NPORT-P false 0000052136 XXXXXXXX S000029564 C000090727 C000190721 C000090726 C000090725 Natixis Funds Trust II 811-00242 0000052136 R4B5ZXLI2IMIOWT67V76 888 BOYLSTON STREET Suite 800 BOSTON 02199-8197 617-449-2810 AlphaSimplex Managed Futures Strategy Fund S000029564 5493003UQM09GTIXUQ46 2021-12-31 2021-12-31 N 1549443470.67 47978019.65 1501465451.02 0.00000000 86261270.41000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 167376144.82000000 AUD CAD EUR GBP USD N Singapore Exchange Derivatives Clearing Limited 549300ZLWT3FK3F0FW61 000000000 -299.00000000 NC -89056.45000000 -0.00593130197 N/A DE SG N 2 Singapore Exchange Derivatives Clearing Limited 549300ZLWT3FK3F0FW61 Short SGX MSCI Singapore Index Future QZF2 INDEX 2022-01-28 -10055631.00000000 SGD -89056.45000000 N N N Osaka Exchange 3538001249AILNPRUX57 000000000 54.00000000 NC 509113.36000000 0.033907763888 N/A DE JP N 2 Osaka Exchange 3538001249AILNPRUX57 Long OSE Nikkei 225 Index Future NKH2 INDEX 2022-03-10 1497771000.00000000 JPY 509113.36000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -2288018.59000000 -0.15238569681 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 1167000000.00000000 MXN 53992580.11000000 USD 2022-03-16 -2288018.59000000 N N N ICE Endex Derivatives N/A 000000000 255.00000000 NC 2488714.62000000 0.165752373343 N/A DCO NL N 1 ICE Endex Derivatives N/A Long Carbon Emissions Future MOZ22 Index 2022-12-19 18379790.00000000 EUR 2488714.62000000 N N N United States Treasury 254900HROIFWPRGM1V77 912796M97 45000000.00000000 PA USD 44996493.60000000 2.996838426713 Long STIV UST US N 2 2022-03-10 None 0.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912796N39 30000000.00000000 PA USD 29996181.60000000 1.997793660827 Long STIV UST US N 2 2022-03-31 None 0.00000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 226.00000000 NC USD -464958.00000000 -0.03096694630 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT Soybean Oil Future BOH2 Comdty 2022-03-14 8130426.00000000 USD -464958.00000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -42498.72000000 -0.00283048271 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 54000000.00000000 SEK 5936986.74000000 USD 2022-03-16 -42498.72000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 3735.41000000 0.000248784279 N/A DFE MX N 2 UBS AG BFM8T61CT2L1QCEMIK50 4433124.13000000 USD 92000000.00000000 MXN 2022-03-16 3735.41000000 N N N ASX Clear (Futures) 549300ZD7BBOVZFVHK49 000000000 -4842.00000000 NC -21283.38000000 -0.00141750714 N/A DIR AU N 1 ASX Clear (Futures) 549300ZD7BBOVZFVHK49 Short SFE 3 Year Australian Bond Future YMH2 COMDTY 2022-03-15 -552685579.13000000 AUD -21283.38000000 N N N Skandinaviska Enskilda Banken AB/New York NY F3JS33DEI6XQ4ZBPTN86 83050PXJ3 40000000.00000000 PA USD 40000434.40000000 2.664092894899 Long STIV CORP SE N 2 2022-02-18 Fixed 0.14000000 N N N N N N Hong Kong Futures Exchange Ltd. 213800YTVSXYQN17BW16 000000000 -1058.00000000 NC -196794.42000000 -0.01310682306 N/A DE HK N 2 Hong Kong Futures Exchange Ltd. 213800YTVSXYQN17BW16 Short HKG Hang Seng China Enterprises Index Future HCF2 INDEX 2022-01-28 -433934000.00000000 HKD -196794.42000000 N N N United States Treasury 254900HROIFWPRGM1V77 912796D30 10000000.00000000 PA USD 9999602.80000000 0.665989536636 Long STIV UST US N 2 2022-02-24 None 0.00000000 N N N N N N ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 000000000 551.00000000 NC USD 18470.00000000 0.001230131534 N/A DCO US N 1 ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 Long NYBOT CTN Number 2 Cotton Future CTH2 Comdty 2022-03-09 31002830.00000000 USD 18470.00000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 21149.46000000 0.001408587855 N/A DFE SG N 2 UBS AG BFM8T61CT2L1QCEMIK50 8416617.77000000 USD 11375000.00000000 SGD 2022-03-16 21149.46000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 511.00000000 NC USD 1457760.00000000 0.097089147073 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long NYMEX Light Sweet Crude Oil Future CLG2 Comdty 2022-01-20 36974550.00000000 USD 1457760.00000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 -3094.00000000 NC USD -1701320.00000000 -0.11331063254 N/A DFE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short CME Canadian Dollar Currency Future CDH2 CURNCY 2022-03-15 -242879380.00000000 USD -1701320.00000000 N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 936.00000000 NC 747210.96000000 0.049765444785 N/A DE DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Long Eurex Stoxx Europe 600 Futures SXOH2 INDEX 2022-03-18 22111888.00000000 EUR 747210.96000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -1577333.33000000 -0.10505292205 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 202100000.00000000 NZD 136690335.00000000 USD 2022-03-16 -1577333.33000000 N N N MITSUBISHI TST&BNK C N/A 60683B3N1 30000000.00000000 PA USD 30001688.70000000 1.998160442494 Long STIV CORP US N 2 2022-06-06 Fixed 0.32000000 N N N N N N Euronext Eqf, Equities And Indices Derivatives N/A 000000000 223.00000000 NC 509092.76000000 0.033906391895 N/A DE NL N 2 Euronext Eqf, Equities And Indices Derivatives N/A Long Euronext Amsterdam Index Future EOF2 INDEX 2022-01-21 35011000.00000000 EUR 509092.76000000 N N N United States Treasury 254900HROIFWPRGM1V77 912796H44 40000000.00000000 PA USD 39985228.80000000 2.663080177624 Long STIV UST US N 2 2022-05-19 None 0.00000000 N N N N N N MIZUHO BANK LTD N/A 60710RFF7 65000000.00000000 PA USD 64993354.40000000 4.328661332556 Long STIV CORP JP N 2 2022-05-16 Fixed 0.26000000 N N N N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 349.00000000 NC USD 1365693.00000000 0.090957337651 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long NYMEX NY Harbor ULSD Futures HOG2 Comdty 2022-01-31 32718554.40000000 USD 1365693.00000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 77109.46000000 0.005135613340 N/A DFE NO N 2 UBS AG BFM8T61CT2L1QCEMIK50 3778531.38000000 USD 34000000.00000000 NOK 2022-03-16 77109.46000000 N N N ROYAL BK OF CANADA N/A 78012UR98 25000000.00000000 PA USD 24990163.50000000 1.664384850348 Long STIV CORP CA N 2 2022-06-08 Fixed 0.18000000 N N N N N N MIZUHO BANK LTD N/A 60710RMP7 5000000.00000000 PA USD 4999999.85000000 0.333007985405 Long STIV CORP JP N 2 2022-05-18 Fixed 0.29000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912796R43 20000000.00000000 PA USD 19984087.40000000 1.330972176977 Long STIV UST US N 2 2022-06-23 None 0.00000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 90064.75000000 0.005998456370 N/A DFE NZ N 2 UBS AG BFM8T61CT2L1QCEMIK50 7777714.50000000 USD 11500000.00000000 NZD 2022-03-16 90064.75000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 -1768.00000000 NC USD -1431881.25000000 -0.09536558094 N/A DFE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short CME Euro Foreign Exchange Currency Future ECH2 CURNCY 2022-03-14 -250563368.75000000 USD -1431881.25000000 N N N Index And Options Market N/A 000000000 384.00000000 NC USD 1613692.00000000 0.107474467621 N/A DE US N 1 Index And Options Market N/A Long CME E-Mini NASDAQ 100 Index Future NQH2 Index 2022-03-18 123729668.00000000 USD 1613692.00000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 35091.42000000 0.002337144685 N/A DFE NO N 2 UBS AG BFM8T61CT2L1QCEMIK50 3593747.02000000 USD 32000000.00000000 NOK 2022-03-16 35091.42000000 N N N ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 000000000 338.00000000 NC USD 474506.25000000 0.031602875023 N/A DCO US N 1 ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 Long NYBOT CSC C Coffee Future KCH2 Comdty 2022-03-21 28183668.75000000 USD 474506.25000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -81243.04000000 -0.00541091637 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 17900000.00000000 NZD 12165126.40000000 USD 2022-03-16 -81243.04000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -45274.57000000 -0.00301535875 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 47000000.00000000 CNY 7314726.54000000 USD 2022-03-16 -45274.57000000 N N N Euronext N.V. 724500QJ4QSZ3H9QU415 000000000 694.00000000 NC 1328981.99000000 0.088512325681 N/A DE FR N 2 Euronext N.V. 724500QJ4QSZ3H9QU415 Long Euronext CAC 40 Index Future CFF2 INDEX 2022-01-21 48369170.00000000 EUR 1328981.99000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -117400.70000000 -0.00781907435 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 45000000.00000000 TRY 3079298.08000000 USD 2022-03-16 -117400.70000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -276968.41000000 -0.01844653900 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 947500000.00000000 ZAR 58584644.45000000 USD 2022-03-16 -276968.41000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 17282.46000000 0.001151039472 N/A DFE NZ N 2 UBS AG BFM8T61CT2L1QCEMIK50 3471906.60000000 USD 5100000.00000000 NZD 2022-03-16 17282.46000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 530.00000000 NC USD 1426575.00000000 0.095012176206 N/A DE US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT $5 Mini Dow Jones Industrial Average e-CBOT Future DMH2 INDEX 2022-03-18 94572325.00000000 USD 1426575.00000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 70941.37000000 0.004724808682 N/A DFE MX N 2 UBS AG BFM8T61CT2L1QCEMIK50 4269464.70000000 USD 90000000.00000000 MXN 2022-03-16 70941.37000000 N N N SUMITOMO MITSUI TRUST NY N/A 86564G7L9 35000000.00000000 PA USD 34999008.45000000 2.330989928954 Long STIV CORP JP N 2 2022-04-12 Fixed 0.23000000 N N N N N N Commodities Exchange Center N/A 000000000 -353.00000000 NC USD -2011055.00000000 -0.13393947883 N/A DCO US N 1 Commodities Exchange Center N/A Short COMEX Silver Future SIH2 Comdty 2022-03-29 -39205225.00000000 USD -2011055.00000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 119399.77000000 0.007952215611 N/A DFE MX N 2 UBS AG BFM8T61CT2L1QCEMIK50 4003986.00000000 USD 85500000.00000000 MXN 2022-03-16 119399.77000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -1125714.99000000 -0.07497441844 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 347500000.00000000 PLN 84659668.13000000 USD 2022-03-16 -1125714.99000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 44356.34000000 0.002954203173 N/A DFE NZ N 2 UBS AG BFM8T61CT2L1QCEMIK50 6865606.30000000 USD 10100000.00000000 NZD 2022-03-16 44356.34000000 N N N United States Treasury 254900HROIFWPRGM1V77 912796S26 50000000.00000000 PA USD 49997229.00000000 3.329895400925 Long STIV UST US N 2 2022-03-01 None 0.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912796R76 30000000.00000000 PA USD 29999137.50000000 1.997990528494 Long STIV UST US N 2 2022-02-08 None 0.00000000 N N N N N N SUMITOMO MITSUI TRUST NY N/A 86564G4S7 20000000.00000000 PA USD 19997652.40000000 1.331875627668 Long STIV CORP JP N 2 2022-05-16 Fixed 0.25000000 N N N N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 657.00000000 NC USD 1800210.00000000 0.119896864678 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Long ICE Brent Crude Oil Future COH2 Comdty 2022-01-31 49301250.00000000 USD 1800210.00000000 N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 334.00000000 NC -3678401.18000000 -0.24498740064 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Long Eurex 30 Year Euro BUXL Future UBH2 COMDTY 2022-03-08 72282080.00000000 EUR -3678401.18000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 -2199.00000000 NC USD -3782393.75000000 -0.25191347209 N/A DFE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short CME British Pound Currency Future BPH2 CURNCY 2022-03-14 -182184287.50000000 USD -3782393.75000000 N N N COOPERATIEVE CENTRALE N/A 21684XSU1 25000000.00000000 PA USD 25000445.50000000 1.665069647990 Long STIV CORP NL N 2 2022-02-15 Fixed 0.12000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -105462.88000000 -0.00702399645 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 7500000.00000000 NZD 5025697.50000000 USD 2022-03-16 -105462.88000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 16667.66000000 0.001110092808 N/A DFE MX N 2 UBS AG BFM8T61CT2L1QCEMIK50 2201762.11000000 USD 46000000.00000000 MXN 2022-03-16 16667.66000000 N N N ICE Futures Europe 549300UF4R84F48NCH34 000000000 667.00000000 NC USD 1354250.00000000 0.090195215552 N/A DCO GB N 1 ICE Futures Europe 549300UF4R84F48NCH34 Long ICE Gas Oil Future QSG2 Comdty 2022-02-10 43084625.00000000 USD 1354250.00000000 N N N Nasdaq Stockholm AB 549300KBQIVNEJEZVL96 000000000 1293.00000000 NC 982770.43000000 0.065454082165 N/A DE SE N 2 Nasdaq Stockholm AB 549300KBQIVNEJEZVL96 Long OML Stockholm OMXS30 Index Future QCF2 INDEX 2022-01-21 302869625.00000000 SEK 982770.43000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 585.00000000 NC USD -1059593.75000000 -0.07057063812 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT US Long Bond Future USH2 COMDTY 2022-03-22 94915531.25000000 USD -1059593.75000000 N N N TORONTO-DOMINION N/A 89114WEC5 15000000.00000000 PA USD 15000478.65000000 0.999055865042 Long STIV CORP CA N 2 2022-02-17 Fixed 0.14000000 N N N N N N ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 000000000 -678.00000000 NC USD -79812.50000000 -0.00531564012 N/A DE US N 1 ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 Short ICE US MSCI Emerging Markets EM Index Futures MESH2 INDEX 2022-03-18 -41491757.50000000 USD -79812.50000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -92334.59000000 -0.00614963134 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 16700000.00000000 NZD 11333049.19000000 USD 2022-03-16 -92334.59000000 N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 116.00000000 NC -427051.21000000 -0.02844229347 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Long Eurex 10 Year Euro BUND Future RXH2 COMDTY 2022-03-08 20254020.00000000 EUR -427051.21000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 77009.93000000 0.005128984482 N/A DFE MX N 2 UBS AG BFM8T61CT2L1QCEMIK50 4311622.87000000 USD 91000000.00000000 MXN 2022-03-16 77009.93000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 516.00000000 NC USD 2731029.00000000 0.181890898531 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long NYMEX Reformulated Gasoline Blendstock for Oxygen Blending RBOB Futures XBG2 COMDTY 2022-01-31 45480502.20000000 USD 2731029.00000000 N N N SUMITOMO MITSUI BKG CORP N/A 86565C5V7 40000000.00000000 PA USD 40000798.80000000 2.664117164522 Long STIV CORP JP N 2 2022-01-24 Fixed 0.13000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -1119600.43000000 -0.07456717896 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 1408000000.00000000 SEK 154789946.30000000 USD 2022-03-16 -1119600.43000000 N N N ASX Clear (Futures) 549300ZD7BBOVZFVHK49 000000000 -153.00000000 NC 40969.54000000 0.002728636877 N/A DIR AU N 1 ASX Clear (Futures) 549300ZD7BBOVZFVHK49 Short SFE 10 Year Australian Bond Future XMH2 COMDTY 2022-03-15 -21348913.14000000 AUD 40969.54000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -128.00000000 NC USD 179040.00000000 0.011924350299 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short NYMEX Henry Hub Natural Gas Futures NGH22 Comdty 2022-02-24 -4732000.00000000 USD 179040.00000000 N N N The Montreal Exchange / Bourse De Montreal N/A 000000000 749.00000000 NC 2562910.79000000 0.170693956911 N/A DE CA N 1 The Montreal Exchange / Bourse De Montreal N/A Long Montreal Exchange S&P/TSX 60 Index Future PTH2 INDEX 2022-03-17 188636866.00000000 CAD 2562910.79000000 N N N MITSUBISHI TST&BNK C N/A 60683B2U6 13000000.00000000 PA USD 13000164.19000000 0.865831723345 Long STIV CORP US N 2 2022-01-13 Fixed 0.12000000 N N N N N N Hong Kong Futures Exchange Ltd. 213800YTVSXYQN17BW16 000000000 -428.00000000 NC -879824.22000000 -0.05859769996 N/A DE HK N 2 Hong Kong Futures Exchange Ltd. 213800YTVSXYQN17BW16 Short HKG Hang Seng Index Future HIF2 INDEX 2022-01-28 -495403850.00000000 HKD -879824.22000000 N N N Meff Financial Derivatives N/A 000000000 -2.00000000 NC -6560.47000000 -0.00043693779 N/A DE ES N 2 Meff Financial Derivatives N/A Short MEFF Madrid IBEX 35 Index Future IBF2 INDEX 2022-01-21 -167120.00000000 EUR -6560.47000000 N N N United States Treasury 254900HROIFWPRGM1V77 912796P45 25000000.00000000 PA USD 24993328.00000000 1.664595611109 Long STIV UST US N 2 2022-05-05 None 0.00000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912796Q44 20000000.00000000 PA USD 19991145.80000000 1.331442277704 Long STIV UST US N 2 2022-06-02 None 0.00000000 N N N N N N Commodities Exchange Center N/A 000000000 -30.00000000 NC USD -126810.00000000 -0.00844574877 N/A DCO US N 1 Commodities Exchange Center N/A Short COMEX Gold 100 Troy Ounces Future GCG2 Comdty 2022-02-24 -5358990.00000000 USD -126810.00000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 103874.55000000 0.006918211133 N/A DFE MX N 2 UBS AG BFM8T61CT2L1QCEMIK50 3778377.55000000 USD 80500000.00000000 MXN 2022-03-16 103874.55000000 N N N United States Treasury 254900HROIFWPRGM1V77 912796N47 40000000.00000000 PA USD 39992375.60000000 2.663556165933 Long STIV UST US N 2 2022-04-07 None 0.00000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 28070.37000000 0.001869531528 N/A DFE CH N 2 UBS AG BFM8T61CT2L1QCEMIK50 4369917.92000000 USD 4000000.00000000 CHF 2022-03-16 28070.37000000 N N N The Montreal Exchange / Bourse De Montreal N/A 000000000 369.00000000 NC -173279.58000000 -0.01154069711 N/A DIR CA N 1 The Montreal Exchange / Bourse De Montreal N/A Long Montreal Exchange 10 Year Canadian Bond Future CNH2 COMDTY 2022-03-22 52845970.00000000 CAD -173279.58000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 68281.37000000 0.004547648429 N/A DFE SG N 2 UBS AG BFM8T61CT2L1QCEMIK50 14489185.16000000 USD 19625000.00000000 SGD 2022-03-16 68281.37000000 N N N ASX Clear (Futures) 549300ZD7BBOVZFVHK49 000000000 414.00000000 NC 378828.64000000 0.025230593200 N/A DE AU N 2 ASX Clear (Futures) 549300ZD7BBOVZFVHK49 Long SFE S&P ASX Share Price Index 200 Future XPH2 INDEX 2022-03-17 75543275.00000000 AUD 378828.64000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -111843.73000000 -0.00744897126 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 15800000.00000000 NZD 10697800.80000000 USD 2022-03-16 -111843.73000000 N N N United States Treasury 254900HROIFWPRGM1V77 912796Q93 25000000.00000000 PA USD 24999496.50000000 1.665006443073 Long STIV UST US N 2 2022-02-01 None 0.00000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -10173.50000000 -0.00067757136 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 67500000.00000000 ZAR 4183134.01000000 USD 2022-03-16 -10173.50000000 N N N ICE Futures Europe - Financial Products Division N/A 000000000 634.00000000 NC 1043517.89000000 0.069499960141 N/A DE GB N 2 ICE Futures Europe - Financial Products Division N/A Long FTSE 100 Index Future Z H2 INDEX 2022-03-18 45710690.00000000 GBP 1043517.89000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 3227.20000000 0.000214936680 N/A DFE NO N 2 UBS AG BFM8T61CT2L1QCEMIK50 4532820.85000000 USD 40000000.00000000 NOK 2022-03-16 3227.20000000 N N N South African Futures Exchange N/A 000000000 684.00000000 NC 519873.16000000 0.034624383774 N/A DE ZA N 2 South African Futures Exchange N/A Long SAFEX FTSE/JSE Top 40 Index Future AIH2 Index 2022-03-17 450818740.00000000 ZAR 519873.16000000 N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 1878.00000000 NC -348056.41000000 -0.02318111347 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Long Eurex 2 Year Euro SCHATZ Future DUH2 COMDTY 2022-03-08 210698055.00000000 EUR -348056.41000000 N N N Bank of America NA B4TYDEB6GKMZO031MB27 06052TQ52 25000000.00000000 PA USD 25002817.50000000 1.665227626983 Long STIV CORP US N 2 2022-07-13 Fixed 0.33000000 N N N N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -16.00000000 NC 5100.48000000 0.000339700124 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short French Government Bond Futures OATH2 COMDTY 2022-03-08 -2614880.00000000 EUR 5100.48000000 N N N ICE Futures Europe - Financial Products Division 549300UF4R84F48NCH34 000000000 2884.00000000 NC 64069.07000000 0.004267102513 N/A DIR GB N 1 ICE Futures Europe - Financial Products Division 549300UF4R84F48NCH34 Long 3 Month Euro Euribor Future ERH2 Comdty 2022-03-14 724873175.00000000 EUR 64069.07000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -258082.80000000 -0.01718872717 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 21200000.00000000 NZD 14245997.20000000 USD 2022-03-16 -258082.80000000 N N N Singapore Exchange Derivatives Clearing Limited 549300ZLWT3FK3F0FW61 000000000 -218.00000000 NC USD -119464.00000000 -0.00795649343 N/A DFE SG N 1 Singapore Exchange Derivatives Clearing Limited 549300ZLWT3FK3F0FW61 Short SGX INR/USD Future XIDF2 CURNCY 2022-01-27 -5730348.00000000 USD -119464.00000000 N N N ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 000000000 769.00000000 NC USD -1004012.80000000 -0.06686885797 N/A DCO US N 1 ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 Long NYBOT CSC Number 11 World Sugar Future SBH2 Comdty 2022-02-28 17264979.20000000 USD -1004012.80000000 N N N ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 000000000 228.00000000 NC USD 210210.00000000 0.014000322142 N/A DE US N 1 ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 Long ICE US mini MSCI EAFE Index Futures MFSH2 INDEX 2022-03-18 26258310.00000000 USD 210210.00000000 N N N Commonwealth Bank of Australia/New York NY MSFSBD3QN1GSN7Q6C537 20271EWR6 25000000.00000000 PA USD 24995564.50000000 1.664744565585 Long STIV CORP AU N 2 2022-04-22 Fixed 0.16000000 N N N N N N Fixed Income Clearing Corp 549300H47WTHXPU08X20 000000000 72335133.14000000 PA USD 72335133.14000000 4.817635536725 Long RA CORP US N 2 Repurchase N 0.00000000 2022-01-03 63115400.00000000 USD 73782018.61000000 USD UST N N N SVENSKA HANDELSBANKEN NY NHBDILHZTYCNBV5UYZ31 86959RSW1 30000000.00000000 PA USD 29998567.20000000 1.997952545602 Long STIV CORP SE N 2 2022-03-07 Fixed 0.12000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -4603.00000000 NC USD 575889.20000000 0.038355141612 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CBOT 2 Year US Treasury Note Future TUH2 COMDTY 2022-03-31 -1004821034.43000000 USD 575889.20000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 113.00000000 NC USD -67850.00000000 -0.00451891849 N/A DCO US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long CME Lean Hogs Future LHG2 Comdty 2022-02-14 3750520.00000000 USD -67850.00000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -2249886.88000000 -0.14984606395 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 214625000.00000000 SGD 156955017.81000000 USD 2022-03-16 -2249886.88000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 456047.96000000 0.030373523392 N/A DFE CN N 2 UBS AG BFM8T61CT2L1QCEMIK50 93188221.51000000 USD 598000000.00000000 CNY 2022-03-16 456047.96000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 748.00000000 NC USD 3833632.50000000 0.255326054781 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long CME E-Mini Standard & Poor's 500 Index Future ESH2 INDEX 2022-03-18 174134267.50000000 USD 3833632.50000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 -2228.00000000 NC USD -6069974.00000000 -0.40426997476 N/A DFE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short CME Australian Dollar Currency Future ADH2 CURNCY 2022-03-14 -156083866.00000000 USD -6069974.00000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -136574.70000000 -0.00909609341 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 13800000.00000000 NZD 9304760.40000000 USD 2022-03-16 -136574.70000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 57.00000000 NC USD -13750.00000000 -0.00091577198 N/A DCO US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long CME Live Cattle Future LCG2 Comdty 2022-02-28 3198910.00000000 USD -13750.00000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -110707.23000000 -0.00737327854 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 15600000.00000000 NZD 10562106.36000000 USD 2022-03-16 -110707.23000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 61.00000000 NC USD 33955.00000000 0.002261457296 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long CME E-mini Russell 2000 Index Futures RTYH2 INDEX 2022-03-18 6806585.00000000 USD 33955.00000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 71570.38000000 0.004766701754 N/A DFE PL N 2 UBS AG BFM8T61CT2L1QCEMIK50 4865717.86000000 USD 20000000.00000000 PLN 2022-03-16 71570.38000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -47813.95000000 -0.00318448552 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 8300000.00000000 NZD 5630670.20000000 USD 2022-03-16 -47813.95000000 N N N Commodities Exchange Center N/A 000000000 357.00000000 NC USD 921325.00000000 0.061361718271 N/A DCO US N 1 Commodities Exchange Center N/A Long COMEX Copper Future HGH2 Comdty 2022-03-29 38915412.50000000 USD 921325.00000000 N N N United States Treasury 254900HROIFWPRGM1V77 912796K65 63000000.00000000 PA USD 62999979.21000000 4.195899357337 Long STIV UST US N 2 2022-01-06 None 0.00000000 N N N N N N Singapore Exchange Derivatives Clearing Limited 549300ZLWT3FK3F0FW61 000000000 1177.00000000 NC USD 1138460.00000000 0.075823256487 N/A DE SG N 1 Singapore Exchange Derivatives Clearing Limited 549300ZLWT3FK3F0FW61 Long SGX FTSE Taiwan Index Futures TWTF2 INDEX 2022-01-27 74354320.00000000 USD 1138460.00000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 79082.38000000 0.005267012966 N/A DFE MX N 2 UBS AG BFM8T61CT2L1QCEMIK50 4381890.52000000 USD 92500000.00000000 MXN 2022-03-16 79082.38000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 51303.23000000 0.003416877155 N/A DFE NO N 2 UBS AG BFM8T61CT2L1QCEMIK50 2897128.00000000 USD 26000000.00000000 NOK 2022-03-16 51303.23000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -294.00000000 NC USD -619675.00000000 -0.04127134590 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short NYMEX Platinum Future PLJ2 COMDTY 2022-04-27 -13583465.00000000 USD -619675.00000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 -2310.00000000 NC USD 2817300.00000000 0.187636685085 N/A DFE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short CME Japanese Yen Currency Future JYH2 CURNCY 2022-03-14 -253972050.00000000 USD 2817300.00000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 520.00000000 NC USD -1609137.50000000 -0.10717113063 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT Wheat Future W H2 Comdty 2022-03-14 21648637.50000000 USD -1609137.50000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 41432.06000000 0.002759441449 N/A DFE MX N 2 UBS AG BFM8T61CT2L1QCEMIK50 3093305.66000000 USD 65000000.00000000 MXN 2022-03-16 41432.06000000 N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 52.00000000 NC 128943.54000000 0.008587845954 N/A DE DE N 2 Eurex Deutschland 529900LN3S50JPU47S06 Long Eurex DAX Index Future GXH2 INDEX 2022-03-18 20409275.00000000 EUR 128943.54000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 699.00000000 NC USD -512047.05000000 -0.03410315233 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long Ultra 10-Year US Treasury Note Futures UXYH2 COMDTY 2022-03-22 102871859.55000000 USD -512047.05000000 N N N London Metal Exchange 213800NB8G5VRT1DXC91 000000000 359.00000000 NC USD 2000968.75000000 0.133267718457 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Long LME Zinc Future LXH2 Comdty 2022-03-14 29842331.25000000 USD 2000968.75000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 899.00000000 NC USD 307170.00000000 0.020458013189 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT Soybean Meal Future SMH2 Comdty 2022-03-14 35571920.00000000 USD 307170.00000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 18374.27000000 0.001223755763 N/A DFE SG N 2 UBS AG BFM8T61CT2L1QCEMIK50 8048502.09000000 USD 10875000.00000000 SGD 2022-03-16 18374.27000000 N N N London Metal Exchange 213800NB8G5VRT1DXC91 000000000 543.00000000 NC USD 1013068.75000000 0.067471998727 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Long LME Primary Aluminum Future LAH22 Comdty 2022-03-14 37105531.25000000 USD 1013068.75000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -2412014.80000000 -0.16064404268 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 798000000.00000000 NOK 88082143.77000000 USD 2022-03-16 -2412014.80000000 N N N Canadian Imperial Bank of Commerce/New York NY 549300H8L46OOZOFHU82 13606CW34 12000000.00000000 PA USD 12000603.96000000 0.799259413651 Long STIV CORP CA N 2 2022-02-24 Fixed 0.14000000 N N N N N N BANK OF MONTREAL N/A 06367CH42 50000000.00000000 PA USD 49966135.00000000 3.327824490803 Long STIV CORP CA N 2 2022-06-23 Fixed 0.20000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912796K99 72000000.00000000 PA USD 71998140.24000000 4.795191270707 Long STIV UST US N 2 2022-02-03 None 0.00000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 14362.37000000 0.000956556808 N/A DFE NZ N 2 UBS AG BFM8T61CT2L1QCEMIK50 10453204.80000000 USD 15300000.00000000 NZD 2022-03-16 14362.37000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 62920.81000000 0.004190626561 N/A DFE MX N 2 UBS AG BFM8T61CT2L1QCEMIK50 2854796.60000000 USD 60500000.00000000 MXN 2022-03-16 62920.81000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -35152.11000000 -0.00234118673 N/A DFE ZA N 2 UBS AG BFM8T61CT2L1QCEMIK50 2954936.60000000 USD 47000000.00000000 ZAR 2022-03-16 -35152.11000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 67121.11000000 0.004470373257 N/A DFE SG N 2 UBS AG BFM8T61CT2L1QCEMIK50 14304899.99000000 USD 19375000.00000000 SGD 2022-03-16 67121.11000000 N N N New York Mercantile Exchange 5493008GFNDTXFPHWI47 000000000 -34.00000000 NC USD -239410.00000000 -0.01594508883 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short NYMEX Palladium Future PAH2 COMDTY 2022-03-29 -6261730.00000000 USD -239410.00000000 N N N Singapore Exchange Derivatives Clearing Limited 549300ZLWT3FK3F0FW61 000000000 -39.00000000 NC USD -23946.00000000 -0.00159484189 N/A DCO SG N 1 Singapore Exchange Derivatives Clearing Limited 549300ZLWT3FK3F0FW61 Short SGX Asiaclear TSI Iron Ore CFR China 62% FE Fines Index Futures SCOG2 COMDTY 2022-02-28 -446940.00000000 USD -23946.00000000 N N N COOPERATIEVE CENTRALE N/A 21684XSJ6 15000000.00000000 PA USD 15000267.15000000 0.999041778804 Long STIV CORP NL N 2 2022-02-15 Fixed 0.12000000 N N N N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 -314.00000000 NC USD -139730.00000000 -0.00930624143 N/A DFE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short CME Brazilian Real Currency Future BRG2 CURNCY 2022-01-31 -5449470.00000000 USD -139730.00000000 N N N ROYAL BK OF CANADA N/A 78012UN43 30000000.00000000 PA USD 30000258.30000000 1.998065175566 Long STIV CORP CA N 2 2022-02-08 Fixed 0.10000000 N N N N N N BANK OF NOVA SCOTIA N/A 06417MNN1 30000000.00000000 PA USD 29998755.30000000 1.997965073363 Long STIV CORP CA N 2 2022-04-14 Fixed 0.22000000 N N N N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -847.00000000 NC 160926.92000000 0.010717990206 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short CME 1 Year Mid-Curve 3 Month Eurodollar Option OEH2 COMDTY 2022-03-08 -112995630.00000000 EUR 160926.92000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 -623.00000000 NC USD 146812.50000000 0.009777947264 N/A DIR US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short Three-Month SOFR Futures SFRH2 Comdty 2022-06-14 -155523012.50000000 USD 146812.50000000 N N N London Metal Exchange 213800NB8G5VRT1DXC91 000000000 202.00000000 NC USD 1216914.00000000 0.081048418341 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Long LME Nickel Future LNH2 Comdty 2022-03-14 23984808.00000000 USD 1216914.00000000 N N N United States Treasury 254900HROIFWPRGM1V77 912796Q28 4000000.00000000 PA USD 3998710.00000000 0.266320480253 Long STIV UST US N 2 2022-05-12 None 0.00000000 N N N N N N Canadian Imperial Bank of Commerce/New York NY 549300H8L46OOZOFHU82 13606CSA3 20000000.00000000 PA USD 20001760.20000000 1.332149213717 Long STIV CORP CA N 2 2022-01-26 Fixed 0.21000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912796Q36 20000000.00000000 PA USD 19992532.20000000 1.331534614161 Long STIV UST US N 2 2022-05-26 None 0.00000000 N N N N N N ICE Futures Europe - Financial Products Division 549300UF4R84F48NCH34 000000000 202.00000000 NC -683190.80000000 -0.04550159975 N/A DIR GB N 1 ICE Futures Europe - Financial Products Division 549300UF4R84F48NCH34 Long Long Gilt Future G H2 COMDTY 2022-03-29 25734540.00000000 GBP -683190.80000000 N N N London Metal Exchange 213800NB8G5VRT1DXC91 000000000 73.00000000 NC USD 312257.50000000 0.020796848824 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Long LME Copper Future LPH22 COMDTY 2022-03-14 17447730.00000000 USD 312257.50000000 N N N ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 000000000 -378.00000000 NC USD -240930.00000000 -0.01604632326 N/A DCO US N 1 ICE Futures U.S., Inc. 5493004R83R1LVX2IL36 Short NYBOT CSC Cocoa Future CCH2 Comdty 2022-03-16 -9284670.00000000 USD -240930.00000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -1012047.40000000 -0.06740397518 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 64500000.00000000 CHF 69905513.76000000 USD 2022-03-16 -1012047.40000000 N N N United States Treasury 254900HROIFWPRGM1V77 912796P37 16000000.00000000 PA USD 15996102.72000000 1.065366020186 Long STIV UST US N 2 2022-04-28 None 0.00000000 N N N N N N TORONTO-DOMINION N/A 89114WDT9 20000000.00000000 PA USD 20000555.00000000 1.332068945470 Long STIV CORP CA N 2 2022-01-20 Fixed 0.13000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912796S91 25000000.00000000 PA USD 24996316.75000000 1.664794666638 Long STIV UST US N 2 2022-03-22 None 0.00000000 N N N N N N London Metal Exchange 213800NB8G5VRT1DXC91 000000000 -101.00000000 NC USD -564752.50000000 -0.03761341958 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 Short LME Primary Aluminum Future LAH22 Comdty 2022-03-14 -6525447.50000000 USD -564752.50000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 179.00000000 NC USD 1200680.00000000 0.079967207982 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long CME E-Mini Standard & Poor's MidCap 400 Index Future FAH2 INDEX 2022-03-18 49594150.00000000 USD 1200680.00000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 1522.00000000 NC USD 575500.00000000 0.038329220270 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT Corn Future C H2 Comdty 2022-03-14 44570825.00000000 USD 575500.00000000 N N N United States Treasury 254900HROIFWPRGM1V77 912796L98 30000000.00000000 PA USD 29997664.50000000 1.997892424339 Long STIV UST US N 2 2022-03-03 None 0.00000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 19593.88000000 0.001304983740 N/A DFE NZ N 2 UBS AG BFM8T61CT2L1QCEMIK50 2922271.40000000 USD 4300000.00000000 NZD 2022-03-16 19593.88000000 N N N United States Treasury 254900HROIFWPRGM1V77 912796Q77 30000000.00000000 PA USD 29999812.50000000 1.998035484574 Long STIV UST US N 2 2022-01-18 None 0.00000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -4672.00000000 NC USD -393840.11000000 -0.02623038110 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CBOT 5 Year US Treasury Note FVH2 COMDTY 2022-03-31 -564808662.23000000 USD -393840.11000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -85228.01000000 -0.00567632175 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 96000000.00000000 SEK 10544968.36000000 USD 2022-03-16 -85228.01000000 N N N United States Treasury 254900HROIFWPRGM1V77 912796K73 10000000.00000000 PA USD 9999958.30000000 0.666013213504 Long STIV UST US N 2 2022-01-13 None 0.00000000 N N N N N N WESTPAC BKING CORP N N/A 96130AKV9 9000000.00000000 PA USD 8999218.89000000 0.599362368537 Long STIV CORP AU N 2 2022-04-14 Fixed 0.15000000 N N N N N N United States Treasury 254900HROIFWPRGM1V77 912796C31 40000000.00000000 PA USD 39999266.80000000 2.664015130872 Long STIV UST US N 2 2022-01-27 None 0.00000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 699.00000000 NC USD -201962.50000000 -0.01345102545 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CBOT Soybean Future S H2 Comdty 2022-03-14 47008750.00000000 USD -201962.50000000 N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -832.00000000 NC 37547.72000000 0.002500738193 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short EUX Short term Euro-BTP Futures BTSH2 COMDTY 2022-03-08 -93974100.00000000 EUR 37547.72000000 N N N Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 000000000 -10041.00000000 NC USD 1259600.00000000 0.083891374200 N/A DIR US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short CME 3 Month Eurodollar Future EDH2 Comdty 2022-03-14 -2502849237.50000000 USD 1259600.00000000 N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 -297.00000000 NC 444151.47000000 0.029581198135 N/A DIR DE N 1 Eurex Deutschland 529900LN3S50JPU47S06 Short Euro-BTP Italian Bond Futures IKH2 COMDTY 2022-03-08 -44052090.00000000 EUR 444151.47000000 N N N OVERSEA CHINESE BANKING N/A 69033MD95 25000000.00000000 PA USD 25001248.50000000 1.665123129074 Long STIV CORP GB N 2 2022-03-01 Fixed 0.14000000 N N N N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 325.00000000 NC USD -980031.25000000 -0.06527164839 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long CME Ultra Long Term US Treasury Bond Future WNH2 COMDTY 2022-03-22 65045656.25000000 USD -980031.25000000 N N N ICE Futures Europe - Financial Products Division 549300UF4R84F48NCH34 000000000 -657.00000000 NC 424337.91000000 0.028261583355 N/A DIR GB N 1 ICE Futures Europe - Financial Products Division 549300UF4R84F48NCH34 Short Three Month SONIA Index Futures SFIH2 Index 2022-06-14 -163569787.50000000 GBP 424337.91000000 N N N Singapore Exchange Derivatives Clearing Limited 549300ZLWT3FK3F0FW61 000000000 -123.00000000 NC USD 13870.10000000 0.000923770839 N/A DE SG N 2 Singapore Exchange Derivatives Clearing Limited 549300ZLWT3FK3F0FW61 Short SGX FTSE China A50 Futures Contract XUF2 INDEX 2022-01-28 -1945096.00000000 USD 13870.10000000 N N N Italian Derivatives Market N/A 000000000 239.00000000 NC 688790.97000000 0.045874580033 N/A DE IT N 2 Italian Derivatives Market N/A Long FTSE/MIB Index Future STH2 INDEX 2022-03-18 31841400.00000000 EUR 688790.97000000 N N N United States Treasury 254900HROIFWPRGM1V77 912796L72 25000000.00000000 PA USD 24999142.25000000 1.664982849456 Long STIV UST US N 2 2022-02-10 None 0.00000000 N N N N N N Osaka Exchange 3538001249AILNPRUX57 000000000 120.00000000 NC 438332.11000000 0.029193619453 N/A DE JP N 2 Osaka Exchange 3538001249AILNPRUX57 Long TSE TOPIX (Tokyo Price Index) Future TPH2 INDEX 2022-03-10 2343384500.00000000 JPY 438332.11000000 N N N Eurex Deutschland 529900LN3S50JPU47S06 000000000 639.00000000 NC 679522.56000000 0.045257289106 N/A DE DE N 2 Eurex Deutschland 529900LN3S50JPU47S06 Long Eurex EURO STOXX 50 Future VGH2 INDEX 2022-03-18 26721382.50000000 EUR 679522.56000000 N N N SUMITOMO MITSUI BKG CORP N/A 86565C5B1 15000000.00000000 PA USD 15000232.20000000 0.999039451078 Long STIV CORP JP N 2 2022-01-18 Fixed 0.12000000 N N N N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC -137845.51000000 -0.00918073139 N/A DFE US N 2 UBS AG BFM8T61CT2L1QCEMIK50 98000000.00000000 SEK 10713813.28000000 USD 2022-03-16 -137845.51000000 N N N UBS AG BFM8T61CT2L1QCEMIK50 000000000 1.00000000 NC 54026.89000000 0.003598277267 N/A DFE MX N 2 UBS AG BFM8T61CT2L1QCEMIK50 9663660.03000000 USD 201500000.00000000 MXN 2022-03-16 54026.89000000 N N N Chicago Board of Trade 549300EX04Q2QBFQTQ27 000000000 -490.00000000 NC USD -323828.12000000 -0.02156747061 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short CBOT 10 Year US Treasury Note TYH2 COMDTY 2022-03-22 -63605859.38000000 USD -323828.12000000 N N N 2022-02-25 Natixis Funds Trust II John Sgroi John Sgroi Assistant Treasurer