 USD 4784.48000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 5550.00000000 OU Notional Amount USD 6105.17000000 0.002630440360 N/A DCO US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 NAP +EBOB + 10PPM + ROT - BRENT calendar swap EURMARG3 COM FWD EURMARG3 2H20 4.22 12/31/20 CBK Y equity-performance leg equity-performance leg 2020-12-31 0.00000000 USD 0.00000000 USD 5550.00000000 USD 6105.17000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 3000.00000000 OU Notional Amount USD 4784.48000000 0.002061415045 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 3000.00000000 USD 4784.48000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 900.00000000 OU Notional Amount USD -175.52000000 -0.00007562359 N/A DCO US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 MEHCO (Huston/Brent) Calendar Swap MEHCO COM FWD MEHCO 4Q20 -1.7 12/31/20 MYC Y equity-performance leg equity-performance leg 2020-12-31 0.00000000 USD 0.00000000 USD 900.00000000 USD -175.52000000 N N N United States Treasury 254900HROIFWPRGM1V77 9127963T4 1600000.00000000 PA USD 1599743.33000000 0.689256715379 Long STIV UST US N 2 2021-01-07 None 0.00000000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 2400.00000000 OU Notional Amount USD 112.54000000 0.000048488372 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 112.54000000 N N N BRISTOL-MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122CV8 900000.00000000 PA USD 914168.29000000 0.393873580250 Long DBT CORP US N 2 2021-08-15 Fixed 2.25000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 12060.00000000 OU Notional Amount USD -40008.74000000 -0.01723794823 N/A DCO FR N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 NAP +EBOB + 10PPM + ROT - BRENT calendar swap EURMARG3 COM FWD EURMARG3 1Q21 6.00 03/31/21 BPS Y equity-performance leg equity-performance leg 2021-03-31 0.00000000 USD -37330.50000000 USD 12060.00000000 USD -2678.24000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 2400.00000000 OU Notional Amount USD -13816.92000000 -0.00595308304 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 -13816.92000000 N N N United States Treasury 254900HROIFWPRGM1V77 912796XE4 4699000.00000000 PA USD 4697423.83000000 2.023906497431 Long STIV UST US N 2 2021-02-25 None 0.00000000 N N N N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 9570150.09000000 OU Notional Amount USD -207135.53000000 -0.08924528852 N/A DCO GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Bloomberg Commodity Index Total Return BCOMTR Index Y equity-performance leg 2021-02-16 0.00000000 USD 0.00000000 USD 9570150.09000000 USD -207135.53000000 N N N United States Treasury 254900HROIFWPRGM1V77 9127962Z1 5800000.00000000 PA USD 5799826.93000000 2.498881904723 Long STIV UST US N 2 2020-11-12 None 0.00000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 127.00000000 NC USD -36292.85000000 -0.01563694007 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long Soybean S H1 Comdty 2021-03-12 6691092.85000000 USD -36292.85000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -1.00000000 NC USD 1017.68000000 0.000438472072 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 1017.68000000 N N N NEXTERA ENERGY CAPITAL UMI46YPGBLUE4VGNNT48 65339KAW0 100000.00000000 PA USD 104761.28000000 0.045136875645 Long DBT CORP US N 2 2023-01-15 Fixed 2.80000000 N N N N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -11.00000000 NC USD 29912.63000000 0.012887993164 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short NY Harb Ultra Low Sulfur Diesel HOZ0 Comdty 2020-11-30 -531598.43000000 USD 29912.63000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 900.00000000 OU Notional Amount USD -85.53000000 -0.00003685099 N/A DCO US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 MEHCO (Huston/Brent) Calendar Swap MEHCO COM FWD MEHCO 4Q20 -1.6 12/31/20 MYC Y equity-performance leg equity-performance leg 2020-12-31 0.00000000 USD 0.00000000 USD 900.00000000 USD -85.53000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 70000.00000000 OU Notional Amount USD 60020.66000000 0.025860175311 N/A DCO US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 KC HRW Wheat KWZ0 Comdty Y equity-performance leg equity-performance leg 2020-11-20 0.00000000 USD 0.00000000 USD 70000.00000000 USD 60020.66000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 2724.00000000 OU Notional Amount USD -10295.81000000 -0.00443599673 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 2724.00000000 USD -10295.81000000 N N N London Metal Exchange 213800NB8G5VRT1DXC91 000000000 -3.00000000 NC USD -2352.75000000 -0.00101369307 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Short Lead LLZ0 Comdty 2020-12-14 -133866.00000000 USD -2352.75000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 2400.00000000 OU Notional Amount USD 2560.33000000 0.001103129866 N/A DCO US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 LLSCO Calendar Swap LLSCO COM FWD LLSCO CAL22 -2.5 12/31/22 MYC Y equity-performance leg equity-performance leg 2022-12-31 0.00000000 USD 0.00000000 USD 2400.00000000 USD 2560.33000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 -4.00000000 NC USD 29798.75000000 0.012838927446 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Short Brent Crude Oil COU1 Comdty 2021-07-30 -193158.75000000 USD 29798.75000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 1.00000000 NC USD -1822.32000000 -0.00078515488 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 -1822.32000000 N N N ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 000000000 -2.00000000 NC USD 3734.26000000 0.001608922965 N/A DCO US N 1 ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 Short Cocoa CCZ0 Comdty 2020-12-15 -49594.26000000 USD 3734.26000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 1.00000000 NC USD -1596.22000000 -0.00068773867 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Brent-Dubai ICE REZ0 Comdty 2020-12-31 2452.22000000 USD -1596.22000000 N N N London Metal Exchange 213800NB8G5VRT1DXC91 000000000 3.00000000 NC USD 5800.00000000 0.002498956472 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Long Aluminum LAX20 Comdty 2020-11-16 133212.50000000 USD 5800.00000000 N N N ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 000000000 -18.00000000 NC USD -15492.91000000 -0.00667519098 N/A DCO US N 1 ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 Short Sugar SBH1 Comdty 2021-02-26 -274004.69000000 USD -15492.91000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 600.00000000 OU Notional Amount USD -1637.88000000 -0.00070568807 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 -1637.88000000 N N N Crown Castle Towers LLC N/A 22822RBB5 600000.00000000 PA USD 606183.96000000 0.261177125948 Long DBT CORP US Y 2 2022-05-15 Fixed 3.22000000 N N N N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -1.00000000 NC USD 997.68000000 0.000429854981 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 997.68000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 6.00000000 NC USD -29993.09000000 -0.01292265972 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long NYMEX WTI Light Sweet Crude Oil CLU2 Comdty 2022-08-22 271433.09000000 USD -29993.09000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 -2.00000000 NC USD -1093.38000000 -0.00047108776 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 -1093.38000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 1200.00000000 OU Notional Amount USD 1158.78000000 0.000499265651 N/A DCO US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 LLSCO Calendar Swap LLSCO COM FWD LLSCO CAL21 -1.81 12/31/21 MYC Y equity-performance leg equity-performance leg 2021-12-31 0.00000000 USD 0.00000000 USD 1200.00000000 USD 1158.78000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 60000.00000000 OU Notional Amount USD -27657.48000000 -0.01191635149 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Wheat W H1 Comdty Y equity-performance leg equity-performance leg 2021-02-19 0.00000000 USD 0.00000000 USD 60000.00000000 USD -27657.48000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 900.00000000 OU Notional Amount USD 13.73000000 0.000005915633 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 900.00000000 USD 13.73000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1402419.10000000 OU Notional Amount USD -100177.40000000 -0.04316189002 N/A DCO GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Goldman Sachs Commodity Swap Commodity Skew Long Short ABGS1042 FIN FUT GASOLINE NYM 11/30/20 206856.82000000 USD -14776.17000000 USD CASH Uninvested USD 1505216.42000000 USD -107520.40000000 USD FIN FUT NICKEL LME 12/14/20 94803.53000000 USD -6771.99000000 USD FIN FUT CORN CBT 12/14/20 53712.65000000 USD -3836.79000000 USD FIN FUT ZINC LME 12/14/20 116400.79000000 USD -8314.72000000 USD FIN FUT WHEAT FUTURE CBT 12/14/20 213728.67000000 USD -15267.04000000 USD FIN FUT PRI ALUM (LME) 12/14/20 30292.25000000 USD -2163.83000000 USD FIN FUT SOYBEAN CBT 01/14/21 220740.77000000 USD -15767.92000000 USD FIN FUT BRENT CRUDE ICE 11/30/20 203771.50000000 USD -14555.78000000 USD FIN FUT COPPER FUTURE CMX 12/29/20 460414.19000000 USD -32888.24000000 USD FIN FUT CRUDE OIL NYM 11/20/20 202930.04000000 USD -14495.67000000 USD FIN FUT NATURAL GAS NYM 11/25/20 869499.84000000 USD -62109.99000000 USD Y equity-performance leg 2021-02-16 0.00000000 USD 0.00000000 USD 1402419.10000000 USD -100177.40000000 N N N Campbell Soup Co 5493007JDSMX8Z5Z1902 134429BC2 700000.00000000 PA USD 701109.19000000 0.302076094557 Long DBT CORP US N 2 2021-03-15 Floating 0.88000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912796A58 2100000.00000000 PA USD 2099664.00000000 0.904649817817 Long STIV UST US N 2 2021-01-05 None 0.00000000 N N N N N N Bayer US Finance II LLC 529900XWNEXYNJ3X6T40 07274NAA1 400000.00000000 PA USD 406890.15000000 0.175310478280 Long DBT CORP US Y 2 2021-06-25 Fixed 3.50000000 N N N N N N Government National Mortgage Association 549300M8ZYFG0OCMTT87 38380LJY0 239726.07000000 PA USD 237699.16000000 0.102413768007 Long ABS-MBS USGA US N 2 2068-08-20 Floating 0.60000000 N N N N N N FED HOME LN DISCOUNT NT 2549001DPIFGXC1TOL40 313384S67 1200000.00000000 PA USD 1199876.50000000 0.516972266576 Long DBT USGSE US N 2 2020-12-09 None 0.00000000 N N N N N N AMERICAN ELECTRIC POWER 1B4S6S7G0TW5EE83BO58 025537AH4 600000.00000000 PA USD 600309.46000000 0.258646070810 Long DBT CORP US N 2 2020-11-13 Fixed 2.15000000 N N N N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 -88.00000000 NC USD 458484.07000000 0.197539954201 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Short Brent Crude Oil COM1 Comdty 2021-04-30 -3982004.07000000 USD 458484.07000000 N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XCH7 300000.00000000 PA USD 300060.90000000 0.129282608321 Long DBT CORP US N 2 2021-04-09 Floating 1.08000000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 3600.00000000 OU Notional Amount USD -15946.47000000 -0.00687060938 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 3600.00000000 USD -15946.47000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 660.00000000 OU Notional Amount USD -11013.44000000 -0.00474519089 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 660.00000000 USD -11013.44000000 N N N FED HOME LN DISCOUNT NT 2549001DPIFGXC1TOL40 313384P45 600000.00000000 PA USD 599976.60000000 0.258502656560 Long DBT USGSE US N 2 2020-11-13 None 0.00000000 N N N N N N KEURIG DR PEPPER INC DYTQ8KRTKO7Y2BVU5K74 49271VAG5 100000.00000000 PA USD 108513.39000000 0.046753489365 Long DBT CORP US N 2 2023-05-25 Fixed 4.06000000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 1200.00000000 OU Notional Amount USD 80.23000000 0.000034567461 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 80.23000000 N N N London Metal Exchange 213800NB8G5VRT1DXC91 000000000 6.00000000 NC USD 6012.50000000 0.002590513067 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Long Zinc LXX0 Comdty 2020-11-16 371275.00000000 USD 6012.50000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 67500.00000000 OU Notional Amount USD 38956.55000000 0.016784607375 N/A DCO GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 KC HRW Wheat KWH1 Comdty Y equity-performance leg equity-performance leg 2021-02-19 0.00000000 USD 0.00000000 USD 67500.00000000 USD 38956.55000000 N N N BG Energy Capital PLC S2M8QDKEE05NZN8JD460 05541VAE6 500000.00000000 PA USD 515850.24000000 0.222256430379 Long DBT CORP GB Y 2 2021-10-15 Fixed 4.00000000 N N N N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 121.00000000 NC USD -326086.06000000 -0.14049566729 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Long Brent Crude Oil COZ1 Comdty 2021-10-29 5343956.06000000 USD -326086.06000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 1.00000000 NC USD -6438.32000000 -0.00277397955 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long NYMEX WTI Light Sweet Crude Oil CLH2 Comdty 2022-02-22 46038.32000000 USD -6438.32000000 N N N ERAC USA Finance LLC LTKX5ODQW6Z7BQ2K1V47 26884TAQ5 700000.00000000 PA USD 713851.65000000 0.307566241608 Long DBT CORP US Y 2 2021-12-01 Fixed 2.60000000 N N N N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 5.00000000 NC USD -16630.00000000 -0.00716511140 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long NY Harb Ultra Low Sulfur Diesel HOH1 Comdty 2021-02-26 250318.00000000 USD -16630.00000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 1200.00000000 OU Notional Amount USD 173.06000000 0.000074563690 N/A DCO US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 MEHCO (Huston/Brent) Calendar Swap MEHCO COM FWD MEHCO CAL21 -1.4 12/31/21 MYC Y equity-performance leg equity-performance leg 2021-12-31 0.00000000 USD 0.00000000 USD 1200.00000000 USD 173.06000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -2.00000000 NC USD -325.12000000 -0.00014007943 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short Corn C N1 Comdty 2021-07-14 -40399.88000000 USD -325.12000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 50000.00000000 OU Notional Amount USD 32854.15000000 0.014155360482 N/A DCO GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 KC HRW Wheat KWH1 Comdty Y equity-performance leg equity-performance leg 2021-02-19 0.00000000 USD 0.00000000 USD 50000.00000000 USD 32854.15000000 N N N London Metal Exchange 213800NB8G5VRT1DXC91 000000000 -1.00000000 NC USD -2349.00000000 -0.00101207737 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Short Nickel LNZ0 Comdty 2020-12-14 -88497.00000000 USD -2349.00000000 N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 -12.00000000 NC USD -3600.00000000 -0.00155107643 N/A DCO US N 1 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Call Written Brent Crude Oil COH1 Comdty 1000.00000000 48.00000000 USD 2020-12-23 XXXX 7009.56000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 1200.00000000 OU Notional Amount USD 120.24000000 0.000051805952 N/A DCO US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 MEHCO (Huston/Brent) Calendar Swap MEHCO COM FWD MEHCO CAL22 -2.15 12/31/22 MYC Y equity-performance leg equity-performance leg 2022-12-31 0.00000000 USD 0.00000000 USD 1200.00000000 USD 120.24000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 4320.00000000 OU Notional Amount USD -12220.59000000 -0.00526529697 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 -2752.83000000 N N N Lloyds Banking Group PLC 549300PPXHEU2JF0AM85 53944YAG8 200000.00000000 PA USD 200846.66000000 0.086535700177 Long DBT CORP GB N 2 2021-06-21 Floating 1.03000000 N N N N N N TAKEDA PHARMACEUTICAL 549300ZLMVP4X0OGR454 874060AT3 700000.00000000 PA USD 776371.21000000 0.334503079390 Long DBT CORP JP N 2 2023-11-26 Fixed 4.40000000 N N N N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 1.00000000 NC USD -1822.32000000 -0.00078515488 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 -1822.32000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 2700.00000000 OU Notional Amount USD 3456.01000000 0.001489037682 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 NAP +EBOB + 10PPM + ROT - BRENT calendar swap EURMARG3 COM FWD EURMARG3 2H20 4.4 12/31/20 JPM Y equity-performance leg equity-performance leg 2020-12-31 0.00000000 USD 0.00000000 USD 2700.00000000 USD 3456.01000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 65000.00000000 OU Notional Amount USD -24034.73000000 -0.01035547312 N/A DCO GB N 2 Goldman Sachs International W22LROWP2IHZNBB6K528 Wheat W H1 Comdty Y equity-performance leg equity-performance leg 2021-02-19 0.00000000 USD 0.00000000 USD 65000.00000000 USD -24034.73000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -2.00000000 NC USD 5506.25000000 0.002372392944 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short NYMEX WTI Light Sweet Crude Oil CLZ0 Comdty 2020-11-20 -77086.25000000 USD 5506.25000000 N N N Merrill Lynch International GGDZP1UYGU9STUHRDP48 000000000 600.00000000 OU Notional Amount USD 30465.04000000 0.013126001534 N/A DCO GB N 2 Merrill Lynch International GGDZP1UYGU9STUHRDP48 Gold (100 oz) GCG1 Comdty Y equity-performance leg equity-performance leg 2021-01-29 0.00000000 USD 0.00000000 USD 600.00000000 USD 30465.04000000 N N N General Mills Inc 2TGYMUGI08PO8X8L6150 370334CB8 800000.00000000 PA USD 801304.27000000 0.345245602092 Long DBT CORP US N 2 2021-04-16 Floating 0.77000000 N N N N N N BMW US Capital LLC KK5MZM9DIXLXZL9DZL15 05565EAU9 600000.00000000 PA USD 607098.00000000 0.261570944254 Long DBT CORP US Y 2 2021-04-12 Fixed 3.10000000 N N N N N N Commodities Exchange Center N/A 000000000 -18.00000000 NC USD -566.33000000 -0.00024400586 N/A DCO US N 1 Commodities Exchange Center N/A Short Copper HGZ0 Comdty 2020-12-29 -1370808.67000000 USD -566.33000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 332.00000000 NC USD 30299.20000000 0.013054548613 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long Soybean Oil BOH1 Comdty 2021-03-12 6591108.80000000 USD 30299.20000000 N N N SEVEN & I HOLDINGS 52990037G8JRM3TWGY86 81783HAA3 900000.00000000 PA USD 920274.57000000 0.396504498859 Long DBT CORP JP Y 2 2021-09-17 Fixed 3.35000000 N N N N N N London Metal Exchange 213800NB8G5VRT1DXC91 000000000 -4.00000000 NC USD -4626.00000000 -0.00199313321 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Short Nickel LNX0 Comdty 2020-11-16 -358446.00000000 USD -4626.00000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -4.00000000 NC USD 17144.30000000 0.007386699906 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short Gasoline XBZ0 Comdty 2020-11-30 -190553.90000000 USD 17144.30000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 -2.00000000 NC USD -1093.38000000 -0.00047108776 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 -1093.38000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 1.00000000 NC USD -1822.32000000 -0.00078515488 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 -1822.32000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1700.00000000 OU Notional Amount USD 98379.09000000 0.042387079954 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 LBMA Gold Price PM USD GOLDLNPM COM FWD GOLDLNPM 1821.84 11/27/20 JPM Y equity-performance leg equity-performance leg 2020-11-27 0.00000000 USD 0.00000000 USD 1700.00000000 USD 98379.09000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 14.00000000 NC USD 34732.28000000 0.014964561365 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Natural Gas NGZ20 Comdty 2020-11-25 434827.72000000 USD 34732.28000000 N N N Macquarie Bank Limited 4ZHCHI4KYZG2WVRT8631 000000000 900.00000000 OU Notional Amount USD 222.92000000 0.000096046099 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 900.00000000 USD 222.92000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 2400.00000000 OU Notional Amount USD -13906.56000000 -0.00599170484 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 2400.00000000 USD -13906.56000000 N N N HP ENTERPRISE CO 549300BX44RGX6ANDV88 42824CBB4 600000.00000000 PA USD 600078.60000000 0.258546603726 Long DBT CORP US N 2 2021-10-05 Floating 0.95000000 N N N N N N Pernod Ricard SA 52990097YFPX9J0H5D87 714264AA6 347000.00000000 PA USD 354756.84000000 0.152848603717 Long DBT CORP FR Y 2 2021-04-07 Fixed 5.75000000 N N N N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 -17.00000000 NC USD 73053.37000000 0.031475377899 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Short Brent Crude Oil COZ3 Comdty 2023-10-31 -841113.37000000 USD 73053.37000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 2100.00000000 OU Notional Amount USD 1459.39000000 0.000628784842 N/A DCO US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 MEHCO (Huston/Brent) Calendar Swap MEHCO COM FWD MEHCO 4Q20 -2.2 12/31/20 MYC Y equity-performance leg equity-performance leg 2020-12-31 0.00000000 USD 0.00000000 USD 2100.00000000 USD 1459.39000000 N N N Celanese US Holdings LLC CD30XVRLT4QO00B1C706 15089QAD6 300000.00000000 PA USD 323467.75000000 0.139367556479 Long DBT CORP US N 2 2022-11-15 Fixed 4.63000000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 3600.00000000 OU Notional Amount USD 1858.30000000 0.000800657036 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 1858.30000000 N N N FED HOME LN DISCOUNT NT 2549001DPIFGXC1TOL40 313384P86 1000000.00000000 PA USD 999964.59000000 0.430839307702 Long DBT USGSE US N 2 2020-11-17 None 0.00000000 N N N N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 2771.10000000 OU Notional Amount USD -33844.33000000 -0.01458198405 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 -32007.43000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 600.00000000 OU Notional Amount USD -10282.18000000 -0.00443012418 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 600.00000000 USD -10282.18000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -1.00000000 NC USD 1097.68000000 0.000472940438 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 1097.68000000 N N N United States Treasury 254900HROIFWPRGM1V77 9127963V9 200000.00000000 PA USD 199958.89000000 0.086153200421 Long STIV UST US N 2 2021-01-21 None 0.00000000 N N N N N N Georgia-Pacific LLC L2EVHWFHVAQK72TMH265 37331NAB7 100000.00000000 PA USD 100000.00000000 0.043085456426 Long DBT CORP US Y 2 2020-11-01 Fixed 5.40000000 N N N N N N ANR Pipeline Co N/A 001814AR3 200000.00000000 PA USD 217005.99000000 0.093498021263 Long DBT CORP US N 2 2021-11-01 Fixed 9.63000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912796TU3 1300000.00000000 PA USD 1299881.16000000 0.560059730784 Long STIV UST US N 2 2020-12-03 None 0.00000000 N N N N N N GE CAPITAL INTL FUNDING 549300G6UZOB126GBY72 36164QNA2 800000.00000000 PA USD 864852.84000000 0.372625793529 Long DBT CORP IE N 2 2035-11-15 Fixed 4.42000000 N N N N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -1.00000000 NC USD 1017.68000000 0.000438472072 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 1017.68000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 1.00000000 NC USD -1772.32000000 -0.00076361216 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 -1772.32000000 N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 000000000 1028937.41000000 OU Notional Amount USD -22270.23000000 -0.00959523024 N/A DCO US N 2 J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 Bloomberg Commodity Index Total Return BCOMTR Index Y equity-performance leg 2021-02-16 0.00000000 USD 0.00000000 USD 1028937.41000000 USD -22270.23000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 2400.00000000 OU Notional Amount USD -4880.71000000 -0.00210287618 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 -4880.71000000 N N N Macquarie Bank Limited 4ZHCHI4KYZG2WVRT8631 000000000 3096.00000000 OU Notional Amount USD 3277.53000000 0.001412138760 N/A DCO AU N 2 Macquarie Bank Limited 4ZHCHI4KYZG2WVRT8631 LLSCO Calendar Swap LLSCO COM FWD LLSCO CAL22 -2.8 12/31/22 MAC Y equity-performance leg equity-performance leg 2022-12-31 696.00000000 USD 0.00000000 USD 3096.00000000 USD 2581.53000000 N N N Macquarie Bank Limited 4ZHCHI4KYZG2WVRT8631 000000000 55000.00000000 OU Notional Amount USD 34902.89000000 0.015038069462 N/A DCO AU N 2 Macquarie Bank Limited 4ZHCHI4KYZG2WVRT8631 KC HRW Wheat KWH1 Comdty Y equity-performance leg equity-performance leg 2021-02-19 0.00000000 USD 0.00000000 USD 55000.00000000 USD 34902.89000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 1200.00000000 OU Notional Amount USD 20.32000000 0.000008754964 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 20.32000000 N N N Macquarie Bank Limited 4ZHCHI4KYZG2WVRT8631 000000000 3000.00000000 OU Notional Amount USD -15804.78000000 -0.00680956160 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 3000.00000000 USD -15804.78000000 N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 -0.30000000 NC USD -2724.69000000 -0.00117394512 N/A DCO FR N 3 BNP Paribas R0MUWSFPU8MPRO8K5P83 Call Written BNP Paribas R0MUWSFPU8MPRO8K5P83 BNP Paribas R0MUWSFPU8MPRO8K5P83 N/A 500.00000000 OU Notional Amount N/A -2724.69000000 0.00000000 DCO FR FUELCO Calendar Swap FUELCO equity-performance leg equity-performance leg 2020-12-31 0.00000000 N/A 0.00000000 N/A 500.00000000 USD 1000.00000000 13.00000000 USD 2020-12-31 XXXX -2199.69000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 900.00000000 OU Notional Amount USD -103.53000000 -0.00004460637 N/A DCO US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 MEHCO (Huston/Brent) Calendar Swap MEHCO COM FWD MEHCO 4Q20 -1.62 12/31/20 MYC Y equity-performance leg equity-performance leg 2020-12-31 0.00000000 USD 0.00000000 USD 900.00000000 USD -103.53000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 -1.00000000 NC USD 5139.38000000 0.002214325330 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Short WTI Crude Oil ENZ0 Comdty 2020-11-19 -40929.38000000 USD 5139.38000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 -66.00000000 NC USD 212375.00000000 0.091502738085 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Short Brent Crude Oil COJ1 Comdty 2021-02-26 -2804855.00000000 USD 212375.00000000 N N N Woodside Finance Ltd 254900AIZKU6TGRRNZ98 980236AL7 300000.00000000 PA USD 303044.88000000 0.130568269724 Long DBT CORP AU Y 2 2021-05-10 Fixed 4.60000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9127962Q1 500000.00000000 PA USD 499747.66000000 0.215318560290 Long STIV UST US N 2 2021-04-22 None 0.00000000 N N N N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -1.00000000 NC USD 1047.68000000 0.000451397709 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 1047.68000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 -11.00000000 NC USD 36680.30000000 0.015803874673 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Short WTI Crude Oil ENZ1 Comdty 2021-11-18 -468650.30000000 USD 36680.30000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 900.00000000 OU Notional Amount USD -193.51000000 -0.00008337466 N/A DCO US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 MEHCO (Huston/Brent) Calendar Swap MEHCO COM FWD MEHCO 4Q20 -1.72 12/31/20 MYC Y equity-performance leg equity-performance leg 2020-12-31 0.00000000 USD 0.00000000 USD 900.00000000 USD -193.51000000 N N N ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 000000000 -1.00000000 NC USD -165.62000000 -0.00007135813 N/A DCO US N 1 ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 Short Coffee KCZ0 Comdty 2020-12-18 -38984.38000000 USD -165.62000000 N N N Goldman Sachs International W22LROWP2IHZNBB6K528 000000000 -1.20000000 NC USD -10686.77000000 -0.00460444363 N/A DCO GB N 3 Goldman Sachs International W22LROWP2IHZNBB6K528 Call Written Goldman Sachs International W22LROWP2IHZNBB6K528 Goldman Sachs International W22LROWP2IHZNBB6K528 N/A 2000.00000000 OU Notional Amount N/A -10686.77000000 0.00000000 DCO GB FUELCO Calendar Swap FUELCO equity-performance leg equity-performance leg 2020-12-31 0.00000000 N/A 0.00000000 N/A 2000.00000000 USD 1000.00000000 13.00000000 USD 2020-12-31 XXXX -8666.81000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 3.00000000 NC USD -2526.36000000 -0.00108849373 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Ethanol CUAM1 Comdty 2021-06-30 177036.36000000 USD -2526.36000000 N N N Pernod Ricard SA 52990097YFPX9J0H5D87 714264AD0 700000.00000000 PA USD 732716.39000000 0.315694200941 Long DBT CORP FR Y 2 2022-01-15 Fixed 4.45000000 N N N N N N London Metal Exchange 213800NB8G5VRT1DXC91 000000000 6.00000000 NC USD 88407.00000000 0.038090559462 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Long Zinc LXZ0 Comdty 2020-12-14 289218.00000000 USD 88407.00000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1343.05000000 OU Notional Amount USD -9987.52000000 -0.00430316857 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 -9938.57000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 4800.00000000 OU Notional Amount USD 4107.89000000 0.001769903155 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 LLSCO Calendar Swap LLSCO COM FWD LLSCO CAL21 -1.7 12/31/21 JPM Y equity-performance leg equity-performance leg 2021-12-31 0.00000000 USD 0.00000000 USD 4800.00000000 USD 4107.89000000 N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 -12.00000000 NC USD -6720.00000000 -0.00289534267 N/A DCO US N 1 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Call Written Brent Crude Oil COH1 Comdty 1000.00000000 46.00000000 USD 2020-12-23 XXXX 5708.35000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 70000.00000000 OU Notional Amount USD -26495.70000000 -0.01141579327 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Wheat W H1 Comdty Y equity-performance leg equity-performance leg 2021-02-19 0.00000000 USD 0.00000000 USD 70000.00000000 USD -26495.70000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 70000.00000000 OU Notional Amount USD -29119.02000000 -0.01254606267 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Wheat W H1 Comdty Y equity-performance leg equity-performance leg 2021-02-19 0.00000000 USD 0.00000000 USD 70000.00000000 USD -29119.02000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 1.00000000 NC USD 292.00000000 0.000125809532 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 1.00000000 NC N/A 292.00000000 0.00000000 DCO US Long NYMEX Henry Hub Natural European Style Option GKZ20 Comdty 2020-11-25 1.00000000 USD 10000.00000000 2.75000000 USD 2020-11-24 XXXX -1220.27000000 N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1200.00000000 OU Notional Amount USD -6932.42000000 -0.00298686479 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 -6932.42000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 45000.00000000 OU Notional Amount USD -27560.52000000 -0.01187457583 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Wheat W Z0 Comdty Y equity-performance leg equity-performance leg 2020-11-20 0.00000000 USD 0.00000000 USD 45000.00000000 USD -27560.52000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -12.00000000 NC USD -840.00000000 -0.00036191783 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 12.00000000 NC N/A -840.00000000 0.00000000 DCO US Short NYMEX WTI Light Sweet Crude Oil CLZ0 Comdty 2020-11-20 12.00000000 USD 1000.00000000 44.00000000 USD 2020-11-17 XXXX 9285.63000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 900.00000000 OU Notional Amount USD -175.52000000 -0.00007562359 N/A DCO US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 MEHCO (Huston/Brent) Calendar Swap MEHCO COM FWD MEHCO 4Q20 -1.7 12/31/20 MYC Y equity-performance leg equity-performance leg 2020-12-31 0.00000000 USD 0.00000000 USD 900.00000000 USD -175.52000000 N N N FED HOME LN DISCOUNT NT 2549001DPIFGXC1TOL40 313384R27 4600000.00000000 PA USD 4599661.90000000 1.981785323679 Long DBT USGSE US N 2 2020-11-27 None 0.00000000 N N N N N N ERAC USA Finance LLC LTKX5ODQW6Z7BQ2K1V47 26884TAD4 200000.00000000 PA USD 206000.85000000 0.088756406464 Long DBT CORP US Y 2 2021-08-16 Fixed 4.50000000 N N N N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 7200.00000000 OU Notional Amount USD -19171.40000000 -0.00826008519 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 -19171.40000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -2.00000000 NC USD 6306.01000000 0.002716973190 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short NYMEX WTI Light Sweet Crude Oil CLF2 Comdty 2021-12-20 -85066.01000000 USD 6306.01000000 N N N ICE Futures U.S. Energy Division N/A 000000000 70.00000000 NC USD 10603.34000000 0.004568497435 N/A DCO US N 1 ICE Futures U.S. Energy Division N/A Long California Carbon Allowance Vintage 2021 ZCAZ21 Comdty 2021-12-27 1250096.66000000 USD 10603.34000000 N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 -3.00000000 NC USD -27246.44000000 -0.01173925303 N/A DCO FR N 3 BNP Paribas R0MUWSFPU8MPRO8K5P83 Call Written BNP Paribas R0MUWSFPU8MPRO8K5P83 BNP Paribas R0MUWSFPU8MPRO8K5P83 N/A 5000.00000000 OU Notional Amount N/A -27246.44000000 -0.01000000 DCO FR FUELCO Calendar Swap FUELCO equity-performance leg equity-performance leg 2020-12-31 0.00000000 N/A 0.00000000 N/A 5000.00000000 USD 1000.00000000 13.00000000 USD 2020-12-31 XXXX -22446.44000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 7.00000000 NC USD -25796.14000000 -0.01111438465 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Long Brent Crude Oil COG1 Comdty 2020-12-30 294596.14000000 USD -25796.14000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 10.00000000 NC USD -9027.20000000 -0.00388941032 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long Soybean Meal SMF1 Comdty 2021-01-14 380627.20000000 USD -9027.20000000 N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 -12.00000000 NC USD -840.00000000 -0.00036191783 N/A DCO US N 1 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Call Written Brent Crude Oil COF1 Comdty 1000.00000000 47.50000000 USD 2020-11-25 XXXX 8337.80000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 7.00000000 NC USD -23122.87000000 -0.00996259407 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long NYMEX WTI Light Sweet Crude Oil CLZ3 Comdty 2023-11-20 314882.87000000 USD -23122.87000000 N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1200.00000000 OU Notional Amount USD -3554.70000000 -0.00153155871 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 -3554.70000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 4800.00000000 OU Notional Amount USD -13739.52000000 -0.00591973490 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 -13739.52000000 N N N Societe Generale O2RNE8IBXP4R0TD8PU41 000000000 29004181.69000000 OU Notional Amount USD -602138.09000000 -0.25943394439 N/A DCO FR N 2 Societe Generale O2RNE8IBXP4R0TD8PU41 BCOM Post Roll TR (BCOMMTR) BCOMTR2B FIN FUT COPPER FUTURE CMX 12/29/20 2175542.37000000 USD -45165.11000000 USD FIN FUT PRI ALUM (LME) 01/18/21 1266439.38000000 USD -26291.77000000 USD FIN FUT BRENT CRUDE ICE 11/30/20 1116021.17000000 USD -23169.03000000 USD FIN FUT SOYBEAN OIL CBT 01/14/21 799849.66000000 USD -16605.19000000 USD FIN FUT SUGAR #11 NYB 02/26/21 911198.80000000 USD -18916.84000000 USD FIN FUT LEAN HOGS FUTURE CME 12/14/20 482527.78000000 USD -10017.46000000 USD FIN FUT NATURAL GAS NYM 12/29/20 3674579.57000000 USD -76285.70000000 USD FIN FUT SOYBEAN MEAL CBT 01/14/21 1164311.26000000 USD -24171.55000000 USD FIN FUT GOLD 100 OZ FUTR 12/29/20 4660454.18000000 USD -96752.84000000 USD FIN FUT CORN CBT 12/14/20 1732053.33000000 USD -35958.10000000 USD FIN FUT SOYBEAN CBT 01/14/21 1806971.17000000 USD -37513.42000000 USD FIN FUT HEATING OIL NYM 12/31/20 326151.69000000 USD -6771.04000000 USD FIN FUT SILVER FUTURE CMX 12/29/20 1391747.53000000 USD -28893.22000000 USD FIN FUT GASOLINE NYM 12/31/20 383443.18000000 USD -7960.43000000 USD FIN FUT ZINC LME 01/18/21 1053229.43000000 USD -21865.45000000 USD FIN FUT NICKEL LME 01/18/21 857749.37000000 USD -17807.21000000 USD FIN FUT WHEAT FUTURE CBT 12/14/20 948038.77000000 USD -19681.65000000 USD FIN FUT COFFEE C NYB 12/18/20 662765.75000000 USD -13759.27000000 USD FIN FUT LIVE CATTLE CME 12/31/20 985866.19000000 USD -20466.97000000 USD FIN FUT GAS OIL ICE 01/12/21 374429.52000000 USD -7773.30000000 USD Y equity-performance leg 2021-02-16 0.00000000 USD 0.00000000 USD 29004181.69000000 USD -602138.09000000 N N N CVS Health Corp 549300EJG376EN5NQE29 126650DD9 200000.00000000 PA USD 200395.40000000 0.086341272747 Long DBT CORP US N 2 2021-03-09 Floating 0.96000000 N N N N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -1.00000000 NC USD 1067.68000000 0.000460014801 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 1067.68000000 N N N SABINE PASS LIQUEFACTION 549300KJYBG7C6WJYZ11 785592AH9 100000.00000000 PA USD 105682.28000000 0.045533692699 Long DBT CORP US N 2 2022-03-15 Fixed 6.25000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 1650.00000000 OU Notional Amount USD -16104.74000000 -0.00693880073 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 -1350.00000000 USD 1650.00000000 USD -14754.74000000 N N N Macquarie Bank Limited 4ZHCHI4KYZG2WVRT8631 000000000 6519836.68000000 OU Notional Amount USD -141114.80000000 -0.06079995566 N/A DCO AU N 2 Macquarie Bank Limited 4ZHCHI4KYZG2WVRT8631 Bloomberg Commodity Index Total Return BCOMTR Index Y equity-performance leg 2021-02-16 0.01000000 USD 0.00000000 USD 6519836.68000000 USD -141114.81000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -62.00000000 NC USD 360965.65000000 0.155523697844 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short NYMEX WTI Light Sweet Crude Oil CLM1 Comdty 2021-05-20 -2721305.65000000 USD 360965.65000000 N N N Macquarie Bank Limited 4ZHCHI4KYZG2WVRT8631 000000000 600.00000000 OU Notional Amount USD -10372.17000000 -0.00446889678 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 600.00000000 USD -10372.17000000 N N N ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 000000000 183.00000000 NC USD -264181.61000000 -0.11382385246 N/A DCO US N 1 ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 Long Cocoa CCH1 Comdty 2021-03-16 4482331.61000000 USD -264181.61000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 700.00000000 OU Notional Amount USD 1469.85000000 0.000633291581 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Gold (100 oz) GCZ0 Comdty Y equity-performance leg equity-performance leg 2020-11-25 0.00000000 USD 0.00000000 USD 700.00000000 USD 1469.85000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -2.00000000 NC USD -1316.00000000 -0.00056700460 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Put Written New York Mercantile Exchange 5493008GFNDTXFPHWI47 New York Mercantile Exchange 5493008GFNDTXFPHWI47 N/A 2.00000000 NC N/A -1316.00000000 0.00000000 DCO US Short NYMEX Henry Hub Natural European Style Option GKF21 Comdty 2020-12-29 2.00000000 USD 10000.00000000 2.80000000 USD 2020-12-28 XXXX 1843.46000000 N N N AVIATION CAPITAL GROUP 549300ODEK8HY3445C77 05367AAD5 1100000.00000000 PA USD 1118910.55000000 0.482087717469 Long DBT CORP US Y 2 2021-04-06 Fixed 6.75000000 N N N N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 35.00000000 NC USD 2429.09000000 0.001046584513 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long NYMEX WTI Light Sweet Crude Oil CLU1 Comdty 2021-08-20 1354520.91000000 USD 2429.09000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -38.00000000 NC USD -46558.51000000 -0.02005994653 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short Natural Gas NGF21 Comdty 2020-12-29 -1271661.49000000 USD -46558.51000000 N N N ICE Futures U.S. Energy Division N/A 000000000 19.00000000 NC USD -133.43000000 -0.00005748892 N/A DCO US N 1 ICE Futures U.S. Energy Division N/A Long California Carbon Allowance Future Vintage 2020 CBRZ20 Comdty 2020-12-24 328453.43000000 USD -133.43000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 22.00000000 NC USD 28763.19000000 0.012392751694 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Natural Gas NGG21 Comdty 2021-01-27 722756.81000000 USD 28763.19000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 1.00000000 NC USD 532.89000000 0.000229598088 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long KC HRW Wheat KWZ0 Comdty 2020-12-14 26529.61000000 USD 532.89000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 70.00000000 NC USD -303644.96000000 -0.13082681693 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long NYMEX WTI Light Sweet Crude Oil CLM2 Comdty 2022-05-20 3099444.96000000 USD -303644.96000000 N N N CVS Health Corp 549300EJG376EN5NQE29 126650CK4 400000.00000000 PA USD 418712.00000000 0.180403976311 Long DBT CORP US N 2 2022-07-20 Fixed 3.50000000 N N N N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 -131.00000000 NC USD 349460.15000000 0.150566500655 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Short Low Sulfur Gas Oil QSG1 Comdty 2021-02-11 -4475960.15000000 USD 349460.15000000 N N N ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 000000000 1.00000000 NC USD 127.73000000 0.000055033053 N/A DCO US N 1 ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 Long Cotton CTZ0 Comdty 2020-12-08 34332.27000000 USD 127.73000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 4.00000000 NC USD -16392.39000000 -0.00706273605 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Long Low Sulfur Gas Oil QSH1 Comdty 2021-03-11 143792.39000000 USD -16392.39000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -1.00000000 NC USD 1117.68000000 0.000481557529 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 1117.68000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 13.00000000 NC USD -62841.30000000 -0.02707546092 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long NYMEX WTI Light Sweet Crude Oil CLN1 Comdty 2021-06-22 561391.30000000 USD -62841.30000000 N N N Macquarie Bank Limited 4ZHCHI4KYZG2WVRT8631 000000000 3600.00000000 OU Notional Amount USD -14794.63000000 -0.00637433386 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 3600.00000000 USD -14794.63000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -1.00000000 NC USD -72.32000000 -0.00003115940 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 -72.32000000 N N N United States Treasury 254900HROIFWPRGM1V77 912796TP4 600000.00000000 PA USD 599995.33000000 0.258510726466 Long STIV UST US N 2 2020-11-05 None 0.00000000 N N N N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 -10.00000000 NC USD 36986.59000000 0.015935841118 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Short Low Sulfur Gas Oil QSM2 Comdty 2022-06-10 -399236.59000000 USD 36986.59000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -11.00000000 NC USD 28915.39000000 0.012458327758 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short NYMEX WTI Light Sweet Crude Oil CLM3 Comdty 2023-05-22 -481235.39000000 USD 28915.39000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -1.00000000 NC USD 1017.68000000 0.000438472072 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 1017.68000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 -4.00000000 NC 3607.47000000 0.001554294914 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Short ICE Natural Gas FNZ0 Comdty 2020-11-27 -54244.62000000 GBP 3607.47000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -24.00000000 NC USD -6000.00000000 -0.00258512738 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 24.00000000 NC N/A -6000.00000000 0.00000000 DCO US Short NYMEX WTI Light Sweet Crude Oil CLF1 Comdty 2020-12-21 24.00000000 USD 1000.00000000 45.50000000 USD 2020-12-16 XXXX 15265.31000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -2.00000000 NC USD -10220.00000000 -0.00440333364 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Put Written New York Mercantile Exchange 5493008GFNDTXFPHWI47 New York Mercantile Exchange 5493008GFNDTXFPHWI47 N/A 2.00000000 NC N/A -10220.00000000 0.00000000 DCO US Short Gold (100 oz) GCZ0 Comdty 2020-12-29 2.00000000 USD 100.00000000 1900.00000000 USD 2020-11-24 XXXX -1416.91000000 N N N London Metal Exchange 213800NB8G5VRT1DXC91 000000000 57.00000000 NC USD 50416.50000000 0.021722179139 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Long Aluminum LAH21 Comdty 2021-03-15 2587971.00000000 USD 50416.50000000 N N N London Metal Exchange 213800NB8G5VRT1DXC91 000000000 4.00000000 NC USD 15077.44000000 0.006496183841 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Long Nickel LNX0 Comdty 2020-11-16 347994.56000000 USD 15077.44000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 1.00000000 NC USD -2561.69000000 -0.00110371582 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 -2561.69000000 N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 -12.00000000 NC USD -720.00000000 -0.00031021528 N/A DCO US N 1 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Call Written Brent Crude Oil COF1 Comdty 1000.00000000 48.00000000 USD 2020-11-25 XXXX 9866.40000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 2592918.20000000 OU Notional Amount USD 2158.05000000 0.000929805692 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 JP Morgan FNJ 2 Index JMABFNJ2 FIN FUT NATURAL GAS NYM 02/24/21 40754.04000000 USD 33.92000000 USD FIN FUT COTTON NO.2 NYB 03/09/21 141641.75000000 USD 117.89000000 USD FIN FUT ZINC LME 03/15/21 40295.73000000 USD 33.54000000 USD FIN FUT GAS OIL ICE 03/11/21 23503.77000000 USD 19.56000000 USD FIN FUT CORN CBT 03/12/21 31642.98000000 USD 26.34000000 USD FIN FUT CRUDE OIL NYM 02/22/21 75006.39000000 USD 62.43000000 USD FIN FUT SILVER FUTURE CMX 12/29/20 76012.43000000 USD 63.26000000 USD FIN FUT NICKEL LME 03/15/21 97056.02000000 USD 80.78000000 USD FIN FUT SUGAR #11 NYB 02/26/21 118773.06000000 USD 98.85000000 USD FIN FUT COCOA NYB 03/16/21 122796.51000000 USD 102.20000000 USD FIN FUT PRI ALUM (LME) 03/15/21 209869.27000000 USD 174.67000000 USD FIN FUT WHEAT FUTURE CBT 03/12/21 27951.39000000 USD 23.26000000 USD FIN FUT HEATING OIL NYM 02/26/21 97946.18000000 USD 81.52000000 USD FIN FUT LEAD LME 03/15/21 117067.67000000 USD 97.43000000 USD FIN FUT COFFEE C NYB 03/19/21 94806.65000000 USD 78.91000000 USD CASH Uninvested USD 2618816.34000000 USD 2179.60000000 USD FIN FUT BRENT CRUDE ICE 03/31/21 89074.52000000 USD 74.14000000 USD FIN FUT PLATINUM FUTURE 01/27/21 46845.43000000 USD 38.99000000 USD FIN FUT GASOLINE NYM 02/26/21 23423.07000000 USD 19.49000000 USD FIN FUT GOLD 100 OZ FUTR 12/29/20 85572.47000000 USD 71.22000000 USD FIN FUT COPPER FUTURE CMX 03/29/21 161855.90000000 USD 134.71000000 USD Y equity-performance leg equity-performance leg 2020-12-31 0.00000000 USD 0.00000000 USD 2592918.20000000 USD 2158.05000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 33.00000000 NC USD -117247.63000000 -0.05051667653 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Long Brent Crude Oil COF1 Comdty 2020-11-30 1369267.63000000 USD -117247.63000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 -17.00000000 NC USD 55430.56000000 0.023882509775 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Short Low Sulfur Gas Oil QSH2 Comdty 2022-03-10 -661055.56000000 USD 55430.56000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 5976.11000000 OU Notional Amount USD 4605.61000000 0.001984348089 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 MEHCO (Huston/Brent) Calendar Swap MEHCO COM FWD MEHCO CAL22 -2.82 12/31/22 JPM Y equity-performance leg equity-performance leg 2022-12-31 0.00000000 USD -23.89000000 USD 5976.11000000 USD 4629.50000000 N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 16528662.04000000 OU Notional Amount USD -357729.09000000 -0.15412921119 N/A DCO FR N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 BNP Paribas Modified PR DJ Commodity TR Index BCOMTR1H FIN FUT LIVE CATTLE CME 12/31/20 561817.23000000 USD -12159.39000000 USD FIN FUT SOYBEAN CBT 01/14/21 1029741.72000000 USD -22286.65000000 USD FIN FUT CORN CBT 12/14/20 987048.16000000 USD -21362.64000000 USD FIN FUT SOYBEAN MEAL CBT 01/14/21 663508.03000000 USD -14360.27000000 USD FIN FUT BRENT CRUDE ICE 11/30/20 635988.87000000 USD -13764.68000000 USD FIN FUT COFFEE C NYB 12/18/20 377691.44000000 USD -8174.36000000 USD FIN FUT WHEAT FUTURE KCB 12/14/20 276450.02000000 USD -5983.20000000 USD FIN FUT GOLD 100 OZ FUTR 12/29/20 2655860.90000000 USD -57480.68000000 USD FIN FUT NATURAL GAS NYM 12/29/20 2094038.87000000 USD -45321.19000000 USD FIN FUT HEATING OIL NYM 12/31/20 185864.62000000 USD -4022.66000000 USD FIN FUT COTTON NO.2 NYB 12/08/20 240351.66000000 USD -5201.92000000 USD FIN FUT NICKEL LME 01/18/21 488807.08000000 USD -10579.23000000 USD FIN FUT ZINC LME 01/18/21 600205.63000000 USD -12990.22000000 USD FIN FUT WHEAT FUTURE CBT 12/14/20 540260.46000000 USD -11692.83000000 USD Y equity-performance leg 2021-02-16 0.00000000 USD 0.00000000 USD 16528662.04000000 USD -357729.09000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -95.00000000 NC USD -623.65000000 -0.00026870244 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short Wheat W H1 Comdty 2021-03-12 -2849376.35000000 USD -623.65000000 N N N London Metal Exchange 213800NB8G5VRT1DXC91 000000000 -6.00000000 NC USD -24471.84000000 -0.01054380395 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Short Zinc LXX0 Comdty 2020-11-16 -352815.66000000 USD -24471.84000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 8.00000000 NC USD 27693.20000000 0.011931741619 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long KC HRW Wheat KWH1 Comdty 2021-03-12 191406.80000000 USD 27693.20000000 N N N Commodities Exchange Center N/A 000000000 -18.00000000 NC USD 279340.25000000 0.120355021694 N/A DCO US N 1 Commodities Exchange Center N/A Short Silver SIZ0 Comdty 2020-12-29 -2407480.25000000 USD 279340.25000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 -8.00000000 NC USD 8768.00000000 0.003777732819 N/A DCO US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short Lean Hogs LHG1 Comdty 2021-02-12 -218528.00000000 USD 8768.00000000 N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 -3.00000000 NC USD 0.00000000 0.000000 N/A DCO FR N 3 BNP Paribas R0MUWSFPU8MPRO8K5P83 Call Written BNP Paribas R0MUWSFPU8MPRO8K5P83 BNP Paribas R0MUWSFPU8MPRO8K5P83 N/A 5000.00000000 OU Notional Amount N/A 0.00000000 0.00000000 DCO FR QSCO Calendar Swap QSCO equity-performance leg equity-performance leg 2020-12-31 0.00000000 N/A 0.00000000 N/A 5000.00000000 USD 1000.00000000 21.00000000 USD 2020-12-31 XXXX 4050.00000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 35.00000000 NC USD -58711.80000000 -0.02529624700 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Platinum PLF1 Comdty 2021-01-27 1543411.80000000 USD -58711.80000000 N N N Morgan Stanley & Co. LLC 9R7GPTSO7KV3UQJZQ078 000000000 25499853.65000000 OU Notional Amount USD -596993.96000000 -0.25721757250 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 25499853.65000000 USD -596993.96000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 1.00000000 NC USD -1822.32000000 -0.00078515488 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 -1822.32000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 2.00000000 NC USD -327.70000000 -0.00014119104 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long Soybean S X1 Comdty 2021-11-12 97427.70000000 USD -327.70000000 N N N ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 000000000 282.00000000 NC USD 116319.68000000 0.050116865041 N/A DCO US N 1 ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 Long Sugar SBH1 Comdty 2021-02-26 4419142.72000000 USD 116319.68000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -12.00000000 NC USD -480.00000000 -0.00020681019 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 12.00000000 NC N/A -480.00000000 0.00000000 DCO US Short NYMEX WTI Light Sweet Crude Oil CLZ0 Comdty 2020-11-20 12.00000000 USD 1000.00000000 46.00000000 USD 2020-11-17 XXXX 11054.76000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 89.00000000 NC USD -463673.98000000 -0.19977605061 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Gasoline XBH1 Comdty 2021-02-26 4405768.78000000 USD -463673.98000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 2269937.02000000 OU Notional Amount USD -81679.91000000 -0.03519216203 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 J.P. Morgan NIC 2 Index JMABNIC2 FIN FUT COPPER FUTURE CMX 03/29/21 229761.43000000 USD -8267.58000000 USD FIN FUT SILVER FUTURE CMX 03/29/21 122120.27000000 USD -4394.29000000 USD FIN FUT HEATING OIL NYM 02/26/21 95970.46000000 USD -3453.34000000 USD FIN FUT GOLD 100 OZ FUTR 02/24/21 410099.51000000 USD -14756.75000000 USD FIN FUT BRENT CRUDE ICE 01/29/21 231736.57000000 USD -8338.66000000 USD FIN FUT SOYBEAN MEAL CBT 03/12/21 185862.00000000 USD -6687.93000000 USD FIN FUT LIVE CATTLE CME 02/26/21 43313.74000000 USD -1558.57000000 USD FIN FUT GASOLINE NYM 02/26/21 131409.89000000 USD -4728.57000000 USD FIN FUT LEAN HOGS FUTURE CME 02/12/21 19893.23000000 USD -715.82000000 USD FIN FUT GAS OIL ICE 03/11/21 93735.85000000 USD -3372.93000000 USD FIN FUT NICKEL LME 03/15/21 233310.85000000 USD -8395.30000000 USD FIN FUT SOYBEAN CBT 03/12/21 424775.90000000 USD -15284.85000000 USD Y equity-performance leg 2021-02-16 0.00000000 USD 0.00000000 USD 2269937.02000000 USD -81679.91000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -38.00000000 NC USD -62391.55000000 -0.02688168408 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short Corn C H1 Comdty 2021-03-12 -703783.45000000 USD -62391.55000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -5.00000000 NC USD 15217.20000000 0.006556400075 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short Platinum PLF1 Comdty 2021-01-27 -227317.20000000 USD 15217.20000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -3.00000000 NC USD 199.87000000 0.000086114901 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short Wheat W N1 Comdty 2021-07-14 -89074.87000000 USD 199.87000000 N N N Macquarie Bank Limited 4ZHCHI4KYZG2WVRT8631 000000000 2100.00000000 OU Notional Amount USD 1459.39000000 0.000628784842 N/A DCO AU N 2 Macquarie Bank Limited 4ZHCHI4KYZG2WVRT8631 MEHCO (Huston/Brent) Calendar Swap MEHCO COM FWD MEHCO 4Q20 -2.2 12/31/20 MAC Y equity-performance leg equity-performance leg 2020-12-31 0.00000000 USD 0.00000000 USD 2100.00000000 USD 1459.39000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 -3.00000000 NC USD 2871.60000000 0.001237241966 N/A DCO US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short Lean Hogs LHZ0 Comdty 2020-12-14 -81561.60000000 USD 2871.60000000 N N N Citibank, National Association E57ODZWZ7FF32TWEFA76 000000000 13000.00000000 OU Notional Amount USD -17916.13000000 -0.00771924638 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 13000.00000000 USD -17916.13000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -12.00000000 NC USD -1080.00000000 -0.00046532292 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 12.00000000 NC N/A -1080.00000000 0.00000000 DCO US Short NYMEX WTI Light Sweet Crude Oil CLZ0 Comdty 2020-11-20 12.00000000 USD 1000.00000000 43.50000000 USD 2020-11-17 XXXX 11782.61000000 N N N Commodities Exchange Center N/A 000000000 1.00000000 NC USD -9836.03000000 -0.00423789841 N/A DCO US N 1 Commodities Exchange Center N/A Long Gold (100 oz) GCZ0 Comdty 2020-12-29 197826.03000000 USD -9836.03000000 N N N London Metal Exchange 213800NB8G5VRT1DXC91 000000000 3.00000000 NC USD 10209.75000000 0.004398917387 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Long Lead LLZ0 Comdty 2020-12-14 126009.00000000 USD 10209.75000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -1.00000000 NC USD 997.68000000 0.000429854981 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 997.68000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 3.00000000 NC USD -14377.40000000 -0.00619456841 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long NYMEX WTI Light Sweet Crude Oil CLF1 Comdty 2020-12-21 122827.40000000 USD -14377.40000000 N N N BRITISH TRA INTL FINANCE 549300GGLD5FF6EQTM03 000000000 500000.00000000 PA USD 495460.10000000 0.213471245494 Long DBT CORP NL Y 2 2021-11-04 None 0.00000000 N N N N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 269058.00000000 OU Notional Amount USD 2699.73000000 0.001163190992 N/A DCO FR N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 LBMA Gold Price PM USD GOLDLNPM VARS GOLDLNPM 0.049729 05/13/21 BPS Y equity-performance leg equity-performance leg 2021-05-13 0.00000000 USD 0.00000000 USD 269058.00000000 USD 2699.73000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 1200.00000000 OU Notional Amount USD 749.95000000 0.000323119380 N/A DCO US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 MEHCO (Huston/Brent) Calendar Swap MEHCO COM FWD MEHCO 4Q20 -2.13 12/31/20 MYC Y equity-performance leg equity-performance leg 2020-12-31 0.00000000 USD 0.00000000 USD 1200.00000000 USD 749.95000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 238.00000000 NC USD -163848.90000000 -0.07059504641 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long Corn C H1 Comdty 2021-03-12 4962523.90000000 USD -163848.90000000 N N N Spirit AeroSystems Inc ZD2NBKV6GCC3UMGBM518 85205TAH3 200000.00000000 PA USD 192116.31000000 0.082774189032 Long DBT CORP US N 2 2021-06-15 Floating 1.05000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -30.00000000 NC USD 3105.18000000 0.001337880975 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short Corn C Z0 Comdty 2020-12-14 -600855.18000000 USD 3105.18000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -88.00000000 NC USD 362214.16000000 0.156061624076 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short NY Harb Ultra Low Sulfur Diesel HOH1 Comdty 2021-02-26 -4475122.96000000 USD 362214.16000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -12.00000000 NC USD -2520.00000000 -0.00108575350 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 12.00000000 NC N/A -2520.00000000 0.00000000 DCO US Short NYMEX WTI Light Sweet Crude Oil CLF1 Comdty 2020-12-21 12.00000000 USD 1000.00000000 46.00000000 USD 2020-12-16 XXXX 8732.76000000 N N N Macquarie Bank Limited 4ZHCHI4KYZG2WVRT8631 000000000 3600.00000000 OU Notional Amount USD 6130.95000000 0.002641547790 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 6130.95000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -1.00000000 NC USD 3497.68000000 0.001506991392 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 3497.68000000 N N N London Metal Exchange 213800NB8G5VRT1DXC91 000000000 -8.00000000 NC USD -20193.00000000 -0.00870024621 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Short Zinc LXZ0 Comdty 2020-12-14 -483307.00000000 USD -20193.00000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -15.00000000 NC USD 76361.49000000 0.032900696500 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short Gasoline XBH1 Comdty 2021-02-26 -740759.49000000 USD 76361.49000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 9.00000000 NC USD -16012.80000000 -0.00689918796 N/A DCO US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long Live Cattle LCG1 Comdty 2021-02-26 413452.80000000 USD -16012.80000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 -17.00000000 NC USD 54379.53000000 0.023429668702 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Short Low Sulfur Gas Oil QSU1 Comdty 2021-09-10 -634079.53000000 USD 54379.53000000 N N N CANADIAN PACIFIC RR CO 54930036474DURYNB481 13645RAP9 400000.00000000 PA USD 418594.85000000 0.180353501699 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 -1772.32000000 -0.00076361216 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 -1772.32000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 1.00000000 NC USD -1567.22000000 -0.00067524389 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Brent-Dubai ICE REV0 Comdty 2020-10-30 2452.22000000 USD -1567.22000000 N N N London Metal Exchange 213800NB8G5VRT1DXC91 000000000 -4.00000000 NC USD -15036.00000000 -0.00647832922 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Short Nickel LNF1 Comdty 2021-01-18 -348696.00000000 USD -15036.00000000 N N N J.P. Morgan Securities LLC ZBUT11V806EZRVTWT807 000000000 -1.50000000 NC USD 0.00000000 0.000000 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 2500.00000000 OU Notional Amount N/A 0.00000000 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 2500.00000000 USD 1000.00000000 18.10000000 USD 2020-12-31 XXXX 3900.00000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 1.00000000 NC USD -1772.32000000 -0.00076361216 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 -1772.32000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 4.00000000 NC USD 434.48000000 0.000187197691 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Gasoline XBM1 Comdty 2021-05-28 199838.32000000 USD 434.48000000 N N N FRESENIUS MED CARE US B8RI7LM5Z25R6H3S2R89 35803QAA5 1000000.00000000 PA USD 1013997.01000000 0.436885239907 Long DBT CORP US Y 2 2021-02-15 Fixed 5.75000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 313.00000000 NC USD 167921.45000000 0.072349723170 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long Soybean Meal SMH1 Comdty 2021-03-12 11106338.55000000 USD 167921.45000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 -6.00000000 NC USD 11854.46000000 0.005107548197 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Short WTI Crude Oil ENF1 Comdty 2020-12-18 -228754.46000000 USD 11854.46000000 N N N United States Treasury 254900HROIFWPRGM1V77 9127963K3 38500000.00000000 PA USD 38495187.81000000 16.58582737008 Long STIV UST US N 2 2020-12-17 None 0.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 9127965C9 800000.00000000 PA USD 799907.11000000 0.344643629329 Long STIV UST US N 2 2020-12-15 None 0.00000000 N N N N N N London Metal Exchange 213800NB8G5VRT1DXC91 000000000 1.00000000 NC USD -1993.75000000 -0.00085901628 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Long Copper LPZ20 Comdty 2020-12-16 169862.50000000 USD -1993.75000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 12.00000000 NC USD 25133.27000000 0.010828784094 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Natural Gas NGK21 Comdty 2021-04-28 331866.73000000 USD 25133.27000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 62.00000000 NC USD -214810.15000000 -0.09255193357 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Long Low Sulfur Gas Oil QSZ1 Comdty 2021-12-10 2366210.15000000 USD -214810.15000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 -36.00000000 NC USD 65176.59000000 0.028081631284 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Short Brent Crude Oil COM2 Comdty 2022-04-29 -1599496.59000000 USD 65176.59000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 10.00000000 NC USD -55542.13000000 -0.02393058021 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Long Low Sulfur Gas Oil QSM1 Comdty 2021-06-10 384792.13000000 USD -55542.13000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 1800.00000000 OU Notional Amount USD -297.04000000 -0.00012798103 N/A DCO US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 MEHCO (Huston/Brent) Calendar Swap MEHCO COM FWD MEHCO 4Q20 -1.67 12/31/20 MYC Y equity-performance leg equity-performance leg 2020-12-31 0.00000000 USD 0.00000000 USD 1800.00000000 USD -297.04000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -3.00000000 NC USD -2967.00000000 -0.00127834549 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Put Written New York Mercantile Exchange 5493008GFNDTXFPHWI47 New York Mercantile Exchange 5493008GFNDTXFPHWI47 N/A 3.00000000 NC N/A -2967.00000000 0.00000000 DCO US Short Natural Gas NGJ21 Comdty 2021-03-29 3.00000000 USD 10000.00000000 2.50000000 USD 2021-03-26 XXXX 3017.02000000 N N N AbbVie Inc FR5LCKFTG8054YNNRU85 00287YAL3 300000.00000000 PA USD 314130.00000000 0.135344344271 Long DBT CORP US N 2 2022-11-06 Fixed 2.90000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -114.00000000 NC USD 619.90000000 0.000267086744 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short KC HRW Wheat KWH1 Comdty 2021-03-12 -3122794.90000000 USD 619.90000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 6.00000000 NC USD 57894.38000000 0.024944057868 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Ethanol CUAZ0 Comdty 2020-12-31 287345.62000000 USD 57894.38000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 1260.00000000 OU Notional Amount USD 177.24000000 0.000076364662 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 60.00000000 USD 0.00000000 USD 1260.00000000 USD 117.24000000 N N N FED HOME LN DISCOUNT NT 2549001DPIFGXC1TOL40 313384T58 1700000.00000000 PA USD 1699767.58000000 0.732352620028 Long DBT USGSE US N 2 2020-12-16 None 0.00000000 N N N N N N COMCAST CABLE COMMUNICAT N/A 00209TAB1 400000.00000000 PA USD 473770.52000000 0.204126190955 Long DBT CORP US N 2 2022-11-15 Fixed 9.46000000 N N N N N N McDonald's Corp UE2136O97NLB5BYP9H04 58013MFG4 300000.00000000 PA USD 301016.40000000 0.129694289857 Long DBT CORP US N 2 2021-10-28 Floating 0.65000000 N N N N N N SPRINT SPECTRUM / SPEC I N/A 85208NAA8 150000.00000000 PA USD 151405.50000000 0.065233750729 Long DBT CORP US Y 2 2021-09-20 Fixed 3.36000000 N N N N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -1.00000000 NC USD 1017.68000000 0.000438472072 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 1017.68000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 2400.00000000 OU Notional Amount USD -975.54000000 -0.00042031586 N/A DCO US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 LLSCO Calendar Swap LLSCO COM FWD LLSCO CAL21 -1.25 12/31/21 MYC Y equity-performance leg equity-performance leg 2021-12-31 0.00000000 USD 0.00000000 USD 2400.00000000 USD -975.54000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 -2.00000000 NC USD 6722.27000000 0.002896320711 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Short Brent Crude Oil COZ2 Comdty 2022-10-31 -93922.27000000 USD 6722.27000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 25.00000000 NC USD 20621.08000000 0.008884686438 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Long White Sugar QWH1 Comdty 2021-02-12 468253.92000000 USD 20621.08000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 6.00000000 NC USD -23004.54000000 -0.00991161105 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long NY Harb Ultra Low Sulfur Diesel HOM1 Comdty 2021-05-28 311166.54000000 USD -23004.54000000 N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 901.80000000 OU Notional Amount USD 105.76000000 0.000045567178 N/A DCO FR N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 NAP +EBOB + 10PPM + ROT - BRENT calendar swap EURMARG3 COM FWD EURMARG3 4Q20 3.23 12/31/20 BPS Y equity-performance leg equity-performance leg 2020-12-31 0.00000000 USD -58.20000000 USD 901.80000000 USD 163.96000000 N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 800.00000000 OU Notional Amount USD 79.99000000 0.000034464056 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Gold (100 oz) GCZ0 Comdty Y equity-performance leg equity-performance leg 2020-11-25 0.00000000 USD 0.00000000 USD 800.00000000 USD 79.99000000 N N N NISSAN MOTOR ACCEPTANCE 7D6DIU2QXTUJRFNNJA49 654740BD0 200000.00000000 PA USD 202213.67000000 0.087124682675 Long DBT CORP US Y 2 2022-09-28 Fixed 2.60000000 N N N N N N JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 000000000 200.00000000 OU Notional Amount USD 4019.58000000 0.001731854389 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Gold (100 oz) GCZ0 Comdty Y equity-performance leg equity-performance leg 2020-11-25 0.00000000 USD 0.00000000 USD 200.00000000 USD 4019.58000000 N N N London Metal Exchange 213800NB8G5VRT1DXC91 000000000 1.00000000 NC USD 2295.00000000 0.000988811224 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Long Nickel LNH1 Comdty 2021-03-15 88791.00000000 USD 2295.00000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -1.00000000 NC USD 997.68000000 0.000429854981 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 997.68000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 78.00000000 NC USD -354660.70000000 -0.15280718135 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long NYMEX WTI Light Sweet Crude Oil CLH1 Comdty 2021-02-22 3240660.70000000 USD -354660.70000000 N N N London Metal Exchange 213800NB8G5VRT1DXC91 000000000 -3.00000000 NC USD -6512.17000000 -0.00280579816 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Short Aluminum LAX20 Comdty 2020-11-16 -132500.33000000 USD -6512.17000000 N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 5836330.88000000 OU Notional Amount USD -126321.06000000 -0.05442600526 N/A DCO FR N 2 BNP Paribas R0MUWSFPU8MPRO8K5P83 Bloomberg Commodity Index Total Return BCOMTR Index Y equity-performance leg 2021-02-16 0.00000000 USD 0.00000000 USD 5836330.88000000 USD -126321.06000000 N N N Air Lease Corp 5493004NW4M4P8TMMK63 00912XAZ7 300000.00000000 PA USD 301930.62000000 0.130088185717 Long DBT CORP US N 2 2021-03-01 Fixed 2.50000000 N N N N N N London Metal Exchange 213800NB8G5VRT1DXC91 000000000 -1.00000000 NC USD 162.61000000 0.000070061260 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Short Zinc LXF1 Comdty 2021-01-18 -63225.11000000 USD 162.61000000 N N N United States Treasury 254900HROIFWPRGM1V77 9127963W7 13200000.00000000 PA USD 13196563.64000000 5.685799676875 Long STIV UST US N 2 2021-02-04 None 0.00000000 N N N N N N London Metal Exchange 213800NB8G5VRT1DXC91 000000000 359.00000000 NC USD 1709381.87000000 0.736494980757 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Long Aluminum LAZ20 Comdty 2020-12-16 14921293.13000000 USD 1709381.87000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 3600.00000000 OU Notional Amount USD -1463.32000000 -0.00063047810 N/A DCO US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 LLSCO Calendar Swap LLSCO COM FWD LLSCO CAL21 -1.25 12/31/21 MYC Y equity-performance leg equity-performance leg 2021-12-31 0.00000000 USD 0.00000000 USD 3600.00000000 USD -1463.32000000 N N N Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 000000000 1200.00000000 OU Notional Amount USD -3942.21000000 -0.00169851917 N/A DCO US N 2 Morgan Stanley Capital Services LLC I7331LVCZKQKX5T7XV54 ULSD10ppm vs Dated Brent ULSDCO COM FWD ULSDCO CAL21 9.03 12/31/21 MYC Y equity-performance leg equity-performance leg 2021-12-31 0.00000000 USD 0.00000000 USD 1200.00000000 USD -3942.21000000 N N N BNP Paribas R0MUWSFPU8MPRO8K5P83 000000000 2400.00000000 OU Notional Amount USD -6238.03000000 -0.00268768369 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 -2854.03000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 1.00000000 NC USD -1822.32000000 -0.00078515488 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 -1822.32000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 30.00000000 NC USD -41821.10000000 -0.01801881181 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Long Brent Crude Oil COH2 Comdty 2022-01-31 1303321.10000000 USD -41821.10000000 N N N Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 000000000 -12.00000000 NC USD -4920.00000000 -0.00211980445 N/A DCO US N 1 Goldman Sachs & Co. LLC FOR8UP27PHTHYVLBNG30 Call Written Brent Crude Oil COH1 Comdty 1000.00000000 47.00000000 USD 2020-12-23 XXXX 4539.18000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 6.00000000 NC USD 503.92000000 0.000217116232 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long Soybean Oil BOF1 Comdty 2021-01-14 119952.08000000 USD 503.92000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -3.00000000 NC USD 39326.45000000 0.016943980478 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short Palladium PAZ0 Comdty 2020-12-29 -704486.45000000 USD 39326.45000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -2.00000000 NC USD -240.00000000 -0.00010340509 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 2.00000000 NC N/A -240.00000000 0.00000000 DCO US Short Gold (100 oz) GCZ0 Comdty 2020-12-29 2.00000000 USD 100.00000000 2200.00000000 USD 2020-11-24 XXXX 8479.80000000 N N N 2020-11-30 RUSSELL INVESTMENT CO Mark Swanson Mark Swanson Treasurer