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