0001145549-20-041430.txt : 20200728
0001145549-20-041430.hdr.sgml : 20200728
20200728082906
ACCESSION NUMBER: 0001145549-20-041430
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20200531
FILED AS OF DATE: 20200728
PERIOD START: 20200531
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: COLUMBIA FUNDS SERIES TRUST I
CENTRAL INDEX KEY: 0000773757
IRS NUMBER: 363376651
STATE OF INCORPORATION: MA
FISCAL YEAR END: 0630
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-04367
FILM NUMBER: 201051843
BUSINESS ADDRESS:
STREET 1: 225 FRANKLIN STREET
CITY: BOSTON
STATE: MA
ZIP: 02110
BUSINESS PHONE: 800-345-6611
MAIL ADDRESS:
STREET 1: 225 FRANKLIN STREET
CITY: BOSTON
STATE: MA
ZIP: 02110
FORMER COMPANY:
FORMER CONFORMED NAME: COLUMBIA FUNDS TRUST IX
DATE OF NAME CHANGE: 20031107
FORMER COMPANY:
FORMER CONFORMED NAME: LIBERTY STEIN ROE FUNDS MUNICIPAL TRUST
DATE OF NAME CHANGE: 19991025
FORMER COMPANY:
FORMER CONFORMED NAME: STEINROE MUNICIPAL TRUST
DATE OF NAME CHANGE: 19920703
0000773757
S000048058
Columbia Multi Strategy Alternatives Fund
C000151801
Columbia Multi Strategy Alternatives Fund Class A
CLAAX
C000151802
Columbia Multi Strategy Alternatives Fund Class C
CLABX
C000151804
Columbia Multi Strategy Alternatives Fund Class R
CRRLX
C000151805
Columbia Multi Strategy Alternatives Fund Advisor Class
CLFUX
C000151806
Columbia Multi Strategy Alternatives Fund Institutional 2 Class
CLIVX
C000151808
Columbia Multi Strategy Alternatives Fund Institutional 3 Class
CLAYX
C000151809
Columbia Multi Strategy Alternatives Fund Institutional Class
CLAZX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000773757
XXXXXXXX
S000048058
C000151805
C000151801
C000151802
C000151804
C000151809
C000151806
C000151808
Columbia Funds Series Trust I
811-04367
0000773757
549300W5GIE6ZOZOTD82
225 Franklin St.
Boston
02110
800-345-6611
Columbia Multi Strategy Alternatives Fund
S000048058
549300OOVBIZEI3EBX59
2020-05-31
2020-05-31
N
838462952.040000000000
207010659.500000000000
631452292.540000000000
0.000000000000
52457378.970000000000
0.000000000000
0.000000000000
0.000000000000
0.000000000000
0.000000000000
0.000000000000
0.000000000000
0.000000000000
154063076.630000000000
0.000000000000
0.000000000000
5820145.120000000000
BRL
TRY
CLP
CAD
ZAR
JPY
NOK
THB
GBP
CZK
RUB
IDR
PHP
CNY
COP
USD
MYR
ILS
AUD
TWD
SGD
PLN
CHF
SEK
HKD
MXN
INR
NZD
EUR
HUF
KRW
N
UMBS
N/A
UMBS 30YR TBA(REG A)
01F022667
85000000.000000000000
PA
USD
88190820.100000000000
13.9663472826
Long
ABS-MBS
USGA
US
N
2
2050-06-11
Fixed
2.500000000000
N
N
N
N
N
N
UMBS
N/A
UMBS 30YR TBA(REG A)
01F030660
28000000.000000000000
PA
USD
29456875.000000000000
4.6649407007
Long
ABS-MBS
USGA
US
N
2
2050-06-11
Fixed
3.000000000000
N
N
N
N
N
N
AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST ACAR_20-2
N/A
ACAR_20-2
02529WAD9
2000000.000000000000
PA
USD
1999920.000000000000
0.3167175135
Long
ABS-MBS
CORP
US
N
2
2026-05-13
Fixed
5.650000000000
N
N
N
N
N
N
ARES CLO LTD ARES_18-47A
N/A
ARES_18-47A
04016VAE5
2500000.000000000000
PA
USD
2415837.500000000000
0.3825843264
Long
ABS-MBS
CORP
KY
N
2
2030-04-15
Variable
2.668900000000
N
N
N
N
N
N
AVANT LOANS FUNDING TRUST AVNT_19-A
N/A
AVNT_19-A
05352EAB8
1000000.000000000000
PA
USD
958755.800000000000
0.1518334499
Long
ABS-MBS
CORP
US
N
2
2022-12-15
Fixed
3.800000000000
N
N
N
N
N
N
AVANT LOANS FUNDING TRUST AVNT_18-A
N/A
AVNT_18-A
05352PAB3
399934.680000000000
PA
USD
399777.310000000000
0.0633107702
Long
ABS-MBS
CORP
US
N
2
2022-12-15
Fixed
3.950000000000
N
N
N
N
N
N
AVANT LOANS FUNDING TRUST AVNT_19-B
N/A
AVNT_19-B
05354NAC4
3000000.000000000000
PA
USD
2407427.400000000000
0.3812524602
Long
ABS-MBS
CORP
US
N
2
2026-10-15
Fixed
4.540000000000
N
N
N
N
N
N
AVANT LOANS FUNDING TRUST AVNT_20-REV1
N/A
AVNT_20-REV1
05355MAB7
496000.000000000000
PA
USD
437100.890000000000
0.0692215224
Long
ABS-MBS
CORP
US
N
2
2029-05-15
Fixed
2.680000000000
N
N
N
N
N
N
BARCLAYS COMMERCIAL MORTGAGE SECUIRITIES LLC BBCMS_18-BXH
N/A
BBCMS_18-BXH
05491RAA3
207394.210000000000
PA
USD
187482.040000000000
0.0296906104
Long
ABS-MBS
CORP
US
N
2
2037-10-15
Variable
1.183600000000
N
N
N
N
N
N
BARCLAYS COMMERCIAL MORTGAGE SECUIRITIES LLC BBCMS_18-BXH
N/A
BBCMS_18-BXH
05491RAQ8
1500000.000000000000
PA
USD
954336.450000000000
0.1511335791
Long
ABS-MBS
CORP
US
N
2
2037-10-15
Variable
3.133600000000
N
N
N
N
N
N
BANC OF AMERICA MERRILL LYNCH LARGE LOAN INC BAMLL_19-RLJ
N/A
BAMLL_19-RLJ
05492HAJ5
1250000.000000000000
PA
USD
1019528.250000000000
0.1614576845
Long
ABS-MBS
CORP
US
N
2
2036-04-15
Variable
1.783600000000
N
N
N
N
N
N
BANC OF AMERICA MERRILL LYNCH LARGE LOAN INC BAMLL_18-DSNY
N/A
BAMLL_18-DSNY
054967AL8
2065000.000000000000
PA
USD
1830155.600000000000
0.2898327588
Long
ABS-MBS
CORP
US
N
2
2034-09-15
Variable
1.884000000000
N
N
N
N
N
N
BFLD TRUST BFLD_19-DPLO
N/A
BFLD_19-DPLO
054970AS7
1000000.000000000000
PA
USD
621122.200000000000
0.0983640740
Long
ABS-MBS
CORP
US
N
2
2034-10-15
Variable
3.373600000000
N
N
N
N
N
N
BAMLL_13-WBRK
N/A
BAMLL_13-WBRK
05525BAN0
500000.000000000000
PA
USD
373484.200000000000
0.0591468595
Long
ABS-MBS
CORP
US
N
2
2037-03-10
Variable
3.652100000000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST BX_19-ATL
N/A
BX_19-ATL
056058AN0
2000000.000000000000
PA
USD
1614635.000000000000
0.2557018193
Long
ABS-MBS
CORP
US
N
2
2036-10-15
Variable
2.420200000000
N
N
N
N
N
N
BX TRUST BX_19-OC11
N/A
BX_19-OC11
05606FAL7
500000.000000000000
PA
USD
450635.850000000000
0.0713649876
Long
ABS-MBS
CORP
US
N
2
2041-12-09
Variable
4.075500000000
N
N
N
N
N
N
BX TRUST BX_19-OC11
N/A
BX_19-OC11
05606FAN3
1350000.000000000000
PA
USD
1184625.000000000000
0.1876032464
Long
ABS-MBS
CORP
US
N
2
2041-12-09
Fixed
4.075500000000
N
N
N
N
N
N
BAYVIEW OPPORTUNITY MASTER FUND TRUST BOMFT_20-RN1
N/A
BOMFT_20-RN1
07334QAA2
225964.430000000000
PA
USD
217827.000000000000
0.0344961928
Long
ABS-CBDO
CORP
US
N
2
2035-02-28
Variable
3.228200000000
N
N
N
N
N
N
BELLEMEADE RE LTD BMIR_19-4A
N/A
BMIR_19-4A
07876LAC3
200000.000000000000
PA
USD
175599.920000000000
0.0278088974
Long
ABS-CBDO
CORP
US
N
2
2029-10-25
Variable
2.668300000000
N
N
N
N
N
N
BELLEMEADE RE LTD BMIR_19-1A
N/A
BMIR_19-1A
07876RAB2
1500000.000000000000
PA
USD
1382022.300000000000
0.2188640878
Long
ABS-CBDO
CORP
US
N
2
2029-03-25
Variable
1.918300000000
N
N
N
N
N
N
BELLEMEADE RE LTD BMIR_18-2A
N/A
BMIR_18-2A
07877DAB2
2481960.310000000000
PA
USD
2385056.390000000000
0.3777096731
Long
ABS-CBDO
CORP
BM
N
2
2028-08-25
Variable
1.518300000000
N
N
N
N
N
N
BELLEMEADE RE LTD BMIR_18-2A
N/A
BMIR_18-2A
07877DAC0
5000000.000000000000
PA
USD
4531201.000000000000
0.7175840604
Long
ABS-CBDO
CORP
BM
N
2
2028-08-25
Variable
1.768300000000
N
N
N
N
N
N
BRAVO RESIDENTIAL FUNDING TRUST BRAVO_19-NQM1
N/A
BRAVO_19-NQM1
10568HAD7
2512500.000000000000
PA
USD
2313224.830000000000
0.3663340615
Long
ABS-CBDO
CORP
US
N
2
2059-07-25
Variable
2.997000000000
N
N
N
N
N
N
BRAVO RESIDENTIAL FUNDING TRUST BRAVO_19-NQM1
N/A
BRAVO_19-NQM1
10568HAE5
4782000.000000000000
PA
USD
4354700.560000000000
0.6896325520
Long
ABS-CBDO
CORP
US
N
2
2059-07-25
Variable
4.006000000000
N
N
N
N
N
N
BRAVO RESIDENTIAL FUNDING TRUST BRAVO_19-NQM2
N/A
BRAVO_19-NQM2
10569AAE9
1000000.000000000000
PA
USD
834371.500000000000
0.1321353188
Long
ABS-CBDO
CORP
US
N
2
2059-11-25
Variable
3.954000000000
N
N
N
N
N
N
BX COMMERCIAL MORTGAGE TRUST 2018-BIOA BX_18-GW
N/A
BX_18-GW
12433UAL9
375000.000000000000
PA
USD
321011.810000000000
0.0508370646
Long
ABS-MBS
CORP
US
N
2
2037-05-15
Variable
1.953600000000
N
N
N
N
N
N
COSMOPOLITAN HOTEL TRUST CHT_17-CSMO
N/A
CHT_17-CSMO
12546DAA5
2100000.000000000000
PA
USD
1970080.980000000000
0.3119920544
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Variable
1.114000000000
N
N
N
N
N
N
COSMOPOLITAN HOTEL TRUST CHT_17-CSMO
N/A
CHT_17-CSMO
12546DAJ6
1000000.000000000000
PA
USD
907509.900000000000
0.1437178882
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Variable
1.684000000000
N
N
N
N
N
N
COSMOPOLITAN HOTEL TRUST CHT_17-CSMO
N/A
CHT_17-CSMO
12546DAQ0
1750000.000000000000
PA
USD
1465194.680000000000
0.2320356894
Long
ABS-MBS
CORP
US
N
2
2036-11-15
Variable
3.925200000000
N
N
N
N
N
N
COLONY MORTGAGE CAPITAL LTD CLNY_19-IKPR
N/A
CLNY_19-IKPR
12564NAN2
700000.000000000000
PA
USD
505987.370000000000
0.0801307361
Long
ABS-MBS
USGA
US
N
2
2038-11-15
Variable
2.904600000000
N
N
N
N
N
N
COLONY MORTGAGE CAPITAL LTD CLNY_19-IKPR
N/A
CLNY_19-IKPR
12564NAQ5
1350000.000000000000
PA
USD
880558.020000000000
0.1394496513
Long
ABS-MBS
USGA
US
N
2
2038-11-15
Variable
3.600600000000
N
N
N
N
N
N
CSMC_14-USA
N/A
CSMC_14-USA
12649AAQ2
4500000.000000000000
PA
USD
3282170.400000000000
0.5197812153
Long
ABS-MBS
CORP
US
N
2
2037-09-15
Fixed
4.373300000000
N
N
N
N
N
N
CSMC_18-RPL7
N/A
CSMC_18-RPL7
12654JAA0
1768915.730000000000
PA
USD
1726900.440000000000
0.2734807460
Long
ABS-CBDO
CORP
US
N
2
2058-08-26
Fixed
4.000000000000
N
N
N
N
N
N
CREDIT SUISSE COMMERCIAL MORTGAGE TRUST CSMC_19-UVIL
N/A
CSMC_19-UVIL
12656DAL7
600000.000000000000
PA
USD
371244.600000000000
0.0587921850
Long
ABS-MBS
CORP
US
N
2
2041-12-15
Variable
3.392800000000
N
N
N
N
N
N
CARLYLE GLOBAL MARKET STRATEGIES
N/A
CGMS_16-4A
143109AN6
2500000.000000000000
PA
USD
2390732.500000000000
0.3786085708
Long
ABS-MBS
CORP
KY
N
2
2027-10-20
Variable
2.585300000000
N
N
N
N
N
N
CITIGROUP MORTGAGE LOAN TRUST INC CMLTI_19-IMC1
N/A
CMLTI_19-IMC1
17328BAD6
4500000.000000000000
PA
USD
4099868.100000000000
0.6492759862
Long
ABS-CBDO
CORP
US
N
2
2049-07-25
Variable
3.170000000000
N
N
N
N
N
N
COLUMBIA SHORT TERM CASH FUND
N/A
COLUMBIA SHORT TERM CASH FUND
19766H239
297968788.613000000000
NS
USD
297998585.500000000000
47.1925732190
Long
STIV
CORP
US
N
1
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
MSCI SING IX ETS JUN 20
000000000
-203.000000000000
NC
41022.550000000000
0.0064965399
N/A
DE
CORP
SG
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
MSCI SING IX ETS JUN 20
MSCI SING IX ETS JUN 20
2020-06-29
-5904432.910000000000
SGD
41022.550000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
EURO-BUND JUN 20
000000000
-263.000000000000
NC
28004.200000000000
0.0044348877
N/A
DIR
CORP
DE
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
EURO-BUND JUN 20
EURO-BUND JUN 20
2020-06-08
-45385551.380000000000
EUR
28004.200000000000
N
N
N
COMM MORTGAGE TRUST COMM_20-CBM
N/A
COMM_20-CBM
20049AAJ7
1200000.000000000000
PA
USD
894000.000000000000
0.1415783917
Long
ABS-MBS
CORP
US
N
2
2037-02-10
Variable
3.632700000000
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS_19-HRP1
N/A
CAS_19-HRP1
20754PAC4
678339.970000000000
PA
USD
564055.830000000000
0.0893267531
Long
ABS-CBDO
CORP
US
N
2
2039-11-25
Variable
2.318300000000
N
N
N
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
EURO-BUND JUN 20
000000000
-176.000000000000
NC
3612.840000000000
0.0005721477
N/A
DIR
CORP
DE
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Short
EURO-BUND JUN 20
EURO-BUND JUN 20
2020-06-08
-30357947.660000000000
EUR
3612.840000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
EURO-BUND SEP 20
000000000
-4.000000000000
NC
-1866.710000000000
-0.0002956217
N/A
DIR
CORP
DE
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
EURO-BUND SEP 20
EURO-BUND SEP 20
2020-09-08
-700918.360000000000
EUR
-1866.710000000000
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS_19-HRP1
N/A
CAS_19-HRP1
20754PAD2
1000000.000000000000
PA
USD
465689.500000000000
0.0737489602
Long
ABS-CBDO
CORP
US
N
2
2039-11-25
Variable
9.418300000000
N
N
N
N
N
N
CONNS RECEIVABLES FUNDING CONN_19-B
N/A
CONN_19-B
20824LAB1
1000000.000000000000
PA
USD
922460.300000000000
0.1460855097
Long
ABS-MBS
CORP
US
N
2
2024-06-17
Fixed
3.620000000000
N
N
N
N
N
N
CONSUMER UNDERLYING BOND SECURITIZATION SERIES CUBS_18-1
N/A
CUBS_18-1
21052GAA5
804875.490000000000
PA
USD
792949.890000000000
0.1255755818
Long
ABS-MBS
CORP
US
N
2
2026-02-17
Fixed
4.790000000000
N
N
N
N
N
N
GINNIE MAE II
N/A
GNMA2 30YR TBA(REG C)
21H030666
24000000.000000000000
PA
USD
25406250.000000000000
4.0234631025
Long
ABS-MBS
USGA
US
N
2
2050-06-22
Fixed
3.000000000000
N
N
N
N
N
N
CREDIT SUISSE MORTGAGE CAPITAL CSMC_20-RPL2
N/A
CSMC_20-RPL2
22946BAP1
1995959.510000000000
PA
USD
1991142.060000000000
0.3153273943
Long
ABS-CBDO
CORP
US
N
2
2060-02-25
Fixed
3.578300000000
N
N
N
N
N
N
DEEPHAVEN RESIDENTIAL MORTGAGE TRUST DRMT_18-1A
N/A
DRMT_18-1A
24380PAE4
500000.000000000000
PA
USD
421925.250000000000
0.0668182308
Long
ABS-CBDO
CORP
US
N
2
2057-12-25
Fixed
4.340000000000
N
N
N
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SOYBEAN JUL 20
000000000
2.000000000000
NC
USD
408.620000000000
0.0000647111
N/A
DCO
CORP
US
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Long
SOYBEAN JUL 20
SOYBEAN JUL 20
2020-07-14
83666.380000000000
USD
408.620000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
SOYBEAN JUL 20
000000000
-91.000000000000
NC
USD
30330.880000000000
0.0048033526
N/A
DCO
CORP
US
N
1
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Short
SOYBEAN JUL 20
SOYBEAN JUL 20
2020-07-14
-3855743.380000000000
USD
30330.880000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SUGAR #11 JUL 20
000000000
379.000000000000
NC
USD
47247.620000000000
0.0074823737
N/A
DCO
CORP
US
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Long
SUGAR #11 JUL 20
SUGAR #11 JUL 20
2020-06-30
4583829.180000000000
USD
47247.620000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SILVER JUL 20
000000000
59.000000000000
NC
USD
806896.120000000000
0.1277841778
N/A
DCO
CORP
US
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Long
SILVER JUL 20
SILVER JUL 20
2020-07-29
4650308.880000000000
USD
806896.120000000000
N
N
N
EAGLE RE LTD EMIR_19-1
N/A
EMIR_19-1
269822AB8
4210953.310000000000
PA
USD
4017938.370000000000
0.6363011771
Long
ABS-CBDO
CORP
US
N
2
2029-04-25
Variable
1.968300000000
N
N
N
N
N
N
EAGLE RE 2018-1 LTD EMIR_18-1
N/A
EMIR_18-1
269826AA1
1825512.300000000000
PA
USD
1748719.200000000000
0.2769360759
Long
ABS-CBDO
CORP
US
N
2
2028-11-25
Variable
2.646600000000
N
N
N
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
SOYBEAN MEAL (CBT) JUL 20
000000000
-56.000000000000
NC
USD
48909.110000000000
0.0077454957
N/A
DCO
CORP
US
N
1
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Short
SOYBEAN MEAL (CBT) JUL 20
SOYBEAN MEAL (CBT) JUL 20
2020-07-14
-1634829.110000000000
USD
48909.110000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FTSE/MIB INDEX JUN 20
000000000
54.000000000000
NC
355683.950000000000
0.0563279212
N/A
DE
CORP
IT
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
FTSE/MIB INDEX JUN 20
FTSE/MIB INDEX JUN 20
2020-06-19
4581912.710000000000
EUR
355683.950000000000
N
N
N
ENVA LLC ENVA_19-A
N/A
ENVA_19-A
294021AB6
500000.000000000000
PA
USD
472037.300000000000
0.0747542301
Long
ABS-MBS
CORP
US
N
2
2026-06-22
Fixed
6.170000000000
N
N
N
N
N
N
ENVA LLC ENVA_19-A
N/A
ENVA_19-A
294021AC4
200000.000000000000
PA
USD
171442.860000000000
0.0271505642
Long
ABS-MBS
CORP
US
N
2
2026-06-22
Fixed
7.620000000000
N
N
N
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
FTSE/MIB INDEX JUN 20
000000000
29.000000000000
NC
301262.250000000000
0.0477094237
N/A
DE
CORP
IT
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Long
FTSE/MIB INDEX JUN 20
FTSE/MIB INDEX JUN 20
2020-06-19
2358350.230000000000
EUR
301262.250000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
SYN BIST 30 FUTURES JUN 20
000000000
380.000000000000
NC
16380.580000000000
0.0025941120
N/A
DE
CORP
TR
N
2
Citi
MBNUM2BPBDO7JBLYG310
Citi
MBNUM2BPBDO7JBLYG310
SYN BIST 30 FUTURES JUN 20
MBNUM2BPBDO7JBLYG310
SYN BIST 30 FUTURES JUN 20
000000000
N/A
NC
N/A
N/A
0.000000000000
DE
CORP
Long
SYN BIST 30 FUTURES JUN 20
SYN BIST 30 FUTURES JUN 20
2020-06-30
4500684.850000000000
TRY
Y
Appreciation on SYN BIST 30 FUTURES JUN 20
Depreciation on SYN BIST 30 FUTURES JUN 20
2020-06-30
0.000000000000
USD
0.000000000000
USD
4500684.850000000000
TRY
16380.580000000000
N
N
N
FMMSR_19-GT1
N/A
FMMSR_19-GT1
30259RAB1
4000000.000000000000
PA
USD
2922834.000000000000
0.4628748735
Long
ABS-CBDO
CORP
US
N
2
2024-05-25
Variable
5.660000000000
N
N
N
N
N
N
FANNIE MAE FNMA_16-53
N/A
FNMA_16-53
3136AS4Y9
25364995.330000000000
PA
USD
4852620.380000000000
0.7684856698
Long
ABS-CBDO
USGA
US
N
2
2046-08-25
Variable
5.831800000000
N
N
N
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
SYN SOYBEAN OIL JUL 20
000000000
-24.000000000000
NC
USD
1864.200000000000
0.0002952242
N/A
DCO
CORP
US
N
2
Citi
MBNUM2BPBDO7JBLYG310
Citi
MBNUM2BPBDO7JBLYG310
SYN SOYBEAN OIL JUL 20
MBNUM2BPBDO7JBLYG310
SYN SOYBEAN OIL JUL 20
000000000
N/A
NC
N/A
N/A
0.000000000000
DCO
CORP
Short
SYN SOYBEAN OIL JUL 20
SYN SOYBEAN OIL JUL 20
2020-07-14
-396136.200000000000
USD
Y
Depreciation on SYN SOYBEAN OIL JUL 20
Appreciation on SYN SOYBEAN OIL JUL 20
2020-07-14
0.000000000000
USD
0.000000000000
USD
-396136.200000000000
USD
1864.200000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SYN BOVESPA (IBOVESPA) INDEX JUN 2
000000000
391.000000000000
NC
637373.270000000000
0.1009376761
N/A
DE
CORP
BR
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SYN BOVESPA (IBOVESPA) INDEX JUN 2
9R7GPTSO7KV3UQJZQ078
SYN BOVESPA (IBOVESPA) INDEX JUN 2
000000000
N/A
NC
N/A
N/A
0.000000000000
DE
CORP
Long
SYN BOVESPA (IBOVESPA) INDEX JUN 2
SYN BOVESPA (IBOVESPA) INDEX JUN 2
2020-06-17
30631749.230000000000
BRL
Y
Appreciation on SYN BOVESPA (IBOVESPA) INDEX JUN 2
Depreciation on SYN BOVESPA (IBOVESPA) INDEX JUN 2
2020-06-17
0.000000000000
USD
0.000000000000
USD
30631749.230000000000
BRL
637373.270000000000
N
N
N
FANNIE MAE FNMA_20-38
N/A
FNMA_20-38
3136BACZ5
4705000.000000000000
PA
USD
964525.000000000000
0.1527470897
Long
ABS-CBDO
USGA
US
N
2
2050-06-25
Variable
4.700000000000
N
N
N
N
N
N
GCAT_19-NQM3
N/A
GCAT_19-NQM3
36167VAD6
600000.000000000000
PA
USD
507079.860000000000
0.0803037484
Long
ABS-CBDO
CORP
US
N
2
2059-11-25
Variable
3.450000000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-19
N/A
GNMA_20-19
38380N3D9
3477164.010000000000
PA
USD
290729.160000000000
0.0460413500
Long
ABS-MBS
USGA
US
N
2
2061-12-16
Variable
1.012400000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-102
N/A
GNMA_19-102
38380NKM0
2818518.150000000000
PA
USD
213416.790000000000
0.0337977694
Long
ABS-MBS
USGA
US
N
2
2060-03-16
Variable
0.899100000000
N
N
N
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
SYN BOVESPA (IBOVESPA) INDEX JUN 2
000000000
-30.000000000000
NC
-1905.140000000000
-0.0003017077
N/A
DE
CORP
BR
N
2
Citi
MBNUM2BPBDO7JBLYG310
Citi
MBNUM2BPBDO7JBLYG310
SYN BOVESPA (IBOVESPA) INDEX JUN 2
MBNUM2BPBDO7JBLYG310
SYN BOVESPA (IBOVESPA) INDEX JUN 2
000000000
N/A
NC
N/A
N/A
0.000000000000
DE
CORP
Short
SYN BOVESPA (IBOVESPA) INDEX JUN 2
SYN BOVESPA (IBOVESPA) INDEX JUN 2
2020-06-17
-2606062.190000000000
BRL
Y
Depreciation on SYN BOVESPA (IBOVESPA) INDEX JUN 2
Appreciation on SYN BOVESPA (IBOVESPA) INDEX JUN 2
2020-06-17
0.000000000000
USD
0.000000000000
USD
-2606062.190000000000
BRL
-1905.140000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
SYN CORN JUL 20
000000000
-40.000000000000
NC
USD
18774.650000000000
0.0029732492
N/A
DCO
CORP
US
N
2
Citi
MBNUM2BPBDO7JBLYG310
Citi
MBNUM2BPBDO7JBLYG310
SYN CORN JUL 20
MBNUM2BPBDO7JBLYG310
SYN CORN JUL 20
000000000
N/A
NC
N/A
N/A
0.000000000000
DCO
CORP
Short
SYN CORN JUL 20
SYN CORN JUL 20
2020-07-14
-670274.650000000000
USD
Y
Depreciation on SYN CORN JUL 20
Appreciation on SYN CORN JUL 20
2020-07-14
0.000000000000
USD
0.000000000000
USD
-670274.650000000000
USD
18774.650000000000
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-109
N/A
GNMA_19-109
38380NMG1
4949109.150000000000
PA
USD
338656.650000000000
0.0536313913
Long
ABS-MBS
USGA
US
N
2
2060-04-16
Variable
0.835000000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-131
N/A
GNMA_19-131
38380NPW3
4965012.010000000000
PA
USD
367673.540000000000
0.0582266538
Long
ABS-MBS
USGA
US
N
2
2061-07-16
Variable
0.931300000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-129
N/A
GNMA_19-129
38381Y7J7
3900979.360000000000
PA
USD
479821.240000000000
0.0759869345
Long
ABS-CBDO
USGA
US
N
2
2049-10-20
Fixed
3.500000000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-98
N/A
GNMA_19-98
38381YAH7
21640465.810000000000
PA
USD
3798568.280000000000
0.6015606127
Long
ABS-CBDO
USGA
US
N
2
2049-08-20
Variable
5.929300000000
N
N
N
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
SYN DTOP INDEX JUN 20
000000000
-31.000000000000
NC
-12880.790000000000
-0.0020398675
N/A
DE
CORP
ZA
N
2
JPMorgan
ZBUT11V806EZRVTWT807
JPMorgan
ZBUT11V806EZRVTWT807
SYN DTOP INDEX JUN 20
ZBUT11V806EZRVTWT807
SYN DTOP INDEX JUN 20
000000000
N/A
NC
N/A
N/A
0.000000000000
DE
CORP
Short
SYN DTOP INDEX JUN 20
SYN DTOP INDEX JUN 20
2020-06-18
-2725850.790000000000
ZAR
Y
Depreciation on SYN DTOP INDEX JUN 20
Appreciation on SYN DTOP INDEX JUN 20
2020-06-18
0.000000000000
USD
0.000000000000
USD
-2725850.790000000000
ZAR
-12880.790000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
SYN TAIEX JUN 20
000000000
19.000000000000
NC
17669.110000000000
0.0027981702
N/A
DE
CORP
TW
N
2
Citi
MBNUM2BPBDO7JBLYG310
Citi
MBNUM2BPBDO7JBLYG310
SYN TAIEX JUN 20
MBNUM2BPBDO7JBLYG310
SYN TAIEX JUN 20
000000000
N/A
NC
N/A
N/A
0.000000000000
DE
CORP
Long
SYN TAIEX JUN 20
SYN TAIEX JUN 20
2020-06-17
40964364.140000000000
TWD
Y
Appreciation on SYN TAIEX JUN 20
Depreciation on SYN TAIEX JUN 20
2020-06-17
0.000000000000
USD
0.000000000000
USD
40964364.140000000000
TWD
17669.110000000000
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-120
N/A
GNMA_19-120
38381YSZ8
46435998.000000000000
PA
USD
3580475.490000000000
0.5670223281
Long
ABS-CBDO
USGA
US
N
2
2049-09-20
Variable
3.229300000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-3
N/A
GNMA_20-3
38382BN66
3984468.040000000000
PA
USD
299032.730000000000
0.0473563456
Long
ABS-MBS
USGA
US
N
2
2062-02-16
Variable
0.951100000000
N
N
N
N
N
N
HEADLANDS RESIDENTIAL HAMR_19-RPL1
N/A
HAMR_19-RPL1
42210BAA1
5000000.000000000000
PA
USD
4417547.000000000000
0.6995852343
Long
ABS-CBDO
CORP
US
N
2
2024-06-25
Fixed
3.967000000000
N
N
N
N
N
N
HILT_16-SFP
N/A
HILT_16-SFP
43289VAQ6
2200000.000000000000
PA
USD
2013835.340000000000
0.3189212176
Long
ABS-MBS
CORP
US
N
2
2035-11-05
Fixed
5.519100000000
N
N
N
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
SYN TAIEX JUN 20
000000000
12.000000000000
NC
10345.720000000000
0.0016384009
N/A
DE
CORP
TW
N
2
JPMorgan
ZBUT11V806EZRVTWT807
JPMorgan
ZBUT11V806EZRVTWT807
SYN TAIEX JUN 20
ZBUT11V806EZRVTWT807
SYN TAIEX JUN 20
000000000
N/A
NC
N/A
N/A
0.000000000000
DE
CORP
Long
SYN TAIEX JUN 20
SYN TAIEX JUN 20
2020-06-17
25896581.680000000000
TWD
Y
Appreciation on SYN TAIEX JUN 20
Depreciation on SYN TAIEX JUN 20
2020-06-17
0.000000000000
USD
0.000000000000
USD
25896581.680000000000
TWD
10345.720000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
SYN H-SHARES INDEX JUN 20
000000000
3.000000000000
NC
1437.710000000000
0.0002276831
N/A
DE
CORP
HK
N
2
Citi
MBNUM2BPBDO7JBLYG310
Citi
MBNUM2BPBDO7JBLYG310
SYN H-SHARES INDEX JUN 20
MBNUM2BPBDO7JBLYG310
SYN H-SHARES INDEX JUN 20
000000000
N/A
NC
N/A
N/A
0.000000000000
DE
CORP
Long
SYN H-SHARES INDEX JUN 20
SYN H-SHARES INDEX JUN 20
2020-06-29
1413256.230000000000
HKD
Y
Appreciation on SYN H-SHARES INDEX JUN 20
Depreciation on SYN H-SHARES INDEX JUN 20
2020-06-29
0.000000000000
USD
0.000000000000
USD
1413256.230000000000
HKD
1437.710000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
SYN H-SHARES INDEX JUN 20
000000000
3.000000000000
NC
414.900000000000
0.0000657057
N/A
DE
CORP
HK
N
2
JPMorgan
ZBUT11V806EZRVTWT807
JPMorgan
ZBUT11V806EZRVTWT807
SYN H-SHARES INDEX JUN 20
ZBUT11V806EZRVTWT807
SYN H-SHARES INDEX JUN 20
000000000
N/A
NC
N/A
N/A
0.000000000000
DE
CORP
Long
SYN H-SHARES INDEX JUN 20
SYN H-SHARES INDEX JUN 20
2020-06-29
1421184.180000000000
HKD
Y
Appreciation on SYN H-SHARES INDEX JUN 20
Depreciation on SYN H-SHARES INDEX JUN 20
2020-06-29
0.000000000000
USD
0.000000000000
USD
1421184.180000000000
HKD
414.900000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SYN H-SHARES INDEX JUN 20
000000000
1.000000000000
NC
910.340000000000
0.0001441661
N/A
DE
CORP
HK
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SYN H-SHARES INDEX JUN 20
9R7GPTSO7KV3UQJZQ078
SYN H-SHARES INDEX JUN 20
000000000
N/A
NC
N/A
N/A
0.000000000000
DE
CORP
Long
SYN H-SHARES INDEX JUN 20
SYN H-SHARES INDEX JUN 20
2020-06-29
467743.530000000000
HKD
Y
Appreciation on SYN H-SHARES INDEX JUN 20
Depreciation on SYN H-SHARES INDEX JUN 20
2020-06-29
0.000000000000
USD
0.000000000000
USD
467743.530000000000
HKD
910.340000000000
N
N
N
HILTON USA TRUST HILT_16-HHV
N/A
HILT_16-HHV
43300LAQ3
3000000.000000000000
PA
USD
2301092.100000000000
0.3644126607
Long
ABS-MBS
CORP
US
N
2
2038-11-05
Variable
4.193500000000
N
N
N
N
N
N
HOME PARTNERS OF AMERICA TRUST HPA_19-2
N/A
HPA_19-2
43732TAL5
354800.700000000000
PA
USD
305848.600000000000
0.0484357415
Long
ABS-MBS
CORP
US
N
2
2039-10-19
Fixed
3.866000000000
N
N
N
N
N
N
INVITATION HOMES TRUST IHSFR_18-SFR3
N/A
IHSFR_18-SFR3
46187VAJ8
2000000.000000000000
PA
USD
1885895.400000000000
0.2986599973
Long
ABS-MBS
CORP
US
N
2
2037-07-17
Variable
2.172400000000
N
N
N
N
N
N
JP MORGAN CHASE COMMERCIAL MTGE
N/A
JPMCC_16-WIKI
46646JAG6
783000.000000000000
PA
USD
655118.400000000000
0.1037478853
Long
ABS-MBS
CORP
US
N
2
2031-10-05
Variable
4.009000000000
N
N
N
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
SYN HANG SENG INDEX JUN 20
000000000
-8.000000000000
NC
10354.000000000000
0.0016397122
N/A
DE
CORP
HK
N
2
JPMorgan
ZBUT11V806EZRVTWT807
JPMorgan
ZBUT11V806EZRVTWT807
SYN HANG SENG INDEX JUN 20
ZBUT11V806EZRVTWT807
SYN HANG SENG INDEX JUN 20
000000000
N/A
NC
N/A
N/A
0.000000000000
DE
CORP
Short
SYN HANG SENG INDEX JUN 20
SYN HANG SENG INDEX JUN 20
2020-06-29
-9187862.060000000000
HKD
Y
Depreciation on SYN HANG SENG INDEX JUN 20
Appreciation on SYN HANG SENG INDEX JUN 20
2020-06-29
0.000000000000
USD
0.000000000000
USD
-9187862.060000000000
HKD
10354.000000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
SYN SGX CNX NIFTY ETS JUN 20
000000000
-50.000000000000
NC
USD
-46752.500000000000
-0.0074039639
N/A
DE
CORP
SG
N
2
JPMorgan
ZBUT11V806EZRVTWT807
JPMorgan
ZBUT11V806EZRVTWT807
SYN SGX CNX NIFTY ETS JUN 20
ZBUT11V806EZRVTWT807
SYN SGX CNX NIFTY ETS JUN 20
000000000
N/A
NC
N/A
N/A
0.000000000000
DE
CORP
Short
SYN SGX CNX NIFTY ETS JUN 20
SYN SGX CNX NIFTY ETS JUN 20
2020-06-25
-904647.500000000000
USD
Y
Depreciation on SYN SGX CNX NIFTY ETS JUN 20
Appreciation on SYN SGX CNX NIFTY ETS JUN 20
2020-06-25
0.000000000000
USD
0.000000000000
USD
-904647.500000000000
USD
-46752.500000000000
N
N
N
JP MORGAN CHASE COMMERCIAL MORTG
N/A
JPMCC_18-ASH8
46649JAQ1
1000000.000000000000
PA
USD
655349.400000000000
0.1037844676
Long
ABS-MBS
CORP
US
N
2
2035-02-15
Variable
4.183600000000
N
N
N
N
N
N
LENDING CLUB RECEIVABLES TRUST LCRT_19-3
N/A
LCRT_19-3
52603EAA9
1617055.090000000000
PA
USD
1603534.410000000000
0.2539438733
Long
ABS-MBS
CORP
US
N
2
2025-10-15
Fixed
3.750000000000
N
N
N
N
N
N
LENDING CLUB RECEIVABLES TRUST LCRT_19-5
N/A
LCRT_19-5
52605CAA1
1673048.020000000000
PA
USD
1659329.700000000000
0.2627798995
Long
ABS-MBS
CORP
US
N
2
2045-12-15
Fixed
3.750000000000
N
N
N
N
N
N
LENDING CLUB RECEIVABLES TRUST LCRT_19-7
N/A
LCRT_19-7
52605FAA4
704377.030000000000
PA
USD
701891.710000000000
0.1111551448
Long
ABS-MBS
CORP
US
N
2
2027-01-15
Fixed
3.750000000000
N
N
N
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
SYN KOSPI2 INDEX JUN 20
000000000
61.000000000000
NC
49486.340000000000
0.0078369088
N/A
DE
CORP
KR
N
2
Citi
MBNUM2BPBDO7JBLYG310
Citi
MBNUM2BPBDO7JBLYG310
SYN KOSPI2 INDEX JUN 20
MBNUM2BPBDO7JBLYG310
SYN KOSPI2 INDEX JUN 20
000000000
N/A
NC
N/A
N/A
0.000000000000
DE
CORP
Long
SYN KOSPI2 INDEX JUN 20
SYN KOSPI2 INDEX JUN 20
2020-06-11
4019264075.000000000000
KRW
Y
Appreciation on SYN KOSPI2 INDEX JUN 20
Depreciation on SYN KOSPI2 INDEX JUN 20
2020-06-11
0.000000000000
USD
0.000000000000
USD
4019264075.000000000000
KRW
49486.340000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SYN KOSPI2 INDEX JUN 20
000000000
83.000000000000
NC
217309.940000000000
0.0344143085
N/A
DE
CORP
KR
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SYN KOSPI2 INDEX JUN 20
9R7GPTSO7KV3UQJZQ078
SYN KOSPI2 INDEX JUN 20
000000000
N/A
NC
N/A
N/A
0.000000000000
DE
CORP
Long
SYN KOSPI2 INDEX JUN 20
SYN KOSPI2 INDEX JUN 20
2020-06-11
5273118961.000000000000
KRW
Y
Appreciation on SYN KOSPI2 INDEX JUN 20
Depreciation on SYN KOSPI2 INDEX JUN 20
2020-06-11
0.000000000000
USD
0.000000000000
USD
5273118961.000000000000
KRW
217309.940000000000
N
N
N
LENDING CLUB RECEIVABLES TRUST LCRT_20-2
N/A
LCRT_20-2
52605L103
85000.000000000000
PA
USD
892500.000000000000
0.1413408440
Long
ABS-MBS
CORP
US
N
3
2046-02-15
Fixed
0.000000000000
N
N
N
N
N
N
LENDING CLUB RECEIVABLES TRUST LCRT_20-T1
N/A
LCRT_20-T1
52606KAA2
934821.810000000000
PA
USD
930907.340000000000
0.1474232260
Long
ABS-MBS
CORP
US
N
2
2046-02-15
Fixed
3.500000000000
N
N
N
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
SYN WIG20(PLN20) INDEX JUN 20
000000000
-23.000000000000
NC
-31137.660000000000
-0.0049311184
N/A
DE
CORP
PL
N
2
Citi
MBNUM2BPBDO7JBLYG310
Citi
MBNUM2BPBDO7JBLYG310
SYN WIG20(PLN20) INDEX JUN 20
MBNUM2BPBDO7JBLYG310
SYN WIG20(PLN20) INDEX JUN 20
000000000
N/A
NC
N/A
N/A
0.000000000000
DE
CORP
Short
SYN WIG20(PLN20) INDEX JUN 20
SYN WIG20(PLN20) INDEX JUN 20
2020-06-19
-664355.280000000000
PLN
Y
Depreciation on SYN WIG20(PLN20) INDEX JUN 20
Appreciation on SYN WIG20(PLN20) INDEX JUN 20
2020-06-19
0.000000000000
USD
0.000000000000
USD
-664355.280000000000
PLN
-31137.660000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
SYN SOYBEAN JUL 20
000000000
-15.000000000000
NC
USD
16007.250000000000
0.0025349896
N/A
DCO
CORP
US
N
2
Citi
MBNUM2BPBDO7JBLYG310
Citi
MBNUM2BPBDO7JBLYG310
SYN SOYBEAN JUL 20
MBNUM2BPBDO7JBLYG310
SYN SOYBEAN JUL 20
000000000
N/A
NC
N/A
N/A
0.000000000000
DCO
CORP
Short
SYN SOYBEAN JUL 20
SYN SOYBEAN JUL 20
2020-07-14
-646569.750000000000
USD
Y
Depreciation on SYN SOYBEAN JUL 20
Appreciation on SYN SOYBEAN JUL 20
2020-07-14
0.000000000000
USD
0.000000000000
USD
-646569.750000000000
USD
16007.250000000000
N
N
N
MADISON PARK FUNDING LTD MDPK_16
N/A
MDPK_16-24A
55820NAQ4
7000000.000000000000
PA
USD
6821283.000000000000
1.0802531055
Long
ABS-MBS
CORP
KY
N
2
2029-10-20
Variable
2.885300000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL I TRUST MSC_17-ASHF
N/A
MSC_17-ASHF
61691KAN1
500000.000000000000
PA
USD
352476.150000000000
0.0558199177
Long
ABS-MBS
CORP
US
N
2
2034-11-15
Variable
3.334000000000
N
N
N
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
SYN SWISS MKT IX JUN 20
000000000
-23.000000000000
NC
-89965.550000000000
-0.0142474025
N/A
DE
CORP
CH
N
2
Citi
MBNUM2BPBDO7JBLYG310
Citi
MBNUM2BPBDO7JBLYG310
SYN SWISS MKT IX JUN 20
MBNUM2BPBDO7JBLYG310
SYN SWISS MKT IX JUN 20
000000000
N/A
NC
N/A
N/A
0.000000000000
DE
CORP
Short
SYN SWISS MKT IX JUN 20
SYN SWISS MKT IX JUN 20
2020-06-19
-2172876.070000000000
CHF
Y
Depreciation on SYN SWISS MKT IX JUN 20
Appreciation on SYN SWISS MKT IX JUN 20
2020-06-19
0.000000000000
USD
0.000000000000
USD
-2172876.070000000000
CHF
-89965.550000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SYN SWISS MKT IX JUN 20
000000000
-109.000000000000
NC
-1881609.110000000000
-0.2979811986
N/A
DE
CORP
CH
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SYN SWISS MKT IX JUN 20
9R7GPTSO7KV3UQJZQ078
SYN SWISS MKT IX JUN 20
000000000
N/A
NC
N/A
N/A
0.000000000000
DE
CORP
Short
SYN SWISS MKT IX JUN 20
SYN SWISS MKT IX JUN 20
2020-06-19
-8873947.010000000000
CHF
Y
Depreciation on SYN SWISS MKT IX JUN 20
Appreciation on SYN SWISS MKT IX JUN 20
2020-06-19
0.000000000000
USD
0.000000000000
USD
-8873947.010000000000
CHF
-1881609.110000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
SYN SOYBEAN MEAL (CBT) JUL 20
000000000
-54.000000000000
NC
USD
28301.300000000000
0.0044819380
N/A
DCO
CORP
US
N
2
Citi
MBNUM2BPBDO7JBLYG310
Citi
MBNUM2BPBDO7JBLYG310
SYN SOYBEAN MEAL (CBT) JUL 20
MBNUM2BPBDO7JBLYG310
SYN SOYBEAN MEAL (CBT) JUL 20
000000000
N/A
NC
N/A
N/A
0.000000000000
DCO
CORP
Short
SYN SOYBEAN MEAL (CBT) JUL 20
SYN SOYBEAN MEAL (CBT) JUL 20
2020-07-14
-1557581.300000000000
USD
Y
Depreciation on SYN SOYBEAN MEAL (CBT) JUL 20
Appreciation on SYN SOYBEAN MEAL (CBT) JUL 20
2020-07-14
0.000000000000
USD
0.000000000000
USD
-1557581.300000000000
USD
28301.300000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
SYN WHEAT JUL 20
000000000
-25.000000000000
NC
USD
38759.450000000000
0.0061381438
N/A
DCO
CORP
US
N
2
Citi
MBNUM2BPBDO7JBLYG310
Citi
MBNUM2BPBDO7JBLYG310
SYN WHEAT JUL 20
MBNUM2BPBDO7JBLYG310
SYN WHEAT JUL 20
000000000
N/A
NC
N/A
N/A
0.000000000000
DCO
CORP
Short
SYN WHEAT JUL 20
SYN WHEAT JUL 20
2020-07-14
-689696.950000000000
USD
Y
Depreciation on SYN WHEAT JUL 20
Appreciation on SYN WHEAT JUL 20
2020-07-14
0.000000000000
USD
0.000000000000
USD
-689696.950000000000
USD
38759.450000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
TOPIX INDEX JUN 20
000000000
80.000000000000
NC
559415.920000000000
0.0885919533
N/A
DE
CORP
JP
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Long
TOPIX INDEX JUN 20
TOPIX INDEX JUN 20
2020-06-11
1187071503.710000000000
JPY
559415.920000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TOPIX INDEX JUN 20
000000000
-213.000000000000
NC
-3491062.160000000000
-0.5528623779
N/A
DE
CORP
JP
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
TOPIX INDEX JUN 20
TOPIX INDEX JUN 20
2020-06-11
-2932666307.220000000000
JPY
-3491062.160000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
KL COMPOSITE INDX JUN 20
000000000
11.000000000000
NC
-448.700000000000
-0.0000710584
N/A
DE
CORP
MY
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
KL COMPOSITE INDX JUN 20
KL COMPOSITE INDX JUN 20
2020-06-30
799448.920000000000
MYR
-448.700000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
MEXICAN BOLSA INDEX FUTURE JUN 20
000000000
111.000000000000
NC
56381.930000000000
0.0089289295
N/A
DE
CORP
MX
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Long
MEXICAN BOLSA INDEX FUTURE JUN 20
MEXICAN BOLSA INDEX FUTURE JUN 20
2020-06-19
38870450.840000000000
MXN
56381.930000000000
N
N
N
MORGAN STANLEY CAPITAL I TRUST MSC_19-MEAD
N/A
MSC_19-MEAD
61771LAL6
600000.000000000000
PA
USD
468527.340000000000
0.0741983750
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Fixed
3.177100000000
N
N
N
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
MEXICAN BOLSA INDEX FUTURE JUN 20
000000000
-6.000000000000
NC
2294.960000000000
0.0003634416
N/A
DE
CORP
MX
N
1
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Short
MEXICAN BOLSA INDEX FUTURE JUN 20
MEXICAN BOLSA INDEX FUTURE JUN 20
2020-06-19
-2230831.920000000000
MXN
2294.960000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
JPN 10YR BOND (OSE) JUN 20
000000000
-12.000000000000
NC
29658.440000000000
0.0046968616
N/A
DIR
CORP
JP
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
JPN 10YR BOND (OSE) JUN 20
JPN 10YR BOND (OSE) JUN 20
2020-06-15
-1829563159.000000000000
JPY
29658.440000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
MSCI TAIWAN INDEX JUN 20
000000000
103.000000000000
NC
USD
-9732.200000000000
-0.0015412407
N/A
DE
CORP
SG
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
MSCI TAIWAN INDEX JUN 20
MSCI TAIWAN INDEX JUN 20
2020-06-29
4245092.200000000000
USD
-9732.200000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
MSCI TAIWAN INDEX JUN 20
000000000
-184.000000000000
NC
USD
38262.800000000000
0.0060594918
N/A
DE
CORP
SG
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Short
MSCI TAIWAN INDEX JUN 20
MSCI TAIWAN INDEX JUN 20
2020-06-29
-7604342.800000000000
USD
38262.800000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
JPN 10YR BOND (OSE) JUN 20
000000000
-19.000000000000
NC
306038.920000000000
0.0484658815
N/A
DIR
CORP
JP
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Short
JPN 10YR BOND (OSE) JUN 20
JPN 10YR BOND (OSE) JUN 20
2020-06-15
-2924403730.000000000000
JPY
306038.920000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
COFFEE JUL 20
000000000
-18.000000000000
NC
USD
21738.810000000000
0.0034426686
N/A
DCO
CORP
US
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Short
COFFEE JUL 20
COFFEE JUL 20
2020-07-21
-671763.810000000000
USD
21738.810000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
US 10YR NOTE SEP 20
000000000
376.000000000000
NC
USD
109193.480000000000
0.0172924354
N/A
DIR
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
US 10YR NOTE SEP 20
US 10YR NOTE SEP 20
2020-09-21
52178306.520000000000
USD
109193.480000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
US 10YR NOTE SEP 20
000000000
422.000000000000
NC
USD
160850.360000000000
0.0254730820
N/A
DIR
CORP
US
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Long
US 10YR NOTE SEP 20
US 10YR NOTE SEP 20
2020-09-21
58523524.640000000000
USD
160850.360000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
US 10YR NOTE SEP 20
000000000
-385.000000000000
NC
USD
-100517.070000000000
-0.0159183950
N/A
DIR
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
US 10YR NOTE SEP 20
US 10YR NOTE SEP 20
2020-09-21
-53438545.430000000000
USD
-100517.070000000000
N
N
N
UBS
T6FIZBDPKLYJKFCRVK44
US DOLLARS
000000000
-1140000.000000000000
OU
Notional Amount
N/A
-3349.220000000000
-0.0005303995
N/A
DFE
CORP
CA
N
2
UBS
T6FIZBDPKLYJKFCRVK44
1140000.000000000000000
CAD
824632.500000000000000
USD
2020-06-10
-3349.220000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
KOSPI2 INDEX JUN 20
000000000
53.000000000000
NC
133203.400000000000
0.0210947686
N/A
DE
CORP
KR
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
KOSPI2 INDEX JUN 20
KOSPI2 INDEX JUN 20
2020-06-11
3374005504.250000000000
KRW
133203.400000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
WIG20(PLN20) INDEX JUN 20
000000000
-553.000000000000
NC
-386193.220000000000
-0.0611595246
N/A
DE
CORP
PL
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Short
WIG20(PLN20) INDEX JUN 20
WIG20(PLN20) INDEX JUN 20
2020-06-19
-17488436.270000000000
PLN
-386193.220000000000
N
N
N
UBS
T6FIZBDPKLYJKFCRVK44
CANADIAN DOLLAR
000000000
81077000.000000000000
OU
Notional Amount
N/A
903014.150000000000
0.1430059184
N/A
DFE
CORP
CA
N
2
UBS
T6FIZBDPKLYJKFCRVK44
57983190.710000000894070
USD
81077000.000000000000000
CAD
2020-06-10
903014.150000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
US LONG BOND SEP 20
000000000
-77.000000000000
NC
USD
-70618.320000000000
-0.0111834767
N/A
DIR
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
US LONG BOND SEP 20
US LONG BOND SEP 20
2020-09-21
-13664256.680000000000
USD
-70618.320000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
LME PRI ALUM JUN 20
000000000
-101.000000000000
NC
USD
-122162.950000000000
-0.0193463467
N/A
DCO
CORP
GB
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
LME PRI ALUM JUN 20
LME PRI ALUM JUN 20
2020-06-16
-3753712.050000000000
USD
-122162.950000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
LME PRI ALUM JUN 20
000000000
-6.000000000000
NC
USD
-9831.420000000000
-0.0015569537
N/A
DCO
CORP
GB
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Short
LME PRI ALUM JUN 20
LME PRI ALUM JUN 20
2020-06-16
-220418.580000000000
USD
-9831.420000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
EURO STOXX 50 JUN 20
000000000
231.000000000000
NC
490755.830000000000
0.0777185919
N/A
DE
CORP
DE
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
EURO STOXX 50 JUN 20
EURO STOXX 50 JUN 20
2020-06-19
6588853.900000000000
EUR
490755.830000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
EURO STOXX 50 JUN 20
000000000
-60.000000000000
NC
-155006.750000000000
-0.0245476581
N/A
DE
CORP
DE
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
EURO STOXX 50 JUN 20
EURO STOXX 50 JUN 20
2020-06-19
-1686531.150000000000
EUR
-155006.750000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
EURO STOXX 50 JUN 20
000000000
-1.000000000000
NC
176.160000000000
0.0000278976
N/A
DE
CORP
DE
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Short
EURO STOXX 50 JUN 20
EURO STOXX 50 JUN 20
2020-06-19
-30618.700000000000
EUR
176.160000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
WHEAT JUL 20
000000000
-29.000000000000
NC
USD
-26576.880000000000
-0.0042088500
N/A
DCO
CORP
US
N
1
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Short
WHEAT JUL 20
WHEAT JUL 20
2020-07-14
-728510.620000000000
USD
-26576.880000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
LME PRI ALUM SEP 20
000000000
-53.000000000000
NC
USD
-31826.350000000000
-0.0050401828
N/A
DCO
CORP
GB
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
LME PRI ALUM SEP 20
LME PRI ALUM SEP 20
2020-09-15
-2026892.400000000000
USD
-31826.350000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
LIVE CATTLE JUN 20
000000000
55.000000000000
NC
USD
331055.900000000000
0.0524276979
N/A
DCO
CORP
US
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Long
LIVE CATTLE JUN 20
LIVE CATTLE JUN 20
2020-06-30
1862894.100000000000
USD
331055.900000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
WHEAT JUL 20
000000000
-60.000000000000
NC
USD
-48031.600000000000
-0.0076065287
N/A
DCO
CORP
US
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Short
WHEAT JUL 20
WHEAT JUL 20
2020-07-14
-1514218.400000000000
USD
-48031.600000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
GASOLINE RBOB JUL 20
000000000
1.000000000000
NC
USD
8376.830000000000
0.0013265974
N/A
DCO
CORP
US
N
1
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Long
GASOLINE RBOB JUL 20
GASOLINE RBOB JUL 20
2020-06-30
36920.170000000000
USD
8376.830000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
GASOLINE RBOB JUL 20
000000000
106.000000000000
NC
USD
114083.640000000000
0.0180668661
N/A
DCO
CORP
US
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Long
GASOLINE RBOB JUL 20
GASOLINE RBOB JUL 20
2020-06-30
4687398.360000000000
USD
114083.640000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
AUST 10YR BOND JUN 20
000000000
94.000000000000
NC
27102.810000000000
0.0042921390
N/A
DIR
CORP
AU
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
AUST 10YR BOND JUN 20
AUST 10YR BOND JUN 20
2020-06-15
13960708.890000000000
AUD
27102.810000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
LEAN HOGS JUN 20
000000000
-128.000000000000
NC
USD
-250463.880000000000
-0.0396647352
N/A
DCO
CORP
US
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Short
LEAN HOGS JUN 20
LEAN HOGS JUN 20
2020-06-12
-2660256.120000000000
USD
-250463.880000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
LME LEAD SEP 20
000000000
-11.000000000000
NC
USD
-10551.200000000000
-0.0016709418
N/A
DCO
CORP
GB
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
LME LEAD SEP 20
LME LEAD SEP 20
2020-09-15
-450623.800000000000
USD
-10551.200000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
AUST 10YR BOND JUN 20
000000000
408.000000000000
NC
-9486.720000000000
-0.0015023653
N/A
DIR
CORP
AU
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Long
AUST 10YR BOND JUN 20
AUST 10YR BOND JUN 20
2020-06-15
60806450.790000000000
AUD
-9486.720000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
SPI 200 JUN 20
000000000
72.000000000000
NC
400175.780000000000
0.0633738740
N/A
DE
CORP
AU
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
SPI 200 JUN 20
SPI 200 JUN 20
2020-06-18
9740147.450000000000
AUD
400175.780000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
LME NICKEL JUN 20
000000000
-20.000000000000
NC
USD
-46678.500000000000
-0.0073922449
N/A
DCO
CORP
GB
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
LME NICKEL JUN 20
LME NICKEL JUN 20
2020-06-16
-1425811.500000000000
USD
-46678.500000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
LME NICKEL JUN 20
000000000
-59.000000000000
NC
USD
9419.620000000000
0.0014917390
N/A
DCO
CORP
GB
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Short
LME NICKEL JUN 20
LME NICKEL JUN 20
2020-06-16
-4353265.120000000000
USD
9419.620000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SPI 200 JUN 20
000000000
93.000000000000
NC
395536.340000000000
0.0626391486
N/A
DE
CORP
AU
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Long
SPI 200 JUN 20
SPI 200 JUN 20
2020-06-18
12780648.710000000000
AUD
395536.340000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
SPI 200 JUN 20
000000000
-55.000000000000
NC
-524171.390000000000
-0.0830104501
N/A
DE
CORP
AU
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
SPI 200 JUN 20
SPI 200 JUN 20
2020-06-18
-7108121.860000000000
AUD
-524171.390000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
FTSE 100 INDEX JUN 20
000000000
-62.000000000000
NC
-140711.780000000000
-0.0222838339
N/A
DE
CORP
GB
N
1
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Short
FTSE 100 INDEX JUN 20
FTSE 100 INDEX JUN 20
2020-06-19
-3641857.100000000000
GBP
-140711.780000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FTSE 100 INDEX JUN 20
000000000
-281.000000000000
NC
-1042413.930000000000
-0.1650819773
N/A
DE
CORP
GB
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
FTSE 100 INDEX JUN 20
FTSE 100 INDEX JUN 20
2020-06-19
-16180428.700000000000
GBP
-1042413.930000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
LME NICKEL SEP 20
000000000
-19.000000000000
NC
USD
-8354.050000000000
-0.0013229899
N/A
DCO
CORP
GB
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
LME NICKEL SEP 20
LME NICKEL SEP 20
2020-09-15
-1398291.950000000000
USD
-8354.050000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
LME COPPER JUN 20
000000000
-9.000000000000
NC
USD
-27291.050000000000
-0.0043219496
N/A
DCO
CORP
GB
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
LME COPPER JUN 20
LME COPPER JUN 20
2020-06-16
-1178427.700000000000
USD
-27291.050000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
ICE: (CDX.NA.HY.33.V3)
000000000
-2066720.000000000000
OU
Notional Amount
USD
-42784.990000000000
-0.0067756489
N/A
DCR
CORP
US
N
2
BNP Paribas
R0MUWSFPU8MPRO8K5P83
ICE: (CDX.NA.HY.33.V1)
DJHY33053
Y
ICE: (CDX.NA.HY.33.V1)
2024-12-20
30355.480000000000
USD
0.000000000000
USD
-2066720.000000000000
USD
-52760.310000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
ICE: (CDX.NA.HY.33.V3)
000000000
-5558850.000000000000
OU
Notional Amount
USD
-115078.640000000000
-0.0182244393
N/A
DCR
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
ICE: (CDX.NA.HY.33.V1)
DJHY33053
Y
ICE: (CDX.NA.HY.33.V1)
2024-12-20
79699.560000000000
USD
0.000000000000
USD
-5558850.000000000000
USD
-139961.760000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
ICE: (CDX.NA.HY.33.V3)
000000000
-14333300.000000000000
OU
Notional Amount
USD
-296726.260000000000
-0.0469910813
N/A
DCR
CORP
US
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
ICE: (CDX.NA.HY.33.V1)
DJHY33053
Y
ICE: (CDX.NA.HY.33.V1)
2024-12-20
0.000000000000
USD
-680923.480000000000
USD
-14333300.000000000000
USD
525539.460000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
ICE: (CDX.NA.HY.33.V2)
000000000
-714780.000000000000
OU
Notional Amount
USD
-14797.290000000000
-0.0023433742
N/A
DCR
CORP
US
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
ICE: (CDX.NA.HY.33.V1)
DJHY33053
Y
ICE: (CDX.NA.HY.33.V1)
2024-12-20
11179.740000000000
USD
0.000000000000
USD
-714780.000000000000
USD
-18928.510000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
ICE: (CDX.NA.HY.34.V1)
000000000
-8820000.000000000000
OU
Notional Amount
USD
-182611.400000000000
-0.0289192710
N/A
DCR
CORP
US
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
ICE: (CDX.NA.HY.34.V1)
DJHY34051
Y
ICE: (CDX.NA.HY.34.V1)
2025-06-20
0.000000000000
USD
-498581.980000000000
USD
-8820000.000000000000
USD
402945.590000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
LME COPPER SEP 20
000000000
-12.000000000000
NC
USD
-15725.400000000000
-0.0024903544
N/A
DCO
CORP
GB
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
LME COPPER SEP 20
LME COPPER SEP 20
2020-09-15
-1598799.600000000000
USD
-15725.400000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
LME ZINC JUN 20
000000000
33.000000000000
NC
USD
53589.690000000000
0.0084867362
N/A
DCO
CORP
GB
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Long
LME ZINC JUN 20
LME ZINC JUN 20
2020-06-16
1588779.060000000000
USD
53589.690000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
LME ZINC JUN 20
000000000
-32.000000000000
NC
USD
-62105.400000000000
-0.0098353273
N/A
DCO
CORP
GB
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
LME ZINC JUN 20
LME ZINC JUN 20
2020-06-16
-1530494.600000000000
USD
-62105.400000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
LME ZINC SEP 20
000000000
-18.000000000000
NC
USD
-26841.600000000000
-0.0042507724
N/A
DCO
CORP
GB
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
LME ZINC SEP 20
LME ZINC SEP 20
2020-09-15
-868320.900000000000
USD
-26841.600000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
MSCI EMER MKT INDEX (ICE) JUN 20
000000000
-387.000000000000
NC
USD
-2246596.820000000000
-0.3557825107
N/A
DE
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
MSCI EMER MKT INDEX (ICE) JUN 20
MSCI EMER MKT INDEX (ICE) JUN 20
2020-06-19
-15805018.180000000000
USD
-2246596.820000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
US DOLLARS
000000000
-89347000.000000000000
OU
Notional Amount
N/A
-1592621.910000000000
-0.2522157143
N/A
DFE
CORP
AU
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
89347000.000000000000000
AUD
57962079.310000002384186
USD
2020-06-10
-1592621.910000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
US DOLLARS
000000000
-58050000.000000000000
OU
Notional Amount
N/A
-775521.260000000000
-0.1228154952
N/A
DFE
CORP
AU
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
58050000.000000000000000
AUD
37918274.840000003576279
USD
2020-06-17
-775521.260000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
US DOLLARS
000000000
-4039000.000000000000
OU
Notional Amount
N/A
-62819.240000000000
-0.0099483747
N/A
DFE
CORP
CA
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
4039000.000000000000000
CAD
2870692.669999999925494
USD
2020-06-04
-62819.240000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
US DOLLARS
000000000
-950000.000000000000
OU
Notional Amount
N/A
1665.740000000000
0.0002637951
N/A
DFE
CORP
CA
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
950000.000000000000000
CAD
691654.010000000009313
USD
2020-06-17
1665.740000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
US DOLLARS
000000000
-29400000.000000000000
OU
Notional Amount
N/A
-255547.800000000000
-0.0404698507
N/A
DFE
CORP
CA
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
29400000.000000000000000
CAD
21097773.420000001788139
USD
2020-06-17
-255547.800000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
US DOLLARS
000000000
-17700000.000000000000
OU
Notional Amount
N/A
188295.980000000000
0.0298195101
N/A
DFE
CORP
CH
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
17700000.000000000000000
CHF
18599237.809999998658895
USD
2020-06-17
188295.980000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
US DOLLARS
000000000
-21400000.000000000000
OU
Notional Amount
N/A
-208632.210000000000
-0.0330400590
N/A
DFE
CORP
CH
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
21400000.000000000000000
CHF
22050924.579999998211861
USD
2020-06-17
-208632.210000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
US DOLLARS
000000000
-10370000.000000000000
OU
Notional Amount
N/A
-331691.570000000000
-0.0525283658
N/A
DFE
CORP
XX
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
10370000.000000000000000
EUR
11180000.699999999254942
USD
2020-06-04
-331691.570000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
US DOLLARS
000000000
-53444000.000000000000
OU
Notional Amount
N/A
-1427038.160000000000
-0.2259930286
N/A
DFE
CORP
XX
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
53444000.000000000000000
EUR
57908177.320000000298023
USD
2020-06-10
-1427038.160000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
US DOLLARS
000000000
-6250000.000000000000
OU
Notional Amount
N/A
-134859.870000000000
-0.0213570956
N/A
DFE
CORP
XX
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
6250000.000000000000000
EUR
6805078.129999999888241
USD
2020-06-17
-134859.870000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
US DOLLARS
000000000
-28800000.000000000000
OU
Notional Amount
N/A
331274.500000000000
0.0524623165
N/A
DFE
CORP
GB
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
28800000.000000000000000
GBP
35901717.119999997317791
USD
2020-06-17
331274.500000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
US DOLLARS
000000000
-4450000.000000000000
OU
Notional Amount
N/A
-50734.060000000000
-0.0080345040
N/A
DFE
CORP
GB
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
4450000.000000000000000
GBP
5445393.360000000335276
USD
2020-06-17
-50734.060000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
US DOLLARS
000000000
-2510000000.000000000000
OU
Notional Amount
N/A
140986.580000000000
0.0223273526
N/A
DFE
CORP
JP
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
2510000000.000000000000000
JPY
23420242.619999997317791
USD
2020-06-17
140986.580000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
US DOLLARS
000000000
-235000000.000000000000
OU
Notional Amount
N/A
-17796.010000000000
-0.0028182667
N/A
DFE
CORP
JP
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
235000000.000000000000000
JPY
2161735.930000000167638
USD
2020-06-17
-17796.010000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
US DOLLARS
000000000
-134500000.000000000000
OU
Notional Amount
N/A
620516.220000000000
0.0982681079
N/A
DFE
CORP
NO
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
134500000.000000000000000
NOK
14458612.879999998956919
USD
2020-06-17
620516.220000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
US DOLLARS
000000000
-229000000.000000000000
OU
Notional Amount
N/A
-1767335.510000000000
-0.2798842495
N/A
DFE
CORP
NO
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
229000000.000000000000000
NOK
21793438.720000002533197
USD
2020-06-17
-1767335.510000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
US DOLLARS
000000000
-550000.000000000000
OU
Notional Amount
N/A
5739.180000000000
0.0009088858
N/A
DFE
CORP
NZ
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
550000.000000000000000
NZD
347129.750000000000000
USD
2020-06-17
5739.180000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
US DOLLARS
000000000
-73350000.000000000000
OU
Notional Amount
N/A
-957079.590000000000
-0.1515679967
N/A
DFE
CORP
NZ
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
73350000.000000000000000
NZD
44572007.700000002980232
USD
2020-06-17
-957079.590000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
US DOLLARS
000000000
-10942000.000000000000
OU
Notional Amount
N/A
-27325.500000000000
-0.0043274053
N/A
DFE
CORP
SE
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
10942000.000000000000000
SEK
1134019.379999999888241
USD
2020-06-10
-27325.500000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
US DOLLARS
000000000
-72250000.000000000000
OU
Notional Amount
N/A
62342.120000000000
0.0098728155
N/A
DFE
CORP
SE
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
72250000.000000000000000
SEK
7731208.620000000111759
USD
2020-06-17
62342.120000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
US DOLLARS
000000000
-329750000.000000000000
OU
Notional Amount
N/A
-1229269.270000000000
-0.1946733403
N/A
DFE
CORP
SE
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
329750000.000000000000000
SEK
33771543.590000003576279
USD
2020-06-17
-1229269.270000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
AUSTRALIA DOLLAR
000000000
89347000.000000000000
OU
Notional Amount
N/A
1544043.950000000000
0.2445226612
N/A
DFE
CORP
AU
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
58010657.270000003278255
USD
89347000.000000000000000
AUD
2020-06-10
1544043.950000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
AUSTRALIA DOLLAR
000000000
9450000.000000000000
OU
Notional Amount
N/A
278669.260000000000
0.0441314828
N/A
DFE
CORP
AU
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
6020320.799999999813735
USD
9450000.000000000000000
AUD
2020-06-17
278669.260000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
CANADIAN DOLLAR
000000000
4039000.000000000000
OU
Notional Amount
N/A
30733.850000000000
0.0048671690
N/A
DFE
CORP
CA
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
2902778.060000000055879
USD
4039000.000000000000000
CAD
2020-06-04
30733.850000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
CANADIAN DOLLAR
000000000
7100000.000000000000
OU
Notional Amount
N/A
72729.990000000000
0.0115178915
N/A
DFE
CORP
CA
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
5084024.459999999962747
USD
7100000.000000000000000
CAD
2020-06-17
72729.990000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
CANADIAN DOLLAR
000000000
44750000.000000000000
OU
Notional Amount
N/A
-949152.100000000000
-0.1503125590
N/A
DFE
CORP
CA
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
33451231.170000001788139
USD
44750000.000000000000000
CAD
2020-06-17
-949152.100000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SWISS FRANC
000000000
4650000.000000000000
OU
Notional Amount
N/A
24515.560000000000
0.0038824089
N/A
DFE
CORP
CH
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
4812257.290000000037253
USD
4650000.000000000000000
CHF
2020-06-17
24515.560000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SWISS FRANC
000000000
19200000.000000000000
OU
Notional Amount
N/A
-644310.330000000000
-0.1020362643
N/A
DFE
CORP
CH
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
20615501.469999998807907
USD
19200000.000000000000000
CHF
2020-06-17
-644310.330000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
EURO COUNTRIES
000000000
10370000.000000000000
OU
Notional Amount
N/A
172362.740000000000
0.0272962411
N/A
DFE
CORP
XX
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
11339329.529999999329448
USD
10370000.000000000000000
EUR
2020-06-04
172362.740000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
EURO COUNTRIES
000000000
746000.000000000000
OU
Notional Amount
N/A
10575.980000000000
0.0016748660
N/A
DFE
CORP
XX
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
817656.760000000009313
USD
746000.000000000000000
EUR
2020-06-10
10575.980000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
EURO COUNTRIES
000000000
17450000.000000000000
OU
Notional Amount
N/A
328074.590000000000
0.0519555624
N/A
DFE
CORP
XX
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
19048232.289999999105930
USD
17450000.000000000000000
EUR
2020-06-17
328074.590000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
EURO COUNTRIES
000000000
14700000.000000000000
OU
Notional Amount
N/A
-126089.000000000000
-0.0199680960
N/A
DFE
CORP
XX
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
16448823.169999999925494
USD
14700000.000000000000000
EUR
2020-06-17
-126089.000000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
BRITISH POUND
000000000
38250000.000000000000
OU
Notional Amount
N/A
-792510.010000000000
-0.1255059201
N/A
DFE
CORP
GB
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
48034504.109999999403954
USD
38250000.000000000000000
GBP
2020-06-17
-792510.010000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
JAPANESE YEN
000000000
2640000000.000000000000
OU
Notional Amount
N/A
3109.560000000000
0.0004924458
N/A
DFE
CORP
JP
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
24481845.000000000000000
USD
2640000000.000000000000000
JPY
2020-06-17
3109.560000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
JAPANESE YEN
000000000
1880000000.000000000000
OU
Notional Amount
N/A
-78804.480000000000
-0.0124798787
N/A
DFE
CORP
JP
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
17515060.000000000000000
USD
1880000000.000000000000000
JPY
2020-06-17
-78804.480000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
NORWAY KRONA
000000000
93750000.000000000000
OU
Notional Amount
N/A
462001.520000000000
0.0731649129
N/A
DFE
CORP
NO
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
9183511.949999999254942
USD
93750000.000000000000000
NOK
2020-06-17
462001.520000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
NEW ZEALAND DOLLAR
000000000
34500000.000000000000
OU
Notional Amount
N/A
644787.690000000000
0.1021118614
N/A
DFE
CORP
NZ
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
20769711.450000002980232
USD
34500000.000000000000000
NZD
2020-06-17
644787.690000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
NEW ZEALAND DOLLAR
000000000
24100000.000000000000
OU
Notional Amount
N/A
-169974.410000000000
-0.0269180130
N/A
DFE
CORP
NZ
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
15129088.300000000745058
USD
24100000.000000000000000
NZD
2020-06-17
-169974.410000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SWEDISH KRONA
000000000
567218000.000000000000
OU
Notional Amount
N/A
2401810.730000000000
0.3803629757
N/A
DFE
CORP
SE
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
57800686.219999998807907
USD
567218000.000000000000000
SEK
2020-06-10
2401810.730000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SWEDISH KRONA
000000000
572250000.000000000000
OU
Notional Amount
N/A
2622697.320000000000
0.4153437007
N/A
DFE
CORP
SE
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
58117909.679999999701977
USD
572250000.000000000000000
SEK
2020-06-17
2622697.320000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SWEDISH KRONA
000000000
3500000.000000000000
OU
Notional Amount
N/A
-158.190000000000
-0.0000250518
N/A
DFE
CORP
SE
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
371660.369999999995343
USD
3500000.000000000000000
SEK
2020-06-17
-158.190000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
NATURAL GAS JUL 20
000000000
-161.000000000000
NC
USD
172977.770000000000
0.0273936403
N/A
DCO
CORP
US
N
1
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Short
NATURAL GAS JUL 20
NATURAL GAS JUL 20
2020-06-26
-3149867.770000000000
USD
172977.770000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
NATURAL GAS JUL 20
000000000
-204.000000000000
NC
USD
75147.600000000000
0.0119007565
N/A
DCO
CORP
US
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Short
NATURAL GAS JUL 20
NATURAL GAS JUL 20
2020-06-26
-3847107.600000000000
USD
75147.600000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
EURO-OAT JUN 20
000000000
50.000000000000
NC
-167277.000000000000
-0.0264908374
N/A
DIR
CORP
DE
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Long
EURO-OAT JUN 20
EURO-OAT JUN 20
2020-06-08
8567699.450000000000
EUR
-167277.000000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
S&P/TSE 60 INDEX JUN 20
000000000
17.000000000000
NC
82838.360000000000
0.0131187044
N/A
DE
CORP
CA
N
1
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Long
S&P/TSE 60 INDEX JUN 20
S&P/TSE 60 INDEX JUN 20
2020-06-18
2998526.970000000000
CAD
82838.360000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
S&P/TSE 60 INDEX JUN 20
000000000
307.000000000000
NC
6246706.350000000000
0.9892602218
N/A
DE
CORP
CA
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
S&P/TSE 60 INDEX JUN 20
S&P/TSE 60 INDEX JUN 20
2020-06-18
47442969.670000000000
CAD
6246706.350000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
S&P/TSE 60 INDEX JUN 20
000000000
43.000000000000
NC
1105165.600000000000
0.1750196512
N/A
DE
CORP
CA
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Long
S&P/TSE 60 INDEX JUN 20
S&P/TSE 60 INDEX JUN 20
2020-06-18
6314999.900000000000
CAD
1105165.600000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
OMXS30 INDEX JUN 20
000000000
116.000000000000
NC
121192.990000000000
0.0191927389
N/A
DE
CORP
SE
N
1
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Long
OMXS30 INDEX JUN 20
OMXS30 INDEX JUN 20
2020-06-18
17713328.830000000000
SEK
121192.990000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
OMXS30 INDEX JUN 20
000000000
-172.000000000000
NC
-157211.530000000000
-0.0248968183
N/A
DE
CORP
SE
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Short
OMXS30 INDEX JUN 20
OMXS30 INDEX JUN 20
2020-06-18
-26484565.520000000000
SEK
-157211.530000000000
N
N
N
Credit Suisse
1V8Y6QCX6YMJ2OELII46
FSWP: GBP 1.000000 16-SEP-2030
000000000
34000000.000000000000
OU
Notional Amount
-2483723.650000000000
-0.3933351228
N/A
DIR
CORP
GB
N
2
Credit Suisse
1V8Y6QCX6YMJ2OELII46
BBA LIBOR GBP 6 Month
GBPLIB6M9
Y
2030-09-16
0.000000000000
USD
-1974702.300000000000
USD
34000000.000000000000
GBP
-509021.350000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP: MSCI SOUTH AFRICA NET
000000000
4135471.860000000000
OU
Notional Amount
12905.610000000000
0.0020437981
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI South Africa Net Return ZAR Index
CT1578246
Y
MSCI South Africa Net Return ZAR Index
2020-06-17
0.000000000000
USD
0.000000000000
USD
4135471.860000000000
ZAR
13146.090000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP: MSCI POLAND NET RETURN
000000000
248631.240000000000
OU
Notional Amount
-2738.040000000000
-0.0004336100
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MS_PL
BRS2NHV41
Y
MSCI Emerging - Poland
2020-06-17
0.000000000000
USD
0.000000000000
USD
248631.240000000000
PLN
-2729.840000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP: MSCI SOUTH AFRICA NET
000000000
24284802.230000000000
OU
Notional Amount
75785.830000000000
0.0120018299
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI South Africa Net Return ZAR Index
CT1578246
Y
MSCI South Africa Net Return ZAR Index
2020-06-17
0.000000000000
USD
0.000000000000
USD
24284802.230000000000
ZAR
77197.980000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP: MSCI SWITZERLAND NET INDEX
000000000
173625.420000000000
OU
Notional Amount
50.960000000000
0.0000080703
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI Switzerland Net Return CHF Index
CT1578293
Y
MSCI SWITZERLAND NR
2020-06-17
0.000000000000
USD
0.000000000000
USD
173625.420000000000
CHF
84.700000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP: MSCI MEXICO NET INDEX
000000000
7758246.000000000000
OU
Notional Amount
-151.150000000000
-0.0000239369
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI Mexico Net MXN Index
CT1578284
Y
MSCI Mexico Net MXN
2020-06-17
0.000000000000
USD
0.000000000000
USD
7758246.000000000000
MXN
352.610000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP: MSCI CHINA NET INDEX
000000000
-1020135.040000000000
OU
Notional Amount
-4524.590000000000
-0.0007165371
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MS_CN
BRS2NHYU0
Y
MSCI Emerging - China
2020-06-17
0.000000000000
USD
0.000000000000
USD
-1020135.040000000000
HKD
-4545.210000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP: MSCI CANADA NET 06/17/2020
000000000
359878.400000000000
OU
Notional Amount
-3169.500000000000
-0.0005019382
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI Canada Net Return CAD Index
CT1629248
Y
MSCI Canada Net Return CAD Index
2020-06-17
0.000000000000
USD
0.000000000000
USD
359878.400000000000
CAD
-3135.440000000000
N
N
N
Credit Suisse
1V8Y6QCX6YMJ2OELII46
FSWP: NZD 1.000000 11-SEP-2030
000000000
3800000.000000000000
OU
Notional Amount
54435.650000000000
0.0086207067
N/A
DIR
CORP
GB
N
2
Credit Suisse
1V8Y6QCX6YMJ2OELII46
NZD - 3M NEW ZEALAND BANK BILL RATE
NDBB3MIN1
Y
2030-09-11
0.000000000000
USD
-61630.330000000000
USD
3800000.000000000000
NZD
116065.980000000000
N
N
N
Credit Suisse
1V8Y6QCX6YMJ2OELII46
FSWP: NOK 1.000000 21-SEP-2022
000000000
21200000.000000000000
OU
Notional Amount
-26936.950000000000
-0.0042658725
N/A
DIR
CORP
GB
N
2
Credit Suisse
1V8Y6QCX6YMJ2OELII46
Norway Interbank Offered Rate
NIBOR6MO4
Y
2022-09-21
0.000000000000
USD
-26946.440000000000
USD
21200000.000000000000
NOK
9.490000000000
N
N
N
Credit Suisse
1V8Y6QCX6YMJ2OELII46
FSWP: NOK 1.000000 21-SEP-2022
000000000
254400000.000000000000
OU
Notional Amount
-323243.390000000000
-0.0511904690
N/A
DIR
CORP
GB
N
2
Credit Suisse
1V8Y6QCX6YMJ2OELII46
Norway Interbank Offered Rate
NIBOR6MO4
Y
2022-09-21
0.000000000000
USD
-108188.210000000000
USD
254400000.000000000000
NOK
-215055.180000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
CDS: (CMBX.NA.11.BBB-)
000000000
-4000000.000000000000
OU
Notional Amount
USD
-1116248.000000000000
-0.1767747165
N/A
DCR
CORP
US
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
CMBX.NA.11.BBB-
CX4B11012
Y
CMBX.NA.11.BBB-
2054-11-18
0.000000000000
USD
-812024.550000000000
USD
-4000000.000000000000
USD
-302556.780000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP: MSCI SOUTH AFRICA NET
000000000
2324957.570000000000
OU
Notional Amount
7255.520000000000
0.0011490211
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI South Africa Net Return ZAR Index
CT1578246
Y
MSCI South Africa Net Return ZAR Index
2020-06-17
0.000000000000
USD
0.000000000000
USD
2324957.570000000000
ZAR
7390.710000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP: MSCI SWITZERLAND NET INDEX
000000000
758468.940000000000
OU
Notional Amount
222.640000000000
0.0000352584
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI Switzerland Net Return CHF Index
CT1578293
Y
MSCI SWITZERLAND NR
2020-06-17
0.000000000000
USD
0.000000000000
USD
758468.940000000000
CHF
368.450000000000
N
N
N
Credit Suisse
1V8Y6QCX6YMJ2OELII46
FSWP: CAD 2.000000 14-SEP-2030
000000000
12500000.000000000000
OU
Notional Amount
-845096.500000000000
-0.1338337844
N/A
DIR
CORP
GB
N
2
Credit Suisse
1V8Y6QCX6YMJ2OELII46
Canada Bankers Acceptances 3 M
CADBA3MO4
Y
2030-09-14
0.000000000000
USD
-754776.340000000000
USD
12500000.000000000000
CAD
-90320.160000000000
N
N
N
Credit Suisse
1V8Y6QCX6YMJ2OELII46
FSWP: CHF -1.000000 21-SEP-2022
000000000
8900000.000000000000
OU
Notional Amount
61557.780000000000
0.0097486035
N/A
DIR
CORP
GB
N
2
Credit Suisse
1V8Y6QCX6YMJ2OELII46
ICE LIBOR CHF 6 Month
1001141342
Y
2022-09-21
63729.830000000000
USD
0.000000000000
USD
8900000.000000000000
CHF
-2172.050000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SWP: SEK 0.372000 03-APR-2030
000000000
594247000.000000000000
OU
Notional Amount
62983.860000000000
0.0099744447
N/A
DIR
CORP
US
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Stockholm Interbank Offered Ra
STIB3MIN4
Y
2030-04-03
46105.270000000000
USD
0.000000000000
USD
594247000.000000000000
SEK
20772.940000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SWP: USD 0.698200 03-APR-2030
000000000
23058000.000000000000
OU
Notional Amount
USD
-123078.760000000000
-0.0194913791
N/A
DIR
CORP
US
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
ICE LIBOR USD 3 Month
LIBOR3MO3
Y
2030-04-03
138.060000000000
USD
0.000000000000
USD
23058000.000000000000
USD
-96262.560000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SWP: GBP 0.541730 01-APR-2030
000000000
23506000.000000000000
OU
Notional Amount
-375434.640000000000
-0.0594557411
N/A
DIR
CORP
US
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
BBA LIBOR GBP 6 Month
GBPLIB6M9
Y
2030-04-01
0.000000000000
USD
0.000000000000
USD
23506000.000000000000
GBP
-367093.070000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SWP: JPY 0.010000 03-APR-2030
000000000
8633000000.000000000000
OU
Notional Amount
-86405.250000000000
-0.0136835753
N/A
DIR
CORP
US
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
JAPANESE YEN 6 MNTH
JY0006M09
Y
2030-04-03
0.000000000000
USD
0.000000000000
USD
8633000000.000000000000
JPY
-88047.070000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SWP: EUR -0.050000 03-APR-2030
000000000
16460000.000000000000
OU
Notional Amount
170596.510000000000
0.0270165319
N/A
DIR
CORP
US
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Euribor 6 Month ACT/360
EURIBOR65
Y
2030-04-03
0.000000000000
USD
0.000000000000
USD
16460000.000000000000
EUR
177452.850000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SWP: AUD 0.860000 02-APR-2030
000000000
39053000.000000000000
OU
Notional Amount
68244.610000000000
0.0108075639
N/A
DIR
CORP
US
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
BBA LIBOR AUD 6 Month **Discon
AUDLIB6M6
Y
2030-04-02
0.000000000000
USD
0.000000000000
USD
39053000.000000000000
AUD
52981.800000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SWP: NZD 0.890000 03-APR-2030
000000000
136677000.000000000000
OU
Notional Amount
1370320.650000000000
0.2170109549
N/A
DIR
CORP
US
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
NZD - 3M NEW ZEALAND BANK BILL RATE
NDBB3MIN1
Y
2030-04-03
0.000000000000
USD
0.000000000000
USD
136677000.000000000000
NZD
1423833.700000000000
N
N
N
Credit Suisse
1V8Y6QCX6YMJ2OELII46
FSWP: CHF -0.500000 21-SEP-2022
000000000
2800000.000000000000
OU
Notional Amount
10342.040000000000
0.0016378181
N/A
DIR
CORP
GB
N
2
Credit Suisse
1V8Y6QCX6YMJ2OELII46
ICE LIBOR CHF 6 Month
1001141342
Y
2022-09-21
6678.440000000000
USD
0.000000000000
USD
2800000.000000000000
CHF
3663.600000000000
N
N
N
Credit Suisse
1V8Y6QCX6YMJ2OELII46
FSWP: USD 0.500000 16-SEP-2022
000000000
90100000.000000000000
OU
Notional Amount
USD
474177.380000000000
0.0750931441
N/A
DIR
CORP
GB
N
2
Credit Suisse
1V8Y6QCX6YMJ2OELII46
ICE LIBOR USD 3 Month
LIBOR3MO3
Y
2022-09-16
386546.410000000000
USD
0.000000000000
USD
90100000.000000000000
USD
87630.970000000000
N
N
N
Credit Suisse
1V8Y6QCX6YMJ2OELII46
FSWP: USD 0.750000 16-SEP-2030
000000000
4200000.000000000000
OU
Notional Amount
USD
-36220.750000000000
-0.0057361024
N/A
DIR
CORP
GB
N
2
Credit Suisse
1V8Y6QCX6YMJ2OELII46
ICE LIBOR USD 3 Month
LIBOR3MO3
Y
2030-09-16
0.000000000000
USD
-53150.810000000000
USD
4200000.000000000000
USD
16930.060000000000
N
N
N
Credit Suisse
1V8Y6QCX6YMJ2OELII46
FSWP: USD 0.750000 16-SEP-2030
000000000
3300000.000000000000
OU
Notional Amount
USD
-28459.170000000000
-0.0045069391
N/A
DIR
CORP
GB
N
2
Credit Suisse
1V8Y6QCX6YMJ2OELII46
ICE LIBOR USD 3 Month
LIBOR3MO3
Y
2030-09-16
0.000000000000
USD
-12537.920000000000
USD
3300000.000000000000
USD
-15921.250000000000
N
N
N
Credit Suisse
1V8Y6QCX6YMJ2OELII46
FSWP: CAD 0.750000 14-SEP-2022
000000000
61200000.000000000000
OU
Notional Amount
148282.380000000000
0.0234827527
N/A
DIR
CORP
GB
N
2
Credit Suisse
1V8Y6QCX6YMJ2OELII46
Canada Bankers Acceptances 3 M
CADBA3MO4
Y
2022-09-14
110158.830000000000
USD
-5335.110000000000
USD
61200000.000000000000
CAD
43458.660000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP: MSCI POLAND NET RETURN
000000000
602452.620000000000
OU
Notional Amount
-6634.470000000000
-0.0010506684
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI Emerging Poland
MSCIPOTR4
Y
MSCI Emerging Poland
2020-06-17
0.000000000000
USD
0.000000000000
USD
602452.620000000000
PLN
-6614.600000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP: MSCI NETHERLANDS NET INDEX
000000000
-257.690000000000
OU
Notional Amount
2.150000000000
0.0000003405
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI Netherlands Net Return EUR Index
CT1629808
Y
MSCI NETHERLANDS NR
2020-06-17
0.000000000000
USD
0.000000000000
USD
-257.690000000000
EUR
2.160000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
FSWP: USD 0.500000 16-SEP-2025
000000000
12300000.000000000000
OU
Notional Amount
USD
77077.830000000000
0.0122064376
N/A
DIR
CORP
GB
N
2
Citi
MBNUM2BPBDO7JBLYG310
ICE LIBOR USD 3 Month
LIBOR3MO3
Y
2025-09-16
52832.840000000000
USD
0.000000000000
USD
12300000.000000000000
USD
24244.990000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
FSWP: USD 0.750000 16-SEP-2050
000000000
2300000.000000000000
OU
Notional Amount
USD
118608.450000000000
0.0187834380
N/A
DIR
CORP
GB
N
2
Citi
MBNUM2BPBDO7JBLYG310
ICE LIBOR USD 3 Month
LIBOR3MO3
Y
2050-09-16
39913.780000000000
USD
0.000000000000
USD
2300000.000000000000
USD
78694.670000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SWP: GBP 0.509470 01-MAY-2030
000000000
12180000.000000000000
OU
Notional Amount
-145042.140000000000
-0.0229696118
N/A
DIR
CORP
US
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
BBA LIBOR GBP 6 Month
GBPLIB6M9
Y
2030-05-01
0.000000000000
USD
0.000000000000
USD
12180000.000000000000
GBP
-143369.960000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SWP: AUD 0.891000 04-MAY-2030
000000000
146892000.000000000000
OU
Notional Amount
82381.200000000000
0.0130463063
N/A
DIR
CORP
US
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
BBA LIBOR AUD 6 Month **Discon
AUDLIB6M6
Y
2030-05-04
0.000000000000
USD
0.000000000000
USD
146892000.000000000000
AUD
132192.950000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SWP: NZD 0.729000 05-MAY-2030
000000000
62477000.000000000000
OU
Notional Amount
-7760.020000000000
-0.0012289163
N/A
DIR
CORP
US
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
NZD - 3M NEW ZEALAND BANK BILL RATE
NDBB3MIN1
Y
2030-05-05
0.000000000000
USD
0.000000000000
USD
62477000.000000000000
NZD
-20079.290000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SWP: CAD 0.998000 01-MAY-2030
000000000
42821000.000000000000
OU
Notional Amount
32674.080000000000
0.0051744337
N/A
DIR
CORP
US
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Canada Bankers Acceptances 3 M
CADBA3MO4
Y
2030-05-01
0.000000000000
USD
0.000000000000
USD
42821000.000000000000
CAD
24540.140000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SWP: EUR -0.133000 06-MAY-2030
000000000
30477000.000000000000
OU
Notional Amount
-4005.260000000000
-0.0006342934
N/A
DIR
CORP
US
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Euribor 6 Month ACT/360
EURIBOR65
Y
2030-05-06
0.000000000000
USD
0.000000000000
USD
30477000.000000000000
EUR
-4839.740000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP: MSCI NETHERLANDS
000000000
-100499.100000000000
OU
Notional Amount
839.860000000000
0.0001330045
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI Netherlands Net Return EUR Index
CT1629808
Y
MSCI NETHERLANDS NR
2020-06-17
0.000000000000
USD
0.000000000000
USD
-100499.100000000000
EUR
826.690000000000
N
N
N
Credit Suisse
1V8Y6QCX6YMJ2OELII46
FSWP: NZD 0.500000 14-SEP-2022
000000000
18100000.000000000000
OU
Notional Amount
-61338.280000000000
-0.0097138423
N/A
DIR
CORP
GB
N
2
Credit Suisse
1V8Y6QCX6YMJ2OELII46
NZD - 3M NEW ZEALAND BANK BILL RATE
NDBB3MIN1
Y
2022-09-14
0.000000000000
USD
-87403.940000000000
USD
18100000.000000000000
NZD
26065.660000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP: MSCI INTL SOUTH AFRICA NET
000000000
1879348.260000000000
OU
Notional Amount
5864.900000000000
0.0009287954
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI South Africa Net Return ZAR Index
CT1578246
Y
MSCI South Africa Net Return ZAR Index
2020-06-17
0.000000000000
USD
0.000000000000
USD
1879348.260000000000
ZAR
5974.180000000000
N
N
N
Credit Suisse
1V8Y6QCX6YMJ2OELII46
FSWP: NZD 0.000000 14-DEC-2022
000000000
49900000.000000000000
OU
Notional Amount
137258.040000000000
0.0217368820
N/A
DIR
CORP
GB
N
2
Credit Suisse
1V8Y6QCX6YMJ2OELII46
NZD - 3M NEW ZEALAND BANK BILL RATE
NDBB3MIN1
Y
2022-12-14
80146.680000000000
USD
0.000000000000
USD
49900000.000000000000
NZD
57111.360000000000
N
N
N
Credit Suisse
1V8Y6QCX6YMJ2OELII46
FSWP: JPY 0.000000 21-DEC-2022
000000000
1640500000.000000000000
OU
Notional Amount
-17595.160000000000
-0.0027864591
N/A
DIR
CORP
GB
N
2
Credit Suisse
1V8Y6QCX6YMJ2OELII46
JAPANESE YEN 6 MNTH
JY0006M09
Y
2022-12-21
0.000000000000
USD
-9802.590000000000
USD
1640500000.000000000000
JPY
-7792.570000000000
N
N
N
Credit Suisse
1V8Y6QCX6YMJ2OELII46
FSWP: JPY 0.000000 18-DEC-2030
000000000
329300000.000000000000
OU
Notional Amount
-3977.400000000000
-0.0006298813
N/A
DIR
CORP
GB
N
2
Credit Suisse
1V8Y6QCX6YMJ2OELII46
JAPANESE YEN 6 MNTH
JY0006M09
Y
2030-12-18
0.000000000000
USD
-8386.690000000000
USD
329300000.000000000000
JPY
4409.290000000000
N
N
N
Credit Suisse
1V8Y6QCX6YMJ2OELII46
FSWP: NZD 0.500000 11-DEC-2030
000000000
3900000.000000000000
OU
Notional Amount
-69145.490000000000
-0.0109502318
N/A
DIR
CORP
GB
N
2
Credit Suisse
1V8Y6QCX6YMJ2OELII46
NZD - 3M NEW ZEALAND BANK BILL RATE
NDBB3MIN1
Y
2030-12-11
0.000000000000
USD
-37194.560000000000
USD
3900000.000000000000
NZD
-31950.930000000000
N
N
N
Credit Suisse
1V8Y6QCX6YMJ2OELII46
FSWP: EUR -0.500000 16-DEC-2022
000000000
136800000.000000000000
OU
Notional Amount
466375.230000000000
0.0738575559
N/A
DIR
CORP
GB
N
2
Credit Suisse
1V8Y6QCX6YMJ2OELII46
Euribor 6 Month ACT/360
EURIBOR65
Y
2022-12-16
513267.290000000000
USD
0.000000000000
USD
136800000.000000000000
EUR
-46892.060000000000
N
N
N
Credit Suisse
1V8Y6QCX6YMJ2OELII46
FSWP: EUR -0.250000 16-DEC-2030
000000000
21500000.000000000000
OU
Notional Amount
-345537.690000000000
-0.0547211078
N/A
DIR
CORP
GB
N
2
Credit Suisse
1V8Y6QCX6YMJ2OELII46
Euribor 6 Month ACT/360
EURIBOR65
Y
2030-12-16
0.000000000000
USD
-388677.100000000000
USD
21500000.000000000000
EUR
43139.410000000000
N
N
N
Credit Suisse
1V8Y6QCX6YMJ2OELII46
FSWP: EUR -0.250000 16-DEC-2030
000000000
5700000.000000000000
OU
Notional Amount
-91607.670000000000
-0.0145074570
N/A
DIR
CORP
GB
N
2
Credit Suisse
1V8Y6QCX6YMJ2OELII46
Euribor 6 Month ACT/360
EURIBOR65
Y
2030-12-16
0.000000000000
USD
-90478.220000000000
USD
5700000.000000000000
EUR
-1129.450000000000
N
N
N
Credit Suisse
1V8Y6QCX6YMJ2OELII46
FSWP: GBP 0.500000 16-DEC-2022
000000000
90900000.000000000000
OU
Notional Amount
620389.300000000000
0.0982480082
N/A
DIR
CORP
GB
N
2
Credit Suisse
1V8Y6QCX6YMJ2OELII46
BBA LIBOR GBP 6 Month
GBPLIB6M9
Y
2022-12-16
536229.510000000000
USD
0.000000000000
USD
90900000.000000000000
GBP
84159.790000000000
N
N
N
Credit Suisse
1V8Y6QCX6YMJ2OELII46
FSWP: GBP 0.750000 16-DEC-2030
000000000
17900000.000000000000
OU
Notional Amount
-740653.380000000000
-0.1172936402
N/A
DIR
CORP
GB
N
2
Credit Suisse
1V8Y6QCX6YMJ2OELII46
BBA LIBOR GBP 6 Month
GBPLIB6M9
Y
2030-12-16
0.000000000000
USD
-657070.220000000000
USD
17900000.000000000000
GBP
-83583.160000000000
N
N
N
Credit Suisse
1V8Y6QCX6YMJ2OELII46
FSWP: CAD 1.250000 14-DEC-2022
000000000
44500000.000000000000
OU
Notional Amount
412624.590000000000
0.0653453309
N/A
DIR
CORP
GB
N
2
Credit Suisse
1V8Y6QCX6YMJ2OELII46
Canada Bankers Acceptances 3 M
CADBA3MO4
Y
2022-12-14
412321.510000000000
USD
0.000000000000
USD
44500000.000000000000
CAD
303.080000000000
N
N
N
Credit Suisse
1V8Y6QCX6YMJ2OELII46
FSWP: CAD 1.250000 14-DEC-2022
000000000
36800000.000000000000
OU
Notional Amount
341226.610000000000
0.0540383833
N/A
DIR
CORP
GB
N
2
Credit Suisse
1V8Y6QCX6YMJ2OELII46
Canada Bankers Acceptances 3 M
CADBA3MO4
Y
2022-12-14
343224.570000000000
USD
0.000000000000
USD
36800000.000000000000
CAD
-1997.960000000000
N
N
N
Credit Suisse
1V8Y6QCX6YMJ2OELII46
FSWP: CAD 1.500000 14-DEC-2030
000000000
11300000.000000000000
OU
Notional Amount
-343815.050000000000
-0.0544483018
N/A
DIR
CORP
GB
N
2
Credit Suisse
1V8Y6QCX6YMJ2OELII46
Canada Bankers Acceptances 3 M
CADBA3MO4
Y
2030-12-14
0.000000000000
USD
-332978.740000000000
USD
11300000.000000000000
CAD
-10836.310000000000
N
N
N
Credit Suisse
1V8Y6QCX6YMJ2OELII46
FSWP: USD 0.750000 16-DEC-2022
000000000
9100000.000000000000
OU
Notional Amount
USD
-93868.230000000000
-0.0148654508
N/A
DIR
CORP
GB
N
2
Credit Suisse
1V8Y6QCX6YMJ2OELII46
ICE LIBOR USD 3 Month
LIBOR3MO3
Y
2022-12-16
0.000000000000
USD
-91327.170000000000
USD
9100000.000000000000
USD
-2541.060000000000
N
N
N
Credit Suisse
1V8Y6QCX6YMJ2OELII46
FSWP: USD 1.000000 16-DEC-2030
000000000
1800000.000000000000
OU
Notional Amount
USD
56049.820000000000
0.0088763349
N/A
DIR
CORP
GB
N
2
Credit Suisse
1V8Y6QCX6YMJ2OELII46
ICE LIBOR USD 3 Month
LIBOR3MO3
Y
2030-12-16
46259.040000000000
USD
0.000000000000
USD
1800000.000000000000
USD
9790.780000000000
N
N
N
Credit Suisse
1V8Y6QCX6YMJ2OELII46
FSWP: AUD 0.000000 08-DEC-2022
000000000
2800000.000000000000
OU
Notional Amount
-10189.450000000000
-0.0016136532
N/A
DIR
CORP
GB
N
2
Credit Suisse
1V8Y6QCX6YMJ2OELII46
ASX Australian Bank Bill Short Term Rates 3 Month Mid
CT1622425
Y
2022-12-08
0.000000000000
USD
-9691.280000000000
USD
2800000.000000000000
AUD
-498.170000000000
N
N
N
Credit Suisse
1V8Y6QCX6YMJ2OELII46
FSWP: AUD 0.010000 12-DEC-2030
000000000
600000.000000000000
OU
Notional Amount
-1521.680000000000
-0.0002409810
N/A
DIR
CORP
GB
N
2
Credit Suisse
1V8Y6QCX6YMJ2OELII46
BBA LIBOR AUD 6 Month **Discon
AUDLIB6M6
Y
2030-12-12
0.000000000000
USD
-1070.010000000000
USD
600000.000000000000
AUD
-451.670000000000
N
N
N
Credit Suisse
1V8Y6QCX6YMJ2OELII46
FSWP: NOK 0.005000 21-DEC-2022
000000000
146800000.000000000000
OU
Notional Amount
-31773.860000000000
-0.0050318702
N/A
DIR
CORP
GB
N
2
Credit Suisse
1V8Y6QCX6YMJ2OELII46
Norway Interbank Offered Rate
NIBOR6MO4
Y
2022-12-21
0.000000000000
USD
-39130.490000000000
USD
146800000.000000000000
NOK
7356.630000000000
N
N
N
Credit Suisse
1V8Y6QCX6YMJ2OELII46
FSWP: NOK 0.010000 18-DEC-2030
000000000
30200000.000000000000
OU
Notional Amount
47377.690000000000
0.0075029722
N/A
DIR
CORP
GB
N
2
Credit Suisse
1V8Y6QCX6YMJ2OELII46
Norway Interbank Offered Rate
NIBOR6MO4
Y
2030-12-18
52501.520000000000
USD
0.000000000000
USD
30200000.000000000000
NOK
-5123.830000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
SET50 FUTURES JUN 20
000000000
-156.000000000000
NC
-166819.100000000000
-0.0264183220
N/A
DE
CORP
TH
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
SET50 FUTURES JUN 20
SET50 FUTURES JUN 20
2020-06-29
-22418317.480000000000
THB
-166819.100000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
10YR MINI JGB JUN 20
000000000
4.000000000000
NC
-1005.460000000000
-0.0001592298
N/A
DIR
CORP
SG
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
10YR MINI JGB JUN 20
10YR MINI JGB JUN 20
2020-06-12
60985000.000000000000
JPY
-1005.460000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
10YR MINI JGB JUN 20
000000000
1.000000000000
NC
1320.920000000000
0.0002091876
N/A
DIR
CORP
SG
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Long
10YR MINI JGB JUN 20
10YR MINI JGB JUN 20
2020-06-12
15072207.000000000000
JPY
1320.920000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SOYBEAN OIL JUL 20
000000000
176.000000000000
NC
USD
123480.180000000000
0.0195549500
N/A
DCO
CORP
US
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Long
SOYBEAN OIL JUL 20
SOYBEAN OIL JUL 20
2020-07-14
2767847.820000000000
USD
123480.180000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
SOYBEAN OIL JUL 20
000000000
-30.000000000000
NC
USD
-3773.760000000000
-0.0005976318
N/A
DCO
CORP
US
N
1
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Short
SOYBEAN OIL JUL 20
SOYBEAN OIL JUL 20
2020-07-14
-489066.240000000000
USD
-3773.760000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
CORN JUL 20
000000000
-156.000000000000
NC
USD
-74162.980000000000
-0.0117448271
N/A
DCO
CORP
US
N
1
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Short
CORN JUL 20
CORN JUL 20
2020-07-14
-2466687.020000000000
USD
-74162.980000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
CORN JUL 20
000000000
-173.000000000000
NC
USD
-42691.600000000000
-0.0067608591
N/A
DCO
CORP
US
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Short
CORN JUL 20
CORN JUL 20
2020-07-14
-2775045.900000000000
USD
-42691.600000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-87022000.000000000000
OU
Notional Amount
N/A
-179972.830000000000
-0.0285014137
N/A
DFE
CORP
AU
N
2
Citi
MBNUM2BPBDO7JBLYG310
87022000.000000000000000
AUD
57824987.710000000894070
USD
2020-06-10
-179972.830000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-57624500.000000000000
OU
Notional Amount
N/A
-1987177.700000000000
-0.3146995780
N/A
DFE
CORP
AU
N
2
Citi
MBNUM2BPBDO7JBLYG310
57624500.000000000000000
AUD
36422997.199999995529652
USD
2020-06-17
-1987177.700000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-92040538.000000000000
OU
Notional Amount
N/A
1836096.770000000000
0.2907736327
N/A
DFE
CORP
BR
N
2
Citi
MBNUM2BPBDO7JBLYG310
92040538.000000000000000
BRL
19070146.750000000000000
USD
2020-06-17
1836096.770000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-28974500.000000000000
OU
Notional Amount
N/A
-354851.200000000000
-0.0561960427
N/A
DFE
CORP
BR
N
2
Citi
MBNUM2BPBDO7JBLYG310
28974500.000000000000000
BRL
5070453.730000000447035
USD
2020-06-17
-354851.200000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-7904167.000000000000
OU
Notional Amount
N/A
-606.610000000000
-0.0000960658
N/A
DFE
CORP
BR
N
2
Citi
MBNUM2BPBDO7JBLYG310
7904167.000000000000000
BRL
1474047.469999999972060
USD
2020-09-16
-606.610000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
CAC40 10 EURO JUN 20
000000000
-108.000000000000
NC
-264448.380000000000
-0.0418793919
N/A
DE
CORP
FR
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
CAC40 10 EURO JUN 20
CAC40 10 EURO JUN 20
2020-06-19
-4820719.920000000000
EUR
-264448.380000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
CAC40 10 EURO JUN 20
000000000
-169.000000000000
NC
-485701.070000000000
-0.0769180943
N/A
DE
CORP
FR
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Short
CAC40 10 EURO JUN 20
CAC40 10 EURO JUN 20
2020-06-19
-7475848.430000000000
EUR
-485701.070000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
WTI CRUDE JUN 21
000000000
17.000000000000
NC
USD
83772.260000000000
0.0132666016
N/A
DCO
CORP
US
N
1
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Long
WTI CRUDE JUN 21
WTI CRUDE JUN 21
2021-05-20
570047.740000000000
USD
83772.260000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
WTI CRUDE JUL 20
000000000
-160.000000000000
NC
USD
-2012498.680000000000
-0.3187095373
N/A
DCO
CORP
US
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Short
WTI CRUDE JUL 20
WTI CRUDE JUL 20
2020-06-22
-3665901.320000000000
USD
-2012498.680000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
WTI CRUDE AUG 20
000000000
-40.000000000000
NC
USD
-303922.020000000000
-0.0481306385
N/A
DCO
CORP
US
N
1
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Short
WTI CRUDE AUG 20
WTI CRUDE AUG 20
2020-07-21
-1129677.980000000000
USD
-303922.020000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
WTI CRUDE DEC 21
000000000
17.000000000000
NC
USD
77312.260000000000
0.0122435631
N/A
DCO
CORP
US
N
1
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Long
WTI CRUDE DEC 21
WTI CRUDE DEC 21
2021-11-19
597757.740000000000
USD
77312.260000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
CAN 10YR BOND SEP 20
000000000
12.000000000000
NC
990.170000000000
0.0001568084
N/A
DIR
CORP
CA
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
CAN 10YR BOND SEP 20
CAN 10YR BOND SEP 20
2020-09-21
1842316.680000000000
CAD
990.170000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
CAN 10YR BOND SEP 20
000000000
-65.000000000000
NC
-14266.480000000000
-0.0022593124
N/A
DIR
CORP
CA
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Short
CAN 10YR BOND SEP 20
CAN 10YR BOND SEP 20
2020-09-21
-9966960.250000000000
CAD
-14266.480000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
BRENT CRUDE (ICE) AUG 20
000000000
-49.000000000000
NC
USD
-223722.470000000000
-0.0354298294
N/A
DCO
CORP
GB
N
1
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Short
BRENT CRUDE (ICE) AUG 20
BRENT CRUDE (ICE) AUG 20
2020-06-30
-1630437.530000000000
USD
-223722.470000000000
N
N
N
OCWEN MASTER ADVANCE RECEIVABLES TRUST OMART_19-T1
N/A
OMART_19-T1
67575NBP7
1125000.000000000000
PA
USD
1119929.180000000000
0.1773576869
Long
ABS-MBS
CORP
US
N
2
2050-08-15
Fixed
3.106800000000
N
N
N
N
N
N
PMT CREDIT RISK TRANSFER TRUST PMTCR_19-2R
N/A
PMTCR_19-2R
69345WAA6
1858474.370000000000
PA
USD
1628716.760000000000
0.2579318785
Long
ABS-CBDO
CORP
US
N
3
2023-05-27
Variable
2.919500000000
N
N
N
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
COTTON NO.2 JUL 20
000000000
123.000000000000
NC
USD
268842.780000000000
0.0425753114
N/A
DCO
CORP
US
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Long
COTTON NO.2 JUL 20
COTTON NO.2 JUL 20
2020-07-09
3272942.220000000000
USD
268842.780000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-43740000.000000000000
OU
Notional Amount
N/A
789071.550000000000
0.1249613881
N/A
DFE
CORP
CA
N
2
Citi
MBNUM2BPBDO7JBLYG310
43740000.000000000000000
CAD
32557584.130000002682209
USD
2020-06-17
789071.550000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-34975000.000000000000
OU
Notional Amount
N/A
-518871.010000000000
-0.0821710549
N/A
DFE
CORP
CA
N
2
Citi
MBNUM2BPBDO7JBLYG310
34975000.000000000000000
CAD
24883591.899999998509884
USD
2020-06-17
-518871.010000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-6501000.000000000000
OU
Notional Amount
N/A
888.200000000000
0.0001406599
N/A
DFE
CORP
CA
N
2
Citi
MBNUM2BPBDO7JBLYG310
6501000.000000000000000
CAD
4722579.639999999664724
USD
2020-09-16
888.200000000000
N
N
N
PNMAC GMSR ISSUER TRUST PNMSR_18-GT1
N/A
PNMSR_18-GT1
69354WAC0
3250000.000000000000
PA
USD
2900688.050000000000
0.4593677281
Long
ABS-CBDO
CORP
US
N
2
2023-02-25
Variable
3.018300000000
N
N
N
N
N
N
PNMAC GMSR ISSUER TRUST PNMSR_18-GT2
N/A
PNMSR_18-GT2
69354WAD8
3750000.000000000000
PA
USD
3299075.630000000000
0.5224584136
Long
ABS-CBDO
CORP
US
N
2
2025-08-25
Variable
2.818300000000
N
N
N
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-112347000.000000000000
OU
Notional Amount
N/A
-950446.040000000000
-0.1505174740
N/A
DFE
CORP
CH
N
2
Citi
MBNUM2BPBDO7JBLYG310
112347000.000000000000000
CHF
115885565.750000000000000
USD
2020-06-10
-950446.040000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-1774625.000000000000
OU
Notional Amount
N/A
54212.170000000000
0.0085853153
N/A
DFE
CORP
CH
N
2
Citi
MBNUM2BPBDO7JBLYG310
1774625.000000000000000
CHF
1900117.109999999869615
USD
2020-06-17
54212.170000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
CZECH KORUNA
000000000
298139600.000000000000
OU
Notional Amount
N/A
328561.240000000000
0.0520326308
N/A
DFE
CORP
CZ
N
2
Citi
MBNUM2BPBDO7JBLYG310
11970884.460000000894070
USD
298139600.000000000000000
CZK
2020-06-17
328561.240000000000
N
N
N
PRESTON RIDGE PARTNERS MORTGAGE TRUST PRPM_20-1A
N/A
PRPM_20-1A
69359GAB2
2250000.000000000000
PA
USD
1829752.880000000000
0.2897689820
Long
ABS-CBDO
CORP
US
N
2
2025-02-25
Variable
3.967000000000
N
N
N
N
N
N
PRESTON RIDGE PARTNERS MORTGAGE TRUST PRPM_19-4A
N/A
PRPM_19-4A
69359NAB7
1500000.000000000000
PA
USD
1340526.600000000000
0.2122926175
Long
ABS-CBDO
CORP
US
N
2
2024-11-25
Variable
4.654000000000
N
N
N
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-21973875.000000000000
OU
Notional Amount
N/A
-182385.180000000000
-0.0288834457
N/A
DFE
CORP
CH
N
2
Citi
MBNUM2BPBDO7JBLYG310
21973875.000000000000000
CHF
22674096.980000000447035
USD
2020-06-17
-182385.180000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-590714285.000000000000
OU
Notional Amount
N/A
4099.970000000000
0.0006492921
N/A
DFE
CORP
CL
N
2
Citi
MBNUM2BPBDO7JBLYG310
590714285.000000000000000
CLP
742100.589999999967404
USD
2020-06-17
4099.970000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-8409285715.000000000000
OU
Notional Amount
N/A
-197096.320000000000
-0.0312131767
N/A
DFE
CORP
CL
N
2
Citi
MBNUM2BPBDO7JBLYG310
8409285715.000000000000000
CLP
10308927.020000001415610
USD
2020-06-17
-197096.320000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-1090000000.000000000000
OU
Notional Amount
N/A
-22484.720000000000
-0.0035607947
N/A
DFE
CORP
CL
N
2
Citi
MBNUM2BPBDO7JBLYG310
1090000000.000000000000000
CLP
1340089.399999999906868
USD
2020-09-16
-22484.720000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-26663194.000000000000
OU
Notional Amount
N/A
65743.430000000000
0.0104114643
N/A
DFE
CORP
CN
N
2
Citi
MBNUM2BPBDO7JBLYG310
26663194.000000000000000
CNY
3797449.169999998994172
USD
2020-06-17
65743.430000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-26725210.000000000000
OU
Notional Amount
N/A
-18493.110000000000
-0.0029286631
N/A
DFE
CORP
CN
N
2
Citi
MBNUM2BPBDO7JBLYG310
26725210.000000000000000
CNY
3702827.440000000409782
USD
2020-09-16
-18493.110000000000
N
N
N
OMSR_2019-PLS1
N/A
OMSR_2019-PLS1
69375JAA8
3375156.610000000000
PA
USD
2708563.180000000000
0.4289418555
Long
ABS-CBDO
CORP
US
N
3
2024-11-25
Fixed
5.069000000000
N
N
N
N
N
N
PAGAYA AI DEBT SELECTION TRUST I PAID_19-3
N/A
PAID_19-3
69545MAB4
1100000.000000000000
PA
USD
981446.620000000000
0.1554268836
Long
ABS-MBS
CORP
US
N
2
2026-11-16
Fixed
5.625000000000
N
N
N
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
CZECH KORUNA
000000000
17400000.000000000000
OU
Notional Amount
N/A
-32909.170000000000
-0.0052116637
N/A
DFE
CORP
CZ
N
2
Citi
MBNUM2BPBDO7JBLYG310
750728.449999999953434
USD
17400000.000000000000000
CZK
2020-06-17
-32909.170000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
EURO COUNTRIES
000000000
21030999.000000000000
OU
Notional Amount
N/A
376550.870000000000
0.0596325129
N/A
DFE
CORP
XX
N
2
Citi
MBNUM2BPBDO7JBLYG310
22976061.789999999105930
USD
21030999.000000000000000
EUR
2020-06-17
376550.870000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
EURO COUNTRIES
000000000
34746001.000000000000
OU
Notional Amount
N/A
-332321.610000000000
-0.0526281421
N/A
DFE
CORP
XX
N
2
Citi
MBNUM2BPBDO7JBLYG310
38913936.419999994337559
USD
34746001.000000000000000
EUR
2020-06-17
-332321.610000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
BRITISH POUND
000000000
11835375.000000000000
OU
Notional Amount
N/A
402413.940000000000
0.0637283204
N/A
DFE
CORP
GB
N
2
Citi
MBNUM2BPBDO7JBLYG310
14215277.980000002309680
USD
11835375.000000000000000
GBP
2020-06-17
402413.940000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-8386471820.000000000000
OU
Notional Amount
N/A
4589.980000000000
0.0007268926
N/A
DFE
CORP
CO
N
2
Citi
MBNUM2BPBDO7JBLYG310
8386471820.000000000000000
COP
2249740.740000000223517
USD
2020-06-17
4589.980000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-15700000000.000000000000
OU
Notional Amount
N/A
-259738.670000000000
-0.0411335382
N/A
DFE
CORP
CO
N
2
Citi
MBNUM2BPBDO7JBLYG310
15700000000.000000000000000
COP
3943324.030000000260770
USD
2020-06-17
-259738.670000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-2600000000.000000000000
OU
Notional Amount
N/A
765.530000000000
0.0001212332
N/A
DFE
CORP
CO
N
2
Citi
MBNUM2BPBDO7JBLYG310
2600000000.000000000000000
COP
691725.930000000051223
USD
2020-09-16
765.530000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-114400000.000000000000
OU
Notional Amount
N/A
360736.170000000000
0.0571280165
N/A
DFE
CORP
CZ
N
2
Citi
MBNUM2BPBDO7JBLYG310
114400000.000000000000000
CZK
5080191.719999999739230
USD
2020-06-17
360736.170000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-237039600.000000000000
OU
Notional Amount
N/A
-394157.030000000000
-0.0624207141
N/A
DFE
CORP
CZ
N
2
Citi
MBNUM2BPBDO7JBLYG310
237039600.000000000000000
CZK
9384670.359999999403954
USD
2020-06-17
-394157.030000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-2672585.000000000000
OU
Notional Amount
N/A
49528.330000000000
0.0078435585
N/A
DFE
CORP
XX
N
2
Citi
MBNUM2BPBDO7JBLYG310
2672585.000000000000000
EUR
3017140.199999999720603
USD
2020-06-17
49528.330000000000
N
N
N
PMT CREDIT RISK TRANSFER TRUST PMTCR_19-1R
N/A
PMTCR_19-1R
73021CAA3
1949428.290000000000
PA
USD
1755671.200000000000
0.2780370300
Long
ABS-CBDO
CORP
US
N
3
2024-03-27
Variable
2.169500000000
N
N
N
N
N
N
PROGRESS RESIDENTIAL TRUST PROG_20-SFR1
N/A
PROG_20-SFR1
74331CAF5
575000.000000000000
PA
USD
492420.460000000000
0.0779822111
Long
ABS-MBS
CORP
US
N
2
2037-04-17
Fixed
3.431000000000
N
N
N
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
BRITISH POUND
000000000
15513000.000000000000
OU
Notional Amount
N/A
-879543.570000000000
-0.1392889978
N/A
DFE
CORP
GB
N
2
Citi
MBNUM2BPBDO7JBLYG310
20039414.279999997466803
USD
15513000.000000000000000
GBP
2020-06-17
-879543.570000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
HUNGARIAN FURINT
000000000
405280000.000000000000
OU
Notional Amount
N/A
36115.190000000000
0.0057193854
N/A
DFE
CORP
HU
N
2
Citi
MBNUM2BPBDO7JBLYG310
1259873.799999999813735
USD
405280000.000000000000000
HUF
2020-06-17
36115.190000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
HUNGARIAN FURINT
000000000
1185937000.000000000000
OU
Notional Amount
N/A
-93885.080000000000
-0.0148681193
N/A
DFE
CORP
HU
N
2
Citi
MBNUM2BPBDO7JBLYG310
3886229.370000000577420
USD
1185937000.000000000000000
HUF
2020-06-17
-93885.080000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
INDONESIAN RUPIA
000000000
16650000000.000000000000
OU
Notional Amount
N/A
50429.050000000000
0.0079862011
N/A
DFE
CORP
ID
N
2
Citi
MBNUM2BPBDO7JBLYG310
1085134.250000000000000
USD
16650000000.000000000000000
IDR
2020-06-17
50429.050000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-92702594.000000000000
OU
Notional Amount
N/A
-2122792.250000000000
-0.3361761886
N/A
DFE
CORP
XX
N
2
Citi
MBNUM2BPBDO7JBLYG310
92702594.000000000000000
EUR
100813248.480000004172325
USD
2020-06-17
-2122792.250000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-32158000.000000000000
OU
Notional Amount
N/A
1597712.640000000000
0.2530219082
N/A
DFE
CORP
GB
N
2
Citi
MBNUM2BPBDO7JBLYG310
32158000.000000000000000
GBP
41315570.050000004470348
USD
2020-06-17
1597712.640000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
INDONESIAN RUPIA
000000000
19200000000.000000000000
OU
Notional Amount
N/A
-43009.660000000000
-0.0068112287
N/A
DFE
CORP
ID
N
2
Citi
MBNUM2BPBDO7JBLYG310
1352488.060000000055879
USD
19200000000.000000000000000
IDR
2020-06-17
-43009.660000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
ISRAELI SHEKEL
000000000
12900000.000000000000
OU
Notional Amount
N/A
86719.080000000000
0.0137332750
N/A
DFE
CORP
IL
N
2
Citi
MBNUM2BPBDO7JBLYG310
3587798.649999999906868
USD
12900000.000000000000000
ILS
2020-06-17
86719.080000000000
N
N
N
PROGRESS RESIDENTIAL TRUST PROG_18-SFR3
N/A
PROG_18-SF3
74331MAB2
2000000.000000000000
PA
USD
2048251.800000000000
0.3243715834
Long
ABS-MBS
CORP
US
N
2
2035-10-17
Fixed
4.079000000000
N
N
N
N
N
N
PROGRESS RESIDENTIAL TRUST PROG_19-SFR3
N/A
PROG_19-SFR3
74332WAJ2
1000000.000000000000
PA
USD
938625.000000000000
0.1486454339
Long
ABS-MBS
CORP
US
N
2
2036-09-17
Fixed
3.369000000000
N
N
N
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
ISRAELI SHEKEL
000000000
4000000.000000000000
OU
Notional Amount
N/A
-33385.170000000000
-0.0052870455
N/A
DFE
CORP
IL
N
2
Citi
MBNUM2BPBDO7JBLYG310
1172770.509999999776483
USD
4000000.000000000000000
ILS
2020-06-17
-33385.170000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
INDIAN RUPEE
000000000
296868000.000000000000
OU
Notional Amount
N/A
63939.850000000000
0.0101258402
N/A
DFE
CORP
IN
N
2
Citi
MBNUM2BPBDO7JBLYG310
3859222.429999999701977
USD
296868000.000000000000000
INR
2020-06-17
63939.850000000000
N
N
N
PROGRESS RESIDENTIAL TRUST PROG_19-SFR3
N/A
PROG_19-SFR3
74332WAL7
6700000.000000000000
PA
USD
6174137.770000000000
0.9777678920
Long
ABS-MBS
CORP
US
N
2
2036-09-17
Fixed
3.867000000000
N
N
N
N
N
N
PROGRESS RESIDENTIAL TRUST PROG_20-SFR2
N/A
PROG_20-SFR2
74333LAL0
500000.000000000000
PA
USD
487647.250000000000
0.0772263013
Long
ABS-MBS
CORP
US
N
2
2037-06-18
Fixed
6.152000000000
N
N
N
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
INDIAN RUPEE
000000000
50664000.000000000000
OU
Notional Amount
N/A
-18230.930000000000
-0.0028871429
N/A
DFE
CORP
IN
N
2
Citi
MBNUM2BPBDO7JBLYG310
687764.510000000009313
USD
50664000.000000000000000
INR
2020-06-17
-18230.930000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
JAPANESE YEN
000000000
6211300000.000000000000
OU
Notional Amount
N/A
-245142.230000000000
-0.0388219717
N/A
DFE
CORP
JP
N
2
Citi
MBNUM2BPBDO7JBLYG310
57846583.109999999403954
USD
6211300000.000000000000000
JPY
2020-06-10
-245142.230000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-6904000.000000000000
OU
Notional Amount
N/A
-100208.440000000000
-0.0158695188
N/A
DFE
CORP
GB
N
2
Citi
MBNUM2BPBDO7JBLYG310
6904000.000000000000000
GBP
8426817.119999999180436
USD
2020-06-17
-100208.440000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-1673375.000000000000
OU
Notional Amount
N/A
-16670.560000000000
-0.0026400348
N/A
DFE
CORP
GB
N
2
Citi
MBNUM2BPBDO7JBLYG310
1673375.000000000000000
GBP
2050827.830000000074506
USD
2020-09-16
-16670.560000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
JAPANESE YEN
000000000
1335894000.000000000000
OU
Notional Amount
N/A
187156.850000000000
0.0296391116
N/A
DFE
CORP
JP
N
2
Citi
MBNUM2BPBDO7JBLYG310
12202730.980000000447035
USD
1335894000.000000000000000
JPY
2020-06-17
187156.850000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
JAPANESE YEN
000000000
7412528000.000000000000
OU
Notional Amount
N/A
-693038.690000000000
-0.1097531355
N/A
DFE
CORP
JP
N
2
Citi
MBNUM2BPBDO7JBLYG310
69441300.530000001192093
USD
7412528000.000000000000000
JPY
2020-06-17
-693038.690000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
JAPANESE YEN
000000000
1400831750.000000000000
OU
Notional Amount
N/A
-12093.710000000000
-0.0019152215
N/A
DFE
CORP
JP
N
2
Citi
MBNUM2BPBDO7JBLYG310
13023252.940000001341105
USD
1400831750.000000000000000
JPY
2020-09-16
-12093.710000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
KOREAN WON
000000000
698764000.000000000000
OU
Notional Amount
N/A
9718.540000000000
0.0015390775
N/A
DFE
CORP
KW
N
2
Citi
MBNUM2BPBDO7JBLYG310
555810.729999999981374
USD
698764000.000000000000000
KRW
2020-06-17
9718.540000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
KOREAN WON
000000000
24072480000.000000000000
OU
Notional Amount
N/A
-420952.480000000000
-0.0666641780
N/A
DFE
CORP
KW
N
2
Citi
MBNUM2BPBDO7JBLYG310
19903484.530000001192093
USD
24072480000.000000000000000
KRW
2020-06-17
-420952.480000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
KOREAN WON
000000000
3479491000.000000000000
OU
Notional Amount
N/A
19293.090000000000
0.0030553520
N/A
DFE
CORP
KW
N
2
Citi
MBNUM2BPBDO7JBLYG310
2804230.350000000093132
USD
3479491000.000000000000000
KRW
2020-09-16
19293.090000000000
N
N
N
PROPER PASS-THRU TRUST II PPT2_19-ST2
N/A
PPT2_19-ST2
74361EAA5
1597616.330000000000
PA
USD
1533711.680000000000
0.2428863903
Long
ABS-MBS
CORP
US
N
3
2025-11-15
Fixed
3.750000000000
N
N
N
N
N
N
RCO MORTGAGE LLC RCO_19-2
N/A
RCO_19-2
74937DAA2
3657929.480000000000
PA
USD
3586081.890000000000
0.5679101861
Long
ABS-CBDO
CORP
US
N
2
2024-11-25
Variable
3.474800000000
N
N
N
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-56937000.000000000000
OU
Notional Amount
N/A
8948.440000000000
0.0014171205
N/A
DFE
CORP
HU
N
2
Citi
MBNUM2BPBDO7JBLYG310
56937000.000000000000000
HUF
191019.409999999974389
USD
2020-06-17
8948.440000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-1768780000.000000000000
OU
Notional Amount
N/A
-252567.440000000000
-0.0399978657
N/A
DFE
CORP
HU
N
2
Citi
MBNUM2BPBDO7JBLYG310
1768780000.000000000000000
HUF
5403570.040000000968575
USD
2020-06-17
-252567.440000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
MEXICAN PESO
000000000
203528796.000000000000
OU
Notional Amount
N/A
474328.070000000000
0.0751170081
N/A
DFE
CORP
MX
N
2
Citi
MBNUM2BPBDO7JBLYG310
8683226.629999998956919
USD
203528796.000000000000000
MXN
2020-06-17
474328.070000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
MEXICAN PESO
000000000
193705000.000000000000
OU
Notional Amount
N/A
-1219672.840000000000
-0.1931536007
N/A
DFE
CORP
MX
N
2
Citi
MBNUM2BPBDO7JBLYG310
9935216.630000002682209
USD
193705000.000000000000000
MXN
2020-06-17
-1219672.840000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
MEXICAN PESO
000000000
84636449.000000000000
OU
Notional Amount
N/A
20577.910000000000
0.0032588226
N/A
DFE
CORP
MX
N
2
Citi
MBNUM2BPBDO7JBLYG310
3737365.740000000223517
USD
84636449.000000000000000
MXN
2020-09-17
20577.910000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
NORWAY KRONA
000000000
262518000.000000000000
OU
Notional Amount
N/A
2039253.890000000000
0.3229466286
N/A
DFE
CORP
NO
N
2
Citi
MBNUM2BPBDO7JBLYG310
24970035.760000001639128
USD
262518000.000000000000000
NOK
2020-06-17
2039253.890000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-234500000.000000000000
OU
Notional Amount
N/A
-12620.480000000000
-0.0019986435
N/A
DFE
CORP
HU
N
2
Citi
MBNUM2BPBDO7JBLYG310
234500000.000000000000000
HUF
736567.859999999986030
USD
2020-09-16
-12620.480000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-7000000000.000000000000
OU
Notional Amount
N/A
792.100000000000
0.0001254410
N/A
DFE
CORP
ID
N
2
Citi
MBNUM2BPBDO7JBLYG310
7000000000.000000000000000
IDR
478206.099999999976717
USD
2020-06-17
792.100000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-33900000000.000000000000
OU
Notional Amount
N/A
-229803.590000000000
-0.0363928665
N/A
DFE
CORP
ID
N
2
Citi
MBNUM2BPBDO7JBLYG310
33900000000.000000000000000
IDR
2082244.209999999962747
USD
2020-06-17
-229803.590000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-5050000000.000000000000
OU
Notional Amount
N/A
-1462.510000000000
-0.0002316105
N/A
DFE
CORP
ID
N
2
Citi
MBNUM2BPBDO7JBLYG310
5050000000.000000000000000
IDR
335044.239999999990687
USD
2020-09-16
-1462.510000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-11200000.000000000000
OU
Notional Amount
N/A
76011.960000000000
0.0120376410
N/A
DFE
CORP
IL
N
2
Citi
MBNUM2BPBDO7JBLYG310
11200000.000000000000000
ILS
3266290.919999999925494
USD
2020-06-17
76011.960000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-5800000.000000000000
OU
Notional Amount
N/A
-27721.100000000000
-0.0043900545
N/A
DFE
CORP
IL
N
2
Citi
MBNUM2BPBDO7JBLYG310
5800000.000000000000000
ILS
1624387.640000000130385
USD
2020-06-17
-27721.100000000000
N
N
N
RESIDENTIAL MORTGAGE LOAN TRUST RMLT_19-3
N/A
RMLT_19-3
76119NAD9
700000.000000000000
PA
USD
644167.860000000000
0.1020137020
Long
ABS-CBDO
CORP
US
N
2
2059-09-25
Variable
3.257000000000
N
N
N
N
N
N
SOFI CONSUMER LOAN PROGRAM TRUST
N/A
SCLP_16-4
83402V101
100000.000000000000
PA
USD
770900.000000000000
0.1220836489
Long
ABS-MBS
CORP
US
N
3
2025-11-25
Fixed
0.000000000000
N
N
N
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-2700000.000000000000
OU
Notional Amount
N/A
1058.670000000000
0.0001676564
N/A
DFE
CORP
IL
N
2
Citi
MBNUM2BPBDO7JBLYG310
2700000.000000000000000
ILS
771849.330000000074506
USD
2020-09-16
1058.670000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-41000000.000000000000
OU
Notional Amount
N/A
1917.270000000000
0.0003036286
N/A
DFE
CORP
IN
N
2
Citi
MBNUM2BPBDO7JBLYG310
41000000.000000000000000
INR
543739.400000000023283
USD
2020-06-17
1917.270000000000
N
N
N
SCLR_19-1
N/A
SCLR_19-1
83406KAA9
371812.010000000000
PA
USD
353221.410000000000
0.0559379409
Long
ABS-MBS
CORP
US
N
3
2028-03-01
Fixed
2.000000000000
N
N
N
N
N
N
SOFI CONSUMER LOAN PROGAM SCLP_18-4
N/A
SCLR_18-4
83406LAA7
260895.100000000000
PA
USD
247850.350000000000
0.0392508433
Long
ABS-MBS
CORP
US
N
3
2027-12-01
Fixed
2.000000000000
N
N
N
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
NORWAY KRONA
000000000
158237000.000000000000
OU
Notional Amount
N/A
-351795.410000000000
-0.0557121122
N/A
DFE
CORP
NO
N
2
Citi
MBNUM2BPBDO7JBLYG310
16632084.649999998509884
USD
158237000.000000000000000
NOK
2020-06-17
-351795.410000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
NEW ZEALAND DOLLAR
000000000
23442000.000000000000
OU
Notional Amount
N/A
702913.860000000000
0.1113170177
N/A
DFE
CORP
NZ
N
2
Citi
MBNUM2BPBDO7JBLYG310
13847772.750000000000000
USD
23442000.000000000000000
NZD
2020-06-17
702913.860000000000
N
N
N
SCLR_19-3
N/A
SCLR_19-3
83406MAA5
335137.750000000000
PA
USD
318380.860000000000
0.0504204140
Long
ABS-MBS
CORP
US
N
3
2028-05-30
Fixed
2.000000000000
N
N
N
N
N
N
SCLR_19-2
N/A
SCLR_19-2
83406WAA3
343786.720000000000
PA
USD
326597.380000000000
0.0517216239
Long
ABS-MBS
CORP
US
N
3
2028-04-28
Fixed
2.000000000000
N
N
N
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-332782000.000000000000
OU
Notional Amount
N/A
-110262.410000000000
-0.0174617166
N/A
DFE
CORP
IN
N
2
Citi
MBNUM2BPBDO7JBLYG310
332782000.000000000000000
INR
4287509.620000000111759
USD
2020-06-17
-110262.410000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-8750000.000000000000
OU
Notional Amount
N/A
-529.810000000000
-0.0000839034
N/A
DFE
CORP
IN
N
2
Citi
MBNUM2BPBDO7JBLYG310
8750000.000000000000000
INR
114026.889999999999418
USD
2020-09-16
-529.810000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-6211300000.000000000000
OU
Notional Amount
N/A
195589.030000000000
0.0309744746
N/A
DFE
CORP
JP
N
2
Citi
MBNUM2BPBDO7JBLYG310
6211300000.000000000000000
JPY
57797029.909999996423721
USD
2020-06-10
195589.030000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-2360220750.000000000000
OU
Notional Amount
N/A
245425.040000000000
0.0388667589
N/A
DFE
CORP
JP
N
2
Citi
MBNUM2BPBDO7JBLYG310
2360220750.000000000000000
JPY
22135537.839999999850988
USD
2020-06-17
245425.040000000000
N
N
N
TOORAK MORTGAGE CORP TRK_19-1
N/A
TRK_19-1
89052KAA3
1000000.000000000000
PA
USD
976137.500000000000
0.1545861044
Long
ABS-CBDO
CORP
US
N
2
2022-03-25
Variable
4.458300000000
N
N
N
N
N
N
TOORAK MORTGAGE CORP TRK_19-2
N/A
TRK_19-2
89052LAA1
2000000.000000000000
PA
USD
1840356.200000000000
0.2914481778
Long
ABS-CBDO
CORP
US
N
2
2022-09-25
Variable
3.721000000000
N
N
N
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
NEW ZEALAND DOLLAR
000000000
46995000.000000000000
OU
Notional Amount
N/A
-575361.130000000000
-0.0911171179
N/A
DFE
CORP
NZ
N
2
Citi
MBNUM2BPBDO7JBLYG310
29745633.210000000894070
USD
46995000.000000000000000
NZD
2020-06-17
-575361.130000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
NEW ZEALAND DOLLAR
000000000
38626000.000000000000
OU
Notional Amount
N/A
62791.570000000000
0.0099439927
N/A
DFE
CORP
NZ
N
2
Citi
MBNUM2BPBDO7JBLYG310
23897899.250000000000000
USD
38626000.000000000000000
NZD
2020-09-16
62791.570000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-3391139000.000000000000
OU
Notional Amount
N/A
-456064.780000000000
-0.0722247406
N/A
DFE
CORP
JP
N
2
Citi
MBNUM2BPBDO7JBLYG310
3391139000.000000000000000
JPY
30995406.560000002384186
USD
2020-06-17
-456064.780000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-18171910000.000000000000
OU
Notional Amount
N/A
362170.320000000000
0.0573551358
N/A
DFE
CORP
KW
N
2
Citi
MBNUM2BPBDO7JBLYG310
18171910000.000000000000000
KRW
15069205.910000003874302
USD
2020-06-17
362170.320000000000
N
N
N
TVC_20-RTL1
N/A
TVC_20-RTL1
90114YAA7
750000.000000000000
PA
USD
636261.300000000000
0.1007615789
Long
ABS-CBDO
CORP
US
N
2
2024-09-25
Fixed
3.474000000000
N
N
N
N
N
N
UNITED STATES TREASURY
N/A
TREASURY BILL
9127962F5
55000000.000000000000
PA
USD
54922721.150000000000
8.6978417529
Long
DBT
UST
US
N
1
2021-03-25
Fixed
0.000000000000
N
N
N
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-3709843000.000000000000
OU
Notional Amount
N/A
-28348.220000000000
-0.0044893685
N/A
DFE
CORP
KW
N
2
Citi
MBNUM2BPBDO7JBLYG310
3709843000.000000000000000
KRW
2974131.589999999850988
USD
2020-06-17
-28348.220000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-169805000.000000000000
OU
Notional Amount
N/A
698968.780000000000
0.1106922547
N/A
DFE
CORP
MX
N
2
Citi
MBNUM2BPBDO7JBLYG310
169805000.000000000000000
MXN
8339158.309999999590218
USD
2020-06-17
698968.780000000000
N
N
N
UNITED STATES TREASURY
N/A
TREASURY BILL
9127962G3
59600000.000000000000
PA
USD
59572078.000000000000
9.4341375752
Long
DBT
UST
US
N
1
2020-09-17
Fixed
0.000000000000
N
N
N
N
N
N
UPGRADE RECEIVABLES TRUST UPGR_19-2A
N/A
UPGR_19-2A
91532MAB3
4769000.000000000000
PA
USD
4608045.770000000000
0.7297535894
Long
ABS-MBS
CORP
US
N
2
2025-10-15
Fixed
3.510000000000
N
N
N
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
PHILIPPINE PESO
000000000
146000000.000000000000
OU
Notional Amount
N/A
31330.440000000000
0.0049616480
N/A
DFE
CORP
PH
N
2
Citi
MBNUM2BPBDO7JBLYG310
2854716.399999999906868
USD
146000000.000000000000000
PHP
2020-06-17
31330.440000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
PHILIPPINE PESO
000000000
27000000.000000000000
OU
Notional Amount
N/A
4108.000000000000
0.0006505638
N/A
DFE
CORP
PH
N
2
Citi
MBNUM2BPBDO7JBLYG310
526995.770000000018626
USD
27000000.000000000000000
PHP
2020-09-16
4108.000000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
POLISH ZLOTY
000000000
6307000.000000000000
OU
Notional Amount
N/A
43179.210000000000
0.0068380795
N/A
DFE
CORP
PL
N
2
Citi
MBNUM2BPBDO7JBLYG310
1529160.390000000130385
USD
6307000.000000000000000
PLN
2020-06-17
43179.210000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
POLISH ZLOTY
000000000
34073000.000000000000
OU
Notional Amount
N/A
-381527.190000000000
-0.0604205883
N/A
DFE
CORP
PL
N
2
Citi
MBNUM2BPBDO7JBLYG310
8875950.390000000596046
USD
34073000.000000000000000
PLN
2020-06-17
-381527.190000000000
N
N
N
UPGRADE RECEIVABLES TRUST UPGR_19-2A
N/A
UPGR_19-2A
91532MAC1
2000000.000000000000
PA
USD
1747972.600000000000
0.2768178405
Long
ABS-MBS
CORP
US
N
2
2025-10-15
Fixed
4.450000000000
N
N
N
N
N
N
VERICREST OPPORTUNITY LOAN TRANSFEREE VOLT_19-NPL8
N/A
VOLT_19-NPL8
91833HAA2
1640454.220000000000
PA
USD
1554667.320000000000
0.2462050322
Long
ABS-CBDO
CORP
US
N
2
2049-11-25
Variable
3.277500000000
N
N
N
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-134019449.000000000000
OU
Notional Amount
N/A
-423313.210000000000
-0.0670380352
N/A
DFE
CORP
MX
N
2
Citi
MBNUM2BPBDO7JBLYG310
134019449.000000000000000
MXN
5606744.719999999739230
USD
2020-06-17
-423313.210000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-342185000.000000000000
OU
Notional Amount
N/A
1519790.670000000000
0.2406817883
N/A
DFE
CORP
NO
N
2
Citi
MBNUM2BPBDO7JBLYG310
342185000.000000000000000
NOK
36725657.630000002682209
USD
2020-06-17
1519790.670000000000
N
N
N
VERICREST OPPORTUNITY LOAN TRANSFEREE VOLT_20-NPL4
N/A
VOLT_20-NPL4
91835LAA1
482228.660000000000
PA
USD
456393.020000000000
0.0722767223
Long
ABS-CBDO
CORP
US
N
2
2050-03-25
Variable
2.981100000000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST VERUS_19-3
N/A
VERUS_19-3
92537JAD9
6995000.000000000000
PA
USD
5769303.220000000000
0.9136562315
Long
ABS-CBDO
CORP
US
N
2
2059-07-25
Variable
3.139000000000
N
N
N
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
POLISH ZLOTY
000000000
329000.000000000000
OU
Notional Amount
N/A
394.610000000000
0.0000624924
N/A
DFE
CORP
PL
N
2
Citi
MBNUM2BPBDO7JBLYG310
81627.470000000001164
USD
329000.000000000000000
PLN
2020-09-16
394.610000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
RUSSIAN RUBLE-OLD
000000000
68000000.000000000000
OU
Notional Amount
N/A
81721.430000000000
0.0129418217
N/A
DFE
CORP
RU
N
2
Citi
MBNUM2BPBDO7JBLYG310
881976.000000000000000
USD
68000000.000000000000000
RUB
2020-06-17
81721.430000000000
N
N
N
VERUS SECURITIZATION TRUST VERUS_19-3
N/A
VERUS_19-3
92537JAE7
2289000.000000000000
PA
USD
1742371.230000000000
0.2759307790
Long
ABS-CBDO
CORP
US
N
2
2059-07-25
Variable
4.043000000000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST VERUS_19-4
N/A
VERUS_19-4
92537KAE4
500000.000000000000
PA
USD
391007.150000000000
0.0619218830
Long
ABS-CBDO
CORP
US
N
2
2059-11-25
Variable
3.860000000000
N
N
N
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
RUSSIAN RUBLE-OLD
000000000
226000000.000000000000
OU
Notional Amount
N/A
-191072.470000000000
-0.0302592092
N/A
DFE
CORP
RU
N
2
Citi
MBNUM2BPBDO7JBLYG310
3393949.229999999981374
USD
226000000.000000000000000
RUB
2020-06-17
-191072.470000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
RUSSIAN RUBLE-OLD
000000000
1000000.000000000000
OU
Notional Amount
N/A
116.710000000000
0.0000184828
N/A
DFE
CORP
RU
N
2
Citi
MBNUM2BPBDO7JBLYG310
13878.370000000000800
USD
1000000.000000000000000
RUB
2020-09-16
116.710000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-86958000.000000000000
OU
Notional Amount
N/A
-538969.940000000000
-0.0853540238
N/A
DFE
CORP
NO
N
2
Citi
MBNUM2BPBDO7JBLYG310
86958000.000000000000000
NOK
8407745.369999999180436
USD
2020-06-17
-538969.940000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-8388000.000000000000
OU
Notional Amount
N/A
-15527.550000000000
-0.0024590219
N/A
DFE
CORP
NO
N
2
Citi
MBNUM2BPBDO7JBLYG310
8388000.000000000000000
NOK
847994.479999999981374
USD
2020-09-16
-15527.550000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
SWEDISH KRONA
000000000
207530950.000000000000
OU
Notional Amount
N/A
854803.590000000000
0.1353710486
N/A
DFE
CORP
SE
N
2
Citi
MBNUM2BPBDO7JBLYG310
21173253.869999997317791
USD
207530950.000000000000000
SEK
2020-06-17
854803.590000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
SWEDISH KRONA
000000000
33088000.000000000000
OU
Notional Amount
N/A
-28943.210000000000
-0.0045835941
N/A
DFE
CORP
SE
N
2
Citi
MBNUM2BPBDO7JBLYG310
3541018.709999999962747
USD
33088000.000000000000000
SEK
2020-06-17
-28943.210000000000
N
N
N
VISIO_19-2
N/A
VISIO_19-2
92837DAD9
200000.000000000000
PA
USD
166855.780000000000
0.0264241308
Long
ABS-CBDO
CORP
US
N
2
2054-11-25
Variable
3.260000000000
N
N
N
N
N
N
VISIO_19-2
N/A
VISIO_19-2
92837DAE7
100000.000000000000
PA
USD
75158.820000000000
0.0119025334
Long
ABS-CBDO
CORP
US
N
2
2054-11-25
Variable
3.910000000000
N
N
N
N
N
N
VERICREST OPPORTUNITY LOAN TRANSFEREE VOLT_19-NPL7
N/A
VOLT_19-NPL7
92870DAA3
1387647.900000000000
PA
USD
1308068.930000000000
0.2071524556
Long
ABS-CBDO
CORP
US
N
2
2049-10-25
Variable
3.178900000000
N
N
N
N
N
N
VERICREST OPPORTUNITY LOAN TRANSFEREE VOLT_20-NPL5
N/A
VOLT_20-NPL5
92870NAB9
1000000.000000000000
PA
USD
781894.400000000000
0.1238247781
Long
ABS-CBDO
CORP
US
N
2
2050-03-25
Variable
3.474800000000
N
N
N
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-72000.000000000000
OU
Notional Amount
N/A
1017.320000000000
0.0001611080
N/A
DFE
CORP
NZ
N
2
Citi
MBNUM2BPBDO7JBLYG310
72000.000000000000000
NZD
45708.449999999997090
USD
2020-06-17
1017.320000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-70365000.000000000000
OU
Notional Amount
N/A
-747660.660000000000
-0.1184033487
N/A
DFE
CORP
NZ
N
2
Citi
MBNUM2BPBDO7JBLYG310
70365000.000000000000000
NZD
42928606.939999997615814
USD
2020-06-17
-747660.660000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
SINGAPORE DOLLAR
000000000
8948163.000000000000
OU
Notional Amount
N/A
83157.950000000000
0.0131693163
N/A
DFE
CORP
SG
N
2
Citi
MBNUM2BPBDO7JBLYG310
6250748.529999999329448
USD
8948163.000000000000000
SGD
2020-06-17
83157.950000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
SINGAPORE DOLLAR
000000000
7990000.000000000000
OU
Notional Amount
N/A
-55366.270000000000
-0.0087680844
N/A
DFE
CORP
SG
N
2
Citi
MBNUM2BPBDO7JBLYG310
5711042.500000000000000
USD
7990000.000000000000000
SGD
2020-06-17
-55366.270000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-11000000.000000000000
OU
Notional Amount
N/A
587.530000000000
0.0000930442
N/A
DFE
CORP
PH
N
2
Citi
MBNUM2BPBDO7JBLYG310
11000000.000000000000000
PHP
218029.410000000003492
USD
2020-06-17
587.530000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-108000000.000000000000
OU
Notional Amount
N/A
-27399.000000000000
-0.0043390451
N/A
DFE
CORP
PH
N
2
Citi
MBNUM2BPBDO7JBLYG310
108000000.000000000000000
PHP
2107484.940000000409782
USD
2020-06-17
-27399.000000000000
N
N
N
VERICREST OPPORTUNITY LOAN TRANSFEREE VOLT_19-NPL4
N/A
VOLT_19-NPL4
92872NAB7
7350000.000000000000
PA
USD
5747832.300000000000
0.9102559873
Long
ABS-CBDO
CORP
US
N
2
2049-08-25
Variable
4.150000000000
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST WFCM_17-SMP
N/A
WFCM_17-SMP
95001CAA0
1200000.000000000000
PA
USD
1132984.920000000000
0.1794252604
Long
ABS-MBS
CORP
US
N
2
2034-12-15
Variable
0.934000000000
N
N
N
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
SINGAPORE DOLLAR
000000000
2174081.000000000000
OU
Notional Amount
N/A
5733.290000000000
0.0009079530
N/A
DFE
CORP
SG
N
2
Citi
MBNUM2BPBDO7JBLYG310
1533864.750000000000000
USD
2174081.000000000000000
SGD
2020-09-16
5733.290000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
TAIWAN NEW DOLLAR
000000000
35875000.000000000000
OU
Notional Amount
N/A
8491.530000000000
0.0013447619
N/A
DFE
CORP
TW
N
2
Citi
MBNUM2BPBDO7JBLYG310
1188342.530000000027940
USD
35875000.000000000000000
TWD
2020-06-17
8491.530000000000
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST WFCM_20-SDAL
N/A
WFCM_20-SDAL
95002GAJ1
1000000.000000000000
PA
USD
772999.300000000000
0.1224161048
Long
ABS-MBS
CORP
US
N
2
2037-02-15
Variable
2.923600000000
N
N
N
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
BIST 30 FUTURES JUN 20
000000000
5037.000000000000
NC
272695.590000000000
0.0431854620
N/A
DE
CORP
TR
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Long
BIST 30 FUTURES JUN 20
BIST 30 FUTURES JUN 20
2020-06-30
59264641.600000000000
TRY
272695.590000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
TAIWAN NEW DOLLAR
000000000
199325000.000000000000
OU
Notional Amount
N/A
-50301.980000000000
-0.0079660777
N/A
DFE
CORP
TW
N
2
Citi
MBNUM2BPBDO7JBLYG310
6700028.779999999329448
USD
199325000.000000000000000
TWD
2020-06-17
-50301.980000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
TAIWAN NEW DOLLAR
000000000
17075000.000000000000
OU
Notional Amount
N/A
2682.820000000000
0.0004248650
N/A
DFE
CORP
TW
N
2
Citi
MBNUM2BPBDO7JBLYG310
571413.890000000013970
USD
17075000.000000000000000
TWD
2020-09-16
2682.820000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-4000000.000000000000
OU
Notional Amount
N/A
-474.850000000000
-0.0000751997
N/A
DFE
CORP
PH
N
2
Citi
MBNUM2BPBDO7JBLYG310
4000000.000000000000000
PHP
78207.190000000002328
USD
2020-09-16
-474.850000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-8373000.000000000000
OU
Notional Amount
N/A
73619.380000000000
0.0116587398
N/A
DFE
CORP
PL
N
2
Citi
MBNUM2BPBDO7JBLYG310
8373000.000000000000000
PLN
2161014.240000000223517
USD
2020-06-17
73619.380000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FTSE/JSE TOP 40 JUN 20
000000000
40.000000000000
NC
-8638.670000000000
-0.0013680638
N/A
DE
CORP
ZA
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
FTSE/JSE TOP 40 JUN 20
FTSE/JSE TOP 40 JUN 20
2020-06-18
18803773.440000000000
ZAR
-8638.670000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
FTSE/JSE TOP 40 JUN 20
000000000
-90.000000000000
NC
-16874.210000000000
-0.0026722858
N/A
DE
CORP
ZA
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Short
FTSE/JSE TOP 40 JUN 20
FTSE/JSE TOP 40 JUN 20
2020-06-18
-41592871.350000000000
ZAR
-16874.210000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-35745000.000000000000
OU
Notional Amount
N/A
-345736.600000000000
-0.0547526082
N/A
DFE
CORP
PL
N
2
Citi
MBNUM2BPBDO7JBLYG310
35745000.000000000000000
PLN
8565517.380000000819564
USD
2020-06-17
-345736.600000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-1575000.000000000000
OU
Notional Amount
N/A
-1743.300000000000
-0.0002760779
N/A
DFE
CORP
PL
N
2
Citi
MBNUM2BPBDO7JBLYG310
1575000.000000000000000
PLN
390915.559999999997672
USD
2020-09-16
-1743.300000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SWP: EUR 0.002000 05-AUG-2029
000000000
17049000.000000000000
OU
Notional Amount
-299215.570000000000
-0.0473853011
N/A
DIR
CORP
US
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Euribor 6 Month ACT/360
EURIBOR65
Y
2029-08-05
0.000000000000
USD
0.000000000000
USD
17049000.000000000000
EUR
-319959.770000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SWP: JPY 0.012500 05-AUG-2029
000000000
1036658000.000000000000
OU
Notional Amount
21874.060000000000
0.0034640875
N/A
DIR
CORP
US
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
JAPANESE YEN 6 MNTH
JY0006M09
Y
2029-08-05
0.000000000000
USD
0.000000000000
USD
1036658000.000000000000
JPY
21875.060000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
SOUTH AFRICA COMM. RD
000000000
34929000.000000000000
OU
Notional Amount
N/A
60826.680000000000
0.0096328227
N/A
DFE
CORP
ZA
N
2
Citi
MBNUM2BPBDO7JBLYG310
1926089.110000000102445
USD
34929000.000000000000000
ZAR
2020-06-17
60826.680000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
SOUTH AFRICA COMM. RD
000000000
61282000.000000000000
OU
Notional Amount
N/A
-403089.530000000000
-0.0638353102
N/A
DFE
CORP
ZA
N
2
Citi
MBNUM2BPBDO7JBLYG310
3889080.390000000130385
USD
61282000.000000000000000
ZAR
2020-06-17
-403089.530000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
SOUTH AFRICA COMM. RD
000000000
12815000.000000000000
OU
Notional Amount
N/A
-3315.810000000000
-0.0005251086
N/A
DFE
CORP
ZA
N
2
Citi
MBNUM2BPBDO7JBLYG310
725601.770000000018626
USD
12815000.000000000000000
ZAR
2020-09-16
-3315.810000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-71647000.000000000000
OU
Notional Amount
N/A
321196.370000000000
0.0508662925
N/A
DFE
CORP
ZA
N
2
Citi
MBNUM2BPBDO7JBLYG310
71647000.000000000000000
ZAR
4396794.229999999515712
USD
2020-06-17
321196.370000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-25199000.000000000000
OU
Notional Amount
N/A
-57823.160000000000
-0.0091571700
N/A
DFE
CORP
ZA
N
2
Citi
MBNUM2BPBDO7JBLYG310
25199000.000000000000000
ZAR
1375607.260000000009313
USD
2020-06-17
-57823.160000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-4350000.000000000000
OU
Notional Amount
N/A
1491.350000000000
0.0002361778
N/A
DFE
CORP
ZA
N
2
Citi
MBNUM2BPBDO7JBLYG310
4350000.000000000000000
ZAR
246668.399999999994179
USD
2020-09-16
1491.350000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SWP: AUD 1.345000 02-AUG-2029
000000000
58003000.000000000000
OU
Notional Amount
1732349.880000000000
0.2743437470
N/A
DIR
CORP
US
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
BBA LIBOR AUD 6 Month **Discon
AUDLIB6M6
Y
2029-08-02
0.000000000000
USD
0.000000000000
USD
58003000.000000000000
AUD
1788739.060000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
CDS: (CMBX.NA.11.BBB-)
000000000
6000000.000000000000
OU
Notional Amount
USD
1674372.000000000000
0.2651620748
N/A
DCR
CORP
US
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
CMBX.NA.11.BBB-
CX4B11012
Y
CMBX.NA.11.BBB-
2054-11-18
313408.610000000000
USD
0.000000000000
USD
6000000.000000000000
USD
1358463.390000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SWP: USD 1.542000 04-OCT-2029
000000000
13277000.000000000000
OU
Notional Amount
USD
1131825.620000000000
0.1792416677
N/A
DIR
CORP
US
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
ICE LIBOR USD 3 Month
LIBOR3MO3
Y
2029-10-04
85.390000000000
USD
0.000000000000
USD
13277000.000000000000
USD
1135230.600000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SWP: SEK 0.197500 07-OCT-2029
000000000
752863000.000000000000
OU
Notional Amount
1071715.670000000000
0.1697223500
N/A
DIR
CORP
US
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Stockholm Interbank Offered Ra
STIB3MIN4
Y
2029-10-07
0.000000000000
USD
0.000000000000
USD
752863000.000000000000
SEK
1009811.930000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
AMSTERDAM INDEX JUN 20
000000000
58.000000000000
NC
246499.720000000000
0.0390369507
N/A
DE
CORP
NL
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
AMSTERDAM INDEX JUN 20
AMSTERDAM INDEX JUN 20
2020-06-19
5948786.960000000000
EUR
246499.720000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
S&P500 EMINI JUN 20
000000000
157.000000000000
NC
USD
4616675.940000000000
0.7311203070
N/A
DE
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
S&P500 EMINI JUN 20
S&P500 EMINI JUN 20
2020-06-19
19263024.060000000000
USD
4616675.940000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
S&P500 EMINI JUN 20
000000000
-24.000000000000
NC
USD
-34430.990000000000
-0.0054526669
N/A
DE
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
S&P500 EMINI JUN 20
S&P500 EMINI JUN 20
2020-06-19
-3615969.010000000000
USD
-34430.990000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
S&P500 EMINI JUN 20
000000000
-94.000000000000
NC
USD
-1650869.060000000000
-0.2614400295
N/A
DE
CORP
US
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Short
S&P500 EMINI JUN 20
S&P500 EMINI JUN 20
2020-06-19
-12646530.940000000000
USD
-1650869.060000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-97000000.000000000000
OU
Notional Amount
N/A
70579.430000000000
0.0111773179
N/A
DFE
CORP
RU
N
2
Citi
MBNUM2BPBDO7JBLYG310
97000000.000000000000000
RUB
1445265.459999999962747
USD
2020-06-17
70579.430000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-94000000.000000000000
OU
Notional Amount
N/A
-72461.980000000000
-0.0114754481
N/A
DFE
CORP
RU
N
2
Citi
MBNUM2BPBDO7JBLYG310
94000000.000000000000000
RUB
1259707.989999999990687
USD
2020-06-17
-72461.980000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SWP: USD 1.615600 05-NOV-2029
000000000
10777000.000000000000
OU
Notional Amount
USD
1004112.380000000000
0.1590163488
N/A
DIR
CORP
US
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
ICE LIBOR USD 3 Month
LIBOR3MO3
Y
2029-11-05
75.300000000000
USD
0.000000000000
USD
10777000.000000000000
USD
1012080.330000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SWP: USD 1.769950 04-DEC-2029
000000000
27410000.000000000000
OU
Notional Amount
USD
2969453.860000000000
0.4702578318
N/A
DIR
CORP
US
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
ICE LIBOR USD 3 Month
LIBOR3MO3
Y
2029-12-04
143.670000000000
USD
0.000000000000
USD
27410000.000000000000
USD
3123441.890000000000
N
N
N
Credit Suisse
1V8Y6QCX6YMJ2OELII46
FSWP: NZD 1.000000 15-JUN-2022
000000000
40400000.000000000000
OU
Notional Amount
-388773.710000000000
-0.0615681841
N/A
DIR
CORP
GB
N
2
Credit Suisse
1V8Y6QCX6YMJ2OELII46
NZD - 3M NEW ZEALAND BANK BILL RATE
NDBB3MIN1
Y
2022-06-15
78473.480000000000
USD
0.000000000000
USD
40400000.000000000000
NZD
-467247.190000000000
N
N
N
Credit Suisse
1V8Y6QCX6YMJ2OELII46
FSWP: GBP 0.500000 17-JUN-2022
000000000
34500000.000000000000
OU
Notional Amount
217459.620000000000
0.0344380126
N/A
DIR
CORP
GB
N
2
Credit Suisse
1V8Y6QCX6YMJ2OELII46
BBA LIBOR GBP 6 Month
GBPLIB6M9
Y
2022-06-17
0.000000000000
USD
-119989.410000000000
USD
34500000.000000000000
GBP
337449.030000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-240618950.000000000000
OU
Notional Amount
N/A
-1426443.160000000000
-0.2258988014
N/A
DFE
CORP
SE
N
2
Citi
MBNUM2BPBDO7JBLYG310
240618950.000000000000000
SEK
24113689.779999997466803
USD
2020-06-17
-1426443.160000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-47086000.000000000000
OU
Notional Amount
N/A
-105900.810000000000
-0.0167709915
N/A
DFE
CORP
SE
N
2
Citi
MBNUM2BPBDO7JBLYG310
47086000.000000000000000
SEK
4896145.400000000372529
USD
2020-09-16
-105900.810000000000
N
N
N
Credit Suisse
1V8Y6QCX6YMJ2OELII46
FSWP: CAD 0.015000 15-JUN-2022
000000000
15700000.000000000000
OU
Notional Amount
212348.120000000000
0.0336285294
N/A
DIR
CORP
GB
N
2
Credit Suisse
1V8Y6QCX6YMJ2OELII46
Canada Bankers Acceptances 3 M
CADBA3MO4
Y
2022-06-15
0.000000000000
USD
-45085.730000000000
USD
15700000.000000000000
CAD
257433.850000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SWP: EUR 0.167500 06-JAN-2030
000000000
8328000.000000000000
OU
Notional Amount
-287894.890000000000
-0.0455925006
N/A
DIR
CORP
US
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Euribor 6 Month ACT/360
EURIBOR65
Y
2030-01-06
0.000000000000
USD
0.000000000000
USD
8328000.000000000000
EUR
-306152.770000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SWP: GBP 0.998510 02-JAN-2030
000000000
41242000.000000000000
OU
Notional Amount
-2925410.330000000000
-0.4632828742
N/A
DIR
CORP
US
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
BBA LIBOR GBP 6 Month
GBPLIB6M9
Y
2030-01-02
0.000000000000
USD
0.000000000000
USD
41242000.000000000000
GBP
-2952701.590000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SWP: AUD 1.460000 03-JAN-2030
000000000
30179000.000000000000
OU
Notional Amount
1114397.370000000000
0.1764816413
N/A
DIR
CORP
US
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
BBA LIBOR AUD 6 Month **Discon
AUDLIB6M6
Y
2030-01-03
0.000000000000
USD
0.000000000000
USD
30179000.000000000000
AUD
1150840.500000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
US 5YR NOTE SEP 20
000000000
307.000000000000
NC
USD
61840.290000000000
0.0097933432
N/A
DIR
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
US 5YR NOTE SEP 20
US 5YR NOTE SEP 20
2020-09-30
38505034.710000000000
USD
61840.290000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
US 5YR NOTE SEP 20
000000000
-84.000000000000
NC
USD
-15534.040000000000
-0.0024600497
N/A
DIR
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
US 5YR NOTE SEP 20
US 5YR NOTE SEP 20
2020-09-30
-10536965.960000000000
USD
-15534.040000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
LONG GILT SEP 20
000000000
16.000000000000
NC
-820.890000000000
-0.0001300003
N/A
DIR
CORP
GB
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
LONG GILT SEP 20
LONG GILT SEP 20
2020-09-28
2199691.480000000000
GBP
-820.890000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
LONG GILT SEP 20
000000000
-159.000000000000
NC
-33617.420000000000
-0.0053238258
N/A
DIR
CORP
GB
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Short
LONG GILT SEP 20
LONG GILT SEP 20
2020-09-28
-21825778.950000000000
GBP
-33617.420000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SWP: SEK 0.682000 07-JAN-2030
000000000
174603000.000000000000
OU
Notional Amount
-584200.100000000000
-0.0925169022
N/A
DIR
CORP
US
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Stockholm Interbank Offered Ra
STIB3MIN4
Y
2030-01-07
0.000000000000
USD
0.000000000000
USD
174603000.000000000000
SEK
-625069.780000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
OTC (GENERIC) 0 YEAR
000000000
60000000.000000000000
OU
Notional Amount
USD
24.000000000000
0.0000038008
N/A
DIR
CORP
US
N
2
Citi
MBNUM2BPBDO7JBLYG310
Put
Purchased
Citi
MBNUM2BPBDO7JBLYG310
CITIBANK NA
MBNUM2BPBDO7JBLYG310
FSWP: USD 2.000000 14-JUL-2030
000000000
N/A
OU
Notional
N/A
N/A
0.000000000000
DIR
CORP
ICE LIBOR USD 3 Month
LIBOR3MO3
2030-07-14
N/A
N/A
N/A
N/A
60000000.000000000000
USD
60000000.000000000000000
USD
2.000000000000
USD
2020-07-10
XXXX
-509976.000000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-9500000.000000000000
OU
Notional Amount
N/A
89906.780000000000
0.0142380954
N/A
DFE
CORP
SG
N
2
Citi
MBNUM2BPBDO7JBLYG310
9500000.000000000000000
SGD
6814427.919999999925494
USD
2020-06-17
89906.780000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-5264081.000000000000
OU
Notional Amount
N/A
-23576.750000000000
-0.0037337342
N/A
DFE
CORP
SG
N
2
Citi
MBNUM2BPBDO7JBLYG310
5264081.000000000000000
SGD
3702573.160000000149012
USD
2020-06-17
-23576.750000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
OTC (GENERIC) 0 YEAR
000000000
30000000.000000000000
OU
Notional Amount
USD
12.000000000000
0.0000019004
N/A
DIR
CORP
US
N
2
Citi
MBNUM2BPBDO7JBLYG310
Put
Purchased
Citi
MBNUM2BPBDO7JBLYG310
CITIBANK NA
MBNUM2BPBDO7JBLYG310
FSWP: USD 2.000000 14-JUL-2030
000000000
N/A
OU
Notional
N/A
N/A
0.000000000000
DIR
CORP
ICE LIBOR USD 3 Month
LIBOR3MO3
2030-07-14
N/A
N/A
N/A
N/A
30000000.000000000000
USD
30000000.000000000000000
USD
2.000000000000
USD
2020-07-10
XXXX
-248988.000000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SWP: JPY 0.011000 05-FEB-2030
000000000
10826180000.000000000000
OU
Notional Amount
140560.150000000000
0.0222598210
N/A
DIR
CORP
US
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
JAPANESE YEN 6 MNTH
JY0006M09
Y
2030-02-05
0.000000000000
USD
0.000000000000
USD
10826180000.000000000000
JPY
140094.890000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
GOLD 100 OZ AUG 20
000000000
12.000000000000
NC
USD
1265.480000000000
0.0002004079
N/A
DCO
CORP
US
N
1
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Long
GOLD 100 OZ AUG 20
GOLD 100 OZ AUG 20
2020-08-27
2100774.520000000000
USD
1265.480000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
GOLD 100 OZ AUG 20
000000000
-37.000000000000
NC
USD
31561.200000000000
0.0049981923
N/A
DCO
CORP
US
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Short
GOLD 100 OZ AUG 20
GOLD 100 OZ AUG 20
2020-08-27
-6512851.200000000000
USD
31561.200000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SWP: NZD 1.650000 08-JAN-2030
000000000
22021000.000000000000
OU
Notional Amount
1218326.310000000000
0.1929403574
N/A
DIR
CORP
US
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
NZD - 3M NEW ZEALAND BANK BILL RATE
NDBB3MIN1
Y
2030-01-08
0.000000000000
USD
0.000000000000
USD
22021000.000000000000
NZD
1297806.270000000000
N
N
N
Credit Suisse
1V8Y6QCX6YMJ2OELII46
FSWP: NZD 1.00000 14-SEP-2022
000000000
41200000.000000000000
OU
Notional Amount
-394098.850000000000
-0.0624115004
N/A
DIR
CORP
GB
N
2
Credit Suisse
1V8Y6QCX6YMJ2OELII46
NZD - 3M NEW ZEALAND BANK BILL RATE
NDBB3MIN1
Y
2022-09-14
0.000000000000
USD
-115964.660000000000
USD
41200000.000000000000
NZD
-278134.190000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-770000.000000000000
OU
Notional Amount
N/A
-3025.140000000000
-0.0004790766
N/A
DFE
CORP
SG
N
2
Citi
MBNUM2BPBDO7JBLYG310
770000.000000000000000
SGD
542258.359999999986030
USD
2020-09-16
-3025.140000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-93300000.000000000000
OU
Notional Amount
N/A
13128.290000000000
0.0020790628
N/A
DFE
CORP
TW
N
2
Citi
MBNUM2BPBDO7JBLYG310
93300000.000000000000000
TWD
3125730.850000000093132
USD
2020-06-17
13128.290000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
US DOLLARS
000000000
-93245000.000000000000
OU
Notional Amount
N/A
13723.900000000000
0.0021733867
N/A
DFE
CORP
NZ
N
2
Goldman Sachs
FOR8UP27PHTHYVLBNG30
93245000.000000000000000
NZD
57893582.619999997317791
USD
2020-06-10
13723.900000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
DAX INDEX JUN 20
000000000
46.000000000000
NC
968939.470000000000
0.1534461877
N/A
DE
CORP
DE
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Long
DAX INDEX JUN 20
DAX INDEX JUN 20
2020-06-19
12452758.100000000000
EUR
968939.470000000000
N
N
N
Credit Suisse
1V8Y6QCX6YMJ2OELII46
FSWP: EUR -0.250000 16-SEP-2022
000000000
11800000.000000000000
OU
Notional Amount
-24161.540000000000
-0.0038263445
N/A
DIR
CORP
GB
N
2
Credit Suisse
1V8Y6QCX6YMJ2OELII46
Euribor 6 Month ACT/360
EURIBOR65
Y
2022-09-16
0.000000000000
USD
-25803.920000000000
USD
11800000.000000000000
EUR
1642.380000000000
N
N
N
Credit Suisse
1V8Y6QCX6YMJ2OELII46
FSWP: EUR -0.250000 16-SEP-2022
000000000
247600000.000000000000
OU
Notional Amount
-506982.750000000000
-0.0802883695
N/A
DIR
CORP
GB
N
2
Credit Suisse
1V8Y6QCX6YMJ2OELII46
Euribor 6 Month ACT/360
EURIBOR65
Y
2022-09-16
4752.940000000000
USD
-380081.000000000000
USD
247600000.000000000000
EUR
-131654.690000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-22375000.000000000000
OU
Notional Amount
N/A
-2283.490000000000
-0.0003616251
N/A
DFE
CORP
TW
N
2
Citi
MBNUM2BPBDO7JBLYG310
22375000.000000000000000
TWD
744173.989999999990687
USD
2020-06-17
-2283.490000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
AUSTRALIA DOLLAR
000000000
61512000.000000000000
OU
Notional Amount
N/A
2474302.330000000000
0.3918431146
N/A
DFE
CORP
AU
N
2
Citi
MBNUM2BPBDO7JBLYG310
38527123.769999995827675
USD
61512000.000000000000000
AUD
2020-06-17
2474302.330000000000
N
N
N
Credit Suisse
1V8Y6QCX6YMJ2OELII46
FSWP: EUR 0.250000 16-SEP-2030
000000000
30800000.000000000000
OU
Notional Amount
1301298.460000000000
0.2060802495
N/A
DIR
CORP
GB
N
2
Credit Suisse
1V8Y6QCX6YMJ2OELII46
Euribor 6 Month ACT/360
EURIBOR65
Y
2030-09-16
1068393.530000000000
USD
0.000000000000
USD
30800000.000000000000
EUR
232904.930000000000
N
N
N
Credit Suisse
1V8Y6QCX6YMJ2OELII46
FSWP: CAD 1.750000 14-SEP-2022
000000000
50000000.000000000000
OU
Notional Amount
844848.390000000000
0.1337944925
N/A
DIR
CORP
GB
N
2
Credit Suisse
1V8Y6QCX6YMJ2OELII46
Canada Bankers Acceptances 3 M
CADBA3MO4
Y
2022-09-14
559388.480000000000
USD
0.000000000000
USD
50000000.000000000000
CAD
285459.910000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
DAX INDEX JUN 20
000000000
-7.000000000000
NC
3238.030000000000
0.0005127909
N/A
DE
CORP
DE
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
DAX INDEX JUN 20
DAX INDEX JUN 20
2020-06-19
-2033270.470000000000
EUR
3238.030000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
H-SHARES INDEX JUN 20
000000000
10.000000000000
NC
2070.830000000000
0.0003279472
N/A
DE
CORP
HK
N
1
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Long
H-SHARES INDEX JUN 20
H-SHARES INDEX JUN 20
2020-06-29
4731948.500000000000
HKD
2070.830000000000
N
N
N
Credit Suisse
1V8Y6QCX6YMJ2OELII46
FSWP: USD 1.500000 16-SEP-2022
000000000
33700000.000000000000
OU
Notional Amount
USD
851211.110000000000
0.1348021252
N/A
DIR
CORP
GB
N
2
Credit Suisse
1V8Y6QCX6YMJ2OELII46
ICE LIBOR USD 3 Month
LIBOR3MO3
Y
2022-09-16
638456.730000000000
USD
0.000000000000
USD
33700000.000000000000
USD
212754.380000000000
N
N
N
Credit Suisse
1V8Y6QCX6YMJ2OELII46
FSWP: USD 1.750000 16-SEP-2030
000000000
1600000.000000000000
OU
Notional Amount
USD
-171724.620000000000
-0.0271951851
N/A
DIR
CORP
GB
N
2
Credit Suisse
1V8Y6QCX6YMJ2OELII46
ICE LIBOR USD 3 Month
LIBOR3MO3
Y
2030-09-16
0.000000000000
USD
-142542.630000000000
USD
1600000.000000000000
USD
-29181.990000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
COPPER JUL 20
000000000
14.000000000000
NC
USD
60475.640000000000
0.0095772303
N/A
DCO
CORP
US
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Long
COPPER JUL 20
COPPER JUL 20
2020-07-29
788449.360000000000
USD
60475.640000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
COPPER JUL 20
000000000
-13.000000000000
NC
USD
-36737.500000000000
-0.0058179375
N/A
DCO
CORP
US
N
1
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Short
COPPER JUL 20
COPPER JUL 20
2020-07-29
-751550.000000000000
USD
-36737.500000000000
N
N
N
Credit Suisse
1V8Y6QCX6YMJ2OELII46
FSWP: NOK 1.500000 21-SEP-2022
000000000
370400000.000000000000
OU
Notional Amount
853926.750000000000
0.1352321878
N/A
DIR
CORP
GB
N
2
Credit Suisse
1V8Y6QCX6YMJ2OELII46
Norway Interbank Offered Rate
NIBOR6MO4
Y
2022-09-21
6362.970000000000
USD
-39989.950000000000
USD
370400000.000000000000
NOK
887553.730000000000
N
N
N
Credit Suisse
1V8Y6QCX6YMJ2OELII46
FSWP: GBP 0.750000 16-SEP-2022
000000000
231900000.000000000000
OU
Notional Amount
3000772.250000000000
0.4752175715
N/A
DIR
CORP
GB
N
2
Credit Suisse
1V8Y6QCX6YMJ2OELII46
BBA LIBOR GBP 6 Month
GBPLIB6M9
Y
2022-09-16
2024154.500000000000
USD
0.000000000000
USD
231900000.000000000000
GBP
976617.750000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
HANG SENG INDEX JUN 20
000000000
18.000000000000
NC
-27129.330000000000
-0.0042963388
N/A
DE
CORP
HK
N
1
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Long
HANG SENG INDEX JUN 20
HANG SENG INDEX JUN 20
2020-06-29
20702420.180000000000
HKD
-27129.330000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
HANG SENG INDEX JUN 20
000000000
-10.000000000000
NC
28986.600000000000
0.0045904656
N/A
DE
CORP
HK
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
HANG SENG INDEX JUN 20
HANG SENG INDEX JUN 20
2020-06-29
-11609200.000000000000
HKD
28986.600000000000
N
N
N
Credit Suisse
1V8Y6QCX6YMJ2OELII46
FSWP: JPY 0.000000 21-SEP-2022
000000000
1569200000.000000000000
OU
Notional Amount
14508.170000000000
0.0022975877
N/A
DIR
CORP
GB
N
2
Credit Suisse
1V8Y6QCX6YMJ2OELII46
JAPANESE YEN 6 MNTH
JY0006M09
Y
2022-09-21
9265.960000000000
USD
0.000000000000
USD
1569200000.000000000000
JPY
5242.210000000000
N
N
N
Credit Suisse
1V8Y6QCX6YMJ2OELII46
FSWP: JPY 0.000000 21-SEP-2022
000000000
10941200000.000000000000
OU
Notional Amount
101157.780000000000
0.0160198611
N/A
DIR
CORP
GB
N
2
Credit Suisse
1V8Y6QCX6YMJ2OELII46
JAPANESE YEN 6 MNTH
JY0006M09
Y
2022-09-21
262157.070000000000
USD
0.000000000000
USD
10941200000.000000000000
JPY
-160999.290000000000
N
N
N
Credit Suisse
1V8Y6QCX6YMJ2OELII46
FSWP: JPY 0.000000 18-SEP-2030
000000000
687800000.000000000000
OU
Notional Amount
4900.540000000000
0.0007760745
N/A
DIR
CORP
GB
N
2
Credit Suisse
1V8Y6QCX6YMJ2OELII46
JAPANESE YEN 6 MNTH
JY0006M09
Y
2030-09-18
16049.960000000000
USD
0.000000000000
USD
687800000.000000000000
JPY
-11149.420000000000
N
N
N
Credit Suisse
1V8Y6QCX6YMJ2OELII46
FSWP: AUD 0.500000 08-SEP-2022
000000000
10300000.000000000000
OU
Notional Amount
34275.750000000000
0.0054280823
N/A
DIR
CORP
GB
N
2
Credit Suisse
1V8Y6QCX6YMJ2OELII46
ASX Australian Bank Bill Short Term Rates 3 Month Mid
CT1622425
Y
2022-09-08
18290.870000000000
USD
0.000000000000
USD
10300000.000000000000
AUD
15984.880000000000
N
N
N
Credit Suisse
1V8Y6QCX6YMJ2OELII46
FSWP: AUD 0.500000 08-SEP-2022
000000000
25400000.000000000000
OU
Notional Amount
84524.680000000000
0.0133857587
N/A
DIR
CORP
GB
N
2
Credit Suisse
1V8Y6QCX6YMJ2OELII46
ASX Australian Bank Bill Short Term Rates 3 Month Mid
CT1622425
Y
2022-09-08
86220.630000000000
USD
0.000000000000
USD
25400000.000000000000
AUD
-1695.950000000000
N
N
N
Credit Suisse
1V8Y6QCX6YMJ2OELII46
FSWP: SEK 0.000000 21-SEP-2022
000000000
776700000.000000000000
OU
Notional Amount
117832.740000000000
0.0186605926
N/A
DIR
CORP
GB
N
2
Credit Suisse
1V8Y6QCX6YMJ2OELII46
Stockholm Interbank Offered Ra
STIB3MIN4
Y
2022-09-21
123863.090000000000
USD
0.000000000000
USD
776700000.000000000000
SEK
-6030.350000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
AUSTRALIA DOLLAR
000000000
5289500.000000000000
OU
Notional Amount
N/A
14878.140000000000
0.0023561780
N/A
DFE
CORP
AU
N
2
Citi
MBNUM2BPBDO7JBLYG310
3510628.099999999627471
USD
5289500.000000000000000
AUD
2020-09-16
14878.140000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
BRAZIL REAL
000000000
39963538.000000000000
OU
Notional Amount
N/A
324767.770000000000
0.0514318776
N/A
DFE
CORP
BR
N
2
Citi
MBNUM2BPBDO7JBLYG310
7158169.939999999478459
USD
39963538.000000000000000
BRL
2020-06-17
324767.770000000000
N
N
N
Credit Suisse
1V8Y6QCX6YMJ2OELII46
FSWP: SEK 0.500000 18-SEP-2030
000000000
51400000.000000000000
OU
Notional Amount
61586.890000000000
0.0097532135
N/A
DIR
CORP
GB
N
2
Credit Suisse
1V8Y6QCX6YMJ2OELII46
Stockholm Interbank Offered Ra
STIB3MIN4
Y
2030-09-18
79262.580000000000
USD
0.000000000000
USD
51400000.000000000000
SEK
-17675.690000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SWP: EUR -0.209000 04-MAR-2030
000000000
54216000.000000000000
OU
Notional Amount
361834.600000000000
0.0573019695
N/A
DIR
CORP
US
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Euribor 6 Month ACT/360
EURIBOR65
Y
2030-03-04
0.000000000000
USD
0.000000000000
USD
54216000.000000000000
EUR
333706.030000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SWP: SEK 0.245000 04-MAR-2030
000000000
709268000.000000000000
OU
Notional Amount
816799.160000000000
0.1293524736
N/A
DIR
CORP
US
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Stockholm Interbank Offered Ra
STIB3MIN4
Y
2030-03-04
0.000000000000
USD
0.000000000000
USD
709268000.000000000000
SEK
796209.550000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SWP: CAD 1.447500 02-MAR-2030
000000000
33025000.000000000000
OU
Notional Amount
1017366.920000000000
0.1611154052
N/A
DIR
CORP
US
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Canada Bankers Acceptances 3 M
CADBA3MO4
Y
2030-03-02
0.000000000000
USD
0.000000000000
USD
33025000.000000000000
CAD
998600.880000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
BRAZIL REAL
000000000
59992499.000000000000
OU
Notional Amount
N/A
-931859.750000000000
-0.1475740544
N/A
DFE
CORP
BR
N
2
Citi
MBNUM2BPBDO7JBLYG310
12165102.740000002086163
USD
59992499.000000000000000
BRL
2020-06-17
-931859.750000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
BRAZIL REAL
000000000
884500.000000000000
OU
Notional Amount
N/A
373.700000000000
0.0000591810
N/A
DFE
CORP
BR
N
2
Citi
MBNUM2BPBDO7JBLYG310
164644.519999999989523
USD
884500.000000000000000
BRL
2020-09-16
373.700000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
NY HARBOR ULSD (HEAT OIL) JUL 20
000000000
1.000000000000
NC
USD
6877.380000000000
0.0010891369
N/A
DCO
CORP
US
N
1
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Long
NY HARBOR ULSD (HEAT OIL) JUL 20
NY HARBOR ULSD (HEAT OIL) JUL 20
2020-06-30
36659.820000000000
USD
6877.380000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
NY HARBOR ULSD (HEAT OIL) JUL 20
000000000
-45.000000000000
NC
USD
-75085.470000000000
-0.0118909173
N/A
DCO
CORP
US
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Short
NY HARBOR ULSD (HEAT OIL) JUL 20
NY HARBOR ULSD (HEAT OIL) JUL 20
2020-06-30
-1884088.530000000000
USD
-75085.470000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
BRAZIL REAL
000000000
1000000.000000000000
OU
Notional Amount
N/A
-1344.370000000000
-0.0002129013
N/A
DFE
CORP
BR
N
2
Citi
MBNUM2BPBDO7JBLYG310
187911.040000000008149
USD
1000000.000000000000000
BRL
2020-09-16
-1344.370000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
CANADIAN DOLLAR
000000000
13877000.000000000000
OU
Notional Amount
N/A
188902.810000000000
0.0299156108
N/A
DFE
CORP
CA
N
2
Citi
MBNUM2BPBDO7JBLYG310
9890010.070000000298023
USD
13877000.000000000000000
CAD
2020-06-17
188902.810000000000
N
N
N
HSBC
CYYGQCGNHMHPSMRL3R97
US DOLLARS
000000000
-31923000.000000000000
OU
Notional Amount
N/A
-379345.200000000000
-0.0600750373
N/A
DFE
CORP
AU
N
2
HSBC
CYYGQCGNHMHPSMRL3R97
31923000.000000000000000
AUD
20898966.559999998658895
USD
2020-06-04
-379345.200000000000
N
N
N
HSBC
CYYGQCGNHMHPSMRL3R97
US DOLLARS
000000000
-677000.000000000000
OU
Notional Amount
N/A
-1093.320000000000
-0.0001731437
N/A
DFE
CORP
GB
N
2
HSBC
CYYGQCGNHMHPSMRL3R97
677000.000000000000000
GBP
835032.109999999986030
USD
2020-06-10
-1093.320000000000
N
N
N
Credit Suisse
1V8Y6QCX6YMJ2OELII46
FSWP: AUD 1.000000 12-SEP-2030
000000000
1800000.000000000000
OU
Notional Amount
-8500.620000000000
-0.0013462015
N/A
DIR
CORP
GB
N
2
Credit Suisse
1V8Y6QCX6YMJ2OELII46
BBA LIBOR AUD 6 Month **Discon
AUDLIB6M6
Y
2030-09-12
0.000000000000
USD
-7679.740000000000
USD
1800000.000000000000
AUD
-820.880000000000
N
N
N
HSBC
CYYGQCGNHMHPSMRL3R97
US DOLLARS
000000000
-584360000.000000000000
OU
Notional Amount
N/A
-2257758.330000000000
-0.3575501042
N/A
DFE
CORP
NO
N
2
HSBC
CYYGQCGNHMHPSMRL3R97
584360000.000000000000000
NOK
57860920.310000002384186
USD
2020-06-10
-2257758.330000000000
N
N
N
HSBC
CYYGQCGNHMHPSMRL3R97
US DOLLARS
000000000
-33722000.000000000000
OU
Notional Amount
N/A
-679661.720000000000
-0.1076346904
N/A
DFE
CORP
NZ
N
2
HSBC
CYYGQCGNHMHPSMRL3R97
33722000.000000000000000
NZD
20253095.980000000447035
USD
2020-06-04
-679661.720000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
CANADIAN DOLLAR
000000000
19331000.000000000000
OU
Notional Amount
N/A
-345252.460000000000
-0.0546759374
N/A
DFE
CORP
CA
N
2
Citi
MBNUM2BPBDO7JBLYG310
14385424.310000000521541
USD
19331000.000000000000000
CAD
2020-06-17
-345252.460000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
SWISS FRANC
000000000
112347000.000000000000
OU
Notional Amount
N/A
773386.710000000000
0.1224774570
N/A
DFE
CORP
CH
N
2
Citi
MBNUM2BPBDO7JBLYG310
116062625.080000013113022
USD
112347000.000000000000000
CHF
2020-06-10
773386.710000000000
N
N
N
HSBC
CYYGQCGNHMHPSMRL3R97
AUSTRALIA DOLLAR
000000000
31923000.000000000000
OU
Notional Amount
N/A
930910.790000000000
0.1474237723
N/A
DFE
CORP
AU
N
2
HSBC
CYYGQCGNHMHPSMRL3R97
20347400.969999998807907
USD
31923000.000000000000000
AUD
2020-06-04
930910.790000000000
N
N
N
HSBC
CYYGQCGNHMHPSMRL3R97
BRITISH POUND
000000000
47516000.000000000000
OU
Notional Amount
N/A
738396.130000000000
0.1169361706
N/A
DFE
CORP
GB
N
2
HSBC
CYYGQCGNHMHPSMRL3R97
57945999.579999998211861
USD
47516000.000000000000000
GBP
2020-06-10
738396.130000000000
N
N
N
HSBC
CYYGQCGNHMHPSMRL3R97
NORWAY KRONA
000000000
584360000.000000000000
OU
Notional Amount
N/A
1090388.780000000000
0.1726795188
N/A
DFE
CORP
NO
N
2
HSBC
CYYGQCGNHMHPSMRL3R97
59028289.859999999403954
USD
584360000.000000000000000
NOK
2020-06-10
1090388.780000000000
N
N
N
HSBC
CYYGQCGNHMHPSMRL3R97
NEW ZEALAND DOLLAR
000000000
33722000.000000000000
OU
Notional Amount
N/A
397037.640000000000
0.0628769021
N/A
DFE
CORP
NZ
N
2
HSBC
CYYGQCGNHMHPSMRL3R97
20535720.059999998658895
USD
33722000.000000000000000
NZD
2020-06-04
397037.640000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
IBEX 35 INDEX JUN 20
000000000
-7.000000000000
NC
3200.780000000000
0.0005068918
N/A
DE
CORP
ES
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
IBEX 35 INDEX JUN 20
IBEX 35 INDEX JUN 20
2020-06-19
-497319.570000000000
EUR
3200.780000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
IBEX 35 INDEX JUN 20
000000000
-75.000000000000
NC
-427174.930000000000
-0.0676495968
N/A
DE
CORP
ES
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Short
IBEX 35 INDEX JUN 20
IBEX 35 INDEX JUN 20
2020-06-19
-4907164.410000000000
EUR
-427174.930000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
SWISS FRANC
000000000
37924000.000000000000
OU
Notional Amount
N/A
446033.490000000000
0.0706361344
N/A
DFE
CORP
CH
N
2
Citi
MBNUM2BPBDO7JBLYG310
39001229.670000001788139
USD
37924000.000000000000000
CHF
2020-06-17
446033.490000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
SWISS FRANC
000000000
3838000.000000000000
OU
Notional Amount
N/A
-18090.690000000000
-0.0028649338
N/A
DFE
CORP
CH
N
2
Citi
MBNUM2BPBDO7JBLYG310
4010248.589999999850988
USD
3838000.000000000000000
CHF
2020-06-17
-18090.690000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
SGX CNX NIFTY ETS JUN 20
000000000
-83.000000000000
NC
USD
-54191.300000000000
-0.0085820102
N/A
DE
CORP
SG
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
SGX CNX NIFTY ETS JUN 20
SGX CNX NIFTY ETS JUN 20
2020-06-25
-1525132.700000000000
USD
-54191.300000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SGX CNX NIFTY ETS JUN 20
000000000
-397.000000000000
NC
USD
-363513.050000000000
-0.0575677774
N/A
DE
CORP
SG
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Short
SGX CNX NIFTY ETS JUN 20
SGX CNX NIFTY ETS JUN 20
2020-06-25
-7190602.950000000000
USD
-363513.050000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
SWISS FRANC
000000000
18013500.000000000000
OU
Notional Amount
N/A
161544.870000000000
0.0255830681
N/A
DFE
CORP
CH
N
2
Citi
MBNUM2BPBDO7JBLYG310
18626702.719999998807907
USD
18013500.000000000000000
CHF
2020-09-16
161544.870000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
CHILEAN PESO
000000000
9000000000.000000000000
OU
Notional Amount
N/A
460469.350000000000
0.0729222707
N/A
DFE
CORP
CL
N
2
Citi
MBNUM2BPBDO7JBLYG310
10783554.650000000372529
USD
9000000000.000000000000000
CLP
2020-06-17
460469.350000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
CHINESE OFFSHORE YUAN (HONG KONG)
000000000
761750.000000000000
OU
Notional Amount
N/A
620.910000000000
0.0000983305
N/A
DFE
CORP
CN
N
2
Citi
MBNUM2BPBDO7JBLYG310
105991.479999999995925
USD
761750.000000000000000
CNY
2020-06-17
620.910000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
CHINESE OFFSHORE YUAN (HONG KONG)
000000000
23616194.000000000000
OU
Notional Amount
N/A
-58702.580000000000
-0.0092964394
N/A
DFE
CORP
CN
N
2
Citi
MBNUM2BPBDO7JBLYG310
3363958.750000000465661
USD
23616194.000000000000000
CNY
2020-06-17
-58702.580000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
COLOMBIAN PESO
000000000
2725000000.000000000000
OU
Notional Amount
N/A
22682.720000000000
0.0035921510
N/A
DFE
CORP
CO
N
2
Citi
MBNUM2BPBDO7JBLYG310
706829.750000000000000
USD
2725000000.000000000000000
COP
2020-06-17
22682.720000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
COLOMBIAN PESO
000000000
21361471820.000000000000
OU
Notional Amount
N/A
-210268.360000000000
-0.0332991680
N/A
DFE
CORP
CO
N
2
Citi
MBNUM2BPBDO7JBLYG310
5928969.309999999590218
USD
21361471820.000000000000000
COP
2020-06-17
-210268.360000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
COLOMBIAN PESO
000000000
8086471820.000000000000
OU
Notional Amount
N/A
204.110000000000
0.0000323239
N/A
DFE
CORP
CO
N
2
Citi
MBNUM2BPBDO7JBLYG310
2148808.120000000111759
USD
8086471820.000000000000000
COP
2020-09-16
204.110000000000
N
N
N
2020-06-22
Columbia Funds Series Trust I
Martha Skinner
Martha Skinner
Assistant Treasurer