NPORT-P false 0000810893 XXXXXXXX S000009708 C000064156 C000088664 C000026650 C000200453 C000026651 C000026654 C000026652 PIMCO Funds 811-05028 0000810893 00000000000000000000 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO CommodityRealReturn Strategy Fund S000009708 D8BVB3JRZ75950VGOK95 2021-03-31 2020-06-30 N 4456868245.560000 1959370161.250000 2497498084.310000 0.000000 515511474.460000 885372383.850000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 38946.620000 0.000000 0.000000 11085467.700000 PEN ARS CAD DKK EUR GBP ILS JPY USD NZD AUD MXN N N/A N/A 000000000 1.000000 NC 326.580000 0.0000131 N/A DFE PL N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 244625.060000 PLN 62172.000000 USD 2020-09-10 326.580000 N N N ARGENT SECURITIES INC 2006-W4 N/A 040104TG6 2753424.320000 PA USD 998967.400000 0.0399987 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.3445 N N N N N N N/A N/A 000000000 1.000000 NC 2234156.460000 0.0894558 N/A DFE AU N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 48484065.290000 AUD 73494000.000000 AUD 2020-07-02 2234156.460000 N N N N/A N/A 000000000 1.000000 NC 59906.860000 0.0023987 N/A DFE CA N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 9682090.780000 CAD 13225736.000000 CAD 2020-07-02 59906.860000 N N N N/A N/A 000000000 1.000000 NC 28018.200000 0.0011219 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 12669120.890000 DKK 84213775.000000 DKK 2020-07-01 28018.200000 N N N N/A N/A 000000000 1.000000 NC -62923.610000 -0.0025195 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 14601322.710000 DKK 96425932.000000 DKK 2020-07-01 -62923.610000 N N N N/A N/A 000000000 1.000000 NC 5005.700000 0.0002004 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 17467409.830000 DKK 115885796.000000 DKK 2020-07-01 5005.700000 N N N N/A N/A 000000000 1.000000 NC -176883.840000 -0.0070824 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 19004012.630000 JPY 2032859231.000000 JPY 2020-07-02 -176883.840000 N N N N/A N/A 000000000 1.000000 NC -1952012.990000 -0.0781587 N/A DFE AU N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 73494000.000000 AUD 48766208.760000 USD 2020-07-02 -1952012.990000 N N N N/A N/A 000000000 1.000000 NC -59846.540000 -0.0023963 N/A DFE CA N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 13225736.000000 CAD 9683012.290000 USD 2020-08-04 -59846.540000 N N N N/A N/A 000000000 1.000000 NC -25621.810000 -0.0010259 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 84213775.000000 DKK 12696743.970000 USD 2020-10-01 -25621.810000 N N N N/A N/A 000000000 1.000000 NC 64717.540000 0.0025913 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 96425932.000000 DKK 14632001.550000 USD 2020-10-01 64717.540000 N N N N/A N/A 000000000 1.000000 NC -3687.540000 -0.0001476 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 115885796.000000 DKK 17503442.210000 USD 2020-10-01 -3687.540000 N N N N/A N/A 000000000 1.000000 NC 28980.850000 0.0011604 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 101603192.000000 DKK 15378405.260000 USD 2020-10-01 28980.850000 N N N N/A N/A 000000000 1.000000 NC -433.800000 -0.0000174 N/A DFE N/A N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 68433.000000 EUR 76797.600000 USD 2021-01-04 -433.800000 N N N N/A N/A 000000000 1.000000 NC -301.760000 -0.0000121 N/A DFE N/A N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 55809.000000 EUR 62722.780000 USD 2021-02-01 -301.760000 N N N N/A N/A 000000000 1.000000 NC 177254.180000 0.0070973 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2032859231.000000 JPY 19012099.480000 USD 2020-08-04 177254.180000 N N N N/A N/A 000000000 4.000000 NC USD -1362.850000 -0.0000546 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Henry 2021-03-29 24740.000000 USD -1362.850000 N N N N/A N/A 000000000 10.000000 NC USD -5130.270000 -0.0002054 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Henry 2022-03-29 56575.000000 USD -5130.270000 N N N N/A N/A 000000000 4.000000 NC USD -682.850000 -0.0000273 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Henry 2021-07-28 25420.000000 USD -682.850000 N N N N/A N/A 000000000 10.000000 NC USD -3980.270000 -0.0001594 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Henry 2022-07-27 57725.000000 USD -3980.270000 N N N N/A N/A 000000000 4.000000 NC USD 1167.150000 0.0000467 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Henry 2021-11-26 27270.000000 USD 1167.150000 N N N N/A N/A 000000000 4.000000 NC USD 2367.150000 0.0000948 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Henry 2021-01-27 28470.000000 USD 2367.150000 N N N N/A N/A 000000000 10.000000 NC USD 7919.730000 0.0003171 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Henry 2022-01-27 69625.000000 USD 7919.730000 N N N N/A N/A 000000000 4.000000 NC USD 2727.150000 0.0001092 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Henry 2020-12-29 28830.000000 USD 2727.150000 N N N N/A N/A 000000000 10.000000 NC USD 9019.730000 0.0003612 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Henry 2021-12-29 70725.000000 USD 9019.730000 N N N N/A N/A 000000000 4.000000 NC USD -822.850000 -0.0000329 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Henry 2021-06-28 25280.000000 USD -822.850000 N N N N/A N/A 000000000 10.000000 NC USD -4205.270000 -0.0001684 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Henry 2022-06-28 57500.000000 USD -4205.270000 N N N N/A N/A 000000000 4.000000 NC USD -1282.850000 -0.0000514 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Henry 2021-05-26 24820.000000 USD -1282.850000 N N N N/A N/A 000000000 10.000000 NC USD -5205.270000 -0.0002084 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Henry 2022-05-26 56500.000000 USD -5205.270000 N N N N/A N/A 000000000 4.000000 NC USD 1287.150000 0.0000515 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Henry 2021-02-24 27390.000000 USD 1287.150000 N N N N/A N/A 000000000 4.000000 NC USD -1672.850000 -0.0000670 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Henry 2021-04-28 24430.000000 USD -1672.850000 N N N N/A N/A 000000000 10.000000 NC USD -6055.270000 -0.0002425 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Henry 2022-04-27 55650.000000 USD -6055.270000 N N N N/A N/A 000000000 4.000000 NC USD -132.850000 -0.0000053 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Henry 2021-10-27 25970.000000 USD -132.850000 N N N N/A N/A 000000000 10.000000 NC USD -2230.270000 -0.0000893 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Henry 2022-10-27 59475.000000 USD -2230.270000 N N N N/A N/A 000000000 4.000000 NC USD -612.850000 -0.0000245 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Henry 2021-09-28 25490.000000 USD -612.850000 N N N N/A N/A 000000000 10.000000 NC USD -3905.270000 -0.0001564 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Henry 2022-09-28 57800.000000 USD -3905.270000 N N N N/A N/A 000000000 4.000000 NC USD -802.850000 -0.0000321 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Henry 2021-08-27 25300.000000 USD -802.850000 N N N N/A N/A 000000000 10.000000 NC USD -4380.270000 -0.0001754 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Henry 2022-08-29 57325.000000 USD -4380.270000 N N N N/A N/A 000000000 10.000000 NC USD 2019.730000 0.0000809 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Henry 2022-11-28 63725.000000 USD 2019.730000 N N N N/A N/A 000000000 10.000000 NC USD 4294.730000 0.0001720 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Henry 2022-02-24 66000.000000 USD 4294.730000 N N N N/A N/A 000000000 44.000000 NC 26135.020000 0.0010464 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A NBP 2020-07-30 274139.600000 GBP 26135.020000 N N N N/A N/A 000000000 -12.000000 NC USD -1320.000000 -0.0000529 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Call Written New York Mercantile Exchange 5493008GFNDTXFPHWI47 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT NATURAL GAS NYM 07/29/20 2020-07-30 N/A USD N/A 2.300000 USD 2020-07-28 XXXX 14223.140000 N N N N/A N/A 000000000 627.000000 NC USD 32653.370000 0.0013074 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Henry 2020-07-29 10978770.000000 USD 32653.370000 N N N N/A N/A 000000000 -56.000000 NC USD 75093.330000 0.0030067 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Henry 2020-11-25 -1538320.000000 USD 75093.330000 N N N N/A N/A 000000000 81.000000 NC USD -53587.660000 -0.0021457 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Henry 2021-01-27 2306070.000000 USD -53587.660000 N N N N/A N/A 000000000 -280.000000 NC USD 84327.470000 0.0033765 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Henry 2020-12-29 -8072400.000000 USD 84327.470000 N N N N/A N/A 000000000 59.000000 NC USD -10386.630000 -0.0004159 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Henry 2021-02-24 1616010.000000 USD -10386.630000 N N N N/A N/A 000000000 -266.000000 NC USD 582978.380000 0.0233425 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Henry 2020-09-28 -5019420.000000 USD 582978.380000 N N N N/A N/A 000000000 -9.000000 NC USD -4282.290000 -0.0001715 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Henry 2020-08-27 -161010.000000 USD -4282.290000 N N N N/A N/A 000000000 -19.000000 NC USD -2090.000000 -0.0000837 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Call Written New York Mercantile Exchange 5493008GFNDTXFPHWI47 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT NAT GAS SPREAD V0-F1 09/28/20 2020-09-29 N/A USD N/A 0.300000 USD 2020-09-25 XXXX 3354.070000 N N N N/A N/A 000000000 -19.000000 NC USD -85310.000000 -0.0034158 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Put Written New York Mercantile Exchange 5493008GFNDTXFPHWI47 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT NAT GAS SPREAD V0-F1 09/28/20 2020-09-29 N/A USD N/A 0.600000 USD 2020-09-25 XXXX -77775.930000 N N N N/A N/A 000000000 -4.000000 NC 1788.380000 0.0000716 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Short N/A TTF 2021-03-30 -38358.970000 EUR 1788.380000 N N N N/A N/A 000000000 -11.000000 NC 4140.710000 0.0001658 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Short N/A TTF 2022-03-30 -124822.780000 EUR 4140.710000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1LPSS3 30819000.000000 PA 304482.400000 0.0121915 Long DBT NUSS AR N 2 2021-04-17 Fixed 1.1 N N N N N N N/A N/A 000000000 -4.000000 NC 2934.680000 0.0001175 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Short N/A TTF 2021-07-29 -38550.960000 EUR 2934.680000 N N N N/A N/A 000000000 -11.000000 NC 8968.180000 0.0003591 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Short N/A TTF 2022-07-28 -124294.230000 EUR 8968.180000 N N N N/A N/A 000000000 -4.000000 NC -9021.800000 -0.0003612 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Short N/A TTF 2021-11-29 -50507.440000 EUR -9021.800000 N N N N/A N/A 000000000 -11.000000 NC -11839.470000 -0.0004741 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Short N/A TTF 2022-11-29 -145101.880000 EUR -11839.470000 N N N N/A N/A 000000000 -4.000000 NC -563.100000 -0.0000225 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Short N/A TTF 2021-01-28 -38033.460000 EUR -563.100000 N N N N/A N/A 000000000 -11.000000 NC -5878.360000 -0.0002354 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Short N/A TTF 2022-01-28 -126242.920000 EUR -5878.360000 N N N N/A N/A 000000000 -4.000000 NC -519.190000 -0.0000208 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Short N/A TTF 2020-12-30 -42004.830000 EUR -519.190000 N N N N/A N/A 000000000 -11.000000 NC -6690.430000 -0.0002679 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Short N/A TTF 2021-12-30 -139952.840000 EUR -6690.430000 N N N N/A N/A 000000000 -4.000000 NC 3218.880000 0.0001289 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Short N/A TTF 2021-06-29 -38266.750000 EUR 3218.880000 N N N N/A N/A 000000000 -11.000000 NC 10761.150000 0.0004309 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Short N/A TTF 2022-06-29 -122501.260000 EUR 10761.150000 N N N N/A N/A 000000000 -4.000000 NC 2791.440000 0.0001118 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Short N/A TTF 2021-05-27 -37355.910000 EUR 2791.440000 N N N N/A N/A 000000000 -11.000000 NC 10627.440000 0.0004255 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Short N/A TTF 2022-05-27 -118336.050000 EUR 10627.440000 N N N N/A N/A 000000000 -4.000000 NC 45.870000 0.0000018 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Short N/A TTF 2021-02-25 -41439.760000 EUR 45.870000 N N N N/A N/A 000000000 -11.000000 NC 941.190000 0.0000377 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Short N/A TTF 2022-02-25 -132321.220000 EUR 941.190000 N N N N/A N/A 000000000 -4.000000 NC 2449.870000 0.0000981 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Short N/A TTF 2021-04-29 -39035.770000 EUR 2449.870000 N N N N/A N/A 000000000 -11.000000 NC 9970.400000 0.0003992 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Short N/A TTF 2022-04-28 -123292.010000 EUR 9970.400000 N N N N/A N/A 000000000 -4.000000 NC -5381.890000 -0.0002155 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Short N/A TTF 2021-10-28 -45529.240000 EUR -5381.890000 N N N N/A N/A 000000000 -11.000000 NC -6163.310000 -0.0002468 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Short N/A TTF 2022-10-28 -135126.800000 EUR -6163.310000 N N N N/A N/A 000000000 -4.000000 NC -2184.270000 -0.0000875 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Short N/A TTF 2021-09-29 -43669.910000 EUR -2184.270000 N N N N/A N/A 000000000 -11.000000 NC -2736.700000 -0.0001096 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Short N/A TTF 2022-09-29 -135999.110000 EUR -2736.700000 N N N N/A N/A 000000000 -4.000000 NC 862.970000 0.0000346 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Short N/A TTF 2021-08-27 -39284.380000 EUR 862.970000 N N N N/A N/A 000000000 -11.000000 NC 8055.890000 0.0003226 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Short N/A TTF 2022-08-30 -120907.610000 EUR 8055.890000 N N N N/A N/A 000000000 -30.000000 NC -3711.320000 -0.0001486 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Put Written EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCO GB N/A N/A FIN FUT NATURAL GAS EDX 07/30/20 2020-07-31 N/A EUR N/A 4.250000 EUR 2020-07-27 XXXX 9371.230000 N N N N/A N/A 000000000 -35.000000 NC USD 793.780000 0.0000318 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Platinum 2020-10-28 -1489600.000000 USD 793.780000 N N N N/A N/A 000000000 -73.000000 NC USD -189075.000000 -0.0075706 N/A DCO GB N 1 London Metals Exchange 213800NB8G5VRT1DXC91 Short N/A Aluminum 2020-11-16 -2980225.000000 USD -189075.000000 N N N N/A N/A 000000000 -11.000000 NC USD -14306.250000 -0.0005728 N/A DCO GB N 1 London Metals Exchange 213800NB8G5VRT1DXC91 Short N/A Aluminum 2020-09-14 -444400.000000 USD -14306.250000 N N N N/A N/A 000000000 -1.000000 NC USD -3152.320000 -0.0001262 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Propane 2021-04-30 -18060.000000 USD -3152.320000 N N N N/A N/A 000000000 -1.000000 NC USD -3126.280000 -0.0001252 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Propane 2021-08-31 -18033.960000 USD -3126.280000 N N N N/A N/A 000000000 -4.000000 NC USD -16243.120000 -0.0006504 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Propane 2020-12-31 -81165.840000 USD -16243.120000 N N N N/A N/A 000000000 -1.000000 NC USD -4044.820000 -0.0001620 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Propane 2021-12-31 -18952.500000 USD -4044.820000 N N N N/A N/A 000000000 -1.000000 NC USD -5593.780000 -0.0002240 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Propane 2021-02-26 -20501.460000 USD -5593.780000 N N N N/A N/A 000000000 -1.000000 NC USD -5646.280000 -0.0002261 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Propane 2021-01-29 -20553.960000 USD -5646.280000 N N N N/A N/A 000000000 -1.000000 NC USD -2889.820000 -0.0001157 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Propane 2021-07-30 -17797.500000 USD -2889.820000 N N N N/A N/A 000000000 -1.000000 NC USD -2706.280000 -0.0001084 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Propane 2021-06-30 -17613.960000 USD -2706.280000 N N N N/A N/A 000000000 -1.000000 NC USD -4359.820000 -0.0001746 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Propane 2021-03-31 -19267.500000 USD -4359.820000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1JWNB3 5942392.360000 PA 55329.310000 0.0022154 Long DBT NUSS AR N 2 2021-08-05 Fixed 1 N N N N N N N/A N/A 000000000 -1.000000 NC USD -2758.780000 -0.0001105 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Propane 2021-05-28 -17666.460000 USD -2758.780000 N N N N/A N/A 000000000 -4.000000 NC USD -15613.120000 -0.0006252 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Propane 2020-11-30 -80535.840000 USD -15613.120000 N N N N/A N/A 000000000 -1.000000 NC USD -3861.280000 -0.0001546 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Propane 2021-11-30 -18768.960000 USD -3861.280000 N N N N/A N/A 000000000 -4.000000 NC USD -14773.120000 -0.0005915 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Propane 2020-10-30 -79695.840000 USD -14773.120000 N N N N/A N/A 000000000 -1.000000 NC USD -3651.280000 -0.0001462 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Propane 2021-10-29 -18558.960000 USD -3651.280000 N N N N/A N/A 000000000 -1.000000 NC USD -3388.780000 -0.0001357 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Propane 2021-09-30 -18296.460000 USD -3388.780000 N N N N/A N/A 000000000 1.000000 NC -260.710000 -0.0000104 N/A DFE N/A N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 11325.000000 EUR 12528.500000 USD 2021-02-01 -260.710000 N N N N/A N/A 000000000 1.000000 NC -302.470000 -0.0000121 N/A DFE N/A N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 12634.000000 EUR 13955.880000 USD 2021-01-04 -302.470000 N N N N/A N/A 000000000 -27.000000 NC USD -25174.050000 -0.0010080 N/A DCO US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short N/A Silver 2020-09-28 -2515995.000000 USD -25174.050000 N N N N/A N/A 000000000 1.000000 NC 12944.670000 0.0005183 N/A DFE DK N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 16105249.830000 DKK 106903925.000000 DKK 2020-07-01 12944.670000 N N N N/A N/A 000000000 1.000000 NC -11738.200000 -0.0004700 N/A DFE DK N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 106903925.000000 DKK 16138479.950000 USD 2020-10-01 -11738.200000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1KSVQ8 2303025.000000 PA 25051.690000 0.0010031 Long DBT NUSS AR N 2 2020-07-31 Floating 23.7905 N N N N N N N/A N/A 000000000 30.000000 NC USD 32247.820000 0.0012912 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A Soybeans 2020-11-13 1323375.000000 USD 32247.820000 N N N N/A N/A 000000000 -4.000000 NC USD 1175.600000 0.0000471 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A Soybeans 2021-11-12 -174450.000000 USD 1175.600000 N N N N/A N/A 000000000 10.000000 NC USD 3666.150000 0.0001468 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A Soybean Meal 2020-12-14 295900.000000 USD 3666.150000 N N N N/A N/A 000000000 -179.000000 NC USD -16760.620000 -0.0006711 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A Soybean Oil 2020-12-14 -3094194.000000 USD -16760.620000 N N N N/A N/A 000000000 1.000000 NC 156334.090000 0.0062596 N/A DFE AU N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 50561887.660000 AUD 73494000.000000 AUD 2020-07-02 156334.090000 N N N N/A N/A 000000000 1.000000 NC -160559.980000 -0.0064288 N/A DFE AU N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 73494000.000000 AUD 50567215.980000 USD 2020-08-04 -160559.980000 N N N N/A N/A 000000000 1.000000 NC -894587.620000 -0.0358194 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 85391102.410000 EUR 95042278.910000 USD 2020-07-02 -894587.620000 N N N N/A N/A 000000000 1.000000 NC -384575.590000 -0.0153984 N/A DFE NZ N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 15332166.500000 NZD 9509270.310000 USD 2020-07-02 -384575.590000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1JDTT0 67703000.000000 PA 736455.190000 0.0294877 Long DBT NUSS AR N 2 2020-08-28 Floating 30.3128 N N N N N N N/A N/A 000000000 1.000000 NC 7479.140000 0.0002995 N/A DFE CL N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 115327750.000000 CLP 147952.830000 USD 2020-07-27 7479.140000 N N N N/A N/A 000000000 1.000000 NC -1608.500000 -0.0000644 N/A DFE SG N 2 State Street Bank and Trust Company 571474TGEMMWANRLN572 144378.680000 SGD 102014.940000 USD 2020-09-16 -1608.500000 N N N N/A N/A 000000000 64.000000 NC USD -8654.700000 -0.0003465 N/A DCO US N 1 New York Board of Trade 5493000F4ZO33MV32P92 Long N/A Raw Sugar 2021-02-26 900300.800000 USD -8654.700000 N N N N/A N/A 000000000 19.000000 NC USD -892.470000 -0.0000357 N/A DCO US N 1 New York Board of Trade 5493000F4ZO33MV32P92 Long N/A Raw Sugar 2020-09-30 254508.800000 USD -892.470000 N N N N/A N/A 000000000 -7.000000 NC USD -58.790000 -0.0000024 N/A DCO US N 3 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A COM FWD QSCOCAL20 18 12/31/20 GST 2020-12-31 0.000000 USD 0.000000 USD N/A USD N/A 18.000000 USD 2020-12-31 XXXX 17091.210000 N N N N/A N/A 000000000 -28.000000 NC USD -59.840000 -0.0000024 N/A DCO US N 3 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A COM FWD QSCOCAL20 20 12/31/20 JPM 2020-12-31 0.000000 USD 0.000000 USD N/A USD N/A 20.000000 USD 2020-12-31 XXXX 46980.160000 N N N N/A N/A 000000000 -14.000000 NC USD -85482.350000 -0.0034227 N/A DCO US N 3 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A COM FWD HSFOCO CAL20 -13 12/31/20 GST 2020-12-31 0.000000 USD 0.000000 USD N/A USD N/A 13.000000 USD 2020-12-31 XXXX -62382.350000 N N N N/A N/A 000000000 -32.900000 NC USD -200883.420000 -0.0080434 N/A DCO US N 3 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A COM FWD HSFOCO CAL20 -13 12/31/20 GST 2020-12-31 0.000000 USD 0.000000 USD N/A USD N/A 13.000000 USD 2020-12-31 XXXX -145502.850000 N N N N/A N/A 000000000 -14.000000 NC USD -291.130000 -0.0000117 N/A DCO US N 3 BNP Paribas S.A. N/A Call Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A COM FWD QSCOCAL20 21 12/31/20 BPS 2020-12-31 0.000000 USD 0.000000 USD N/A USD N/A 21.000000 USD 2020-12-31 XXXX 18608.870000 N N N N/A N/A 000000000 -14.000000 NC USD -25.660000 -0.0000010 N/A DCO US N 3 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A COM FWD QSCOCAL20 21 12/31/20 GST 2020-12-31 0.000000 USD 0.000000 USD N/A USD N/A 21.000000 USD 2020-12-31 XXXX 19574.340000 N N N N/A N/A 000000000 -25.200000 NC USD -174.460000 -0.0000070 N/A DCO US N 3 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A COM FWD QSCOCAL20 18.1 12/31/20 JPM 2020-12-31 0.000000 USD 0.000000 USD N/A USD N/A 18.100000 USD 2020-12-31 XXXX 65345.540000 N N N N/A N/A 000000000 -14.000000 NC USD -105347.580000 -0.0042181 N/A DCO US N 3 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A COM FWD HSFOCO CAL20 -14.5 12/31/20 GST 2020-12-31 0.000000 USD 0.000000 USD N/A USD N/A 14.500000 USD 2020-12-31 XXXX -73147.580000 N N N N/A N/A 000000000 -14.000000 NC USD -103340.920000 -0.0041378 N/A DCO US N 3 BNP Paribas S.A. N/A Call Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A COM FWD HSFOCO CAL20 -13 12/31/20 BPS 2020-12-31 0.000000 USD 0.000000 USD N/A USD N/A 13.000000 USD 2020-12-31 XXXX -80940.920000 N N N N/A N/A 000000000 -13.300000 NC USD -98173.870000 -0.0039309 N/A DCO US N 3 BNP Paribas S.A. N/A Call Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A COM FWD HSFOCO CAL20 -13 12/31/20 BPS 2020-12-31 0.000000 USD 0.000000 USD N/A USD N/A 13.000000 USD 2020-12-31 XXXX -74898.870000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1N6NC3 28000000.000000 PA 254053.170000 0.0101723 Long DBT NUSS AR N 2 2020-09-11 None 0 N N N N N N N/A N/A 000000000 -6150000.000000 NC -197047.840000 -0.0078898 N/A DIR DE N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 0.00000 08/26/20-30Y LCH 2050-08-26 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.000000 EUR 2020-08-24 XXXX 14527.000000 N N N N/A N/A 000000000 -5900000.000000 NC -191840.350000 -0.0076813 N/A DIR DE N 2 J.P. MORGAN SECURITIES PLC K6Q0W1PS1L1O4IQL9C32 Call Written J.P. MORGAN SECURITIES PLC K6Q0W1PS1L1O4IQL9C32 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 0.00000 08/27/20-30Y LCH 2050-08-27 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.000000 EUR 2020-08-25 XXXX -11886.190000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1J9WH1 53200000.000000 PA 579721.730000 0.0232121 Long DBT NUSS AR N 2 2020-09-18 Floating 32.7301 N N N N N N N/A N/A 000000000 -9200000.000000 NC -307491.500000 -0.0123120 N/A DIR DE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 0.00000 08/31/20-30Y LCH 2050-08-31 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.000000 EUR 2020-08-27 XXXX -24286.050000 N N N N/A N/A 000000000 -6150000.000000 NC -197047.840000 -0.0078898 N/A DIR DE N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 0.00000 08/26/20-30Y LCH 2050-08-26 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.000000 EUR 2020-08-24 XXXX -5011.970000 N N N N/A N/A 000000000 1.000000 NC USD -100807.410000 -0.0040363 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Petroleum Y Single Leg Swap 2020-12-31 0.000000 USD 0.000000 USD 8040.000000 USD -100807.410000 N N N N/A N/A 000000000 1.000000 NC USD -166823.730000 -0.0066796 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A Petroleum Y Single Leg Swap 2020-12-31 0.000000 USD 0.000000 USD 13200.000000 USD -166823.730000 N N N N/A N/A 000000000 1.000000 NC USD -132476.580000 -0.0053044 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A Petroleum Y Single Leg Swap 2020-12-31 0.000000 USD 0.000000 USD 10200.000000 USD -132476.580000 N N N N/A N/A 000000000 1.000000 NC USD -134005.450000 -0.0053656 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 N/A Petroleum Y Single Leg Swap 2020-12-31 0.000000 USD 0.000000 USD 10200.000000 USD -134005.450000 N N N N/A N/A 000000000 1.000000 NC USD -2702.160000 -0.0001082 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Petroleum Y Single Leg Swap 2020-12-31 0.000000 USD 0.000000 USD 144000.000000 USD -2702.160000 N N N N/A N/A 000000000 1.000000 NC USD 12426.190000 0.0004975 N/A DCO US N 2 Citibank International Limited N/A N/A Petroleum Y Single Leg Swap 2020-12-31 0.000000 USD 0.000000 USD 102600.000000 USD 12426.190000 N N N N/A N/A 000000000 1.000000 NC USD 23474.650000 0.0009399 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A Petroleum Y Single Leg Swap 2020-12-31 0.000000 USD 0.000000 USD 78000.000000 USD 23474.650000 N N N N/A N/A 000000000 1.000000 NC USD -10351.980000 -0.0004145 N/A DCO US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A Petroleum Y Single Leg Swap 2020-12-31 0.000000 USD 0.000000 USD 9000.000000 USD -10351.980000 N N N N/A N/A 000000000 1.000000 NC USD -802.590000 -0.0000321 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 N/A Petroleum Y Single Leg Swap 2020-06-30 3015.260000 USD 0.000000 USD 1140.000000 USD 2212.670000 N N N N/A N/A 000000000 1.000000 NC USD 2783.900000 0.0001115 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A Petroleum Y Single Leg Swap 2020-06-30 0.000000 USD 0.000000 USD 4000.000000 USD 2783.900000 N N N N/A N/A 000000000 1.000000 NC USD 8299.060000 0.0003323 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A Petroleum Y Single Leg Swap 2020-06-30 0.000000 USD -3591.000000 USD 5200.000000 USD 4708.060000 N N N N/A N/A 000000000 1.000000 NC USD 2389.410000 0.0000957 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Petroleum Y Single Leg Swap 2020-06-30 0.000000 USD 0.000000 USD 1140.000000 USD 2389.410000 N N N N/A N/A 000000000 1.000000 NC USD 180290.650000 0.0072189 N/A DCO US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A Petroleum Y Single Leg Swap 2020-06-30 0.000000 USD -194718.000000 USD 36600.000000 USD -14427.350000 N N N N/A N/A 000000000 1.000000 NC USD 22202.290000 0.0008890 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A Petroleum Y Single Leg Swap 2020-06-30 0.000000 USD 0.000000 USD 4400.000000 USD 22202.290000 N N N N/A N/A 000000000 1.000000 NC USD 11226.550000 0.0004495 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A Petroleum Y Single Leg Swap 2020-06-30 0.000000 USD 0.000000 USD 2100.000000 USD 11226.550000 N N N N/A N/A 000000000 1.000000 NC USD -11829.440000 -0.0004737 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Petroleum Y Single Leg Swap 2020-12-31 0.000000 USD 0.000000 USD 5700.000000 USD -11829.440000 N N N N/A N/A 000000000 1.000000 NC USD -9135.920000 -0.0003658 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A Petroleum Y Single Leg Swap 2020-12-31 0.000000 USD 0.000000 USD 4200.000000 USD -9135.920000 N N N N/A N/A 000000000 1.000000 NC USD -16042.760000 -0.0006424 N/A DCO US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A Petroleum Y Single Leg Swap 2020-12-31 0.000000 USD -1725.000000 USD 6900.000000 USD -14317.760000 N N N N/A N/A 000000000 1.000000 NC USD -244123.330000 -0.0097747 N/A DCO US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A Petroleum Y Single Leg Swap 2020-12-31 0.000000 USD -552.000000 USD 60102.000000 USD -243571.330000 N N N N/A N/A 000000000 1.000000 NC USD 6343.640000 0.0002540 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD 0.000000 USD 3600.000000 USD 6343.640000 N N N N/A N/A 000000000 1.000000 NC USD 155599.610000 0.0062302 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD 0.000000 USD 93600.000000 USD 155599.610000 N N N N/A N/A 000000000 1.000000 NC USD 13395.900000 0.0005364 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD 0.000000 USD 10200.000000 USD 13395.900000 N N N N/A N/A 000000000 1.000000 NC USD 4656.160000 0.0001864 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD 0.000000 USD 3600.000000 USD 4656.160000 N N N N/A N/A 000000000 1.000000 NC USD 15161.500000 0.0006071 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD 0.000000 USD 12000.000000 USD 15161.500000 N N N N/A N/A 000000000 1.000000 NC USD -26720.870000 -0.0010699 N/A DCO US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD -28764.000000 USD 19800.000000 USD 2043.130000 N N N N/A N/A 000000000 1.000000 NC USD -40546.790000 -0.0016235 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD -37991.140000 USD 25680.000000 USD -2555.650000 N N N N/A N/A 000000000 1.000000 NC USD -122667.610000 -0.0049116 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A Petroleum Y Single Leg Swap 2020-12-31 0.000000 USD 0.000000 USD 44400.000000 USD -122667.610000 N N N N/A N/A 000000000 1.000000 NC USD -64364.230000 -0.0025771 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A Petroleum Y Single Leg Swap 2020-12-31 0.000000 USD 0.000000 USD 22098.000000 USD -64364.230000 N N N N/A N/A 000000000 1.000000 NC USD -149800.130000 -0.0059980 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 N/A Petroleum Y Single Leg Swap 2020-12-31 0.000000 USD 0.000000 USD 46200.000000 USD -149800.130000 N N N N/A N/A 000000000 1.000000 NC USD -583486.560000 -0.0233628 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Petroleum Y Single Leg Swap 2020-12-31 0.000000 USD 0.000000 USD 163800.000000 USD -583486.560000 N N N N/A N/A 000000000 1.000000 NC USD 5594.990000 0.0002240 N/A DCO US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A Petroleum Y Single Leg Swap 2020-06-30 0.000000 USD 0.000000 USD 600.000000 USD 5594.990000 N N N N/A N/A 000000000 1.000000 NC USD -25967.750000 -0.0010398 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A Petroleum Y Single Leg Swap 2020-12-31 0.000000 USD 0.000000 USD 6000.000000 USD -25967.750000 N N N N/A N/A 000000000 1.000000 NC USD -29265.290000 -0.0011718 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 N/A Petroleum Y Single Leg Swap 2020-12-31 0.000000 USD 0.000000 USD 6000.000000 USD -29265.290000 N N N N/A N/A 000000000 1.000000 NC USD -59729.680000 -0.0023916 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A Petroleum Y Single Leg Swap 2020-12-31 0.000000 USD -10800.000000 USD 12000.000000 USD -48929.680000 N N N N/A N/A 000000000 1.000000 NC USD -76756.940000 -0.0030734 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Petroleum Y Single Leg Swap 2020-12-31 0.000000 USD 0.000000 USD 12000.000000 USD -76756.940000 N N N N/A N/A 000000000 1.000000 NC USD 62528.930000 0.0025037 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD 0.000000 USD 14400.000000 USD 62528.930000 N N N N/A N/A 000000000 1.000000 NC USD -5247.060000 -0.0002101 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD 0.000000 USD 4800.000000 USD -5247.060000 N N N N/A N/A 000000000 1.000000 NC USD -203134.390000 -0.0081335 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD -460458.780000 USD 81600.000000 USD 257324.390000 N N N N/A N/A 000000000 1.000000 NC USD -18067.240000 -0.0007234 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD 0.000000 USD 7200.000000 USD -18067.240000 N N N N/A N/A 000000000 1.000000 NC USD -3346.310000 -0.0001340 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD 0.000000 USD 1200.000000 USD -3346.310000 N N N N/A N/A 000000000 1.000000 NC USD -34659.860000 -0.0013878 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD 0.000000 USD 12000.000000 USD -34659.860000 N N N N/A N/A 000000000 1.000000 NC USD -33886.660000 -0.0013568 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD 0.000000 USD 10800.000000 USD -33886.660000 N N N N/A N/A 000000000 1.000000 NC USD -19723.520000 -0.0007897 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD 0.000000 USD 6000.000000 USD -19723.520000 N N N N/A N/A 000000000 1.000000 NC USD -28031.800000 -0.0011224 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD 0.000000 USD 8400.000000 USD -28031.800000 N N N N/A N/A 000000000 1.000000 NC USD -78360.200000 -0.0031375 N/A DCO US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD -134400.000000 USD 22800.000000 USD 56039.800000 N N N N/A N/A 000000000 1.000000 NC USD -37311.630000 -0.0014940 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD 0.000000 USD 7200.000000 USD -37311.630000 N N N N/A N/A 000000000 1.000000 NC USD -596452.220000 -0.0238820 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD -592251.850000 USD 114000.000000 USD -4200.370000 N N N N/A N/A 000000000 1.000000 NC USD -13589.860000 -0.0005441 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD 0.000000 USD 6000.000000 USD -13589.860000 N N N N/A N/A 000000000 1.000000 NC USD -13709.540000 -0.0005489 N/A DCO US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD 0.000000 USD 6000.000000 USD -13709.540000 N N N N/A N/A 000000000 1.000000 NC USD -21787.880000 -0.0008724 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD 0.000000 USD 6000.000000 USD -21787.880000 N N N N/A N/A 000000000 1.000000 NC USD -27387.970000 -0.0010966 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD -367.120000 USD 7440.000000 USD -27020.850000 N N N N/A N/A 000000000 1.000000 NC USD -128460.150000 -0.0051436 N/A DCO US N 2 Citibank International Limited N/A N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD -13455.000000 USD 33360.000000 USD -115005.150000 N N N N/A N/A 000000000 1.000000 NC USD -53150.080000 -0.0021281 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD 0.000000 USD 12000.000000 USD -53150.080000 N N N N/A N/A 000000000 1.000000 NC USD 191271.620000 0.0076585 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD 0.000000 USD 34800.000000 USD 191271.620000 N N N N/A N/A 000000000 1.000000 NC USD 135501.840000 0.0054255 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD 0.000000 USD 24000.000000 USD 135501.840000 N N N N/A N/A 000000000 1.000000 NC USD -13806.130000 -0.0005528 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A WHEAT FUTURE (KCB) SEP20 Y Single Leg Swap 2020-08-21 0.000000 USD 0.000000 USD 65000.000000 USD -13806.130000 N N N N/A N/A 000000000 1.000000 NC USD -13806.130000 -0.0005528 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A WHEAT FUTURE (KCB) SEP20 Y Single Leg Swap 2020-08-21 0.000000 USD 0.000000 USD 65000.000000 USD -13806.130000 N N N N/A N/A 000000000 1.000000 NC USD -28674.270000 -0.0011481 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A WHEAT FUTURE (KCB) SEP20 Y Single Leg Swap 2020-08-21 0.000000 USD 0.000000 USD 135000.000000 USD -28674.270000 N N N N/A N/A 000000000 1.000000 NC USD -33734.400000 -0.0013507 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 N/A WHEAT FUTURE (KCB) SEP20 Y Single Leg Swap 2020-08-21 0.000000 USD 0.000000 USD 150000.000000 USD -33734.400000 N N N N/A N/A 000000000 1.000000 NC USD -33059.750000 -0.0013237 N/A DCO US N 2 Citibank International Limited N/A N/A WHEAT FUTURE (KCB) SEP20 Y Single Leg Swap 2020-08-21 0.000000 USD 0.000000 USD 135000.000000 USD -33059.750000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI0TFSY6 40847000.000000 PA 352359.990000 0.0141085 Long DBT NUSS AR N 2 2022-04-03 Floating 26.415 N N N N N N N/A N/A 000000000 1.000000 NC USD -35083.880000 -0.0014048 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A WHEAT FUTURE (KCB) SEP20 Y Single Leg Swap 2020-08-21 0.000000 USD 0.000000 USD 130000.000000 USD -35083.880000 N N N N/A N/A 000000000 1.000000 NC USD -52300.820000 -0.0020941 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A WHEAT FUTURE (KCB) SEP20 Y Single Leg Swap 2020-08-21 0.000000 USD 0.000000 USD 130000.000000 USD -52300.820000 N N N N/A N/A 000000000 1.000000 NC USD -40231.400000 -0.0016109 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A WHEAT FUTURE (KCB) SEP20 Y Single Leg Swap 2020-08-21 0.000000 USD 0.000000 USD 100000.000000 USD -40231.400000 N N N N/A N/A 000000000 1.000000 NC USD -5123.440000 -0.0002051 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A Grains Y Single Leg Swap 2020-08-21 0.000000 USD 0.000000 USD 205000.000000 USD -5123.440000 N N N N/A N/A 000000000 1.000000 NC USD -2798.600000 -0.0001121 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A LIVE CATTLE FUTR AUG20 Y Single Leg Swap 2020-08-07 0.000000 USD 0.000000 USD 1400000.000000 USD -2798.600000 N N N N/A N/A 000000000 1.000000 NC USD -7697.200000 -0.0003082 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A LIVE CATTLE FUTR AUG20 Y Single Leg Swap 2020-08-07 0.000000 USD 0.000000 USD 1400000.000000 USD -7697.200000 N N N N/A N/A 000000000 1.000000 NC USD 1567.410000 0.0000628 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A Petroleum Y Single Leg Swap 2020-12-31 300.000000 USD 0.000000 USD 7200.000000 USD 1267.410000 N N N N/A N/A 000000000 1.000000 NC USD 1143.440000 0.0000458 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 N/A Petroleum Y Single Leg Swap 2020-12-31 0.000000 USD 0.000000 USD 3600.000000 USD 1143.440000 N N N N/A N/A 000000000 1.000000 NC USD 50.000000 0.0000020 N/A DCO US N 2 Citibank International Limited N/A N/A Petroleum Y Single Leg Swap 2020-06-30 0.000000 USD 0.000000 USD 1000.000000 USD 50.000000 N N N N/A N/A 000000000 1.000000 NC USD 10565.440000 0.0004230 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Petroleum Y Single Leg Swap 2020-12-31 0.000000 USD 0.000000 USD 6000.000000 USD 10565.440000 N N N N/A N/A 000000000 1.000000 NC USD 33494.960000 0.0013411 N/A DCO US N 2 Citibank International Limited N/A N/A Petroleum Y Single Leg Swap 2020-12-31 1800.000000 USD 0.000000 USD 18000.000000 USD 31694.960000 N N N N/A N/A 000000000 1.000000 NC USD 11164.990000 0.0004470 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A Petroleum Y Single Leg Swap 2020-12-31 0.000000 USD 0.000000 USD 6000.000000 USD 11164.990000 N N N N/A N/A 000000000 1.000000 NC USD 19398.850000 0.0007767 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD 0.000000 USD 15600.000000 USD 19398.850000 N N N N/A N/A 000000000 1.000000 NC USD 2264.000000 0.0000907 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Petroleum Y Single Leg Swap 2020-06-30 0.000000 USD 0.000000 USD 800.000000 USD 2264.000000 N N N N/A N/A 000000000 1.000000 NC USD 2727.000000 0.0001092 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A Petroleum Y Single Leg Swap 2020-06-30 0.000000 USD 0.000000 USD 900.000000 USD 2727.000000 N N N N/A N/A 000000000 1.000000 NC USD 4082.000000 0.0001634 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A Petroleum Y Single Leg Swap 2020-06-30 0.000000 USD 0.000000 USD 1300.000000 USD 4082.000000 N N N N/A N/A 000000000 1.000000 NC USD -297.360000 -0.0000119 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Petroleum Y Single Leg Swap 2020-12-31 0.000000 USD 0.000000 USD 6000.000000 USD -297.360000 N N N N/A N/A 000000000 1.000000 NC USD 3602.140000 0.0001442 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 N/A Petroleum Y Single Leg Swap 2020-12-31 4735.890000 USD 0.000000 USD 12000.000000 USD -1133.750000 N N N N/A N/A 000000000 1.000000 NC USD 1470.590000 0.0000589 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A Petroleum Y Single Leg Swap 2020-12-31 0.000000 USD 0.000000 USD 4200.000000 USD 1470.590000 N N N N/A N/A 000000000 1.000000 NC USD -54275.300000 -0.0021732 N/A DCO US N 2 Citibank International Limited N/A N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD -1152.000000 USD 54400.000000 USD -53123.300000 N N N N/A N/A 000000000 1.000000 NC USD -3639.350000 -0.0001457 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD 0.000000 USD 13200.000000 USD -3639.350000 N N N N/A N/A 000000000 1.000000 NC USD -1027.180000 -0.0000411 N/A DCO US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A Petroleum Y Single Leg Swap 2020-12-31 0.000000 USD 0.000000 USD 600.000000 USD -1027.180000 N N N N/A N/A 000000000 1.000000 NC USD 31831.090000 0.0012745 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD 0.000000 USD 12000.000000 USD 31831.090000 N N N N/A N/A 000000000 1.000000 NC USD -35909.250000 -0.0014378 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Petroleum Y Single Leg Swap 2020-12-31 0.000000 USD 0.000000 USD 15000.000000 USD -35909.250000 N N N N/A N/A 000000000 1.000000 NC USD 2616.500000 0.0001048 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD 0.000000 USD 3600.000000 USD 2616.500000 N N N N/A N/A 000000000 1.000000 NC USD 5636.940000 0.0002257 N/A DCO US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD 0.000000 USD 9600.000000 USD 5636.940000 N N N N/A N/A 000000000 1.000000 NC USD 12944.050000 0.0005183 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A WHEAT FUTURE(CBT) Sep20 Y Single Leg Swap 2020-08-21 0.000000 USD 0.000000 USD 70000.000000 USD 12944.050000 N N N N/A N/A 000000000 1.000000 NC USD 13868.630000 0.0005553 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A WHEAT FUTURE(CBT) Sep20 Y Single Leg Swap 2020-08-21 0.000000 USD 0.000000 USD 75000.000000 USD 13868.630000 N N N N/A N/A 000000000 1.000000 NC USD 26937.540000 0.0010786 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A WHEAT FUTURE(CBT) Sep20 Y Single Leg Swap 2020-08-21 0.000000 USD 0.000000 USD 140000.000000 USD 26937.540000 N N N N/A N/A 000000000 1.000000 NC USD 23489.200000 0.0009405 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A WHEAT FUTURE(CBT) Sep20 Y Single Leg Swap 2020-08-21 0.000000 USD 0.000000 USD 100000.000000 USD 23489.200000 N N N N/A N/A 000000000 1.000000 NC USD 35983.350000 0.0014408 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A WHEAT FUTURE(CBT) Sep20 Y Single Leg Swap 2020-08-21 0.000000 USD 0.000000 USD 150000.000000 USD 35983.350000 N N N N/A N/A 000000000 1.000000 NC USD 49977.000000 0.0020011 N/A DCO US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A WHEAT FUTURE(CBT) Sep20 Y Single Leg Swap 2020-08-21 0.000000 USD 0.000000 USD 200000.000000 USD 49977.000000 N N N N/A N/A 000000000 1.000000 NC USD 33584.520000 0.0013447 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A WHEAT FUTURE(CBT) Sep20 Y Single Leg Swap 2020-08-21 0.000000 USD 0.000000 USD 120000.000000 USD 33584.520000 N N N N/A N/A 000000000 1.000000 NC USD 42355.500000 0.0016959 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A WHEAT FUTURE(CBT) Sep20 Y Single Leg Swap 2020-08-21 0.000000 USD 0.000000 USD 150000.000000 USD 42355.500000 N N N N/A N/A 000000000 1.000000 NC USD 215508.270000 0.0086290 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 COMM SWAP CMDSKEWLS GST ABGS1042 Y Single Leg Swap 2021-02-16 0.000000 USD 0.000000 USD 19983776.030000 USD 215508.270000 N N N N/A N/A 000000000 1.000000 NC USD -31346.780000 -0.0012551 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A JMC10FNX Y Single Leg Swap 2020-07-15 0.000000 USD 0.000000 USD 2407359.390000 USD -31346.780000 N N N N/A N/A 000000000 1.000000 NC USD 14471.920000 0.0005795 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A JMC1TZTX Y Single Leg Swap 2020-07-15 0.000000 USD 0.000000 USD 935331.620000 USD 14471.920000 N N N N/A N/A 000000000 1.000000 NC USD 106155.260000 0.0042505 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 COMM SWAP PIMCODB MAC PIMCODB1 Y Single Leg Swap 2021-02-16 0.000000 USD 0.000000 USD 7076708.100000 USD 106155.260000 N N N N/A N/A 000000000 1.000000 NC USD 5183096.000000 0.2075315 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 COMM SWAP TBL/BCOMF1TC GST BCOMF1TCA Y 2021-02-16 0.000000 USD 0.000000 USD 239577213.280000 USD 5183096.000000 N N N N/A N/A 000000000 1.000000 NC USD 6335073.740000 0.2536568 N/A DCO US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A US Treasury H15 Treasury Bill 3 Month Auction Avg Discount Y 2021-02-16 0.000000 USD 0.000000 USD 303853096.430000 USD 6335073.740000 N N N N/A N/A 000000000 1.000000 NC USD 105346.180000 0.0042181 N/A DCO US N 2 Citibank International Limited N/A N/A US Treasury H15 Treasury Bill 3 Month Auction Avg Discount Y 2021-02-16 0.000000 USD 0.000000 USD 5052783.110000 USD 105346.180000 N N N N/A N/A 000000000 1.000000 NC USD 338992.580000 0.0135733 N/A DCO US N 2 Canadian Imperial Bank of Commerce 2IGI19DL77OX0HC3ZE78 N/A US Treasury H15 Treasury Bill 3 Month Auction Avg Discount Y 2021-02-16 0.000000 USD 0.000000 USD 16259312.880000 USD 338992.580000 N N N N/A N/A 000000000 1.000000 NC USD 4699315.470000 0.1881609 N/A DCO US N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 N/A US Treasury H15 Treasury Bill 3 Month Auction Avg Discount Y 2021-02-16 0.000000 USD 0.000000 USD 225306074.340000 USD 4699315.470000 N N N N/A N/A 000000000 1.000000 NC USD 1388266.030000 0.0555863 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A US Treasury H15 Treasury Bill 3 Month Auction Avg Discount Y 2021-02-16 0.000000 USD 0.000000 USD 66830003.700000 USD 1388266.030000 N N N N/A N/A 000000000 1.000000 NC USD -1087211.850000 -0.0435320 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A US Treasury H15 Treasury Bill 3 Month Auction Avg Discount Y 2021-01-15 0.000000 USD 0.000000 USD 52157051.520000 USD -1087211.850000 N N N N/A N/A 000000000 1.000000 NC USD 669563.180000 0.0268094 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 N/A US Treasury H15 Treasury Bill 3 Month Auction Avg Discount Y 2021-02-16 0.000000 USD 0.000000 USD 32121101.690000 USD 669563.180000 N N N N/A N/A 000000000 1.000000 NC USD 3511900.150000 0.1406167 N/A DCO US N 2 MERRILL LYNCH INTERNATIONAL GGDZP1UYGU9STUHRDP48 N/A US Treasury H15 Treasury Bill 3 Month Auction Avg Discount Y 2021-02-16 0.000000 USD 0.000000 USD 168443458.660000 USD 3511900.150000 N N N N/A N/A 000000000 1.000000 NC USD 2444874.460000 0.0978929 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A US Treasury H15 Treasury Bill 3 Month Auction Avg Discount Y 2021-02-16 0.000000 USD 0.000000 USD 117241590.910000 USD 2444874.460000 N N N N/A N/A 000000000 1.000000 NC USD 2504548.450000 0.1002823 N/A DCO US N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 N/A US Treasury H15 Treasury Bill 3 Month Auction Avg Discount Y 2021-02-16 0.000000 USD 0.000000 USD 120151253.920000 USD 2504548.450000 N N N N/A N/A 000000000 1.000000 NC USD 850895.230000 0.0340699 N/A DCO US N 2 UBS AG BFM8T61CT2L1QCEMIK50 N/A US Treasury H15 Treasury Bill 3 Month Auction Avg Discount Y 2021-02-16 0.000000 USD 0.000000 USD 40779395.210000 USD 850895.230000 N N N N/A N/A 000000000 1.000000 NC USD 3416431.500000 0.1367942 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 COMM SWAP TBL/BCOMTR1 GST BCOMTR1F Y 2021-02-16 0.000000 USD 0.000000 USD 163934269.500000 USD 3416431.500000 N N N N/A N/A 000000000 1.000000 NC USD 1675170.480000 0.0670739 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 COMM SWAP TBL/BCOMTR1 MAC BCOMTR3E Y 2021-02-16 0.000000 USD 0.000000 USD 80366005.900000 USD 1675170.480000 N N N N/A N/A 000000000 1.000000 NC USD 838350.120000 0.0335676 N/A DCO US N 2 MERRILL LYNCH INTERNATIONAL GGDZP1UYGU9STUHRDP48 COMM SWAP TBL/BCOMTR1 MEI BCOMTR1G Y 2021-02-16 0.000000 USD 0.000000 USD 40211169.920000 USD 838350.120000 N N N N/A N/A 000000000 1.000000 NC USD 1572734.510000 0.0629724 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 COMM SWAP TBL/BCOMTR1 MYC BCOMTR1I Y 2021-02-16 0.000000 USD 0.000000 USD 75480628.040000 USD 1572734.510000 N N N N/A N/A 000000000 1.000000 NC USD 1449109.360000 0.0580224 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 COMM SWAP TBL/BCOMTR2 GST BCOMTR2D Y 2021-02-16 0.000000 USD 0.000000 USD 69041324.060000 USD 1449109.360000 N N N N/A N/A 000000000 1.000000 NC USD 3038867.040000 0.1216765 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 COMM SWAP TBL/BCOMTR2 MAC BCOMTR2C Y 2021-02-16 0.000000 USD 0.000000 USD 143479645.840000 USD 3038867.040000 N N N N/A N/A 000000000 1.000000 NC USD 1393093.720000 0.0557796 N/A DCO US N 2 MERRILL LYNCH INTERNATIONAL GGDZP1UYGU9STUHRDP48 COMM SWAP TBL/BCOMTR2 MEI BCOMTR2E Y 2021-02-16 0.000000 USD 0.000000 USD 66497945.850000 USD 1393093.720000 N N N N/A N/A 000000000 1.000000 NC USD 2163207.130000 0.0866150 N/A DCO US N 2 Citibank International Limited N/A N/A US Treasury H15 Treasury Bill 3 Month Auction Avg Discount Y 2021-02-16 0.000000 USD 0.000000 USD 102178707.510000 USD 2163207.130000 N N N N/A N/A 000000000 1.000000 NC USD 369102.890000 0.0147789 N/A DCO US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 COMM SWAP TBL/RBCAECR1 RBC RBCAECR1 Y 2021-02-16 0.000000 USD 0.000000 USD 18371130.690000 USD 369102.890000 N N N N/A N/A 000000000 1.000000 NC USD 4086769.660000 0.1636345 N/A DCO US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 N/A US Treasury H15 Treasury Bill 3 Month Auction Avg Discount Y 2021-02-16 0.000000 USD 0.000000 USD 196215756.710000 USD 4086769.660000 N N N N/A N/A 000000000 1.000000 NC USD -198128.030000 -0.0079331 N/A DCO US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A US Treasury H15 Treasury Bill 3 Month Auction Avg Discount Y 2021-02-16 0.000000 USD 0.000000 USD 10070443.460000 USD -198128.030000 N N N N/A N/A 000000000 1.000000 NC USD 198128.030000 0.0079331 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A US Treasury H15 Treasury Bill 3 Month Auction Avg Discount Y 2021-02-16 0.000000 USD 0.000000 USD 10070443.460000 USD 198128.030000 N N N N/A N/A 000000000 1.000000 NC -813756.890000 -0.0325829 N/A DIR N/A N 2 London Clearing house N/A Eurostat Eurozone HICP Ex Tob N/A N/A Y 2033-03-15 0.000000 EUR -6934.180000 EUR 5200000.000000 EUR -806822.710000 N N N N/A N/A 000000000 1.000000 NC 764088.920000 0.0305942 N/A DIR N/A N 2 London Clearing house N/A Eurostat Eurozone HICP Ex Tob N/A N/A Y 2048-11-15 6889.820000 EUR 0.000000 EUR 2020000.000000 EUR 757199.100000 N N N N/A N/A 000000000 1.000000 NC -384982.400000 -0.0154147 N/A DIR FR N 2 London Clearing house N/A N/A France CPI Ex Tobacco Y 2024-03-15 0.000000 EUR -2512.180000 EUR 10510000.000000 EUR -382470.220000 N N N N/A N/A 000000000 1.000000 NC -21925.430000 -0.0008779 N/A DIR FR N 2 London Clearing house N/A N/A France CPI Ex Tobacco Y 2020-08-15 455.270000 EUR 0.000000 EUR 1320000.000000 EUR -22380.700000 N N N N/A N/A 000000000 1.000000 NC -370150.780000 -0.0148209 N/A DIR FR N 2 London Clearing house N/A N/A France CPI Ex Tobacco Y 2021-06-15 0.000000 EUR 0.000000 EUR 12400000.000000 EUR -370150.780000 N N N N/A N/A 000000000 1.000000 NC 1026806.750000 0.0411134 N/A DIR FR N 2 London Clearing house N/A N/A France CPI Ex Tobacco Y 2028-07-15 0.000000 EUR 0.000000 EUR 8760000.000000 EUR 1026806.750000 N N N N/A N/A 000000000 1.000000 NC 1407878.230000 0.0563715 N/A DIR FR N 2 London Clearing house N/A N/A France CPI Ex Tobacco Y 2038-01-15 16208.680000 EUR 0.000000 EUR 5600000.000000 EUR 1391669.550000 N N N N/A N/A 000000000 1.000000 NC 150269.620000 0.0060168 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2022-06-15 7488.100000 GBP 0.000000 GBP 19400000.000000 GBP 142781.520000 N N N N/A N/A 000000000 1.000000 NC 1429793.720000 0.0572490 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2030-08-15 235688.870000 GBP 0.000000 GBP 25090000.000000 GBP 1194104.850000 N N N N/A N/A 000000000 1.000000 NC 3123968.340000 0.1250839 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2025-01-15 3072282.070000 GBP 0.000000 GBP 103100000.000000 GBP 51686.270000 N N N N/A N/A 000000000 1.000000 NC 1038374.260000 0.0415766 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2030-01-15 0.000000 GBP -19638.750000 GBP 46800000.000000 GBP 1058013.010000 N N N N/A N/A 000000000 1.000000 NC 856082.610000 0.0342776 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2030-01-15 257789.790000 GBP 0.000000 GBP 24100000.000000 GBP 598292.820000 N N N N/A N/A 000000000 1.000000 NC 126184.800000 0.0050524 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2028-11-15 0.000000 GBP 0.000000 GBP 1570000.000000 GBP 126184.800000 N N N N/A N/A 000000000 1.000000 NC 199116.850000 0.0079727 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2028-12-15 0.000000 GBP 0.000000 GBP 2300000.000000 GBP 199116.850000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI0QD081 21780000.000000 PA 86026.120000 0.0034445 Long DBT NUSS AR N 2 2026-10-17 Fixed 15.5 N N N N N N N/A N/A 000000000 1.000000 NC USD -715334.670000 -0.0286421 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2021-09-20 0.000000 USD -3764.900000 USD 44800000.000000 USD -711569.770000 N N N N/A N/A 000000000 1.000000 NC USD 1755881.830000 0.0703056 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2029-06-03 0.000000 USD 0.000000 USD 32350000.000000 USD 1755881.830000 N N N N/A N/A 000000000 1.000000 NC USD 5857910.800000 0.2345512 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2029-07-25 20779.730000 USD 0.000000 USD 95800000.000000 USD 5837131.070000 N N N N/A N/A 000000000 1.000000 NC USD -329601.110000 -0.0131973 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2022-07-15 0.000000 USD 0.000000 USD 10500000.000000 USD -329601.110000 N N N N/A N/A 000000000 1.000000 NC USD 1094888.060000 0.0438394 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2029-04-16 0.000000 USD 0.000000 USD 14300000.000000 USD 1094888.060000 N N N N/A N/A 000000000 1.000000 NC USD -2908368.770000 -0.1164513 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2023-02-05 0.000000 USD 0.000000 USD 63290000.000000 USD -2908368.770000 N N N N/A N/A 000000000 1.000000 NC USD -549559.910000 -0.0220044 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2023-05-09 0.000000 USD 0.000000 USD 10270000.000000 USD -549559.910000 N N N N/A N/A 000000000 1.000000 NC USD -719306.470000 -0.0288011 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2023-04-27 0.000000 USD -3909.130000 USD 13380000.000000 USD -715397.340000 N N N N/A N/A 000000000 1.000000 NC USD -886909.890000 -0.0355119 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2023-05-10 0.000000 USD 0.000000 USD 15760000.000000 USD -886909.890000 N N N N/A N/A 000000000 1.000000 NC USD 3149181.550000 0.1260935 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2028-02-05 69691.420000 USD 0.000000 USD 32120000.000000 USD 3079490.130000 N N N N/A N/A 000000000 1.000000 NC USD 1064742.570000 0.0426324 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2028-05-09 0.000000 USD 0.000000 USD 10270000.000000 USD 1064742.570000 N N N N/A N/A 000000000 1.000000 NC USD 1616800.530000 0.0647368 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2028-05-09 0.000000 USD 0.000000 USD 15460000.000000 USD 1616800.530000 N N N N/A N/A 000000000 1.000000 NC USD 1654699.870000 0.0662543 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2028-05-10 0.000000 USD 0.000000 USD 15760000.000000 USD 1654699.870000 N N N N/A N/A 000000000 1.000000 NC USD -1498301.780000 -0.0599921 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2022-07-15 0.000000 USD -987517.240000 USD 11100000.000000 USD -510784.540000 N N N N/A N/A 000000000 1.000000 NC 28888.530000 0.0011567 N/A DIR IL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 TELBOR ILS 3M N/A N/A Y 2028-03-21 0.000000 ILS 0.000000 ILS 860000.000000 ILS 28888.530000 N N N N/A N/A 000000000 1.000000 NC 324018.190000 0.0129737 N/A DIR IL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 TELBOR ILS 3M N/A N/A Y 2028-06-20 0.000000 ILS 0.000000 ILS 9430000.000000 ILS 324018.190000 N N N N/A N/A 000000000 1.000000 NC 612100.580000 0.0245086 N/A DIR IL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 TELBOR ILS 3M N/A N/A Y 2028-02-16 0.000000 ILS -1240.300000 ILS 17060000.000000 ILS 613340.880000 N N N N/A N/A 000000000 1.000000 NC 375713.530000 0.0150436 N/A DIR IL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 TELBOR ILS 3M N/A N/A Y 2028-06-20 0.000000 ILS 0.000000 ILS 10600000.000000 ILS 375713.530000 N N N N/A N/A 000000000 1.000000 NC 256619.410000 0.0102751 N/A DIR IL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 TELBOR ILS 3M N/A N/A Y 2028-06-20 0.000000 ILS 0.000000 ILS 7240000.000000 ILS 256619.410000 N N N N/A N/A 000000000 1.000000 NC 206288.000000 0.0082598 N/A DIR IL N 2 HSBC BANK USA, NATIONAL ASSOCIATION 1IE8VN30JCEQV1H4R804 TELBOR ILS 3M N/A N/A Y 2028-06-20 379.820000 ILS 0.000000 ILS 5820000.000000 ILS 205908.180000 N N N N/A N/A 000000000 1.000000 NC 332558.010000 0.0133156 N/A DIR IL N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 TELBOR ILS 3M N/A N/A Y 2028-06-20 0.000000 ILS 0.000000 ILS 8920000.000000 ILS 332558.010000 N N N N/A N/A 000000000 1.000000 NC -127555.060000 -0.0051073 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2028-03-21 0.000000 JPY -10664.840000 JPY 568470000.000000 JPY -116890.220000 N N N N/A N/A 000000000 1.000000 NC -538681.420000 -0.0215688 N/A DIR JP N 2 London Clearing house N/A JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2027-09-21 0.000000 JPY -45154.640000 JPY 2495000000.000000 JPY -493526.780000 N N N N/A N/A 000000000 1.000000 NC -4097894.360000 -0.1640800 N/A DIR NZ N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 NZ$ Bank Bill 3M FRA N/A N/A Y 2028-03-21 90641.790000 NZD 0.000000 NZD 29700000.000000 NZD -4188536.150000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 P0761DAQ6 1578909.600000 PA 20464.100000 0.0008194 Long DBT NUSS AR N 2 2022-10-04 Floating 30.0219 N N N N N N N/A N/A 000000000 1.000000 NC USD -64934.640000 -0.0026000 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2027-06-21 77299.510000 USD 0.000000 USD 900000.000000 USD -142234.150000 N N N N/A N/A 000000000 1.000000 NC USD -435587.970000 -0.0174410 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2026-12-21 0.000000 USD -130017.890000 USD 5100000.000000 USD -305570.080000 N N N N/A N/A 000000000 1.000000 NC USD -623794.500000 -0.0249768 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2026-12-21 0.000000 USD -182757.630000 USD 7300000.000000 USD -441036.870000 N N N N/A N/A 000000000 1.000000 NC 27829.150000 0.0011143 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 5247340.270000 CAD 7161570.000000 CAD 2020-07-02 27829.150000 N N N N/A N/A 000000000 1.000000 NC 3084.430000 0.0001235 N/A DFE N/A N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 83268.580000 EUR 76042.000000 EUR 2021-10-01 3084.430000 N N N N/A N/A 000000000 1.000000 NC -115663.320000 -0.0046312 N/A DFE JP N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 12304184.020000 JPY 1316055523.000000 JPY 2020-07-02 -115663.320000 N N N N/A N/A 000000000 1.000000 NC -1871022.600000 -0.0749159 N/A DFE AU N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 73494000.000000 AUD 48847199.150000 USD 2020-07-02 -1871022.600000 N N N N/A N/A 000000000 1.000000 NC -27814.830000 -0.0011137 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 7161570.000000 CAD 5247820.910000 USD 2020-08-04 -27814.830000 N N N N/A N/A 000000000 1.000000 NC -6370.300000 -0.0002551 N/A DFE N/A N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 156726.000000 EUR 171219.710000 USD 2021-07-01 -6370.300000 N N N N/A N/A 000000000 1.000000 NC 176985.910000 0.0070865 N/A DFE JP N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 6387000000.000000 JPY 59329567.530000 USD 2020-07-02 176985.910000 N N N N/A N/A 000000000 1.000000 NC 115811.940000 0.0046371 N/A DFE JP N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 1316055523.000000 JPY 12309328.250000 USD 2020-08-04 115811.940000 N N N N/A N/A 000000000 1.000000 NC -131657.290000 -0.0052716 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 13212841.330000 JPY 1412440847.000000 JPY 2020-07-02 -131657.290000 N N N N/A N/A 000000000 1.000000 NC 609.330000 0.0000244 N/A DFE RU N 2 UBS AG BFM8T61CT2L1QCEMIK50 13543.260000 RUB 1010530.000000 RUB 2020-07-27 609.330000 N N N N/A N/A 000000000 1.000000 NC -665.570000 -0.0000266 N/A DFE RU N 2 UBS AG BFM8T61CT2L1QCEMIK50 68724.830000 RUB 4869202.000000 RUB 2020-08-14 -665.570000 N N N N/A N/A 000000000 1.000000 NC 131922.060000 0.0052822 N/A DFE JP N 2 UBS AG BFM8T61CT2L1QCEMIK50 1412440847.000000 JPY 13218467.580000 USD 2020-08-04 131922.060000 N N N N/A N/A 000000000 1.000000 NC -394863.470000 -0.0158104 N/A DFE NZ N 2 UBS AG BFM8T61CT2L1QCEMIK50 15332166.500000 NZD 9498982.430000 USD 2020-07-02 -394863.470000 N N N N/A N/A 000000000 20.000000 NC USD 41318.750000 0.0016544 N/A DCO GB N 1 London Metals Exchange 213800NB8G5VRT1DXC91 Long N/A Lead 2020-11-16 889500.000000 USD 41318.750000 N N N N/A N/A 000000000 24.000000 NC USD 86487.000000 0.0034629 N/A DCO GB N 1 London Metals Exchange 213800NB8G5VRT1DXC91 Long N/A Nickel 2020-11-16 1848348.000000 USD 86487.000000 N N N N/A N/A 000000000 -16.000000 NC USD 5952.000000 0.0002383 N/A DCO GB N 1 London Metals Exchange 213800NB8G5VRT1DXC91 Short N/A Nickel 2020-09-14 -1228896.000000 USD 5952.000000 N N N N/A N/A 000000000 28.000000 NC USD 63675.000000 0.0025496 N/A DCO GB N 1 London Metals Exchange 213800NB8G5VRT1DXC91 Long N/A Zinc 2020-11-16 1436575.000000 USD 63675.000000 N N N N/A N/A 000000000 -73.000000 NC USD -36775.000000 -0.0014725 N/A DCO GB N 1 London Metals Exchange 213800NB8G5VRT1DXC91 Short N/A Zinc 2020-09-14 -3733950.000000 USD -36775.000000 N N N N/A N/A 000000000 -2500000.000000 NC USD -2528.250000 -0.0001012 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% AUG 30YR N/A 102.130000 USD 2020-08-06 XXXX 7237.380000 N N N N/A N/A 000000000 -11300000.000000 NC USD -11164.400000 -0.0004470 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% AUG 30YR N/A 102.090000 USD 2020-08-06 XXXX 32976.230000 N N N N/A N/A 000000000 119000000.000000 NC USD 1.190000 0.0000000 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Purchased UMBS PASS THRU POOLS FNMA TBA 4.0% JUL 30YR N/A 76.000000 USD 2020-07-07 XXXX -4647.250000 N N N N/A N/A 000000000 -5100000.000000 NC USD -6661.110000 -0.0002667 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% AUG 30YR N/A 102.560000 USD 2020-08-06 XXXX 20432.640000 N N N N/A N/A 000000000 70400000.000000 NC USD 0.700000 0.0000000 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Purchased UMBS PASS THRU POOLS FNMA TBA 3.5% AUG 30YR N/A 64.000000 USD 2020-08-06 XXXX -2749.300000 N N N ASSET BACKED SEC HOME EQTY LN 2004-HE6 N/A 04541GLJ9 927125.610000 PA USD 918824.960000 0.0367898 Long ABS-MBS CORP US N 2 2034-09-25 Floating 1.11325 N N N N N N N/A N/A 000000000 -7700000.000000 NC USD -0.080000 0.0000000 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% JUL 30YR N/A 102.500000 USD 2020-07-07 XXXX 35792.890000 N N N N/A N/A 000000000 8300000.000000 NC USD 0.080000 0.0000000 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Purchased UMBS PASS THRU POOLS FNMA TBA 3.0% JUL 30YR N/A 73.000000 USD 2020-07-07 XXXX -324.140000 N N N N/A N/A 000000000 -5300000.000000 NC USD -0.050000 0.0000000 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.5% JUL 30YR N/A 102.530000 USD 2020-07-07 XXXX 18632.760000 N N N N/A N/A 000000000 -12900000.000000 NC USD -4391.160000 -0.0001758 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% JUL 30YR N/A 100.720000 USD 2020-07-07 XXXX 79257.280000 N N N N/A N/A 000000000 -4800000.000000 NC USD -2198.400000 -0.0000880 N/A DIR US N 2 FIRST UNION NATIONAL BANK CHARLOTTE N/A Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% JUL 30YR N/A 101.000000 USD 2020-07-07 XXXX 32301.600000 N N N N/A N/A 000000000 -8600000.000000 NC USD -2187.840000 -0.0000876 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% JUL 30YR N/A 100.460000 USD 2020-07-07 XXXX 56937.160000 N N N N/A N/A 000000000 -853.000000 NC 110266.410000 0.0044151 N/A DIR GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A UNITED KINGDOM GOVT 2020-09-28 -145478980.520000 GBP 110266.410000 N N N N/A N/A 000000000 1.000000 NC USD 309990.920000 0.0124121 N/A DCR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2020-08-27 0.000000 USD 0.000000 USD 21400000.000000 USD 309990.920000 N N N N/A N/A 000000000 1.000000 NC USD 1067650.860000 0.0427488 N/A DCR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2020-08-20 0.000000 USD 0.000000 USD 132000000.000000 USD 1067650.860000 N N N N/A N/A 000000000 1.000000 NC USD 1289156.120000 0.0516179 N/A DCR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2020-08-20 0.000000 USD 0.000000 USD 150000000.000000 USD 1289156.120000 N N N N/A N/A 000000000 1.000000 NC USD 93035.800000 0.0037252 N/A DCR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2020-08-17 0.000000 USD 0.000000 USD 16500000.000000 USD 93035.800000 N N N N/A N/A 000000000 1.000000 NC USD 1017653.870000 0.0407469 N/A DCR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2020-07-07 0.000000 USD 0.000000 USD 48100000.000000 USD 1017653.870000 N N N N/A N/A 000000000 1.000000 NC USD 227351.320000 0.0091032 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2020-07-15 0.000000 USD 0.000000 USD 12900000.000000 USD 227351.320000 N N N N/A N/A 000000000 1.000000 NC USD 169675.220000 0.0067938 N/A DCR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2020-07-02 0.000000 USD 0.000000 USD 75000000.000000 USD 169675.220000 N N N N/A N/A 000000000 -3655.000000 NC USD -1819008.700000 -0.0728332 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2020-09-21 -508673203.130000 USD -1819008.700000 N N N N/A N/A 000000000 -407.000000 NC USD -385291.850000 -0.0154271 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2020-09-21 -64096140.630000 USD -385291.850000 N N N N/A N/A 000000000 2029.000000 NC USD 30232.100000 0.0012105 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2020-09-30 448060267.650000 USD 30232.100000 N N N N/A N/A 000000000 756.000000 NC USD 125930.410000 0.0050423 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2020-09-30 95061094.130000 USD 125930.410000 N N N N/A N/A 000000000 -1299.000000 NC USD -633354.660000 -0.0253596 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2020-09-21 -231952687.500000 USD -633354.660000 N N N N/A N/A 000000000 382.000000 NC USD 372611.200000 0.0149194 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2020-09-21 83335687.500000 USD 372611.200000 N N N N/A N/A 000000000 194.000000 NC USD -241933.400000 -0.0096870 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A Kansas Wheat 2020-09-14 4265575.000000 USD -241933.400000 N N N N/A N/A 000000000 -67.000000 NC USD 25337.270000 0.0010145 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A Wheat 2020-12-14 -1671650.000000 USD 25337.270000 N N N N/A N/A 000000000 14.000000 NC USD 732.280000 0.0000293 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A Wheat 2020-09-14 344225.000000 USD 732.280000 N N N N/A N/A 000000000 70.000000 NC USD 110742.000000 0.0044341 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Refined Sugar 2020-09-15 1242500.000000 USD 110742.000000 N N N N/A N/A 000000000 -5.000000 NC USD -78.000000 -0.0000031 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Call Written New York Mercantile Exchange 5493008GFNDTXFPHWI47 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT WTI-BRENT SPREAD 10/30/20 2020-10-31 N/A USD N/A 3.000000 USD 2020-10-29 XXXX 2854.650000 N N N AT&T INC 549300Z40J86GGSTL398 00206RFU1 4500000.000000 PA USD 5777608.100000 0.2313358 Long DBT CORP US N 2 2050-02-15 Fixed 5.15 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RFZ0 8900000.000000 PA USD 8945897.210000 0.3581944 Long DBT CORP US N 2 2021-06-01 Floating 1.1 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RDV1 14000000.000000 PA USD 14116280.640000 0.5652169 Long DBT CORP US N 2 2021-07-15 Floating 2.16888 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RFS6 1600000.000000 PA USD 2085092.050000 0.0834872 Long DBT CORP US N 2 2058-08-15 Fixed 5.3 N N N N N N AUSTRALIA GOVT 213800J6B7JSBDETCB42 ACI01MVQ4 31675476.000000 PA 22185798.290000 0.8883209 Long DBT NUSS AU N 2 2022-02-21 Fixed 1.25 N N N N N N AUSTRALIA GOVT 213800J6B7JSBDETCB42 B4RNSXII1 33986706.000000 PA 27213787.880000 1.0896420 Long DBT NUSS AU N 2 2025-09-20 Fixed 3 N N N N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 05367AAJ2 900000.000000 PA USD 860349.110000 0.0344484 Long DBT CORP US N 2 2022-01-20 Fixed 2.875 N N N N N N AVOLON HOLDINGS (PARK AEROSPACE HOLDINGS LTD) 635400CPI3EOIFF6OC33 70014LAA8 400000.000000 PA USD 375666.580000 0.0150417 Long DBT CORP KY N 2 2022-08-15 Fixed 5.25 N N N N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 05401AAA9 200000.000000 PA USD 188418.450000 0.0075443 Long DBT CORP KY N 2 2023-01-15 Fixed 5.5 N N N N N N B&M CLO LTD 2014-1A N/A 05509RAJ4 357475.600000 PA USD 356148.510000 0.0142602 Long ABS-CBDO CORP KY N 2 2026-04-16 Floating 1.90613 N N N N N N BABSON EURO CLO 2015-1A BV N/A ACI0Y8ZQ5 766648.470000 PA 853480.980000 0.0341734 Long ABS-CBDO CORP NL N 2 2029-10-25 Floating 0.659 N N N N N N BABSON EURO CLO 2016-1 BV 16-1A N/A ACI13K096 2000000.000000 PA 2232123.890000 0.0893744 Long ABS-CBDO CORP NL N 2 2030-07-27 Floating 0.68 N N N N N N BABSON EURO CLO 2016-1 BV 16-1A N/A ACI13K088 300000.000000 PA 334955.160000 0.0134116 Long ABS-CBDO CORP NL N 2 2030-07-27 Fixed 1.05 N N N N N N BANC OF AMERICA FUNDING CORP 2005-D N/A 06051GDM8 21638.800000 PA USD 21406.520000 0.0008571 Long ABS-MBS CORP US N 2 2035-05-25 Floating 4.0123 N N N N N N BANC OF AMERICA FUNDING CORP 2005-E N/A 05946XXH1 100306.150000 PA USD 89123.770000 0.0035685 Long ABS-MBS CORP US N 2 2035-05-20 Floating 0.77 Y N N N N N BANC OF AMERICA FUNDING CORP 2006-J N/A 05951EAC1 5939317.190000 PA USD 5480352.300000 0.2194337 Long ABS-MBS CORP US N 2 2047-01-20 Variable 3.76751 N N N N N N BANC OF AMERICA FUNDING CORP 2006-J N/A 05951EAM9 150286.720000 PA USD 142007.950000 0.0056860 Long ABS-MBS CORP US N 2 2047-01-20 Floating 4.18456 Y N N N N N BANC OF AMERICA FUNDING CORP 2007-C N/A 059522AV4 215804.070000 PA USD 206127.240000 0.0082533 Long ABS-MBS CORP US N 2 2036-05-20 Floating 4.04295 Y N N N N N BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA) K8MS7FD7N5Z2WQ51AZ71 ACI0LW0M3 400000.000000 PA 465662.260000 0.0186451 Long DBT CORP ES N 2 2021-04-14 Floating 8.875 N N N N Y BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA) EUR XXXX N N N BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA) K8MS7FD7N5Z2WQ51AZ71 BF2PHRII3 400000.000000 PA 438181.910000 0.0175448 Long DBT CORP ES N 2 2023-09-24 Floating 5.875 N N N N Y BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA) EUR XXXX N N N BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA) K8MS7FD7N5Z2WQ51AZ71 ACI0V89K0 400000.000000 PA 439482.020000 0.0175969 Long DBT CORP ES N 2 2022-05-24 Floating 5.875 N N N N Y BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA) EUR XXXX N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 BQQ3S0II9 800000.000000 PA 863011.250000 0.0345550 Long DBT CORP ES N 2 2021-09-11 Floating 6.25 N N N N Y BANCO SANTANDER SA EUR XXXX N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 BF8PC7II6 200000.000000 PA 212905.410000 0.0085247 Long DBT CORP ES N 2 2023-09-29 Floating 5.25 N N N N Y BANCO SANTANDER SA EUR XXXX N N N BANCORP COMMERCIAL MORTGAGE TRUST 2019-CRE6 N/A 05973BAA5 6092549.960000 PA USD 5852881.230000 0.2343498 Long ABS-MBS CORP US N 2 2036-09-15 Floating 1.23475 N N N N N N BANK OF AMERICA MTGE SEC 2004-K N/A 05949AXJ4 297101.370000 PA USD 305124.120000 0.0122172 Long ABS-MBS CORP US N 2 2034-12-25 Floating 3.93215 N N N N N N BANK OF AMERICA MTGE SEC 2005-F N/A 05949CCA2 349885.730000 PA USD 334368.440000 0.0133881 Long ABS-MBS CORP US N 2 2035-07-25 Floating 3.88546 Y N N N N N BANK OF AMERICA MTGE SECS-2005-J N/A 05949CKT2 252477.670000 PA USD 240699.060000 0.0096376 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.88865 Y N N N N N BANK OF AMERICA MTGE SECURITIES 2004-L N/A 05949AZG8 8234.760000 PA USD 7775.380000 0.0003113 Long ABS-MBS CORP US N 2 2035-01-25 Floating 3.85519 N N N N N N BCAP LLC TRUST 2006-AA2 N/A 05530MAA7 896831.390000 PA USD 904900.180000 0.0362323 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.33825 Y N N N N N BCAP LLC TRUST 2011-RR5 N/A 05533YBC3 1296242.430000 PA USD 1089859.380000 0.0436380 Long ABS-MBS CORP US N 2 2036-04-26 Floating 3.53061 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2003-3 N/A 07384MUR1 16813.010000 PA USD 16419.150000 0.0006574 Long ABS-MBS CORP US N 2 2033-05-25 Floating 4.08232 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2006-2 N/A 07388DAS7 618059.440000 PA USD 577289.580000 0.0231147 Long ABS-MBS CORP US N 2 2036-07-25 Floating 3.4539 Y N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-1 N/A 07387AAF2 630.040000 PA USD 628.250000 0.0000252 Long ABS-MBS CORP US N 2 2035-03-25 Floating 3.3448 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-10 N/A 07387AET8 421127.000000 PA USD 412564.900000 0.0165191 Long ABS-MBS CORP US N 2 2035-10-25 Floating 4.16625 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12 N/A 07387AGE9 218405.760000 PA USD 210529.920000 0.0084296 Long ABS-MBS CORP US N 2 2036-02-25 Floating 3.76559 Y N N N N N BEAR STEARNS ADJUSTABLE RATE MTGE 20 N/A 07384MS94 71773.050000 PA USD 68977.220000 0.0027619 Long ABS-MBS CORP US N 2 2034-07-25 Floating 3.375 N N N N N N BEAR STEARNS ALT-A TRUST 2004-9 N/A 07386HLE9 234105.780000 PA USD 236377.050000 0.0094646 Long ABS-MBS CORP US N 2 2034-09-25 Floating 3.84832 N N N N N N BEAR STEARNS ALT-A TRUST 2005-7 N/A 07386HVS7 241442.210000 PA USD 189640.710000 0.0075932 Long ABS-MBS CORP US N 2 2035-09-25 Floating 3.73613 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-8 N/A 07387QAX8 488506.350000 PA USD 445965.560000 0.0178565 Long ABS-MBS CORP US N 2 2034-02-25 Floating 0.32825 N N N N N N BEAR STEARNS ALT-A TRUST II 2007-1 N/A 07389KAA9 3643706.150000 PA USD 2436067.520000 0.0975403 Long ABS-MBS CORP US N 2 2047-09-25 Floating 3.65282 Y N N N N N BG ENERGY CAPITAL PLC S2M8QDKEE05NZN8JD460 05541VAA4 200000.000000 PA USD 202707.370000 0.0081164 Long DBT CORP GB N 2 2020-12-09 Fixed 4 N N N N N N BRISTOL-MYERS SQUIBB COMPANY HLYYNH7UQUORYSJQCN42 110122BG2 100000.000000 PA USD 105659.040000 0.0042306 Long DBT CORP US N 2 2022-08-15 Fixed 3.25 N N N N N N BRITISH TRANSCO INTERNATIONAL FINANCE 549300GGLD5FF6EQTM03 N1614RAX9 400000.000000 PA USD 395122.940000 0.0158208 Long DBT CORP NL N 2 2021-11-04 None 0 N N N N N N CANADA GOVT 4BFD7AQU0A75QLAHK410 135087VS0 17309040.000000 PA 16569820.060000 0.6634568 Long DBT NUSS CA N 2 2026-12-01 Fixed 4.25 N N N N N N CENTRAL NIPPON EXPRESSWAY COMPANY LIMITED 3538005TH2GJERPBFN83 ACI0PN1Y2 200000.000000 PA USD 202658.000000 0.0081144 Long DBT CORP JP N 2 2021-09-14 Fixed 2.091 N N N N N N CENTRAL NIPPON EXPRESSWAY COMPANY LIMITED 3538005TH2GJERPBFN83 ACI0YDJX7 200000.000000 PA USD 204092.000000 0.0081719 Long DBT CORP JP N 2 2021-11-02 Fixed 2.567 N N N N N N CHASE MORGAGE FINANCE CORP 2005-A1 N/A 16162WPB9 596826.160000 PA USD 576666.860000 0.0230898 Long ABS-MBS CORP US N 2 2035-12-25 Floating 3.6833 Y N N N N N CHASE MORTGAGE FINANCE CORP 2006-A1 N/A 16163CAN2 640166.490000 PA USD 558635.530000 0.0223678 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.05842 Y N N N N N CHASE MORTGAGE FINANCE CORP 2007-A1 N/A 161630BD9 840856.270000 PA USD 799841.740000 0.0320257 Long ABS-MBS CORP US N 2 2037-03-25 Floating 3.64831 Y N N N N N CHASE MORTGAGE FINANCE CORPORATION 2007-S6 N/A 161636AE5 997215.670000 PA USD 638890.450000 0.0255812 Long ABS-MBS CORP US N 2 2022-12-25 Fixed 5.5 Y N N N N N CIFC FUNDING LTD 2015-5A N/A 12547UAL2 5650000.000000 PA USD 5571666.870000 0.2230899 Long ABS-CBDO CORP KY N 2 2027-10-25 Floating 1.85138 N N N N N N CIM TRUST 2019-INV1 N/A 12555DAB1 1313251.270000 PA USD 1314087.020000 0.0526161 Long ABS-MBS CORP US N 2 2049-02-25 Floating 1.1845 N N N N N N CIT MTGE LOAN TRUST 2007-1 N/A 12559QAA0 1645420.170000 PA USD 1644396.550000 0.0658418 Long ABS-MBS CORP US N 2 2037-10-25 Floating 1.5345 N N N N N N CIT MTGE LOAN TRUST 2007-1 N/A 12559QAF9 4400000.000000 PA USD 4219121.720000 0.1689339 Long ABS-MBS CORP US N 2 2037-10-25 Floating 1.6845 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2005-10 N/A 17307GT57 300729.690000 PA USD 203353.090000 0.0081423 Long ABS-MBS CORP US N 2 2035-12-25 Floating 3.24495 Y N N N N N CITIGROUP MORTGAGE LOAN TRUST 2006-WFH3 N/A 17309QAG9 7400000.000000 PA USD 6790610.000000 0.2718965 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.5145 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2019-B N/A 17327VAA9 914592.740000 PA USD 921093.300000 0.0368806 Long ABS-MBS CORP US N 2 2066-04-25 Fixed 3.258 N N N N N N CITIGROUP MTGE LOAN TR INC 2006-AR1 N/A 17307G3C0 52249.810000 PA USD 50073.340000 0.0020049 Long ABS-MBS CORP US N 2 2036-03-25 Floating 4.14 Y N N N N N CITIGROUP MTGE LOAN TR INC 2006-HE3 N/A 17310VAD2 1219623.150000 PA USD 983959.640000 0.0393978 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.4145 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AMC2 N/A 17311XAA3 55838.230000 PA USD 44153.400000 0.0017679 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.24825 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW53 127814.190000 PA USD 126049.100000 0.0050470 Long ABS-MBS CORP US N 2 2035-05-25 Floating 2.57 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-6 N/A 17307GXR4 74563.900000 PA USD 70714.840000 0.0028314 Long ABS-MBS CORP US N 2 2035-09-25 Floating 1.94 N N N N N N CITIMORTGAGE ALTERNATIVE LN TR 2007-A6 N/A 18976GAE6 256689.200000 PA USD 251701.140000 0.0100781 Long ABS-MBS CORP US N 2 2037-06-25 Fixed 6 Y N N N N N CITY OF BUENOS AIRES 5299007MC8RF52X0ON96 ACI0SB547 22700000.000000 PA 224712.150000 0.0089975 Long DBT MUN AR N 2 2022-01-23 Floating 36.9462 N N N N N N CONAGRA BRANDS INC 54930035UDEIH090K650 205887BZ4 200000.000000 PA USD 207945.720000 0.0083262 Long DBT CORP US N 2 2021-10-22 Fixed 3.8 N N N N N N COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND) DG3RU1DBUFHT4ZF9WN62 BD2YKYII0 4800000.000000 PA 5558383.780000 0.2225581 Long DBT CORP NL N 2 2021-06-29 Floating 6.625 N N N N N N CORPORACION ANDINA DE FOMENTO (CAF) UKZ46SXGNYCZK0UOZE76 ACI08TK92 93395689.000000 PA 4123162.960000 0.1650917 Long DBT CORP N/A N 2 2021-10-15 Fixed 3.95 N N N N N N COUNTRYWIDE ALT LOAN TRUST 2006-OA17 N/A 12668PAA0 306005.300000 PA USD 247474.870000 0.0099089 Long ABS-MBS CORP US N 2 2046-12-20 Floating 0.385 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-29CB N/A 12667GUG6 1319114.160000 PA USD 1094741.550000 0.0438335 Long ABS-MBS CORP US N 2 2035-07-25 Fixed 5 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-62 N/A 12668ATT2 339072.650000 PA USD 302937.000000 0.0121296 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.50382 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-J1 N/A 12667FU29 117624.930000 PA USD 120016.150000 0.0048055 Long ABS-MBS CORP US N 2 2032-08-25 Fixed 6.5 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-OA19 N/A 12668RAA6 3924361.230000 PA USD 2911539.710000 0.1165783 Long ABS-MBS CORP US N 2 2047-02-20 Floating 0.37 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-1T1 N/A 23246KAA9 243671.400000 PA USD 153542.810000 0.0061479 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 6 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-2CB N/A 02149HAN0 261439.330000 PA USD 196525.430000 0.0078689 Long ABS-MBS CORP US N 2 2037-03-25 Floating 5.75 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TRUST 2005-63 N/A 12668AXF7 268784.550000 PA USD 223916.910000 0.0089656 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.63996 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA6 N/A 12668BE33 114369.160000 PA USD 102426.710000 0.0041012 Long ABS-MBS CORP US N 2 2046-07-25 Floating 0.3945 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2007-OA7 N/A 126680AA5 1428767.760000 PA USD 1247476.710000 0.0499491 Long ABS-MBS CORP US N 2 2047-05-25 Floating 0.3645 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-26CB N/A 12667GTP8 174875.540000 PA USD 158786.730000 0.0063578 Long ABS-MBS CORP US N 2 2035-07-25 Fixed 5.5 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-OC5 N/A 02147HAD4 152827.390000 PA USD 159997.820000 0.0064063 Long ABS-MBS CORP US N 2 2046-06-25 Floating 0.2945 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-5 N/A 126670YH5 799068.370000 PA USD 786982.460000 0.0315108 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.4745 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-1 N/A 23245CAA8 3141681.700000 PA USD 2755077.970000 0.1103135 Long ABS-MBS CORP US N 2 2037-07-25 Floating 0.3245 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-6 N/A 12669LAA8 2459024.800000 PA USD 2086441.720000 0.0835413 Long ABS-MBS CORP US N 2 2037-09-25 Floating 0.3845 N N N N N N COUNTRYWIDE ASSET-BACKED CERTI 2006-19 N/A 12667CAD4 5700000.000000 PA USD 5062311.360000 0.2026953 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.4345 N N N N N N COUNTRYWIDE ASSET-BACKED CERTS 2005-15 N/A 126670MD7 1327.970000 PA USD 1334.630000 0.0000534 Long ABS-MBS CORP US N 2 2036-04-25 Variable 5.525 N N N N N N COUNTRYWIDE HOME LOANS 2004-HYB5 N/A 12669F3A9 141326.740000 PA USD 135368.910000 0.0054202 Long ABS-MBS CORP US N 2 2035-04-20 Floating 4.11914 N N N N N N COUNTRYWIDE HOME LOANS 2004-HYB7 N/A 12669GCE9 28762.560000 PA USD 27366.940000 0.0010958 Long ABS-MBS CORP US N 2 2034-11-20 Floating 4.00804 N N N N N N COUNTRYWIDE HOME LOANS 2005-2 N/A 12669GPR6 39564.910000 PA USD 36921.900000 0.0014784 Long ABS-MBS CORP US N 2 2035-03-25 Floating 0.8245 N N N N N N COUNTRYWIDE HOME LOANS 2005-24 N/A 126694JR0 96504.110000 PA USD 81700.570000 0.0032713 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 Y N N N N N COUNTRYWIDE HOME LOANS 2005-HYB6 N/A 126694BS6 105654.470000 PA USD 96802.350000 0.0038760 Long ABS-MBS CORP US N 2 2035-10-20 Floating 3.48374 N N N N N N COUNTRYWIDE HOME LOANS 2006-6 N/A 126694K64 454686.570000 PA USD 349039.370000 0.0139756 Long ABS-MBS CORP US N 2 2036-04-25 Fixed 6 N N N N N N COUNTRYWIDE HOME LOANS 2007-HY4 N/A 17025RAA3 411061.480000 PA USD 374841.580000 0.0150087 Long ABS-MBS CORP US N 2 2047-09-25 Floating 3.7716 Y N N N N N COUNTRYWIDE HOME LOANS 2008-1 N/A 12544YAD5 336336.950000 PA USD 353900.060000 0.0141702 Long ABS-MBS CORP US N 2 2038-04-25 Fixed 5.5 N N N N N N CREDIT SUISSE GROUP FUNDING (GUERNSEY) LIMITED 549300PXR5FKNXF0OH19 225433AH4 7000000.000000 PA USD 7438853.380000 0.2978522 Long DBT CORP GG N 2 2022-09-15 Fixed 3.8 N N N N N N CREDIT SUISSE MORTGAGE CAP CERT 2007-4R N/A 12639QAA4 591993.290000 PA USD 571683.130000 0.0228902 Long ABS-MBS CORP US N 2 2036-10-26 Fixed 5.91883 N N N N N N CREDIT SUISSE MORTGAGE CAP CERT 2007-6 N/A 12639PAA6 2067808.190000 PA USD 1763093.910000 0.0705944 Long ABS-MBS CORP US N 2 2037-10-25 Variable 6.4205 N N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2015-3R N/A 12649WAW1 4423502.780000 PA USD 4279086.470000 0.1713349 Long ABS-MBS CORP US N 2 2036-09-29 Floating 0.3345 N N N N N N CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RPL4 N/A 22946AAC2 461895.360000 PA USD 476221.970000 0.0190680 Long ABS-MBS CORP US N 2 2058-08-26 Fixed 3.52178 N N N N N N CROWN POINT CLO LTD 2018-5A N/A 22845LAA4 4396700.380000 PA USD 4334631.680000 0.1735590 Long ABS-CBDO CORP KY N 2 2028-07-17 Floating 2.07488 N N N N N N CVP CASCADE CLO LTD 2013-CLO1 N/A 126612AJ9 276179.260000 PA USD 276218.960000 0.0110598 Long ABS-CBDO CORP KY N 2 2026-01-16 Floating 2.32613 N N N N N N CVS HEALTH CORPORATION 549300EJG376EN5NQE29 126650DC1 160000.000000 PA USD 163185.460000 0.0065340 Long DBT CORP US N 2 2021-03-09 Fixed 3.35 N N N N N N DAIMLER FINANCE NORTH AMERICA LLC 549300423Z16BB673J12 233851CS1 300000.000000 PA USD 306853.340000 0.0122864 Long DBT CORP US N 2 2022-01-06 Fixed 2.85 N N N N N N DAIMLER FINANCE NORTH AMERICA LLC 549300423Z16BB673J12 233851CZ5 150000.000000 PA USD 151052.660000 0.0060482 Long DBT CORP US N 2 2021-02-12 Fixed 2.3 N N N N N N DELL INTERNATIONAL LLC / EMC CORP N/A 25272KAD5 900000.000000 PA USD 925155.630000 0.0370433 Long DBT CORP US N 2 2021-06-15 Fixed 4.42 N N N N N N DEUTSCHE ALT-A SEC INC MTGE LO 2005-6 N/A 251510KH5 321237.930000 PA USD 311213.670000 0.0124610 Long ABS-MBS CORP US N 2 2035-12-25 Fixed 5.5 Y N N N N N DEUTSCHE ALT-A SECURITIES, INC. 2006-AB4 N/A 251513AR8 91649.770000 PA USD 67889.620000 0.0027183 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.26825 Y N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526BX6 28300000.000000 PA USD 29052613.030000 1.1632687 Long DBT CORP DE N 2 2021-10-14 Fixed 4.25 N N N N N N DISCOVERY COMMUNICATIONS LLC L2Z2MO2EQURH3BREWI15 25470DAQ2 158000.000000 PA USD 166119.260000 0.0066514 Long DBT CORP US N 2 2023-03-20 Fixed 2.95 N N N N N N DORCHESTER PARK CLO LTD 2015-1A N/A 25820NAA2 3400000.000000 PA USD 3358319.230000 0.1344673 Long ABS-CBDO CORP IE N 2 2028-04-20 Floating 2.03525 N N N N N N DRYDEN XXV SENIOR LOAN FUND 2012-25A N/A 26250JAS9 10320159.770000 PA USD 10232479.180000 0.4097092 Long ABS-CBDO CORP KY N 2 2027-10-15 Floating 2.11888 N N N N N N DUKE ENERGY CORPORATION I1BZKREC126H0VB1BL91 26441CAW5 200000.000000 PA USD 207589.570000 0.0083119 Long DBT CORP US N 2 2022-08-15 Fixed 2.4 N N N N N N EBAY INC OML71K8X303XQONU6T67 278642AE3 1100000.000000 PA USD 1137813.610000 0.0455581 Long DBT CORP US N 2 2022-07-15 Fixed 2.6 N N N N N N EGCLO 2018-1A N/A 29915RAA1 7932201.060000 PA USD 7828514.020000 0.3134543 Long ABS-CBDO CORP KY N 2 2028-05-28 Floating 1.29125 N N N N N N ELM PARK CLO DAC 1A N/A ACI120P60 720000.000000 PA 801841.640000 0.0321058 Long ABS-CBDO CORP IE N 2 2029-04-16 Floating 0.62 N N N N N N ENTERPRISE PRODUCTS OPERATING LLC 5493004LGN656HWLDA30 29379VAU7 200000.000000 PA USD 211104.630000 0.0084526 Long DBT CORP US N 2 2022-02-15 Fixed 4.05 N N N N N N ERSTE GROUP BANK AG PQOH26KWDF7CG10L6792 BDB50MII1 200000.000000 PA 235307.100000 0.0094217 Long DBT CORP AT N 2 2021-10-15 Floating 8.875 N N N N N N EUROSAIL PLC 2007-NL2X N/A 919AJRII1 2802052.940000 PA 3152725.100000 0.1262353 Long ABS-MBS CORP NL N 2 2040-10-17 Floating 1.25 N N N N N N EVERSOURCE ENERGY SJ7XXD41SQU3ZNWUJ746 30040WAD0 200000.000000 PA USD 214763.110000 0.0085991 Long DBT CORP US N 2 2024-10-01 Fixed 2.9 N N N N N N FANNIE MAE 2006-15 N/A 31395BVE0 67139.410000 PA USD 66862.200000 0.0026772 Long ABS-MBS USGSE US N 2 2036-03-25 Floating 0.294844 N N N N N N FANNIE MAE 2007-4 N/A 31396PMC2 658693.960000 PA USD 659392.700000 0.0264021 Long ABS-MBS USGSE US N 2 2037-02-25 Floating 0.6295 N N N N N N FHLMC PASS THRU POOLS N/A 3128JRAN6 153808.550000 PA USD 155128.840000 0.0062114 Long ABS-MBS USGSE US N 2 2034-01-01 Floating 4.011 N N N N N N FHLMC PASS THRU POOLS N/A 3128JRLD6 96683.370000 PA USD 98880.510000 0.0039592 Long ABS-MBS USGSE US N 2 2033-06-01 Floating 3.268 N N N N N N FIRST HORIZON ALT MTG SEC 2006-FA8 N/A 32052DAG6 152674.460000 PA USD 102763.650000 0.0041147 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6 Y N N N N N FIRST HORIZON MTGE PASS-THRU TR 2005-AR4 N/A 32051GTZ8 100719.990000 PA USD 100024.160000 0.0040050 Long ABS-MBS CORP US N 2 2035-10-25 Floating 4.75969 N N N N N N FNMA PASS THRU POOLS N/A 31406VGS9 52939.000000 PA USD 53892.490000 0.0021579 Long ABS-MBS USGSE US N 2 2035-05-01 Floating 2.904 N N N N N N FNMA PASS THRU POOLS N/A 31410MER7 9617.330000 PA USD 9665.030000 0.0003870 Long ABS-MBS USGSE US N 2 2036-05-01 Floating 2.605 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 34540XAB9 4200000.000000 PA USD 4093215.000000 0.1638926 Long DBT CORP US N 2 2022-10-07 Fixed 3.55 N N N N N N FRANCE GOVT 969500KCGF3SUYJHPV70 B2PP4HII3 41395068.000000 PA 50695385.140000 2.0298468 Long DBT NUSS FR N 2 2023-07-25 Fixed 2.1 N N N N N N FREDDIE MAC-3262 N/A 31397EM44 4200.420000 PA USD 4175.050000 0.0001672 Long ABS-MBS USGSE US N 2 2037-01-15 Floating 0.45475 N N N N N N FREMONT HOME LOAN TRUST 2006-C N/A 35729TAA0 724433.580000 PA USD 644512.040000 0.0258063 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.30325 N N N N N N GENERAL MOTORS COMPANY 54930070NSV60J38I987 37045VAM2 280000.000000 PA USD 279938.960000 0.0112088 Long DBT CORP US N 2 2020-08-07 Floating 1.274 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 472249.980000 PA USD 4655912.540000 0.1864231 Long STIV RF US N 1 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H15 N/A 38380LJY0 9415779.320000 PA USD 9330036.410000 0.3735753 Long ABS-MBS USGSE US N 2 2068-08-20 Floating 2.26588 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2019-20 N/A 38381RCM9 20506512.850000 PA USD 20481509.260000 0.8200811 Long ABS-MBS USGSE US N 2 2049-02-20 Floating 0.59 N N N N N N GREAT HALL MORTGAGES PLC 2006-1 N/A 991XUKII4 212025.290000 PA 257904.010000 0.0103265 Long ABS-MBS CORP GB N 2 2038-06-18 Floating 0.32163 N N N N N N GREAT HALL MORTGAGES PLC 2007-1 N/A B1S83ZII1 275273.780000 PA 334106.910000 0.0133777 Long ABS-MBS CORP GB N 2 2039-03-18 Floating 0.30163 N N N N N N GS MORTGAGE SECURITIES CORP II 2010-C2 N/A 36248EAB1 5000000.000000 PA USD 5041532.000000 0.2018633 Long ABS-MBS CORP US N 2 2043-12-10 Variable 5.162 N N N N N N GSAA HOME EQUITY TRUST 2007-4 N/A 3622EBAC2 675549.290000 PA USD 377254.690000 0.0151053 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.46825 N N N N N N GSAMP TRUST 2005-HE2 N/A 36242DA60 1722132.090000 PA USD 1525892.380000 0.0610968 Long ABS-MBS CORP US N 2 2035-03-25 Floating 1.1595 Y N N N N N GSAMP TRUST 2007-HE2 N/A 362440AE9 2500000.000000 PA USD 1927278.000000 0.0771683 Long ABS-MBS CORP US N 2 2047-03-25 Floating 0.53825 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341WZ8 311753.140000 PA USD 305862.780000 0.0122468 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.84224 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341XC8 208921.440000 PA USD 155710.090000 0.0062346 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.86228 Y N N N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341XE4 1204482.050000 PA USD 1135047.270000 0.0454474 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.23203 Y N N N N N HALCYON LOAN ADVISORS FUNDING LTD 2015-1A N/A 40538HAN9 1280586.770000 PA USD 1267317.680000 0.0507435 Long ABS-CBDO CORP KY N 2 2027-04-20 Floating 2.05525 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-2 N/A 41161PLR2 513457.310000 PA USD 465955.220000 0.0186569 Long ABS-MBS CORP US N 2 2035-05-19 Floating 0.63388 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-5 N/A 41161MAC4 4896189.350000 PA USD 2830054.240000 0.1133156 Long ABS-MBS CORP US N 2 2046-07-19 Floating 0.37388 Y N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-6 N/A 41161UAJ1 171294.630000 PA USD 165106.530000 0.0066109 Long ABS-MBS CORP US N 2 2036-08-19 Floating 3.45434 Y N N N N N HARBORVIEW MORTGAGE LOAN TR 2007-5 N/A 41165AAB8 86244.650000 PA USD 78082.710000 0.0031264 Long ABS-MBS CORP US N 2 2037-09-19 Floating 0.38388 N N N N N N HARBORVIEW MORTGAGE LOAN TRUST 2005-16 N/A 41161PYZ0 1477802.400000 PA USD 1093613.380000 0.0437884 Long ABS-MBS CORP US N 2 2036-01-19 Floating 0.69388 Y N N N N N HAWKSMOOR MORTGAGES 19-1A N/A ACI1DHFV7 18227331.430000 PA 22579890.900000 0.9041004 Long ABS-MBS CORP GB N 2 2053-05-25 Floating 1.28692 N N N N N N HOME EQUITY ASSET TRUST 2004-2 N/A 437084BL9 394385.900000 PA USD 386753.150000 0.0154856 Long ABS-MBS CORP US N 2 2034-07-25 Floating 0.9795 N N N N N N HOME EQUITY PASS-THRU CERTS 2005-8 N/A 437084QA7 3700000.000000 PA USD 3468936.480000 0.1388965 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.6345 N N N N N N HOMEBANC MORTGAGE TRUST 2006-1 N/A 43739ECT2 86639.130000 PA USD 83482.510000 0.0033426 Long ABS-MBS CORP US N 2 2037-04-25 Floating 3.23869 Y N N N N N HOMEBANC MTGE TRUST 2006-2 N/A 43739HAA8 161418.690000 PA USD 155799.120000 0.0062382 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.52825 N N N N N N HSI ASSET SEC CORP TRUST 2006-OPT3 N/A 40430HFM5 2381000.000000 PA USD 2274457.870000 0.0910695 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.43825 N N N N N N IHS MARKIT LTD 549300HLPTRASHS0E726 44962LAA5 100000.000000 PA USD 107386.170000 0.0042997 Long DBT CORP BM N 2 2022-11-01 Fixed 5 N N N N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 453140AD7 400000.000000 PA USD 400392.610000 0.0160317 Long DBT CORP GB N 2 2020-07-21 Fixed 2.95 N N N N N N INDYMAC IMSC MTGE LN TRUST 2007-HOA1 N/A 45670LAA5 1837027.650000 PA USD 1395332.540000 0.0558692 Long ABS-MBS CORP US N 2 2047-07-25 Floating 0.3645 Y N N N N N INDYMAC INDB MORTGAGE LOAN TR 2006-1 N/A 45661JAA1 4731307.030000 PA USD 1873209.140000 0.0750034 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.2545 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2005-AR14 N/A 45660LRU5 275726.260000 PA USD 225999.330000 0.0090490 Long ABS-MBS CORP US N 2 2035-07-25 Floating 0.4645 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2005-AR15 N/A 45660LVM8 239532.760000 PA USD 195115.410000 0.0078124 Long ABS-MBS CORP US N 2 2035-09-25 Floating 3.56466 Y N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR12 N/A 45661VAA4 3526765.940000 PA USD 3093127.500000 0.1238490 Long ABS-MBS CORP US N 2 2046-09-25 Floating 0.3745 N N N N N N INDYMAC INDX MTGE LOAN TR 2004-AR6 N/A 45660NX83 342757.810000 PA USD 340262.330000 0.0136241 Long ABS-MBS CORP US N 2 2034-10-25 Floating 4.01485 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2005-AR7 N/A 45660LLP2 120408.470000 PA USD 110685.960000 0.0044319 Long ABS-MBS CORP US N 2 2035-06-25 Floating 3.55852 Y N N N N N INDYMAC RESIDENTIAL ASSET BACKED 2007-A N/A 43710BAA4 2340516.860000 PA USD 1954918.580000 0.0782751 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.4045 N N N N N N ING BANK NV/AMSTERDAM BRANCH 3TK20IVIUJ8J3ZU0QE75 44986L2A6 7600000.000000 PA USD 7976162.000000 0.3193661 Long DBT CORP NL N 2 2022-12-05 Fixed 2.625 N N N N N N INTERNATIONAL LEASE FINANCE CORPORATION N/A 459745GF6 2800000.000000 PA USD 2866452.820000 0.1147730 Long DBT CORP US N 2 2020-12-15 Fixed 8.25 N N N N N N ITALY GOVT 815600DE60799F5A9309 ACI1MHM64 42867825.000000 PA 49209281.010000 1.9703431 Long DBT NUSS IT N 2 2025-05-26 Fixed 1.4 N N N N N N J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FL12 N/A 46651QAA5 1000000.000000 PA USD 981550.600000 0.0393014 Long ABS-MBS CORP US N 2 2031-12-15 Floating 1.63475 N N N N N N JACKSON NATIONAL LIFE GLOBAL FUNDING 635400PQXLYXWJI5QD78 46849LSW2 200000.000000 PA USD 206492.310000 0.0082680 Long DBT CORP US N 2 2022-06-27 Fixed 2.5 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI12NZL6 3350947740.000000 PA 30925857.120000 1.2382735 Long DBT NUSS JP N 2 2028-03-10 Fixed 0.1 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI1BXN03 2960737920.000000 PA 27406877.060000 1.0973733 Long DBT NUSS JP N 2 2029-03-10 Fixed 0.1 N N N N N N JAPAN TOBACCO INC 353800Z0ENYBQO0XRJ31 BYQRRPII5 400000.000000 PA USD 402652.100000 0.0161222 Long DBT CORP JP N 2 2021-04-13 Fixed 2 N N N N N N JMP CREDIT ADVISORS CLO IIIR LTD 2014-1RA N/A 46649DAA9 3294694.740000 PA USD 3223258.310000 0.1290595 Long ABS-CBDO CORP KY N 2 2028-01-17 Floating 1.98488 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2006-A7 N/A 466286AD3 1336159.390000 PA USD 1218653.520000 0.0487950 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.4145 N N N N N N JP MORGAN MORTGAGE TRUST 2005-A3 N/A 466247PV9 85825.070000 PA USD 85997.270000 0.0034433 Long ABS-MBS CORP US N 2 2035-06-25 Floating 3.39538 N N N N N N JP MORGAN MORTGAGE TRUST 2005-A3 N/A 466247PW7 236017.820000 PA USD 233267.860000 0.0093401 Long ABS-MBS CORP US N 2 2035-06-25 Floating 3.61076 N N N N N N JP MORGAN MORTGAGE TRUST 2005-A4 N/A 466247RN5 54989.170000 PA USD 55274.560000 0.0022132 Long ABS-MBS CORP US N 2 2035-07-25 Floating 3.19197 N N N N N N JP MORGAN MORTGAGE TRUST 2005-A8 N/A 466247YH0 197590.830000 PA USD 173437.450000 0.0069444 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.93916 Y N N N N N JP MORGAN MORTGAGE TRUST 2006-A4 N/A 46628LAG3 697078.860000 PA USD 587939.520000 0.0235411 Long ABS-MBS CORP US N 2 2036-06-25 Floating 3.44721 Y N N N N N JP MORGAN MORTGAGE TRUST 2006-A5 N/A 46629CAK3 139904.960000 PA USD 123223.520000 0.0049339 Long ABS-MBS CORP US N 2 2036-08-25 Floating 3.3906 Y N N N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GBB0 91715.210000 PA USD 88406.340000 0.0035398 Long ABS-MBS CORP US N 2 2035-07-25 Floating 3.90453 N N N N N N JP MORGAN MORTGAGE TRUST 2008-R2 N/A 46632TAA3 323617.400000 PA USD 329761.440000 0.0132037 Long ABS-MBS CORP US N 2 2037-07-27 Floating 3.34265 N N N N N N JP MORGAN MORTGAGE TRUST-2004-A3 N/A 466247CW1 46018.620000 PA USD 45544.980000 0.0018236 Long ABS-MBS CORP US N 2 2034-07-25 Floating 3.85033 N N N N N N JP MORGAN MTGE ACQUIS CORP 2006-CH2 N/A 46629QAW6 327283.630000 PA USD 314400.340000 0.0125886 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.37825 N N N N N N JYSKE REALKREDIT A/S 529900R9HQNZRT2OXB26 ACI09QH00 28137.380000 PA 4462.950000 0.0001787 Long DBT CORP DK N 2 2047-10-01 Fixed 2.5 N N N N N N JYSKE REALKREDIT A/S 529900R9HQNZRT2OXB26 ACI1CPNN9 283685601.910000 PA 42579572.820000 1.7048891 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N KOMATSU FINANCE AMERICA INC 549300SRAAFEEQ8Z4D68 ACI0XK426 200000.000000 PA USD 205144.600000 0.0082140 Long DBT CORP US N 2 2022-09-11 Fixed 2.437 N N N N N N LEGACY MORTGAGE ASSET TRUST 2019-GS3 N/A 52474WAA5 262618.710000 PA USD 269237.620000 0.0107803 Long ABS-MBS CORP US N 2 2059-04-25 Fixed 3.75 N N N N N N LEHMAN ABS MANUFACTURED HOUSING 2001-B N/A 52519SAM5 2817287.030000 PA USD 2241732.480000 0.0897591 Long ABS-O CORP US N 2 2040-04-15 Variable 7.17 Y N N N N N LEHMAN XS TRUST 2006-7 N/A 52522EAA7 1980536.760000 PA USD 1956348.270000 0.0783323 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.3445 N N N N N N LEHMAN XS TRUST 2006-8 N/A 52522HAM4 4596582.930000 PA USD 4693565.310000 0.1879307 Long ABS-MBS CORP US N 2 2036-06-25 Variable 6.4 N N N N N N LOANCORE ISSUER LTD 2019-CRE2 N/A 53946JAA2 7600000.000000 PA USD 7526838.980000 0.3013752 Long ABS-O CORP KY N 2 2036-05-15 Floating 1.31475 N N N N N N LOOMIS SAYLES CLO II LTD 2015-2A N/A 54347LAN2 4676685.040000 PA USD 4556703.610000 0.1824507 Long ABS-CBDO CORP KY N 2 2028-04-15 Floating 2.11888 N N N N N N LUMINENT MORTGAGE TRUST 2006-6 N/A 55027YAD0 627368.370000 PA USD 571980.710000 0.0229021 Long ABS-MBS CORP US N 2 2046-10-25 Floating 0.56825 N N N N N N MAN GLG EURO CLO II DAC 2A N/A ACI1DJHC3 2200000.000000 PA 2437095.260000 0.0975815 Long ABS-CBDO CORP IE N 2 2030-01-15 Floating 0.87 N N N N N N MARLETTE FUNDING TRUST 2019-3 N/A 57109MAA9 1038951.640000 PA USD 1045722.070000 0.0418708 Long ABS-O CORP US N 2 2029-09-17 Fixed 2.69 N N N N N N MASTR ADJ RATE MTGE TRUST 2007-HF1 N/A 57645RAA9 339888.550000 PA USD 197163.400000 0.0078944 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.64825 N N N N N N MASTR ASSET BACKED SECUR TR 2006-WMC4 N/A 57645MAE2 1753821.650000 PA USD 733842.470000 0.0293831 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.31825 N N N N N N MERRILL LYNCH ALTERNATIVE NT 2007-A2 N/A 59024FAF1 754733.170000 PA USD 292195.630000 0.0116995 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.46825 N N N N N N MERRILL LYNCH ALTERNATIVE NT 2007-AF1 N/A 59024KAX1 356565.850000 PA USD 274380.810000 0.0109862 Long ABS-MBS CORP US N 2 2037-06-25 Floating 3.67412 Y N N N N N MERRILL LYNCH MORTGAGE BACKED SEC 2007-1 N/A 59024NAC1 1047683.820000 PA USD 973811.530000 0.0389915 Long ABS-MBS CORP US N 2 2037-04-25 Floating 3.67477 Y N N N N N MERRILL LYNCH MORTGAGE INVEST TR 2005-A7 N/A 59020UH32 132825.100000 PA USD 119410.890000 0.0047812 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.06326 Y N N N N N MERRILL LYNCH MORTGAGE INVS 2005-A5 N/A 59020UYU3 271420.540000 PA USD 265748.940000 0.0106406 Long ABS-MBS CORP US N 2 2035-06-25 Floating 3.50995 N N N N N N MERRILL LYNCH MORTGAGE INVS 2005-A9 N/A 59020UW68 84324.670000 PA USD 72866.720000 0.0029176 Long ABS-MBS CORP US N 2 2035-12-25 Floating 3.60783 N N N N N N MERRILL LYNCH MTGE INVESTORS 2004-A3 N/A 59020UHG3 127209.500000 PA USD 119409.180000 0.0047812 Long ABS-MBS CORP US N 2 2034-05-25 Floating 3.24754 N N N N N N MEXICO GOVT 254900EGTWEU67VP6075 B1G14FII2 378593460.790000 PA 20118144.200000 0.8055319 Long DBT NUSS MX N 2 2035-11-22 Fixed 4.5 N N N N N N MICROCHIP TECHNOLOGY INCORPORATED 5493007PTFULNYZJ1R12 595017AN4 100000.000000 PA USD 101971.700000 0.0040830 Long DBT CORP US N 2 2021-06-01 Fixed 3.922 N N N N N N MITSUBISHI UFJ LEASE & FINANCE COMPANY LIMITED 353800MZ3QX9RLMH7B09 60682LAD4 200000.000000 PA USD 206388.970000 0.0082638 Long DBT CORP JP N 2 2022-02-28 Fixed 3.406 N N N N N N MLCC MORTGAGE INVESTORS INC 2006-2 N/A 590219AG6 59246.490000 PA USD 54505.920000 0.0021824 Long ABS-MBS CORP US N 2 2036-05-25 Floating 3.60852 N N N N N N MONARCH GROVE CLO 2018-1A N/A 60909GAA8 7025970.080000 PA USD 6946927.920000 0.2781555 Long ABS-CBDO CORP KY N 2 2028-01-25 Floating 1.87138 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE6 N/A 61755CAA0 563720.120000 PA USD 484423.190000 0.0193963 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.22825 N N N N N N MORGAN STANLEY CAPITAL INC 2005-HE4 N/A 61744CTL0 125278.710000 PA USD 125835.120000 0.0050384 Long ABS-MBS CORP US N 2 2035-07-25 Floating 0.87325 N N N N N N MORGAN STANLEY MORTGAGE TRUST-2006-15XS N/A 61750YAJ8 1676648.610000 PA USD 646900.490000 0.0259019 Long ABS-MBS CORP US N 2 2036-11-25 Variable 5.90951 Y N N N N N MORGAN STANLEY MTGE LN TR 2007-7AX N/A 61754HAD4 753395.840000 PA USD 356847.600000 0.0142882 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.52825 N N N N N N MOUNTAIN VIEW CLO LTD 2014-1A N/A 62431XAU0 2574830.740000 PA USD 2541684.580000 0.1017692 Long ABS-CBDO CORP KY N 2 2026-10-15 Floating 2.01888 N N N N N N NATIONAL RURAL UTILITIES COOPERATIVE FINANCE CORPORATION 4NYF266XZC35SCTGX023 63743HES7 150000.000000 PA USD 150229.490000 0.0060152 Long DBT CORP US N 2 2021-06-30 Floating 0.68288 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 060505FL3 3840000.000000 NS USD 3930368.370000 0.1573722 Long EP CORP US N 2 N N N NAVIENT CORPORATION 54930067J0ZNOEBRW338 63938CAC2 300000.000000 PA USD 295594.500000 0.0118356 Long DBT CORP US N 2 2021-03-25 Fixed 5.875 N N N N N N NCUA GUARANTEED NOTES 2010-R1 N/A 62888VAA6 1397694.500000 PA USD 1395859.890000 0.0558903 Long ABS-MBS CORP US N 2 2020-10-07 Floating 0.61588 N N N N N N NCUA GUARANTEED NOTES 2010-R3 N/A 62888WAA4 4371391.140000 PA USD 4363967.640000 0.1747336 Long ABS-MBS CORP US N 2 2020-12-08 Floating 0.72588 N N N N N N NCUA GUARANTEED NOTES 2010-R3 N/A 62888WAB2 13632755.350000 PA USD 13634171.790000 0.5459132 Long ABS-MBS CORP US N 2 2020-12-08 Floating 0.72588 N N N N N N NEUBERGER BERMAN CLO XIX LTD 2015-19A N/A 64130CAN2 481043.840000 PA USD 476648.300000 0.0190850 Long ABS-CBDO CORP KY N 2 2027-07-15 Floating 2.01888 N N N N N N NEW CENTURY HOME EQUITY LOAN TR 2004-4 N/A 64352VJJ1 1982021.820000 PA USD 1902275.960000 0.0761673 Long ABS-MBS CORP US N 2 2035-02-25 Floating 0.9495 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-3A N/A 64830KAA5 142913.830000 PA USD 154735.550000 0.0061956 Long ABS-MBS CORP US N 2 2058-05-25 Variable 4.5 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3 N/A 64830NAA9 1201768.750000 PA USD 1262978.920000 0.0505698 Long ABS-MBS CORP US N 2 2059-07-25 Fixed 2.75 N N N N N N NEW YORK LIFE GLOBAL FUNDING 635400DPNHEAUHB7ZI15 64952WDH3 300000.000000 PA USD 310393.780000 0.0124282 Long DBT CORP US N 2 2022-07-12 Fixed 2.25 N N N N N N NEW ZEALAND GOVT 549300237GPHG2AI7C34 ACI02MK69 76421827.000000 PA 54096558.790000 2.1660300 Long DBT NUSS NZ N 2 2025-09-20 Fixed 2 N N N N N N NEW ZEALAND GOVT 549300237GPHG2AI7C34 ACI09X300 4210830.000000 PA 3621214.000000 0.1449937 Long DBT NUSS NZ N 2 2035-09-20 Fixed 2.5 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740AZ2 200000.000000 PA USD 197070.120000 0.0078907 Long DBT CORP US N 2 2022-07-13 Fixed 2.65 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740BJ7 100000.000000 PA USD 100284.120000 0.0040154 Long DBT CORP US N 2 2021-09-21 Fixed 3.65 N N N N N N NISSAN MOTOR ACCEPTANCE CORPORATION 7D6DIU2QXTUJRFNNJA49 654740BL2 100000.000000 PA USD 100241.500000 0.0040137 Long DBT CORP US N 2 2023-09-21 Fixed 3.875 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 ACI0CR3W9 5216.980000 PA 827.320000 0.0000331 Long DBT CORP DK N 2 2047-10-01 Fixed 2.5 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BK99HJII9 250046363.720000 PA 37492817.000000 1.5012150 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N NOVASTAR HOME EQUITY LOAN 2005-3 N/A 66987XGY5 5264000.000000 PA USD 5131080.840000 0.2054488 Long ABS-MBS CORP US N 2 2036-01-25 Floating 0.8895 N N N N N N NTT FINANCE CORPORATION 3538007PR116187GD960 ACI0NPCG6 200000.000000 PA USD 202450.140000 0.0081061 Long DBT CORP JP N 2 2021-07-21 Fixed 1.9 N N N N N N NXP BV/NXP FUNDING LLC N/A 62947QAV0 300000.000000 PA USD 329318.560000 0.0131859 Long DBT CORP NL N 2 2023-06-01 Fixed 4.625 N N N N N N NXP BV/NXP FUNDING LLC N/A 62947QAW8 200000.000000 PA USD 211520.470000 0.0084693 Long DBT CORP NL N 2 2022-09-01 Fixed 3.875 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI09WV27 21734.980000 PA 3448.270000 0.0001381 Long DBT CORP DK N 2 2047-10-01 Fixed 2.5 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 BK9CXBII1 270941498.750000 PA 40646331.140000 1.6274820 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N OCP CLO 2015-9 N/A 67091YAJ3 366390.400000 PA USD 364000.470000 0.0145746 Long ABS-CBDO CORP KY N 2 2027-07-15 Floating 2.01888 N N N N N N OCTAGON INVESTMENT PARTNERS LTD 2015-1A N/A 67590WCE2 1780000.000000 PA USD 1750999.140000 0.0701101 Long ABS-CBDO CORP KY N 2 2027-07-15 Floating 2.06888 N N N N N N PALMER SQUARE LOAN FUNDING LTD 2018-2A N/A 69700HAA8 3521541.100000 PA USD 3495131.730000 0.1399453 Long ABS-CBDO CORP KY N 2 2026-07-15 Floating 1.86888 N N N N N N PALMER SQUARE LOAN FUNDING LTD 2019-2A N/A 69689PAA5 188327.260000 PA USD 186394.740000 0.0074633 Long ABS-CBDO CORP KY N 2 2027-04-20 Floating 2.10525 N N N N N N PARK PLACE SEC INC 2005-WHQ2 N/A 70069FHV2 509814.820000 PA USD 508290.220000 0.0203520 Long ABS-MBS CORP US N 2 2035-05-25 Floating 0.85825 N N N N N N PARK PLACE SECURITIES INC 2004-WCW2 N/A 70069FAY3 483417.580000 PA USD 484118.630000 0.0193841 Long ABS-MBS CORP US N 2 2034-10-25 Floating 1.14325 N N N N N N PARK PLACE SECURITIES INC 2004-WHQ1 N/A 70069FBS5 385795.680000 PA USD 384272.060000 0.0153863 Long ABS-MBS CORP US N 2 2034-09-25 Floating 1.15825 N N N N N N PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP N/A 709599AN4 100000.000000 PA USD 106410.650000 0.0042607 Long DBT CORP US N 2 2023-01-17 Fixed 4.25 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 715638BX9 15900000.000000 PA 5185891.940000 0.2076435 Long DBT NUSS PE N 2 2029-02-12 Fixed 5.94 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YAU3 100000.000000 PA USD 101277.410000 0.0040552 Long DBT CORP US N 2 2021-05-14 Fixed 2.3 N N N N N N POPULAR ABS MTGE PASS THRU TRUST 2005-A N/A 73316PDA5 277716.740000 PA USD 278121.150000 0.0111360 Long ABS-MBS CORP US N 2 2035-06-25 Floating 0.6145 N N N N N N PROGRESS ENERGY INC 549300FBMTW0JYWMNB26 743263AS4 100000.000000 PA USD 103852.710000 0.0041583 Long DBT CORP US N 2 2022-04-01 Fixed 3.15 N N N N N N PROVINCE OF BUENOS AIRES ARGENTINA 549300L6AYROPOTQ4L07 ACI0VF965 22770000.000000 PA 187879.220000 0.0075227 Long DBT NUSS AR N 2 2022-05-31 Floating 29.2219 N N N N N N QATAR GOVT 52990074F6OJOAXK4P65 ACI122SK2 6300000.000000 PA USD 6771807.000000 0.2711436 Long DBT NUSS QA N 2 2023-04-23 Fixed 3.875 N N N N N N RALI SERIES 2005-QO1 TRUST N/A 761118EN4 765421.900000 PA USD 645665.900000 0.0258525 Long ABS-MBS CORP US N 2 2035-08-25 Floating 0.4845 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 ACI0B2V53 19721.110000 PA 3117.910000 0.0001248 Long DBT CORP DK N 2 2047-04-01 Fixed 2.5 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2007-3 N/A 75971FAD5 15398404.060000 PA USD 7343100.080000 0.2940182 Long ABS-MBS CORP US N 2 2037-09-25 Floating 1.26825 N N N N N N RESIDENTIAL ACCREDIT LOANS INC 2005-QA9 N/A 761118FJ2 474781.890000 PA USD 259072.670000 0.0103733 Long ABS-MBS CORP US N 2 2035-08-25 Floating 3.80809 Y N N N N N RESIDENTIAL ACCREDIT LOANS INC 2006-QA2 N/A 761118TR9 294338.440000 PA USD 234333.750000 0.0093827 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.26759 Y N N N N N RESIDENTIAL ASSET SEC CORP 2006-EMX7 N/A 74924TAD6 780585.360000 PA USD 621903.210000 0.0249010 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.4245 N N N N N N RESIDENTIAL ASSET SEC TRUST 2005-A5 N/A 45660LJZ3 1075653.030000 PA USD 808646.040000 0.0323782 Long ABS-MBS CORP US N 2 2035-05-25 Floating 0.5845 N N N N N N RESIDENTIAL ASSET SEC TRUST 2006-A10 N/A 76113LAE7 755023.300000 PA USD 462910.600000 0.0185350 Long ABS-MBS CORP US N 2 2036-09-25 Fixed 6.5 Y N N N N N RESIDENTIAL ASSET SEC TRUST 2006-A11 N/A 76113TAD2 567176.440000 PA USD 544230.240000 0.0217910 Long ABS-MBS CORP US N 2 2036-10-25 Fixed 6.25 Y N N N N N RESIDENTIAL ASSET SECURITIZATION TRUST 2007-A6 N/A 76114CAG1 11829766.030000 PA USD 3817238.370000 0.1528425 Long ABS-MBS CORP US N 2 2037-06-25 Fixed 6.5 N N N N N N RESIDENTIAL FUNDING MTG SEC I 2003-S9 N/A 76111JZ72 230321.250000 PA USD 243601.160000 0.0097538 Long ABS-MBS CORP US N 2 2032-03-25 Fixed 6.5 N N N N N N RESIDENTIAL FUNDING MTGE SEC 2005-SA2 N/A 76111XVL4 147912.000000 PA USD 142690.680000 0.0057133 Long ABS-MBS CORP US N 2 2035-06-25 Floating 3.8381 N N N N N N RESIDENTIAL FUNDING MTGE SEC 2005-SA4 N/A 76111XYD9 1227070.230000 PA USD 943561.790000 0.0377803 Long ABS-MBS CORP US N 2 2035-09-25 Floating 4.22479 Y N N N N N RESIDENTIAL FUNDING MTGE SEC 2007-S6 N/A 762009AK4 632896.030000 PA USD 617130.650000 0.0247100 Long ABS-MBS CORP US N 2 2037-06-25 Fixed 6 Y N N N N N RESIDENTIAL FUNDING MTGE SEC 2007-S6 N/A 762009AL2 139118.520000 PA USD 135653.090000 0.0054316 Long ABS-MBS CORP US N 2 2037-06-25 Fixed 6 Y N N N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780097BB6 1260000.000000 PA USD 1312882.200000 0.0525679 Long DBT CORP GB N 2 2021-08-15 Floating 8.625 N N N N Y ROYAL BANK OF SCOTLAND GROUP PLC GBP XXXX N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780099CJ4 1770000.000000 PA USD 1777080.000000 0.0711544 Long DBT CORP GB N 2 2020-08-10 Floating 7.5 N N N N Y ROYAL BANK OF SCOTLAND GROUP PLC GBP XXXX N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780097BH3 6500000.000000 PA USD 6505665.340000 0.2604873 Long DBT CORP GB N 2 2024-06-25 Floating 1.84688 N N N N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780097BJ9 4200000.000000 PA USD 4566725.810000 0.1828520 Long DBT CORP GB N 2 2024-06-25 Floating 4.519 N N N N N N ACE SECURITIES CORP 2006-HE4 N/A 00442BAB7 23841.120000 PA USD 12285.740000 0.0004919 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.22825 N N N N N N SABINE PASS LIQUEFACTION LLC 549300KJYBG7C6WJYZ11 785592AH9 600000.000000 PA USD 639689.000000 0.0256132 Long DBT CORP US N 2 2022-03-15 Fixed 6.25 N N N N N N SEC ASSET BACKED REC LLC 2006-FR3 N/A 813765AC8 5110069.390000 PA USD 3236912.650000 0.1296062 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.66825 N N N N N N SEMPRA ENERGY PBBKGKLRK5S5C0Y4T545 816851BB4 2400000.000000 PA USD 2404267.560000 0.0962670 Long DBT CORP US N 2 2021-03-15 Floating 0.76338 N N N N N N SEQUOIA MORTGAGE TRUST 2007-1 N/A 81744HAA1 485088.830000 PA USD 367654.350000 0.0147209 Long ABS-MBS CORP US N 2 2047-01-20 Floating 3.07226 Y N N N N N SEQUOIA MORTGAGE TRUST 5 N/A 81743WAA9 20190.700000 PA USD 19564.910000 0.0007834 Long ABS-MBS CORP US N 2 2026-10-19 Floating 0.54388 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2005-5 N/A 007036LJ3 628644.780000 PA USD 578531.540000 0.0231644 Long ABS-MBS CORP US N 2 2035-09-25 Floating 3.86931 Y N N N N N SHIRE ACQUISITIONS INVESTMENTS IRELAND DESIGNATED ACTIVITY COMPANY 549300XK5HGW68R8K327 82481LAB5 800000.000000 PA USD 816174.340000 0.0326797 Long DBT CORP IE N 2 2021-09-23 Fixed 2.4 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2005-7 N/A 007036MX1 372847.010000 PA USD 350445.990000 0.0140319 Long ABS-MBS CORP US N 2 2035-10-25 Floating 3.40608 Y N N N N N SILVERSTONE MASTER ISSUER PLC 19-1A N/A 82846GAV2 483000.000000 PA USD 483559.560000 0.0193618 Long ABS-MBS CORP GB N 2 2070-01-21 Floating 1.679 N N N N N N SILVERSTONE MASTER ISSUER PLC 19-1A N/A ACI1BCW41 2664500.000000 PA 3323986.670000 0.1330927 Long ABS-MBS CORP GB N 2 2070-01-21 Floating 1.235 N N N N N N SOCIETY OF LLOYDS 213800O2FTUPFGPH3J11 963WJTII4 3000000.000000 PA USD 3010170.840000 0.1205275 Long DBT CORP US Y 2 2020-09-02 Floating 2.57699 N N N N N N SOCIETY OF LLOYDS 213800O2FTUPFGPH3J11 963WJUII1 3000000.000000 PA USD 3067077.930000 0.1228060 Long DBT CORP US Y 2 2021-09-02 Floating 2.57699 N N N N N N SOUND POINT CLO XIV LTD 2016-3A N/A 83609NAL4 400000.000000 PA USD 393008.320000 0.0157361 Long ABS-CBDO CORP KY N 2 2029-01-23 Floating 2.193 N N N N N N SOUNDVIEW HOME EQUITY LN TRUST 2006-NLC1 N/A 83611DAA6 503723.880000 PA USD 192895.720000 0.0077236 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.22825 N N N N N N SPRINGCASTLE FUNDING ASSET-BACKED NOTES 2019-AA N/A 85022WAL8 9936784.380000 PA USD 10063241.890000 0.4029329 Long ABS-O CORP US N 2 2036-05-27 Fixed 3.2 N N N N N N SPRINT SPECTRUM CO LLC / SPRINT SPECTRUM CO II LLC / SPRINT SPECTRUM CO III LLC N/A 85208NAA8 62500.000000 PA USD 63359.060000 0.0025369 Long DBT CORP US N 2 2023-03-20 Variable 3.36 N N N N N N STANWICH MORTGAGE LOAN CO LLC 2019-NPB1 N/A 85502HAA4 714992.100000 PA USD 721381.200000 0.0288842 Long ABS-MBS CORP US N 2 2024-08-15 Fixed 3.375 N N N N N N STARWOOD PROPERTY MORTGAGE TRUST 2019-FL1 N/A 78485WAA7 800000.000000 PA USD 784543.420000 0.0314132 Long ABS-CBDO CORP KY N 2 2038-07-15 Floating 1.26475 N N N N N N STRUCTURED ADJ RATE MTGE LOAN 2006-1 N/A 863579R42 261802.470000 PA USD 188780.340000 0.0075588 Long ABS-MBS CORP US N 2 2036-02-25 Floating 3.77407 Y N N N N N STRUCTURED ARM LOAN TRUST 2005-19XS N/A 863579YR3 738691.490000 PA USD 690133.380000 0.0276330 Long ABS-MBS CORP US N 2 2035-10-25 Floating 0.5045 N N N N N N STRUCTURED ASSET INVEST LN TR 2003-BC2 N/A 86358EAK2 1494643.770000 PA USD 1442045.760000 0.0577396 Long ABS-MBS CORP US N 2 2033-04-25 Floating 0.88825 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR4 N/A 86360QAB1 208780.680000 PA USD 202755.790000 0.0081184 Long ABS-MBS CORP US N 2 2036-06-25 Floating 0.3745 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR5 N/A 86359LPF0 842777.100000 PA USD 802640.180000 0.0321378 Long ABS-MBS CORP US N 2 2035-07-19 Floating 0.44388 N N N N N N STRUCTURED ASSET MTG INV INC 2006-AR3 N/A 86360KAA6 20006.580000 PA USD 19921.340000 0.0007977 Long ABS-MBS CORP US N 2 2036-04-25 Floating 0.3945 N N N N N N STRUCTURED ASSET MTGE INVEST 2006-AR5 N/A 86360JAN1 3432501.960000 PA USD 1755346.490000 0.0702842 Long ABS-MBS CORP US N 2 2046-05-25 Floating 0.4045 N N N N N N SYDNEY AIRPORT FINANCE COMPANY PTY LIMITED 549300MJAANHLHOVTO40 87124VAD1 200000.000000 PA USD 208432.950000 0.0083457 Long DBT CORP AU N 2 2023-03-22 Fixed 3.9 N N N N N N SYMPHONY CLO XIV LTD 2014-14A N/A 87159QBV9 2328157.950000 PA USD 2306061.780000 0.0923349 Long ABS-CBDO CORP KY N 2 2026-07-14 Floating 2.26138 N N N N N N SYMPHONY CLO XVII LTD 2016-17A N/A 87165UAN1 1630000.000000 PA USD 1615748.930000 0.0646947 Long ABS-CBDO CORP KY N 2 2028-04-15 Floating 2.09888 N N N N N N TAMPA ELECTRIC COMPANY WS423EPRKJIIJUITXD73 875127BB7 100000.000000 PA USD 101948.040000 0.0040820 Long DBT CORP US N 2 2022-09-15 Fixed 2.6 N N N N N N TELOS CLO LTD 2014-5A N/A 87974KAQ7 4234268.470000 PA USD 4182623.060000 0.1674725 Long ABS-CBDO CORP KY N 2 2028-04-17 Floating 2.08488 N N N N N N AKELIUS RESIDENTIAL PROPERTY AB 213800REBFN6T3PU8L97 ACI0GZC15 300000.000000 PA 339342.820000 0.0135873 Long DBT CORP SE N 2 2020-09-23 Fixed 3.375 N N N N N N TICP CLO I LTD 2015-1A N/A 87248BAQ7 2479267.710000 PA USD 2444430.920000 0.0978752 Long ABS-CBDO CORP KY N 2 2027-07-20 Floating 1.93525 N N N N N N TICP CLO III-2 LTD 2018-3R N/A 87249FAC8 3900000.000000 PA USD 3843812.390000 0.1539065 Long ABS-CBDO CORP KY N 2 2028-04-20 Floating 1.97525 N N N N N N TOWD POINT MORTGAGE FUNDING 2019 - GRANITE4 PLC N/A ACI19VH23 17139594.180000 PA 21241858.230000 0.8505255 Long ABS-MBS CORP GB N 2 2051-10-20 Floating 1.67675 N N N N N N TOWD POINT MORTGAGE TRUST 2019-HY2 N/A 89177HAA0 1597602.530000 PA USD 1592283.470000 0.0637551 Long ABS-MBS CORP US N 2 2058-05-25 Floating 1.1845 N N N N N N TOYOTA INDUSTRIES CORPORATION 35380000WKGEAHEMW830 892330AD3 200000.000000 PA USD 206084.640000 0.0082516 Long DBT CORP JP N 2 2022-03-12 Fixed 3.11 N N N N N N TRALEE CLO III LTD 2014-3A N/A 89300ABA4 2703048.370000 PA USD 2668242.080000 0.1068366 Long ABS-CBDO CORP KY N 2 2027-10-20 Floating 2.16525 N N N N N N UMBS PASS THRU POOLS N/A 01F020695 11700000.000000 PA USD 11914494.810000 0.4770572 Long ABS-MBS USGSE US N 2 2050-09-14 Fixed 2 N N N N N N UMBS PASS THRU POOLS N/A 01F022683 19300000.000000 PA USD 20076726.760000 0.8038736 Long ABS-MBS USGSE US N 2 2050-08-13 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F022691 36600000.000000 PA USD 37991546.270000 1.5211842 Long ABS-MBS USGSE US N 2 2050-09-14 Fixed 2.5 N N N N N N UMBS PASS THRU POOLS N/A 01F030694 34400000.000000 PA USD 36107636.300000 1.4457523 Long ABS-MBS USGSE US N 2 2050-09-14 Fixed 3 N N N N N N UMBS PASS THRU POOLS N/A 01F032682 70410000.000000 PA USD 74057792.830000 2.9652793 Long ABS-MBS USGSE US N 2 2050-08-13 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F032682 -2000000.000000 PA USD -2103615.760000 -0.0842289 Short ABS-MBS USGSE US N 2 2050-08-13 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F040677 94910616.000000 PA USD 100571885.230000 4.0269054 Long ABS-MBS USGSE US N 2 2050-07-14 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F040685 208289384.000000 PA USD 220827430.120000 8.8419459 Long ABS-MBS USGSE US N 2 2050-08-13 Fixed 4 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 904678AG4 14500000.000000 PA USD 16787530.590000 0.6721739 Long DBT CORP IT N 2 2023-12-04 Fixed 7.83 N N N N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 BYY5F1II0 4262534.100000 PA 6234385.510000 0.2496252 Long DBT NUSS GB N 2 2026-03-22 Fixed 0.125 N N N N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 BZ1NTBII7 31771418.400000 PA 50167700.200000 2.0087183 Long DBT NUSS GB N 2 2028-08-10 Fixed 0.125 N N N N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 B128DHII8 64696694.300000 PA 107458702.690000 4.3026541 Long DBT NUSS GB N 2 2027-11-22 Fixed 1.25 N N N N N N ALLIANCE BANCORP TRUST 2007-OA1 N/A 01852TAA1 2497872.500000 PA USD 2111506.080000 0.0845449 Long ABS-MBS CORP US N 2 2037-07-25 Floating 0.40825 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9127962G3 281000.000000 PA USD 280920.850000 0.0112481 Long DBT UST US N 2 2020-09-17 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9127962H1 3963000.000000 PA USD 3961877.160000 0.1586338 Long DBT UST US N 2 2020-09-24 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828PP9 19085206.800000 PA USD 19277877.120000 0.7718876 Long DBT UST US N 2 2021-01-15 Fixed 1.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828SA9 63031015.200000 PA USD 63948997.020000 2.5605224 Long DBT UST US N 2 2022-01-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828UH1 70400259.660000 PA USD 72194007.590000 2.8906532 Long DBT UST US N 2 2023-01-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828B25 5891015.200000 PA USD 6211199.480000 0.2486969 Long DBT UST US N 2 2024-01-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810FR4 99002673.790000 PA USD 114127363.750000 4.5696677 Long DBT UST US N 2 2025-01-15 Fixed 2.375 N N N N N N ALLY FINANCIAL INC 549300JBN1OSM8YNAI90 36186CBY8 600000.000000 PA USD 775559.100000 0.0310534 Long DBT CORP US N 2 2031-11-01 Fixed 8 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828N71 43257141.600000 PA USD 46898891.570000 1.8778349 Long DBT UST US N 2 2026-01-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828V49 5138289.200000 PA USD 5544481.390000 0.2220014 Long DBT UST US N 2 2027-01-15 Fixed 0.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810PS1 3117831.470000 PA USD 3790294.710000 0.1517637 Long DBT UST US N 2 2027-01-15 Fixed 2.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128283R9 83832177.750000 PA USD 91904409.160000 3.6798590 Long DBT UST US N 2 2028-01-15 Fixed 0.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810PV4 89028296.190000 PA USD 106307190.130000 4.2565474 Long DBT UST US N 2 2028-01-15 Fixed 1.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810PZ5 56844594.040000 PA USD 72936323.730000 2.9203756 Long DBT UST US N 2 2029-01-15 Fixed 2.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828Z37 -22227525.000000 PA USD -24043553.580000 -0.9627056 Short DBT UST US N 2 2030-01-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QF8 3203523.000000 PA USD 4728740.070000 0.1893391 Long DBT UST US N 2 2040-02-15 Fixed 2.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QP6 7875244.000000 PA USD 11780796.590000 0.4717039 Long DBT UST US N 2 2041-02-15 Fixed 2.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RA8 468476.400000 PA USD 552899.430000 0.0221381 Long DBT UST US N 2 2043-02-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RF7 2398763.000000 PA USD 3278434.540000 0.1312688 Long DBT UST US N 2 2044-02-15 Fixed 1.375 N N N N N N ALLY FINANCIAL INC 549300JBN1OSM8YNAI90 02005NBG4 100000.000000 PA USD 101822.260000 0.0040770 Long DBT CORP US N 2 2021-04-15 Fixed 4.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828Q60 97229235.180000 PA USD 97785883.250000 3.9153537 Long DBT UST US N 2 2021-04-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828X39 89631650.000000 PA USD 91034637.190000 3.6450333 Long DBT UST US N 2 2022-04-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128284H0 152727369.900000 PA USD 158979498.460000 6.3655504 Long DBT UST US N 2 2023-04-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128286N5 71867424.000000 PA USD 75623198.330000 3.0279582 Long DBT UST US N 2 2024-04-15 Fixed 0.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810FH6 12715233.960000 PA USD 17987694.730000 0.7202286 Long DBT UST US N 2 2029-04-15 Fixed 3.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828QV5 461272228.000000 PA USD 469774305.450000 18.8097964 Long DBT UST US N 2 2021-07-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828TE0 1115160.000000 PA USD 1142581.290000 0.0457490 Long DBT UST US N 2 2022-07-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828VM9 138373117.200000 PA USD 144252047.140000 5.7758622 Long DBT UST US N 2 2023-07-15 Fixed 0.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828XL9 192468653.400000 PA USD 205840734.520000 8.2418776 Long DBT UST US N 2 2025-07-15 Fixed 0.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828S50 68396149.800000 PA USD 72730558.810000 2.9121367 Long DBT UST US N 2 2026-07-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128282L3 42877515.000000 PA USD 46667953.360000 1.8685882 Long DBT UST US N 2 2027-07-15 Fixed 0.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828Y38 42244391.210000 PA USD 47676908.390000 1.9089868 Long DBT UST US N 2 2028-07-15 Fixed 0.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128287D6 18363708.350000 PA USD 20110576.860000 0.8052289 Long DBT UST US N 2 2029-07-15 Fixed 0.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828YL8 69717915.000000 PA USD 73112072.430000 2.9274126 Long DBT UST US N 2 2024-10-15 Fixed 0.125 N N N N N N ALLY FINANCIAL INC 549300JBN1OSM8YNAI90 370425RZ5 100000.000000 PA USD 127162.680000 0.0050916 Long DBT CORP US N 2 2031-11-01 Fixed 8 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RM2 1370000.000000 PA USD 1839733.390000 0.0736631 Long DBT UST US N 2 2045-05-15 Fixed 3 N N N N N N US AIRWAYS 2011-1 CLASS A PASS THRU TRUST N/A 903436AA1 1616166.980000 PA USD 1387587.800000 0.0555591 Long DBT CORP US N 2 2025-04-22 Fixed 7.125 N N N N N N VENTURE CDO LTD 2012-12A N/A 92329JAY5 10390978.110000 PA USD 10252659.330000 0.4105172 Long ABS-CBDO CORP KY N 2 2026-02-28 Floating 1.17125 N N N N N N VENTURE CLO LTD 2014-17A N/A 92329YAL0 3840247.670000 PA USD 3773249.210000 0.1510812 Long ABS-CBDO CORP KY N 2 2027-04-15 Floating 2.09888 N N N N N N VENTURE XXI CLO LTD 2015-21A N/A 92330MAL3 2797928.730000 PA USD 2762198.120000 0.1105986 Long ABS-CBDO CORP KY N 2 2027-07-15 Floating 2.09888 N N N N N N VMWARE INC 549300BUDHS3LRWBE814 928563AC9 900000.000000 PA USD 953955.410000 0.0381964 Long DBT CORP US N 2 2027-08-21 Fixed 3.9 N N N N N N VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 5493002SQ1AVQBY41K40 928668AP7 1200000.000000 PA USD 1249819.150000 0.0500428 Long DBT CORP US N 2 2021-11-12 Fixed 4 N N N N N N WACHOVIA MORTGAGE LN TRUST LLC 2005-A N/A 92977YAC5 300239.990000 PA USD 288911.240000 0.0115680 Long ABS-MBS CORP US N 2 2035-08-20 Floating 4.03328 Y N N N N N WAMU MTGE P/T CERT 2007-HY1 N/A 92925VAJ9 152779.600000 PA USD 135992.910000 0.0054452 Long ABS-MBS CORP US N 2 2037-02-25 Floating 3.64855 Y N N N N N WASHINGTON MUTUAL 2002-AR17 N/A 929227XB7 107459.840000 PA USD 99917.840000 0.0040007 Long ABS-MBS CORP US N 2 2042-11-25 Floating 2.70382 N N N N N N WASHINGTON MUTUAL 2003-AR9 N/A 92922FBX5 78647.800000 PA USD 74287.870000 0.0029745 Long ABS-MBS CORP US N 2 2033-09-25 Floating 4.35055 N N N N N N WASHINGTON MUTUAL 2006-AR10 N/A 93363EAA3 1094819.920000 PA USD 1010582.400000 0.0404638 Long ABS-MBS CORP US N 2 2036-09-25 Floating 3.70895 Y N N N N N WASHINGTON MUTUAL 2006-AR15 N/A 93363QAC2 701830.110000 PA USD 643934.880000 0.0257832 Long ABS-MBS CORP US N 2 2046-11-25 Floating 2.24 N N N N N N WASHINGTON MUTUAL 2006-AR17 N/A 92925DAB6 934647.920000 PA USD 846735.590000 0.0339034 Long ABS-MBS CORP US N 2 2046-12-25 Floating 2.50083 N N N N N N WASHINGTON MUTUAL 2006-AR19 N/A 933638AA6 1787463.870000 PA USD 1627978.300000 0.0651844 Long ABS-MBS CORP US N 2 2047-01-25 Floating 2.24382 Y N N N N N WASHINGTON MUTUAL 2006-AR5 N/A 93362YAB8 141673.450000 PA USD 133571.800000 0.0053482 Long ABS-MBS CORP US N 2 2046-06-25 Floating 2.48382 N N N N N N WASHINGTON MUTUAL 2006-AR8 N/A 93362FAJ2 107740.060000 PA USD 96704.490000 0.0038721 Long ABS-MBS CORP US N 2 2036-08-25 Floating 3.85443 Y N N N N N WASHINGTON MUTUAL 2006-AR9 N/A 93363DAA5 409799.900000 PA USD 391530.690000 0.0156769 Long ABS-MBS CORP US N 2 2046-08-25 Floating 2.50382 N N N N N N WELLS FARGO HOME EQUITY TRUST 2005-2 N/A 94981PAM2 1460000.000000 PA USD 1424146.340000 0.0570229 Long ABS-MBS CORP US N 2 2034-12-25 Floating 2.5845 N N N N N N WELLS FARGO MTGE BK SEC TR 2006-AR15 N/A 94985AAA7 8079.030000 PA USD 7449.310000 0.0002983 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.6163 Y N N N N N WELLS FARGO MTGE BK SEC TR 2006-AR4 N/A 94983PAF5 507650.550000 PA USD 484053.840000 0.0193816 Long ABS-MBS CORP US N 2 2036-04-25 Floating 4.01804 Y N N N N N WHITEHORSE X LTD 2015-10A N/A 96525WAN3 3268231.190000 PA USD 3248525.290000 0.1300712 Long ABS-CBDO CORP KY N 2 2027-04-17 Floating 2.06488 N N N N N N WIND RIVER CLO LTD 2012-1A N/A 87244ABL3 1213570.800000 PA USD 1208799.570000 0.0484004 Long ABS-CBDO CORP KY N 2 2026-01-15 Floating 2.09888 N N N N N N WIND RIVER CLO LTD 2015-2A N/A 88432GAL1 309391.190000 PA USD 305634.910000 0.0122376 Long ABS-CBDO CORP KY N 2 2027-10-15 Floating 2.08888 N N N N N N WMALT MTGE PASS-THRU CERT 2005-7 N/A 93934FBT8 166860.450000 PA USD 154861.050000 0.0062006 Long ABS-MBS CORP US N 2 2035-08-25 Fixed 6.5 Y N N N N N AMERICAN HOME MORTGAGE ASSETS 2006-1 N/A 02660WAC0 153716.160000 PA USD 128734.070000 0.0051545 Long ABS-MBS CORP US N 2 2046-05-25 Floating 0.35825 Y N N N N N AMERICAN HOME MORTGAGE ASSETS 2006-5 N/A 02660KAA0 5474428.430000 PA USD 2373573.660000 0.0950381 Long ABS-MBS CORP US N 2 2046-11-25 Floating 2.42382 N N N N N N YPF SA 5493003N7447U18U5U53 ACI1J9CS9 29260000.000000 PA 301384.760000 0.0120675 Long DBT CORP AR N 2 2021-03-04 Floating 52.9918 N N N N N N N/A N/A 000000000 5266000.000000 PA USD 5266000.000000 0.2108510 Long RA US N 2 Repurchase N 0.0000001 2020-07-01 5014500.000000 USD 5371416.510000 USD UST N N N N/A N/A 000000000 -71221567.540000 PA -88279746.580000 -3.5347273 Short RA GB N 2 Reverse repurchase N 0.2500000 2020-08-12 53611108.000000 GBP 71863395.180000 GBP N N N N/A N/A 000000000 -158637500.000000 PA USD -158638293.190000 -6.3518885 Short RA US N 2 Reverse repurchase N 0.1800000 2020-07-01 140000000.000000 USD 149546731.600000 USD UST N N N AMERICAN HOME MTGE INV TRUST 2005-2 N/A 02660TFG3 154511.730000 PA USD 153083.490000 0.0061295 Long ABS-MBS CORP US N 2 2045-09-25 Floating 2.015 N N N N N N N/A N/A 000000000 24056125.000000 PA USD 24056125.000000 0.9632089 Long RA US N 2 Repurchase N 0.0800000 2020-07-06 22300000.000000 USD 24102205.940000 USD UST N N N N/A N/A 000000000 -77750000.000000 PA USD -77771770.000000 -3.1139872 Short RA US N 2 Reverse repurchase N 0.2100000 2020-07-14 50000000.000000 USD 57542595.500000 USD UST N N N N/A N/A 000000000 -26016375.000000 PA USD -26021289.200000 -1.0418943 Short RA US N 2 Reverse repurchase N 0.2000000 2020-08-19 23100000.000000 USD 25113456.290000 USD UST N N N N/A N/A 000000000 -27472625.000000 PA USD -27475028.850000 -1.1001021 Short RA US N 2 Reverse repurchase N 0.2100000 2020-08-18 27100000.000000 USD 27572087.960000 USD UST N N N N/A N/A 000000000 -259229701.250000 PA USD -259279602.960000 -10.3815736 Short RA US N 2 Reverse repurchase N 0.2100000 2020-07-07 219223000.000000 USD 236857886.400000 USD UST N N N N/A N/A 000000000 -15541500.000000 PA USD -15549702.460000 -0.6226112 Short RA US N 2 Reverse repurchase N 0.2500000 2020-07-15 16568916.000000 USD 16811224.630000 USD UST N N N N/A N/A 000000000 -10579750.000000 PA USD -10579802.900000 -0.4236161 Short RA US N 2 Reverse repurchase N 0.1800000 2020-07-02 10100000.000000 USD 10580187.330000 USD UST N N N N/A N/A 000000000 -2643750.000000 PA USD -2644735.530000 -0.1058954 Short RA US N 2 Reverse repurchase N 0.2200000 2020-07-09 2500000.000000 USD 2599779.230000 USD UST N N N N/A N/A 000000000 -33494325.000000 PA USD -33498317.400000 -1.3412750 Short RA US N 2 Reverse repurchase N 0.2300000 2020-07-13 30180000.000000 USD 31031666.390000 USD UST N N N N/A N/A 000000000 -846000.000000 PA USD -846329.710000 -0.0338871 Short RA US N 2 Reverse repurchase N 0.2300000 2020-07-23 800000.000000 USD 831929.350000 USD UST N N N N/A N/A 000000000 -86812500.000000 PA USD -86827475.150000 -3.4765782 Short RA US N 2 Reverse repurchase N 0.2300000 2020-07-08 75000000.000000 USD 76306516.500000 USD UST N N N N/A N/A 000000000 -46766250.000000 PA USD -46788010.800000 -1.8733953 Short RA US N 2 Reverse repurchase N 0.2400000 2020-07-09 35000000.000000 USD 41044757.450000 USD UST N N N N/A N/A 000000000 -15238125.000000 PA USD -15245439.300000 -0.6104285 Short RA US N 2 Reverse repurchase N 0.2400000 2020-07-13 13500000.000000 USD 15226003.490000 USD UST N N N N/A N/A 000000000 -1302125.000000 PA USD -1302432.450000 -0.0521495 Short RA US N 2 Reverse repurchase N 0.2500000 2020-07-23 1100000.000000 USD 1110037.460000 USD UST N N N N/A N/A 000000000 -8477125.000000 PA USD -8477238.030000 -0.3394292 Short RA US N 2 Reverse repurchase N 0.2400000 2020-07-09 7300000.000000 USD 7427167.610000 USD UST N N N N/A N/A 000000000 -137.000000 NC -223331.180000 -0.0089422 N/A DIR AU N 1 ASX - SYDNEY FUTURES EXCHANGE LIMITED N/A Short N/A AUSTRALIA GOVT 2020-09-15 -14067006.440000 AUD -223331.180000 N N N N/A N/A 000000000 -371.000000 NC -13244.290000 -0.0005303 N/A DIR AU N 1 ASX - SYDNEY FUTURES EXCHANGE LIMITED N/A Short N/A AUSTRALIA GOVT 2020-09-15 -29970483.300000 AUD -13244.290000 N N N N/A N/A 000000000 1.000000 NC -66395.590000 -0.0026585 N/A DFE BR N 2 Banco Santander, S.A. 5493006QMFDDMYWIAM13 925335.290000 BRL 4671000.000000 BRL 2020-07-02 -66395.590000 N N N N/A N/A 000000000 1.000000 NC -181233.520000 -0.0072566 N/A DFE BR N 2 Banco Santander, S.A. 5493006QMFDDMYWIAM13 2783613.030000 BRL 14152000.000000 BRL 2020-07-02 -181233.520000 N N N N/A N/A 000000000 1.000000 NC 887536.110000 0.0355370 N/A DFE BR N 2 Banco Santander, S.A. 5493006QMFDDMYWIAM13 16885000.000000 BRL 3992480.850000 USD 2020-07-02 887536.110000 N N N N/A N/A 000000000 1.000000 NC 7845.650000 0.0003141 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 243186.670000 EUR 221540.000000 EUR 2021-07-01 7845.650000 N N N N/A N/A 000000000 1.000000 NC 148.260000 0.0000059 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 4065.830000 EUR 3719.000000 EUR 2021-07-01 148.260000 N N N N/A N/A 000000000 1.000000 NC -158518.640000 -0.0063471 N/A DFE JP N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 15214266.720000 JPY 1625644399.000000 JPY 2020-07-02 -158518.640000 N N N N/A N/A 000000000 1.000000 NC -159.140000 -0.0000064 N/A DFE RU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 5290.530000 RUB 367118.000000 RUB 2020-08-14 -159.140000 N N N N/A N/A 000000000 1.000000 NC -3435.280000 -0.0001375 N/A DFE CN N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 2657480.400000 CNY 370923.360000 USD 2020-09-16 -3435.280000 N N N N/A N/A 000000000 1.000000 NC -24.160000 -0.0000010 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 56967.000000 EUR 64526.520000 USD 2021-07-01 -24.160000 N N N N/A N/A 000000000 1.000000 NC -6515.750000 -0.0002609 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 237097.000000 EUR 264486.210000 USD 2022-07-01 -6515.750000 N N N N/A N/A 000000000 1.000000 NC -3877.800000 -0.0001553 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 112500.000000 EUR 124709.740000 USD 2022-07-01 -3877.800000 N N N N/A N/A 000000000 1.000000 NC 8390.360000 0.0003360 N/A DFE IL N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 3597797.100000 ILS 1049096.000000 USD 2020-09-15 8390.360000 N N N N/A N/A 000000000 1.000000 NC 6622.930000 0.0002652 N/A DFE IL N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 4288113.070000 ILS 1247010.680000 USD 2020-09-15 6622.930000 N N N N/A N/A 000000000 1.000000 NC 158758.080000 0.0063567 N/A DFE JP N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1625644399.000000 JPY 15220676.930000 USD 2020-08-04 158758.080000 N N N N/A N/A 000000000 1.000000 NC -5054.680000 -0.0002024 N/A DFE TW N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 10200589.000000 TWD 345431.390000 USD 2020-09-16 -5054.680000 N N N N/A N/A 000000000 1.000000 NC -407.410000 -0.0000163 N/A DFE BR N 2 BNP Paribas S.A. N/A 27815.390000 BRL 149047.360000 BRL 2020-07-02 -407.410000 N N N N/A N/A 000000000 1.000000 NC 3296.120000 0.0001320 N/A DFE N/A N 2 BNP Paribas S.A. N/A 4310942.210000 EUR 3840000.000000 EUR 2020-07-02 3296.120000 N N N N/A N/A 000000000 1.000000 NC -26700.640000 -0.0010691 N/A DFE GB N 2 BNP Paribas S.A. N/A 1227389.080000 GBP 969000.000000 GBP 2020-07-02 -26700.640000 N N N N/A N/A 000000000 1.000000 NC -7422.190000 -0.0002972 N/A DFE ID N 2 BNP Paribas S.A. N/A 202867.760000 IDR 2880214980.000000 IDR 2020-09-16 -7422.190000 N N N N/A N/A 000000000 1.000000 NC 1069.400000 0.0000428 N/A DFE RU N 2 BNP Paribas S.A. N/A 12655.300000 RUB 978634.000000 RUB 2020-07-17 1069.400000 N N N N/A N/A 000000000 1.000000 NC -991.920000 -0.0000397 N/A DFE RU N 2 BNP Paribas S.A. N/A 32812.300000 RUB 2268938.000000 RUB 2020-07-17 -991.920000 N N N N/A N/A 000000000 1.000000 NC -67.890000 -0.0000027 N/A DFE RU N 2 BNP Paribas S.A. N/A 6460.080000 RUB 455792.000000 RUB 2020-07-17 -67.890000 N N N N/A N/A 000000000 1.000000 NC -564.280000 -0.0000226 N/A DFE RU N 2 BNP Paribas S.A. N/A 28404.830000 RUB 1991812.000000 RUB 2020-08-14 -564.280000 N N N N/A N/A 000000000 1.000000 NC -51320.370000 -0.0020549 N/A DFE DK N 2 BNP Paribas S.A. N/A 15020000.000000 DKK 2213285.740000 USD 2020-07-01 -51320.370000 N N N N/A N/A 000000000 1.000000 NC -4424.220000 -0.0001771 N/A DFE N/A N 2 BNP Paribas S.A. N/A 392000.000000 EUR 435987.610000 USD 2020-07-02 -4424.220000 N N N N/A N/A 000000000 1.000000 NC 26493.270000 0.0010608 N/A DFE N/A N 2 BNP Paribas S.A. N/A 2726000.000000 EUR 3089153.090000 USD 2020-07-02 26493.270000 N N N N/A N/A 000000000 1.000000 NC 1766.220000 0.0000707 N/A DFE N/A N 2 BNP Paribas S.A. N/A 260050.000000 EUR 299003.460000 USD 2022-07-01 1766.220000 N N N N/A N/A 000000000 1.000000 NC 32700.330000 0.0013093 N/A DFE N/A N 2 BNP Paribas S.A. N/A 3615000.000000 EUR 4094151.260000 USD 2020-07-02 32700.330000 N N N N/A N/A 000000000 1.000000 NC 147565.510000 0.0059085 N/A DFE GB N 2 BNP Paribas S.A. N/A 5612000.000000 GBP 7101397.860000 USD 2020-07-02 147565.510000 N N N N/A N/A 000000000 -4.000000 NC USD 7660.300000 0.0003067 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Brent Oil 2020-10-30 -167040.000000 USD 7660.300000 N N N N/A N/A 000000000 746.000000 NC USD 2355936.250000 0.0943319 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Brent Oil 2021-10-29 32868760.000000 USD 2355936.250000 N N N N/A N/A 000000000 -56.000000 NC USD -9375.820000 -0.0003754 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Brent Oil 2022-10-31 -2570400.000000 USD -9375.820000 N N N N/A N/A 000000000 -160.000000 NC USD 323057.510000 0.0129352 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Brent Oil 2023-10-31 -7593600.000000 USD 323057.510000 N N N N/A N/A 000000000 -312.000000 NC USD -979911.060000 -0.0392357 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Brent Oil 2021-04-30 -13434720.000000 USD -979911.060000 N N N N/A N/A 000000000 -324.000000 NC USD 139409.240000 0.0055820 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Brent Oil 2022-04-29 -14609160.000000 USD 139409.240000 N N N N/A N/A 000000000 -59.000000 NC USD -63288.300000 -0.0025341 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Brent Oil 2023-04-28 -2764150.000000 USD -63288.300000 N N N N/A N/A 000000000 -6.000000 NC USD -4101.660000 -0.0001642 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Brent Oil 2021-01-29 -254400.000000 USD -4101.660000 N N N N/A N/A 000000000 84.000000 NC USD 258708.930000 0.0103587 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Brent Oil 2022-01-31 3741360.000000 USD 258708.930000 N N N N/A N/A 000000000 -51.000000 NC USD -388757.940000 -0.0155659 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Brent Oil 2020-09-30 -2119560.000000 USD -388757.940000 N N N N/A N/A 000000000 190.000000 NC USD 446799.370000 0.0178899 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Brent Oil 2020-08-28 7864100.000000 USD 446799.370000 N N N N/A N/A 000000000 171.000000 NC USD -80576.240000 -0.0032263 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Brent Oil 2020-07-31 7057170.000000 USD -80576.240000 N N N N/A N/A 000000000 -81.000000 NC USD -9842.680000 -0.0003941 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Brent Oil 2021-07-30 -3534030.000000 USD -9842.680000 N N N N/A N/A 000000000 -55.000000 NC USD 8994.630000 0.0003601 N/A DCO US N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Call Written Intercontinental Exchange 5493000F4ZO33MV32P92 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO GB N/A N/A FIN FUT BRENT CRUDE ICE 08/28/20 2020-08-29 N/A USD N/A 47.000000 USD 2020-08-25 XXXX 8994.630000 N N N N/A N/A 000000000 -96.000000 NC USD 32270.160000 0.0012921 N/A DCO US N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Call Written Intercontinental Exchange 5493000F4ZO33MV32P92 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO GB N/A N/A FIN FUT BRENT CRUDE ICE 08/28/20 2020-08-29 N/A USD N/A 48.000000 USD 2020-08-25 XXXX 32270.160000 N N N N/A N/A 000000000 -180.000000 NC USD 104774.400000 0.0041952 N/A DCO US N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Call Written Intercontinental Exchange 5493000F4ZO33MV32P92 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO GB N/A N/A FIN FUT BRENT CRUDE ICE 08/28/20 2020-08-29 N/A USD N/A 49.000000 USD 2020-08-25 XXXX 104774.400000 N N N N/A N/A 000000000 -96.000000 NC USD 60317.760000 0.0024151 N/A DCO US N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Call Written Intercontinental Exchange 5493000F4ZO33MV32P92 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO GB N/A N/A FIN FUT BRENT CRUDE ICE 08/28/20 2020-08-29 N/A USD N/A 50.000000 USD 2020-08-25 XXXX 60317.760000 N N N N/A N/A 000000000 -6.000000 NC USD 6376.590000 0.0002553 N/A DCO US N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Put Written Intercontinental Exchange 5493000F4ZO33MV32P92 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO GB N/A N/A FIN FUT BRENT CRUDE ICE 07/31/20 2020-08-01 N/A USD N/A 29.000000 USD 2020-07-28 XXXX 6376.590000 N N N N/A N/A 000000000 -8.000000 NC USD 8858.700000 0.0003547 N/A DCO US N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Put Written Intercontinental Exchange 5493000F4ZO33MV32P92 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO GB N/A N/A FIN FUT BRENT CRUDE ICE 07/31/20 2020-08-01 N/A USD N/A 30.000000 USD 2020-07-28 XXXX 8858.700000 N N N N/A N/A 000000000 -96.000000 NC USD -79449.600000 -0.0031812 N/A DCO US N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Call Written Intercontinental Exchange 5493000F4ZO33MV32P92 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO GB N/A N/A FIN FUT BRENT CRUDE ICE 07/31/20 2020-08-01 N/A USD N/A 42.000000 USD 2020-07-28 XXXX -79449.600000 N N N N/A N/A 000000000 -138.000000 NC USD -50226.400000 -0.0020111 N/A DCO US N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Call Written Intercontinental Exchange 5493000F4ZO33MV32P92 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO GB N/A N/A FIN FUT BRENT CRUDE ICE 07/31/20 2020-08-01 N/A USD N/A 43.000000 USD 2020-07-28 XXXX -50226.400000 N N N N/A N/A 000000000 -104.000000 NC USD -2653.250000 -0.0001062 N/A DCO US N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Call Written Intercontinental Exchange 5493000F4ZO33MV32P92 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO GB N/A N/A FIN FUT BRENT CRUDE ICE 07/31/20 2020-08-01 N/A USD N/A 44.000000 USD 2020-07-28 XXXX -2653.250000 N N N N/A N/A 000000000 -144.000000 NC USD 58796.160000 0.0023542 N/A DCO US N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Call Written Intercontinental Exchange 5493000F4ZO33MV32P92 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO GB N/A N/A FIN FUT BRENT CRUDE ICE 07/31/20 2020-08-01 N/A USD N/A 45.000000 USD 2020-07-28 XXXX 58796.160000 N N N N/A N/A 000000000 -96.000000 NC USD 51142.080000 0.0020477 N/A DCO US N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Call Written Intercontinental Exchange 5493000F4ZO33MV32P92 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO GB N/A N/A FIN FUT BRENT CRUDE ICE 07/31/20 2020-08-01 N/A USD N/A 46.000000 USD 2020-07-28 XXXX 51142.080000 N N N N/A N/A 000000000 2.000000 NC USD -2984.440000 -0.0001195 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Spread 2020-08-28 1890.000000 USD -2984.440000 N N N N/A N/A 000000000 2.000000 NC USD -1590.440000 -0.0000637 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Spread 2020-12-31 3284.000000 USD -1590.440000 N N N N/A N/A 000000000 2.000000 NC USD -4264.440000 -0.0001707 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Spread 2020-07-30 610.000000 USD -4264.440000 N N N N/A N/A 000000000 2.000000 NC USD -4874.440000 -0.0001952 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Spread 2020-06-30 0.000000 USD -4874.440000 N N N N/A N/A 000000000 2.000000 NC USD -1774.440000 -0.0000710 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Spread 2020-11-30 3100.000000 USD -1774.440000 N N N N/A N/A 000000000 2.000000 NC USD -1956.440000 -0.0000783 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Spread 2020-10-30 2918.000000 USD -1956.440000 N N N N/A N/A 000000000 2.000000 NC USD -2416.440000 -0.0000968 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Spread 2020-09-30 2458.000000 USD -2416.440000 N N N N/A N/A 000000000 2.000000 NC USD -4613.380000 -0.0001847 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Other Crude 2020-08-31 1890.000000 USD -4613.380000 N N N N/A N/A 000000000 2.000000 NC USD -3219.380000 -0.0001289 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Other Crude 2020-12-31 3284.000000 USD -3219.380000 N N N N/A N/A 000000000 2.000000 NC USD -5893.380000 -0.0002360 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Other Crude 2020-07-31 610.000000 USD -5893.380000 N N N N/A N/A 000000000 9.000000 NC USD -16055.200000 -0.0006429 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Other Crude 2020-06-30 0.010000 USD -16055.200000 N N N N/A N/A 000000000 2.000000 NC USD -3403.380000 -0.0001363 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Other Crude 2020-11-30 3100.000000 USD -3403.380000 N N N N/A N/A 000000000 2.000000 NC USD -3585.380000 -0.0001436 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Other Crude 2020-10-30 2918.000000 USD -3585.380000 N N N N/A N/A 000000000 2.000000 NC USD -4045.380000 -0.0001620 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Other Crude 2020-09-30 2458.000000 USD -4045.380000 N N N N/A N/A 000000000 -12.000000 NC USD -4260.280000 -0.0001706 N/A DCO GB N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Spread 2020-08-31 -11040.000000 USD -4260.280000 N N N N/A N/A 000000000 -12.000000 NC USD -4980.280000 -0.0001994 N/A DCO GB N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Spread 2020-12-31 -11760.000000 USD -4980.280000 N N N N/A N/A 000000000 -12.000000 NC USD 539.720000 0.0000216 N/A DCO GB N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Spread 2020-07-31 -6240.000000 USD 539.720000 N N N N/A N/A 000000000 1.000000 NC USD 677.310000 0.0000271 N/A DCO GB N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Spread 2020-06-30 729.000000 USD 677.310000 N N N N/A N/A 000000000 -18.000000 NC USD 33017.580000 0.0013220 N/A DCO GB N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Spread 2020-06-30 -13122.000000 USD 33017.580000 N N N N/A N/A 000000000 -12.000000 NC USD -4980.280000 -0.0001994 N/A DCO GB N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Spread 2020-11-30 -11760.000000 USD -4980.280000 N N N N/A N/A 000000000 -12.000000 NC USD -5220.280000 -0.0002090 N/A DCO GB N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Spread 2020-10-30 -12000.000000 USD -5220.280000 N N N N/A N/A 000000000 -12.000000 NC USD -4500.280000 -0.0001802 N/A DCO GB N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Spread 2020-09-30 -11280.000000 USD -4500.280000 N N N N/A N/A 000000000 -1.000000 NC USD 4877.680000 0.0001953 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2020-08-31 -2020.000000 USD 4877.680000 N N N N/A N/A 000000000 -1.000000 NC USD 4527.680000 0.0001813 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2020-12-31 -2370.000000 USD 4527.680000 N N N N/A N/A 000000000 -1.000000 NC USD 4917.680000 0.0001969 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2020-07-31 -1980.000000 USD 4917.680000 N N N N/A N/A 000000000 -1.000000 NC USD 4427.680000 0.0001773 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2020-06-30 -2470.000000 USD 4427.680000 N N N N/A N/A 000000000 -1.000000 NC USD 4647.680000 0.0001861 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2020-11-30 -2250.000000 USD 4647.680000 N N N N/A N/A 000000000 -1.000000 NC USD 4747.680000 0.0001901 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2020-10-30 -2150.000000 USD 4747.680000 N N N N/A N/A 000000000 -1.000000 NC USD 4837.680000 0.0001937 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2020-09-30 -2060.000000 USD 4837.680000 N N N N/A N/A 000000000 1.000000 NC USD 3567.680000 0.0001429 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Butane 2021-04-30 18900.000000 USD 3567.680000 N N N N/A N/A 000000000 1.000000 NC USD 3567.680000 0.0001429 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Butane 2021-08-31 18900.000000 USD 3567.680000 N N N N/A N/A 000000000 4.000000 NC USD 20676.560000 0.0008279 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Butane 2020-12-31 83475.840000 USD 20676.560000 N N N N/A N/A 000000000 1.000000 NC USD 4512.680000 0.0001807 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Butane 2021-12-31 19845.000000 USD 4512.680000 N N N N/A N/A 000000000 1.000000 NC USD 6035.180000 0.0002416 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Butane 2021-02-26 21367.500000 USD 6035.180000 N N N N/A N/A 000000000 1.000000 NC USD 6035.180000 0.0002416 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Butane 2021-01-29 21367.500000 USD 6035.180000 N N N N/A N/A 000000000 1.000000 NC USD 3357.680000 0.0001344 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Butane 2021-07-30 18690.000000 USD 3357.680000 N N N N/A N/A 000000000 1.000000 NC USD 3226.640000 0.0001292 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Butane 2021-06-30 18558.960000 USD 3226.640000 N N N N/A N/A 000000000 1.000000 NC USD 4670.180000 0.0001870 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Butane 2021-03-31 20002.500000 USD 4670.180000 N N N N/A N/A 000000000 1.000000 NC USD 3226.640000 0.0001292 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Butane 2021-05-28 18558.960000 USD 3226.640000 N N N N/A N/A 000000000 4.000000 NC USD 20046.560000 0.0008027 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Butane 2020-11-30 82845.840000 USD 20046.560000 N N N N/A N/A 000000000 1.000000 NC USD 4302.680000 0.0001723 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Butane 2021-11-30 19635.000000 USD 4302.680000 N N N N/A N/A 000000000 4.000000 NC USD 19310.720000 0.0007732 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Butane 2020-10-30 82110.000000 USD 19310.720000 N N N N/A N/A 000000000 1.000000 NC USD 4092.680000 0.0001639 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Butane 2021-10-29 19425.000000 USD 4092.680000 N N N N/A N/A 000000000 1.000000 NC USD 3830.180000 0.0001534 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Butane 2021-09-30 19162.500000 USD 3830.180000 N N N N/A N/A 000000000 1.000000 NC USD 64119.860000 0.0025674 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.HY.33 Y Single Leg Swap 2024-12-21 0.000000 USD -842568.200000 USD 13524000.000000 USD 906688.060000 N N N N/A N/A 000000000 1.000000 NC USD 266582.490000 0.0106740 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A CDX.NA.HY.34 Y Single Leg Swap 2025-06-21 2610372.000000 USD 0.000000 USD 44175000.000000 USD -2343789.510000 N N N N/A N/A 000000000 -11000000.000000 NC USD -24296.360000 -0.0009728 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG33 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 USD 0.000000 USD N/A USD N/A 2.500000 USD 2021-03-17 XXXX -16596.360000 N N N N/A N/A 000000000 -7600000.000000 NC USD -5787.170000 -0.0002317 N/A DCR US N 2 BNP Paribas S.A. N/A Call Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.630000 USD 2020-08-19 XXXX -467.170000 N N N AMGEN INC 62QBXGPJ34PQ72Z12S66 031162CP3 200000.000000 PA USD 207525.060000 0.0083093 Long DBT CORP US N 2 2022-05-11 Fixed 2.65 N N N N N N N/A N/A 000000000 -7900000.000000 NC USD -3844.460000 -0.0001539 N/A DCR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Call Written BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.550000 USD 2020-09-16 XXXX 1685.540000 N N N N/A N/A 000000000 -5600000.000000 NC USD -7119.170000 -0.0002851 N/A DCR US N 2 BNP Paribas S.A. N/A Put Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 1.100000 USD 2020-08-19 XXXX 160.830000 N N N N/A N/A 000000000 -8600000.000000 NC USD -10933.010000 -0.0004378 N/A DCR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Put Written BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 1.100000 USD 2020-08-19 XXXX 5664.990000 N N N N/A N/A 000000000 -7200000.000000 NC USD -3780.500000 -0.0001514 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.600000 USD 2020-08-19 XXXX 1187.500000 N N N N/A N/A 000000000 -5600000.000000 NC USD -2940.390000 -0.0001177 N/A DCR US N 2 BNP Paribas S.A. N/A Call Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.600000 USD 2020-08-19 XXXX 1539.610000 N N N N/A N/A 000000000 -8600000.000000 NC USD -4515.600000 -0.0001808 N/A DCR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Call Written BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.600000 USD 2020-08-19 XXXX 644.400000 N N N N/A N/A 000000000 -6800000.000000 NC USD -7468.370000 -0.0002990 N/A DCR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Put Written BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 1.150000 USD 2020-08-19 XXXX 2051.630000 N N N N/A N/A 000000000 -7600000.000000 NC USD -7277.990000 -0.0002914 N/A DCR US N 2 BNP Paribas S.A. N/A Put Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 1.200000 USD 2020-08-19 XXXX 3742.010000 N N N N/A N/A 000000000 -7900000.000000 NC USD -17357.490000 -0.0006950 N/A DCR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Put Written BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 1.100000 USD 2020-09-16 XXXX -1359.990000 N N N N/A N/A 000000000 -7200000.000000 NC USD -9153.220000 -0.0003665 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG34 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 USD 0.000000 USD N/A USD N/A 1.100000 USD 2020-08-19 XXXX 2366.780000 N N N N/A N/A 000000000 1.000000 NC 182354.180000 0.0073015 N/A DFE DK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6462953.020000 DKK 44075000.000000 DKK 2020-07-01 182354.180000 N N N N/A N/A 000000000 1.000000 NC -116862.610000 -0.0046792 N/A DFE DK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 13041143.500000 DKK 85720293.000000 DKK 2020-07-01 -116862.610000 N N N N/A N/A 000000000 1.000000 NC 52421.880000 0.0020990 N/A DFE DK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 16538700.620000 DKK 110040620.000000 DKK 2020-07-01 52421.880000 N N N N/A N/A 000000000 1.000000 NC -16865.660000 -0.0006753 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4800726.810000 EUR 4258000.000000 EUR 2020-07-02 -16865.660000 N N N N/A N/A 000000000 1.000000 NC -917.740000 -0.0000367 N/A DFE RU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 23600.530000 RUB 1622808.000000 RUB 2020-08-14 -917.740000 N N N N/A N/A 000000000 1.000000 NC 107472.730000 0.0043032 N/A DFE BR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1938000.000000 BRL 463847.200000 USD 2020-07-02 107472.730000 N N N N/A N/A 000000000 1.000000 NC 6410.460000 0.0002567 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 525282590.000000 COP 146009.170000 USD 2020-07-17 6410.460000 N N N N/A N/A 000000000 1.000000 NC 119128.890000 0.0047699 N/A DFE DK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 85720293.000000 DKK 13069087.760000 USD 2020-10-01 119128.890000 N N N N/A N/A 000000000 1.000000 NC -51048.550000 -0.0020440 N/A DFE DK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 110040620.000000 DKK 16573037.220000 USD 2020-10-01 -51048.550000 N N N N/A N/A 000000000 1.000000 NC -6403.770000 -0.0002564 N/A DFE KR N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 287415954.000000 KRW 233292.170000 USD 2020-09-16 -6403.770000 N N N N/A N/A 000000000 1.000000 NC 357612.280000 0.0143188 N/A DFE MX N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 179135000.000000 MXN 8072962.440000 USD 2020-09-17 357612.280000 N N N N/A N/A 000000000 1.000000 NC 146927.830000 0.0058830 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 16986645.000000 PEN 4935252.330000 USD 2020-09-30 146927.830000 N N N N/A N/A 000000000 59.000000 NC USD -120100.410000 -0.0048088 N/A DCO US N 1 New York Board of Trade 5493000F4ZO33MV32P92 Long N/A Cocoa 2020-09-15 1289740.000000 USD -120100.410000 N N N N/A N/A 000000000 -39.000000 NC USD -17120.970000 -0.0006855 N/A DCO US N 1 New York Board of Trade 5493000F4ZO33MV32P92 Short N/A Coffee 2020-12-18 -1512956.250000 USD -17120.970000 N N N N/A N/A 000000000 33.000000 NC USD 295376.310000 0.0118269 N/A DCO US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long N/A Copper 2020-12-29 2262562.500000 USD 295376.310000 N N N N/A N/A 000000000 -1.000000 NC USD -3583.890000 -0.0001435 N/A DCO US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short N/A Copper 2020-09-28 -68212.500000 USD -3583.890000 N N N N/A N/A 000000000 -286.000000 NC USD -225313.900000 -0.0090216 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A Corn 2020-12-14 -5012150.000000 USD -225313.900000 N N N N/A N/A 000000000 9.000000 NC USD 645.440000 0.0000258 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A Corn 2021-12-14 167850.000000 USD 645.440000 N N N N/A N/A 000000000 -70.000000 NC USD -21089.660000 -0.0008444 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A Corn 2021-03-12 -1264375.000000 USD -21089.660000 N N N N/A N/A 000000000 -319.000000 NC USD -183624.010000 -0.0073523 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A Corn 2020-09-14 -5446925.000000 USD -183624.010000 N N N N/A N/A 000000000 73.000000 NC USD 37412.500000 0.0014980 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Call Purchased Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT CORN CBT 12/14/20 2020-12-15 N/A USD N/A 380.000000 USD 2020-11-20 XXXX 7213.950000 N N N N/A N/A 000000000 -73.000000 NC USD -12775.000000 -0.0005115 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Put Written Chicago Board of Trade 549300EX04Q2QBFQTQ27 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT CORN CBT 12/14/20 2020-12-15 N/A USD N/A 300.000000 USD 2020-11-20 XXXX 19967.980000 N N N N/A N/A 000000000 -6.000000 NC USD -4129.020000 -0.0001653 N/A DCO US N 1 New York Board of Trade 5493000F4ZO33MV32P92 Short N/A Cotton 2020-12-08 -182640.000000 USD -4129.020000 N N N N/A N/A 000000000 1.000000 NC 3038.870000 0.0001217 N/A DFE N/A N 2 CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK 1VUV7VQFKUOQSJ21A208 81953.780000 EUR 75214.000000 EUR 2021-03-01 3038.870000 N N N N/A N/A 000000000 -2.000000 NC USD -240.000000 -0.0000096 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Call Written New York Mercantile Exchange 5493008GFNDTXFPHWI47 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT CRUDE OIL SPREAD F1-G1 12/18/20 2020-12-19 N/A USD N/A 0.300000 USD 2020-12-18 XXXX -6.940000 N N N N/A N/A 000000000 2.000000 NC USD 360.000000 0.0000144 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Put Purchased New York Mercantile Exchange 5493008GFNDTXFPHWI47 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT CRUDE OIL SPREAD F1-G1 12/18/20 2020-12-19 N/A USD N/A 0.300000 USD 2020-12-18 XXXX 213.060000 N N N N/A N/A 000000000 -2.000000 NC USD -260.000000 -0.0000104 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Call Written New York Mercantile Exchange 5493008GFNDTXFPHWI47 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT CRUDE OIL SPREAD G1-H1 01/19/21 2021-01-20 N/A USD N/A 0.300000 USD 2021-01-19 XXXX -26.940000 N N N N/A N/A 000000000 2.000000 NC USD 400.000000 0.0000160 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Put Purchased New York Mercantile Exchange 5493008GFNDTXFPHWI47 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT CRUDE OIL SPREAD G1-H1 01/19/21 2021-01-20 N/A USD N/A 0.300000 USD 2021-01-19 XXXX 253.060000 N N N N/A N/A 000000000 -2.000000 NC USD -280.000000 -0.0000112 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Call Written New York Mercantile Exchange 5493008GFNDTXFPHWI47 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT CRUDE OIL SPREAD H1-J1 02/19/21 2021-02-20 N/A USD N/A 0.300000 USD 2021-02-19 XXXX -46.940000 N N N N/A N/A 000000000 2.000000 NC USD 420.000000 0.0000168 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Put Purchased New York Mercantile Exchange 5493008GFNDTXFPHWI47 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT CRUDE OIL SPREAD H1-J1 02/19/21 2021-02-20 N/A USD N/A 0.300000 USD 2021-02-19 XXXX 273.060000 N N N N/A N/A 000000000 -2.000000 NC USD -300.000000 -0.0000120 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Call Written New York Mercantile Exchange 5493008GFNDTXFPHWI47 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT CRUDE OIL SPREAD J1-K1 03/19/21 2021-03-20 N/A USD N/A 0.300000 USD 2021-03-19 XXXX -66.940000 N N N N/A N/A 000000000 2.000000 NC USD 460.000000 0.0000184 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Put Purchased New York Mercantile Exchange 5493008GFNDTXFPHWI47 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT CRUDE OIL SPREAD J1-K1 03/19/21 2021-03-20 N/A USD N/A 0.300000 USD 2021-03-19 XXXX 313.060000 N N N N/A N/A 000000000 -2.000000 NC USD -320.000000 -0.0000128 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Call Written New York Mercantile Exchange 5493008GFNDTXFPHWI47 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT CRUDE OIL SPREAD K1-M1 04/19/21 2021-04-20 N/A USD N/A 0.300000 USD 2021-04-19 XXXX -86.940000 N N N N/A N/A 000000000 2.000000 NC USD 480.000000 0.0000192 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Put Purchased New York Mercantile Exchange 5493008GFNDTXFPHWI47 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT CRUDE OIL SPREAD K1-M1 04/19/21 2021-04-20 N/A USD N/A 0.300000 USD 2021-04-19 XXXX 333.060000 N N N N/A N/A 000000000 -2.000000 NC USD -380.000000 -0.0000152 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Call Written New York Mercantile Exchange 5493008GFNDTXFPHWI47 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT CRUDE OIL SPREAD M1-N1 05/19/21 2021-05-20 N/A USD N/A 0.300000 USD 2021-05-19 XXXX -146.940000 N N N N/A N/A 000000000 2.000000 NC USD 480.000000 0.0000192 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Put Purchased New York Mercantile Exchange 5493008GFNDTXFPHWI47 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT CRUDE OIL SPREAD M1-N1 05/19/21 2021-05-20 N/A USD N/A 0.300000 USD 2021-05-19 XXXX 333.060000 N N N N/A N/A 000000000 -2.000000 NC USD -340.000000 -0.0000136 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Call Written New York Mercantile Exchange 5493008GFNDTXFPHWI47 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT CRUDE OIL SPREAD N1-Q1 06/21/21 2021-06-22 N/A USD N/A 0.300000 USD 2021-06-21 XXXX -106.940000 N N N N/A N/A 000000000 2.000000 NC USD 540.000000 0.0000216 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Put Purchased New York Mercantile Exchange 5493008GFNDTXFPHWI47 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT CRUDE OIL SPREAD N1-Q1 06/21/21 2021-06-22 N/A USD N/A 0.300000 USD 2021-06-21 XXXX 393.060000 N N N N/A N/A 000000000 -2.000000 NC USD -360.000000 -0.0000144 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Call Written New York Mercantile Exchange 5493008GFNDTXFPHWI47 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT CRUDE OIL SPREAD Q1-U1 07/19/21 2021-07-20 N/A USD N/A 0.300000 USD 2021-07-19 XXXX -126.940000 N N N N/A N/A 000000000 2.000000 NC USD 580.000000 0.0000232 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Put Purchased New York Mercantile Exchange 5493008GFNDTXFPHWI47 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT CRUDE OIL SPREAD Q1-U1 07/19/21 2021-07-20 N/A USD N/A 0.300000 USD 2021-07-19 XXXX 433.060000 N N N N/A N/A 000000000 -2.000000 NC USD -360.000000 -0.0000144 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Call Written New York Mercantile Exchange 5493008GFNDTXFPHWI47 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT CRUDE OIL SPREAD U1-V1 08/19/21 2021-08-20 N/A USD N/A 0.300000 USD 2021-08-19 XXXX -126.940000 N N N N/A N/A 000000000 2.000000 NC USD 620.000000 0.0000248 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Put Purchased New York Mercantile Exchange 5493008GFNDTXFPHWI47 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT CRUDE OIL SPREAD U1-V1 08/19/21 2021-08-20 N/A USD N/A 0.300000 USD 2021-08-19 XXXX 473.060000 N N N N/A N/A 000000000 -2.000000 NC USD -420.000000 -0.0000168 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Call Written New York Mercantile Exchange 5493008GFNDTXFPHWI47 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT CRUDE OIL SPREAD V1-X1 09/20/21 2021-09-21 N/A USD N/A 0.300000 USD 2021-09-20 XXXX -186.940000 N N N N/A N/A 000000000 2.000000 NC USD 640.000000 0.0000256 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Put Purchased New York Mercantile Exchange 5493008GFNDTXFPHWI47 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT CRUDE OIL SPREAD V1-X1 09/20/21 2021-09-21 N/A USD N/A 0.300000 USD 2021-09-20 XXXX 493.060000 N N N N/A N/A 000000000 -2.000000 NC USD -440.000000 -0.0000176 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Call Written New York Mercantile Exchange 5493008GFNDTXFPHWI47 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT CRUDE OIL SPREAD X1-Z1 10/19/21 2021-10-20 N/A USD N/A 0.300000 USD 2021-10-19 XXXX -206.940000 N N N N/A N/A 000000000 2.000000 NC USD 680.000000 0.0000272 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Put Purchased New York Mercantile Exchange 5493008GFNDTXFPHWI47 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT CRUDE OIL SPREAD X1-Z1 10/19/21 2021-10-20 N/A USD N/A 0.300000 USD 2021-10-19 XXXX 533.060000 N N N N/A N/A 000000000 -2.000000 NC USD -500.000000 -0.0000200 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Call Written New York Mercantile Exchange 5493008GFNDTXFPHWI47 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT CRUDE OIL SPREAD Z1-F2 11/18/21 2021-11-19 N/A USD N/A 0.300000 USD 2021-11-18 XXXX -266.940000 N N N N/A N/A 000000000 2.000000 NC USD 680.000000 0.0000272 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Put Purchased New York Mercantile Exchange 5493008GFNDTXFPHWI47 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT CRUDE OIL SPREAD Z1-F2 11/18/21 2021-11-19 N/A USD N/A 0.300000 USD 2021-11-18 XXXX 533.060000 N N N N/A N/A 000000000 -192.000000 NC USD -942720.000000 -0.0377466 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Call Written New York Mercantile Exchange 5493008GFNDTXFPHWI47 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT CRUDE OIL NYM 07/21/20 2020-07-22 N/A USD N/A 35.000000 USD 2020-07-16 XXXX -746460.000000 N N N N/A N/A 000000000 -48.000000 NC USD -195840.000000 -0.0078414 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Call Written New York Mercantile Exchange 5493008GFNDTXFPHWI47 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT CRUDE OIL NYM 07/21/20 2020-07-22 N/A USD N/A 36.000000 USD 2020-07-16 XXXX -141994.080000 N N N N/A N/A 000000000 -18.000000 NC USD -63720.000000 -0.0025514 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Call Written New York Mercantile Exchange 5493008GFNDTXFPHWI47 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT CRUDE OIL NYM 11/20/20 2020-11-21 N/A USD N/A 42.000000 USD 2020-11-17 XXXX -17040.660000 N N N N/A N/A 000000000 -14.000000 NC USD -106120.000000 -0.0042491 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Call Written New York Mercantile Exchange 5493008GFNDTXFPHWI47 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT CRUDE OIL NYM 11/19/21 2021-11-20 N/A USD N/A 40.000000 USD 2021-11-16 XXXX -21805.610000 N N N N/A N/A 000000000 -132.000000 NC USD -221760.000000 -0.0088793 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Call Written New York Mercantile Exchange 5493008GFNDTXFPHWI47 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT CRUDE OIL NYM 08/20/20 2020-08-21 N/A USD N/A 42.000000 USD 2020-08-17 XXXX -84043.490000 N N N N/A N/A 000000000 -96.000000 NC USD -127680.000000 -0.0051123 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Call Written New York Mercantile Exchange 5493008GFNDTXFPHWI47 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT CRUDE OIL NYM 08/20/20 2020-08-21 N/A USD N/A 43.000000 USD 2020-08-17 XXXX -35040.000000 N N N N/A N/A 000000000 -167.000000 NC USD -175350.000000 -0.0070210 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Call Written New York Mercantile Exchange 5493008GFNDTXFPHWI47 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT CRUDE OIL NYM 08/20/20 2020-08-21 N/A USD N/A 44.000000 USD 2020-08-17 XXXX -3317.060000 N N N N/A N/A 000000000 5.000000 NC USD -7411.600000 -0.0002968 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Spread 2021-03-25 5000.000000 USD -7411.600000 N N N N/A N/A 000000000 2.000000 NC USD 1755.360000 0.0000703 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Spread 2020-07-24 1860.000000 USD 1755.360000 N N N N/A N/A 000000000 -3.000000 NC USD -2446.960000 -0.0000980 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2020-07-24 -2790.000000 USD -2446.960000 N N N N/A N/A 000000000 5.000000 NC USD -7411.600000 -0.0002968 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Spread 2021-07-23 5000.000000 USD -7411.600000 N N N N/A N/A 000000000 -1.000000 NC USD 3217.680000 0.0001288 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2020-11-25 -930.000000 USD 3217.680000 N N N N/A N/A 000000000 5.000000 NC USD -7411.600000 -0.0002968 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Spread 2021-11-24 5000.000000 USD -7411.600000 N N N N/A N/A 000000000 5.000000 NC USD -7411.600000 -0.0002968 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Spread 2021-01-25 5000.000000 USD -7411.600000 N N N N/A N/A 000000000 5.000000 NC USD -7511.600000 -0.0003008 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Spread 2020-12-24 4900.000000 USD -7511.600000 N N N N/A N/A 000000000 5.000000 NC USD -7411.600000 -0.0002968 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Spread 2021-06-25 5000.000000 USD -7411.600000 N N N N/A N/A 000000000 5.000000 NC USD -7411.600000 -0.0002968 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Spread 2021-05-25 5000.000000 USD -7411.600000 N N N N/A N/A 000000000 5.000000 NC USD -7411.600000 -0.0002968 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Spread 2021-02-25 5000.000000 USD -7411.600000 N N N N/A N/A 000000000 5.000000 NC USD -7411.600000 -0.0002968 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Spread 2021-04-23 5000.000000 USD -7411.600000 N N N N/A N/A 000000000 -1.000000 NC USD 3217.680000 0.0001288 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2020-10-23 -930.000000 USD 3217.680000 N N N N/A N/A 000000000 5.000000 NC USD -7411.600000 -0.0002968 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Spread 2021-10-25 5000.000000 USD -7411.600000 N N N N/A N/A 000000000 -1.000000 NC USD 3217.680000 0.0001288 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2020-09-25 -930.000000 USD 3217.680000 N N N N/A N/A 000000000 5.000000 NC USD -7411.600000 -0.0002968 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Spread 2021-09-24 5000.000000 USD -7411.600000 N N N N/A N/A 000000000 2.000000 NC USD 1755.360000 0.0000703 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Spread 2020-08-25 1860.000000 USD 1755.360000 N N N N/A N/A 000000000 -3.000000 NC USD -2446.960000 -0.0000980 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2020-08-25 -2790.000000 USD -2446.960000 N N N N/A N/A 000000000 5.000000 NC USD -7411.600000 -0.0002968 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Spread 2021-08-25 5000.000000 USD -7411.600000 N N N N/A N/A 000000000 1.000000 NC USD -2622.320000 -0.0001050 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Spread 2020-08-31 1330.000000 USD -2622.320000 N N N N/A N/A 000000000 -2.000000 NC USD -1064.640000 -0.0000426 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2020-08-31 -2660.000000 USD -1064.640000 N N N N/A N/A 000000000 1.000000 NC USD -2622.320000 -0.0001050 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Spread 2020-12-31 1330.000000 USD -2622.320000 N N N N/A N/A 000000000 1.000000 NC USD -2632.320000 -0.0001054 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Spread 2020-07-31 1320.000000 USD -2632.320000 N N N N/A N/A 000000000 -2.000000 NC USD -1044.640000 -0.0000418 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2020-07-31 -2640.000000 USD -1044.640000 N N N N/A N/A 000000000 1.000000 NC USD -2782.320000 -0.0001114 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Spread 2020-06-30 1170.000000 USD -2782.320000 N N N N/A N/A 000000000 1.000000 NC USD -2542.320000 -0.0001018 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Spread 2020-11-30 1410.000000 USD -2542.320000 N N N N/A N/A 000000000 1.000000 NC USD -2562.320000 -0.0001026 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Spread 2020-10-30 1390.000000 USD -2562.320000 N N N N/A N/A 000000000 1.000000 NC USD -2592.320000 -0.0001038 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Spread 2020-09-30 1360.000000 USD -2592.320000 N N N N/A N/A 000000000 -2.000000 NC USD -1124.640000 -0.0000450 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2020-09-30 -2720.000000 USD -1124.640000 N N N N/A N/A 000000000 34.000000 NC USD 10342.450000 0.0004141 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A WTI Crude 2021-03-22 1362720.000000 USD 10342.450000 N N N N/A N/A 000000000 174.000000 NC USD 385000.290000 0.0154154 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A WTI Crude 2020-07-21 6832980.000000 USD 385000.290000 N N N N/A N/A 000000000 -17.000000 NC USD -3818.220000 -0.0001529 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A WTI Crude 2021-07-20 -687650.000000 USD -3818.220000 N N N N/A N/A 000000000 43.000000 NC USD 396650.460000 0.0158819 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A WTI Crude 2020-11-19 1706240.000000 USD 396650.460000 N N N N/A N/A 000000000 -274.000000 NC USD -776392.760000 -0.0310868 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A WTI Crude 2020-11-20 -10872320.000000 USD -776392.760000 N N N N/A N/A 000000000 -117.000000 NC USD 761164.390000 0.0304771 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A WTI Crude 2021-11-18 -4777110.000000 USD 761164.390000 N N N N/A N/A 000000000 -192.000000 NC USD -622359.110000 -0.0249193 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A WTI Crude 2021-11-19 -7839360.000000 USD -622359.110000 N N N N/A N/A 000000000 48.000000 NC USD 42961.870000 0.0017202 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A WTI Crude 2022-11-18 2013600.000000 USD 42961.870000 N N N N/A N/A 000000000 9.000000 NC USD -1699.180000 -0.0000680 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A WTI Crude 2022-11-21 377550.000000 USD -1699.180000 N N N N/A N/A 000000000 34.000000 NC USD -464868.310000 -0.0186134 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A WTI Crude 2021-06-22 1372240.000000 USD -464868.310000 N N N N/A N/A 000000000 158.000000 NC USD -1462429.490000 -0.0585558 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A WTI Crude 2021-05-19 6365820.000000 USD -1462429.490000 N N N N/A N/A 000000000 -70.000000 NC USD -229284.940000 -0.0091806 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A WTI Crude 2021-05-20 -2820300.000000 USD -229284.940000 N N N N/A N/A 000000000 95.000000 NC USD 297761.190000 0.0119224 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A WTI Crude 2022-05-20 3926350.000000 USD 297761.190000 N N N N/A N/A 000000000 3.000000 NC USD -22903.280000 -0.0009170 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A WTI Crude 2023-05-22 127380.000000 USD -22903.280000 N N N N/A N/A 000000000 192.000000 NC USD 948784.890000 0.0379894 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A WTI Crude 2021-02-22 7674240.000000 USD 948784.890000 N N N N/A N/A 000000000 56.000000 NC USD -739636.180000 -0.0296151 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A WTI Crude 2021-04-20 2250080.000000 USD -739636.180000 N N N N/A N/A 000000000 -50.000000 NC USD -261057.120000 -0.0104527 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A WTI Crude 2020-10-20 -1979000.000000 USD -261057.120000 N N N N/A N/A 000000000 56.000000 NC USD 521387.790000 0.0208764 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A WTI Crude 2020-09-22 2210880.000000 USD 521387.790000 N N N N/A N/A 000000000 23.000000 NC USD 89736.450000 0.0035931 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A WTI Crude 2020-08-19 904820.000000 USD 89736.450000 N N N N/A N/A 000000000 2.000000 NC USD 1657.960000 0.0000664 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A WTI Crude 2020-08-20 78680.000000 USD 1657.960000 N N N N/A N/A 000000000 215.000000 NC USD -155518.230000 -0.0062270 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A WTI Crude 2021-08-20 8716100.000000 USD -155518.230000 N N N N/A N/A 000000000 -5.000000 NC USD 5738.400000 0.0002298 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2021-03-25 -750.000000 USD 5738.400000 N N N N/A N/A 000000000 -3.000000 NC USD 843.040000 0.0000338 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2020-07-24 0.000000 USD 843.040000 N N N N/A N/A 000000000 -5.000000 NC USD 5488.400000 0.0002198 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2021-07-23 -1000.000000 USD 5488.400000 N N N N/A N/A 000000000 -3.000000 NC USD 843.040000 0.0000338 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2020-11-25 0.000000 USD 843.040000 N N N N/A N/A 000000000 -5.000000 NC USD 5488.400000 0.0002198 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2021-11-24 -1000.000000 USD 5488.400000 N N N N/A N/A 000000000 -5.000000 NC USD 5738.400000 0.0002298 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2021-01-25 -750.000000 USD 5738.400000 N N N N/A N/A 000000000 -5.000000 NC USD 5738.400000 0.0002298 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2020-12-24 -750.000000 USD 5738.400000 N N N N/A N/A 000000000 -5.000000 NC USD 5488.400000 0.0002198 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2021-06-25 -1000.000000 USD 5488.400000 N N N N/A N/A 000000000 -5.000000 NC USD 5738.400000 0.0002298 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2021-05-25 -750.000000 USD 5738.400000 N N N N/A N/A 000000000 -5.000000 NC USD 5738.400000 0.0002298 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2021-02-25 -750.000000 USD 5738.400000 N N N N/A N/A 000000000 -5.000000 NC USD 5738.400000 0.0002298 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2021-04-23 -750.000000 USD 5738.400000 N N N N/A N/A 000000000 -3.000000 NC USD 843.040000 0.0000338 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2020-10-23 0.000000 USD 843.040000 N N N N/A N/A 000000000 -5.000000 NC USD 5488.400000 0.0002198 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2021-10-25 -1000.000000 USD 5488.400000 N N N N/A N/A 000000000 -3.000000 NC USD 843.040000 0.0000338 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2020-09-25 0.000000 USD 843.040000 N N N N/A N/A 000000000 -5.000000 NC USD 5488.400000 0.0002198 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2021-09-24 -1000.000000 USD 5488.400000 N N N N/A N/A 000000000 -3.000000 NC USD 843.040000 0.0000338 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2020-08-25 0.000000 USD 843.040000 N N N N/A N/A 000000000 -5.000000 NC USD 5488.400000 0.0002198 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2021-08-25 -1000.000000 USD 5488.400000 N N N N/A N/A 000000000 1.000000 NC 8615.660000 0.0003450 N/A DCR DE N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 DAIMLER AG DAIMLER AG Y Single Leg Swap 2020-12-21 36134.520000 EUR 0.000000 EUR 2180000.000000 EUR -27518.860000 N N N N/A N/A 000000000 23.000000 NC USD 5296.990000 0.0002121 N/A DCO US N 2 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A 21 2021-12-27 401350.000000 USD 5296.990000 N N N N/A N/A 000000000 101.000000 NC USD 223290.130000 0.0089406 N/A DCO US N 2 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A 20 2020-12-24 1698820.000000 USD 223290.130000 N N N N/A N/A 000000000 11.000000 NC USD 95106.680000 0.0038081 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Ethanol 2020-08-31 560175.000000 USD 95106.680000 N N N N/A N/A 000000000 50.000000 NC USD 30642.720000 0.0012269 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Ethanol 2020-12-31 2472750.000000 USD 30642.720000 N N N N/A N/A 000000000 4.000000 NC USD -22793.680000 -0.0009127 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Ethanol 2021-02-26 198660.000000 USD -22793.680000 N N N N/A N/A 000000000 23.000000 NC USD 33939.540000 0.0013589 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Ethanol 2021-01-29 1135050.000000 USD 33939.540000 N N N N/A N/A 000000000 2.000000 NC USD 22990.760000 0.0009206 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Ethanol 2020-07-31 105000.000000 USD 22990.760000 N N N N/A N/A 000000000 1.000000 NC USD 15695.380000 0.0006284 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Ethanol 2020-06-30 53445.000000 USD 15695.380000 N N N N/A N/A 000000000 4.000000 NC USD -21533.680000 -0.0008622 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Ethanol 2021-03-31 199920.000000 USD -21533.680000 N N N N/A N/A 000000000 31.000000 NC USD -42395.400000 -0.0016975 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Ethanol 2020-11-30 1536360.000000 USD -42395.400000 N N N N/A N/A 000000000 30.000000 NC USD -35883.280000 -0.0014368 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Ethanol 2020-10-30 1496250.000000 USD -35883.280000 N N N N/A N/A 000000000 19.000000 NC USD 137950.720000 0.0055236 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Ethanol 2020-09-30 955605.000000 USD 137950.720000 N N N N/A N/A 000000000 126800.000000 NC USD 15665.550000 0.0006272 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Call Purchased None N/A N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US Call Written BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A IRS USD R 12.25000 06/19/24-30Y BOA N/A 2054-06-19 0.000000 USD 0.000000 USD N/A USD N/A USD 12.250000 USD 2024-06-17 N/A 0.000000 USD 2023-06-16 XXXX 132.550000 N N N N/A N/A 000000000 190200.000000 NC USD 23498.280000 0.0009409 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Purchased None N/A N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US Call Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A IRS USD R 12.31000 06/19/24-30Y MYC N/A 2054-06-19 0.000000 USD 0.000000 USD N/A USD N/A USD 12.310000 USD 2024-06-17 N/A 0.000000 USD 2023-06-16 XXXX 84.660000 N N N N/A N/A 000000000 -114.000000 NC -289536.560000 -0.0115931 N/A DIR DE N 1 Eurex N/A Short N/A FRANCE GOVT 2020-09-08 -21472436.060000 EUR -289536.560000 N N N N/A N/A 000000000 317.000000 NC USD 216058.140000 0.0086510 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Gasoil 2020-12-10 11641825.000000 USD 216058.140000 N N N N/A N/A 000000000 66.000000 NC USD 77351.940000 0.0030972 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Gasoil 2021-12-10 2613600.000000 USD 77351.940000 N N N N/A N/A 000000000 3.000000 NC USD 3534.160000 0.0001415 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Gasoil 2021-06-10 115275.000000 USD 3534.160000 N N N N/A N/A 000000000 -23.000000 NC USD -8014.100000 -0.0003209 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Gasoil 2022-06-10 -941275.000000 USD -8014.100000 N N N N/A N/A 000000000 -76.000000 NC USD 560460.240000 0.0224409 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Gasoil 2021-03-11 -2867100.000000 USD 560460.240000 N N N N/A N/A 000000000 -96.000000 NC USD -228373.290000 -0.0091441 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Gasoil 2020-09-10 -3446400.000000 USD -228373.290000 N N N N/A N/A 000000000 -72.000000 NC USD -77169.810000 -0.0030899 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Gasoline 2020-07-31 -3633336.000000 USD -77169.810000 N N N N/A N/A 000000000 -114.000000 NC USD -65194.260000 -0.0026104 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Gasoline 2020-11-30 -5149015.200000 USD -65194.260000 N N N N/A N/A 000000000 5.000000 NC USD 51424.830000 0.0020591 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Gasoline 2021-11-30 231546.000000 USD 51424.830000 N N N N/A N/A 000000000 14.000000 NC USD 122518.260000 0.0049056 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Gasoline 2021-05-28 744231.600000 USD 122518.260000 N N N N/A N/A 000000000 2.000000 NC USD -6788.460000 -0.0002718 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Gasoline 2020-10-30 91282.800000 USD -6788.460000 N N N N/A N/A 000000000 -4.000000 NC USD 9148.520000 0.0003663 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Gasoline 2020-09-30 -185488.800000 USD 9148.520000 N N N N/A N/A 000000000 49.000000 NC USD 85836.720000 0.0034369 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Gasoline 2020-08-31 2443669.200000 USD 85836.720000 N N N N/A N/A 000000000 1.000000 NC USD -37986.370000 -0.0015210 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 GENERAL ELECTRIC COMPANY GENERAL ELECTRIC CO SR UNSEC Y Single Leg Swap 2023-12-21 0.000000 USD -133023.900000 USD 2400000.000000 USD 95037.530000 N N N N/A N/A 000000000 1.000000 NC USD 1006.210000 0.0000403 N/A DCR US N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 GENERAL ELECTRIC COMPANY GENERAL ELECTRIC CO SR UNSEC Y Single Leg Swap 2020-12-21 0.000000 USD -29474.160000 USD 1200000.000000 USD 30480.370000 N N N N/A N/A 000000000 3731.000000 NC -2137.810000 -0.0000856 N/A DIR DE N 1 Eurex N/A Call Purchased Eurex N/A N/A 529900AQBND3S6YJLY83 000000000 0.000000 NC 0.000000 0.000000 DIR DE N/A N/A FIN FUT EURO-SCHATZ 2YR EUX 09/08/20 2020-09-09 N/A EUR N/A 116.000000 EUR 2020-08-21 XXXX -2137.810000 N N N N/A N/A 000000000 459.000000 NC 421072.200000 0.0168598 N/A DIR DE N 1 Eurex N/A Long N/A GERMANY GOVT 2020-09-08 69607336.900000 EUR 421072.200000 N N N N/A N/A 000000000 291.000000 NC 211672.920000 0.0084754 N/A DIR DE N 1 Eurex N/A Long N/A GERMANY GOVT 2020-09-08 57711161.740000 EUR 211672.920000 N N N N/A N/A 000000000 -76.000000 NC -529229.650000 -0.0211904 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2020-09-08 -18781497.310000 EUR -529229.650000 N N N N/A N/A 000000000 -4203.000000 NC -480094.770000 -0.0192230 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2020-09-08 -529532781.470000 EUR -480094.770000 N N N N/A N/A 000000000 74.000000 NC USD 404812.450000 0.0162087 N/A DCO US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long N/A Gold 2020-08-27 13323700.000000 USD 404812.450000 N N N N/A N/A 000000000 6.000000 NC USD 90645.180000 0.0036294 N/A DCO US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long N/A Gold 2021-12-29 1101060.000000 USD 90645.180000 N N N N/A N/A 000000000 1.000000 NC USD 30217.530000 0.0012099 N/A DCO US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long N/A Gold 2021-06-28 183220.000000 USD 30217.530000 N N N N/A N/A 000000000 -24.000000 NC USD -141600.000000 -0.0056697 N/A DCO US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Call Written Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT GOLD 100 OZ FUTR 12/29/21 2021-12-30 N/A USD N/A 2500.000000 USD 2021-11-23 XXXX -6420.480000 N N N N/A N/A 000000000 -24.000000 NC USD -38880.000000 -0.0015568 N/A DCO US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Call Written Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT GOLD 100 OZ FUTR 12/29/21 2021-12-30 N/A USD N/A 4000.000000 USD 2021-11-23 XXXX -15660.480000 N N N N/A N/A 000000000 -24.000000 NC USD -20400.000000 -0.0008168 N/A DCO US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Call Written Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT GOLD 100 OZ FUTR 06/28/21 2021-06-29 N/A USD N/A 3500.000000 USD 2021-05-25 XXXX 2099.520000 N N N N/A N/A 000000000 1.000000 NC 3282.180000 0.0001314 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 88207.570000 EUR 81067.000000 EUR 2021-01-04 3282.180000 N N N N/A N/A 000000000 1.000000 NC -23195.870000 -0.0009288 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 475868.870000 MXN 10435000.000000 MXN 2020-07-24 -23195.870000 N N N N/A N/A 000000000 1.000000 NC 422.590000 0.0000169 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 7383.320000 RUB 556597.000000 RUB 2020-07-17 422.590000 N N N N/A N/A 000000000 1.000000 NC 361.130000 0.0000145 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 8902.330000 RUB 661434.000000 RUB 2020-07-27 361.130000 N N N N/A N/A 000000000 1.000000 NC -643.640000 -0.0000258 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 20343.330000 RUB 1409386.000000 RUB 2020-08-14 -643.640000 N N N N/A N/A 000000000 1.000000 NC -4336297.270000 -0.1736256 N/A DFE DK N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 817000000.000000 DKK 118845006.910000 USD 2020-07-01 -4336297.270000 N N N N/A N/A 000000000 1.000000 NC -4600.630000 -0.0001842 N/A DFE DK N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 5530000.000000 DKK 829172.460000 USD 2020-07-01 -4600.630000 N N N N/A N/A 000000000 1.000000 NC -217.870000 -0.0000087 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 38327.000000 EUR 43704.180000 USD 2022-10-03 -217.870000 N N N N/A N/A 000000000 1.000000 NC -162.380000 -0.0000065 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 2080000.000000 EUR 2336716.720000 USD 2020-07-02 -162.380000 N N N N/A N/A 000000000 1.000000 NC -1182857.410000 -0.0473617 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 363120000.000000 MXN 14569382.310000 USD 2020-07-24 -1182857.410000 N N N N/A N/A 000000000 44.000000 NC USD 159213.370000 0.0063749 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Heating Oil 2020-11-30 2314804.800000 USD 159213.370000 N N N N/A N/A 000000000 7.000000 NC USD 51141.370000 0.0020477 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Heating Oil 2021-05-28 380700.600000 USD 51141.370000 N N N N/A N/A 000000000 1.000000 NC 11426.330000 0.0004575 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1272968.190000 CAD 1743694.000000 CAD 2020-07-02 11426.330000 N N N N/A N/A 000000000 1.000000 NC 4701.030000 0.0001882 N/A DFE CN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 474839.400000 CNY 3403174.000000 CNY 2020-09-16 4701.030000 N N N N/A N/A 000000000 1.000000 NC 2938.730000 0.0001177 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 79335.060000 EUR 72553.000000 EUR 2021-08-02 2938.730000 N N N N/A N/A 000000000 1.000000 NC 2781.220000 0.0001114 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 75275.240000 EUR 69027.000000 EUR 2021-04-01 2781.220000 N N N N/A N/A 000000000 1.000000 NC 2635.420000 0.0001055 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 71225.100000 EUR 65227.000000 EUR 2021-06-01 2635.420000 N N N N/A N/A 000000000 1.000000 NC 2827.870000 0.0001132 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 76358.810000 EUR 69781.000000 EUR 2021-09-01 2827.870000 N N N N/A N/A 000000000 1.000000 NC 3208.880000 0.0001285 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 85770.350000 EUR 78297.000000 EUR 2021-11-01 3208.880000 N N N N/A N/A 000000000 1.000000 NC 3486.260000 0.0001396 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 93105.420000 EUR 84935.000000 EUR 2021-12-01 3486.260000 N N N N/A N/A 000000000 1.000000 NC 2986.050000 0.0001196 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 80704.370000 EUR 73956.000000 EUR 2021-05-03 2986.050000 N N N N/A N/A 000000000 1.000000 NC 2709.810000 0.0001085 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 73103.930000 EUR 67134.000000 EUR 2021-02-01 2709.810000 N N N N/A N/A 000000000 1.000000 NC 460.650000 0.0000184 N/A DFE IN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 191079.400000 INR 14585090.230000 INR 2020-09-16 460.650000 N N N N/A N/A 000000000 1.000000 NC -495.770000 -0.0000199 N/A DFE RU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 26665.150000 RUB 1868558.000000 RUB 2020-07-27 -495.770000 N N N N/A N/A 000000000 1.000000 NC -217752.220000 -0.0087188 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 22131000.000000 CAD 16083809.360000 USD 2020-07-02 -217752.220000 N N N N/A N/A 000000000 1.000000 NC -11419.050000 -0.0004572 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1743694.000000 CAD 1273089.010000 USD 2020-08-04 -11419.050000 N N N N/A N/A 000000000 1.000000 NC -15602.840000 -0.0006247 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1715000.000000 EUR 1911198.920000 USD 2020-07-02 -15602.840000 N N N N/A N/A 000000000 1.000000 NC -27213.110000 -0.0010896 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 4652000.000000 EUR 5199306.870000 USD 2020-07-02 -27213.110000 N N N N/A N/A 000000000 1.000000 NC 13877.810000 0.0005557 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2531000.000000 EUR 2857455.210000 USD 2020-07-02 13877.810000 N N N N/A N/A 000000000 1.000000 NC 1177.140000 0.0000471 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2020000.000000 GBP 2504160.270000 USD 2020-07-02 1177.140000 N N N N/A N/A 000000000 1.000000 NC 2112.420000 0.0000846 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3625000.000000 GBP 4493851.960000 USD 2020-07-02 2112.420000 N N N N/A N/A 000000000 1.000000 NC -1542693.530000 -0.0617696 N/A DFE NZ N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 61328667.000000 NZD 38032690.730000 USD 2020-07-02 -1542693.530000 N N N N/A N/A 000000000 1.000000 NC 342.290000 0.0000137 N/A DFE PL N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 191301.070000 PLN 48706.490000 USD 2020-09-10 342.290000 N N N N/A N/A 000000000 -25800000.000000 NC USD -2.580000 -0.0000001 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written US CPI Urban Consumers NSA N/A N/A N/A 4.000000 USD 2024-05-16 XXXX 179307.420000 N N N N/A N/A 000000000 -31400000.000000 NC -16157.270000 -0.0006469 N/A DIR DE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Eurostat Eurozone HICP Ex Tob N/A N/A N/A 3.000000 EUR 2035-06-22 XXXX 1412354.040000 N N N N/A N/A 000000000 -85000000.000000 NC USD -8.500000 -0.0000003 N/A DIR US N 2 BNP Paribas S.A. N/A Put Written US CPI Urban Consumers NSA N/A N/A N/A 0.000000 USD 2021-02-11 XXXX 862741.500000 N N N N/A N/A 000000000 -32600000.000000 NC USD -3.260000 -0.0000001 N/A DIR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Put Written US CPI Urban Consumers NSA N/A N/A N/A 0.000000 USD 2020-09-29 XXXX 420536.740000 N N N N/A N/A 000000000 -40600000.000000 NC USD -4.060000 -0.0000002 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written US CPI Urban Consumers NSA N/A N/A N/A 0.000000 USD 2020-10-02 XXXX 749350.140000 N N N N/A N/A 000000000 -92.000000 NC -340962.870000 -0.0136522 N/A DIR DE N 1 Eurex N/A Short N/A ITALY GOVT 2020-09-08 -14871718.820000 EUR -340962.870000 N N N N/A N/A 000000000 -452.000000 NC -263234.230000 -0.0105399 N/A DIR DE N 1 Eurex N/A Short N/A ITALY GOVT 2020-09-08 -56815103.430000 EUR -263234.230000 N N N N/A N/A 000000000 -8700000.000000 NC -15541.080000 -0.0006223 N/A DCR DE N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN32 (V1 ONLY) 5Y SP Single Leg Swap 2024-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 2.500000 EUR 2021-03-17 XXXX -8855.480000 N N N N/A N/A 000000000 1.000000 NC -230151.750000 -0.0092153 N/A DCR N/A N 2 Intercontinental Exchange 5493000F4ZO33MV32P92 N/A ITRAXX EUROPE SERIES 32 Y Single Leg Swap 2024-12-21 0.000000 EUR -349177.660000 EUR 12200000.000000 EUR 119025.910000 N N N N/A N/A 000000000 -5700000.000000 NC -9050.510000 -0.0003624 N/A DCR DE N 2 BNP Paribas S.A. N/A Put Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 1.100000 EUR 2020-09-16 XXXX 2177.350000 N N N N/A N/A 000000000 -6600000.000000 NC -2939.270000 -0.0001177 N/A DCR DE N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Call Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.480000 EUR 2020-09-16 XXXX 790.880000 N N N N/A N/A 000000000 -6200000.000000 NC -13303.790000 -0.0005327 N/A DCR DE N 2 J.P. MORGAN SECURITIES PLC K6Q0W1PS1L1O4IQL9C32 Put Written J.P. MORGAN SECURITIES PLC K6Q0W1PS1L1O4IQL9C32 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 1.200000 EUR 2020-10-21 XXXX 2371.120000 N N N N/A N/A 000000000 -5700000.000000 NC -3838.270000 -0.0001537 N/A DCR DE N 2 BNP Paribas S.A. N/A Call Written BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.500000 EUR 2020-09-16 XXXX -309.510000 N N N N/A N/A 000000000 -5300000.000000 NC -11372.590000 -0.0004554 N/A DCR DE N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 1.200000 EUR 2020-10-21 XXXX 1718.680000 N N N N/A N/A 000000000 -5800000.000000 NC -3905.610000 -0.0001564 N/A DCR DE N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.500000 EUR 2020-09-16 XXXX 636.110000 N N N N/A N/A 000000000 -5300000.000000 NC -5516.170000 -0.0002209 N/A DCR DE N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Call Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.500000 EUR 2020-10-21 XXXX -755.710000 N N N N/A N/A 000000000 -5800000.000000 NC -9209.290000 -0.0003687 N/A DCR DE N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 1.100000 EUR 2020-09-16 XXXX 1171.780000 N N N N/A N/A 000000000 -6600000.000000 NC -13614.200000 -0.0005451 N/A DCR DE N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 1.000000 EUR 2020-09-16 XXXX -745.170000 N N N N/A N/A 000000000 -6200000.000000 NC -6452.890000 -0.0002584 N/A DCR DE N 2 J.P. MORGAN SECURITIES PLC K6Q0W1PS1L1O4IQL9C32 Call Written J.P. MORGAN SECURITIES PLC K6Q0W1PS1L1O4IQL9C32 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP Single Leg Swap 2025-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.500000 EUR 2020-10-21 XXXX -1227.920000 N N N N/A N/A 000000000 -32.000000 NC -12.600000 -0.0000005 N/A DIR JP N 1 OSAKA SECURITIES EXCHANGE N/A Short N/A JAPAN GOVT 2020-09-14 -45032646.450000 JPY -12.600000 N N N N/A N/A 000000000 1.000000 NC -61340.200000 -0.0024561 N/A DFE DK N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 13731798.700000 DKK 90669316.000000 DKK 2020-07-01 -61340.200000 N N N N/A N/A 000000000 1.000000 NC -14974.010000 -0.0005996 N/A DFE GB N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1349485.310000 GBP 1077000.000000 GBP 2020-07-02 -14974.010000 N N N N/A N/A 000000000 1.000000 NC 63716.820000 0.0025512 N/A DFE DK N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 90669316.000000 DKK 13761335.810000 USD 2020-10-01 63716.820000 N N N N/A N/A 000000000 1.000000 NC -196.090000 -0.0000079 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 57203.000000 EUR 64489.660000 USD 2021-04-01 -196.090000 N N N N/A N/A 000000000 1.000000 NC -283.550000 -0.0000114 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 62865.000000 EUR 70754.590000 USD 2021-03-01 -283.550000 N N N N/A N/A 000000000 1.000000 NC -146.600000 -0.0000059 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 62095.000000 EUR 70121.620000 USD 2021-05-03 -146.600000 N N N N/A N/A 000000000 1.000000 NC -76.210000 -0.0000031 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 53933.000000 EUR 60995.420000 USD 2021-06-01 -76.210000 N N N N/A N/A 000000000 1.000000 NC 86.300000 0.0000035 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 58205.000000 EUR 66136.670000 USD 2021-09-01 86.300000 N N N N/A N/A 000000000 1.000000 NC 34.170000 0.0000014 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 60988.000000 EUR 69193.460000 USD 2021-08-02 34.170000 N N N N/A N/A 000000000 1.000000 NC 151.480000 0.0000061 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 63110.000000 EUR 71818.960000 USD 2021-10-01 151.480000 N N N N/A N/A 000000000 1.000000 NC 217.320000 0.0000087 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 64932.000000 EUR 74008.140000 USD 2021-11-01 217.320000 N N N N/A N/A 000000000 1.000000 NC 304.760000 0.0000122 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 70493.000000 EUR 80472.390000 USD 2021-12-01 304.760000 N N N N/A N/A 000000000 1.000000 NC -238.040000 -0.0000095 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 11861.000000 EUR 13184.160000 USD 2021-05-03 -238.040000 N N N N/A N/A 000000000 1.000000 NC -273.360000 -0.0000109 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 12349.000000 EUR 13681.150000 USD 2021-03-01 -273.360000 N N N N/A N/A 000000000 1.000000 NC -249.470000 -0.0000100 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 11824.000000 EUR 13121.230000 USD 2021-04-01 -249.470000 N N N N/A N/A 000000000 1.000000 NC -216.240000 -0.0000087 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 11294.000000 EUR 12572.650000 USD 2021-06-01 -216.240000 N N N N/A N/A 000000000 1.000000 NC -199.440000 -0.0000080 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 11565.000000 EUR 12915.060000 USD 2021-08-02 -199.440000 N N N N/A N/A 000000000 1.000000 NC -199.570000 -0.0000080 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 12932.000000 EUR 14485.960000 USD 2021-10-01 -199.570000 N N N N/A N/A 000000000 1.000000 NC -193.720000 -0.0000078 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 13365.000000 EUR 14994.700000 USD 2021-11-01 -193.720000 N N N N/A N/A 000000000 1.000000 NC -254.920000 -0.0000102 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 35372.000000 EUR 40209.580000 USD 2022-08-01 -254.920000 N N N N/A N/A 000000000 1.000000 NC -339.750000 -0.0000136 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 35427.000000 EUR 40095.380000 USD 2022-05-02 -339.750000 N N N N/A N/A 000000000 1.000000 NC -189.170000 -0.0000076 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 11576.000000 EUR 12947.140000 USD 2021-09-01 -189.170000 N N N N/A N/A 000000000 1.000000 NC -495.490000 -0.0000198 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 39159.000000 EUR 44072.730000 USD 2022-01-03 -495.490000 N N N N/A N/A 000000000 1.000000 NC -210.550000 -0.0000084 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 11566.000000 EUR 12895.160000 USD 2021-07-01 -210.550000 N N N N/A N/A 000000000 1.000000 NC -223.990000 -0.0000090 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 34630.000000 EUR 39425.940000 USD 2022-09-01 -223.990000 N N N N/A N/A 000000000 1.000000 NC -170.850000 -0.0000068 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 40615.000000 EUR 46450.010000 USD 2022-12-01 -170.850000 N N N N/A N/A 000000000 1.000000 NC -276.910000 -0.0000111 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 34802.000000 EUR 39501.790000 USD 2022-07-01 -276.910000 N N N N/A N/A 000000000 1.000000 NC -195.970000 -0.0000078 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 14442.000000 EUR 16228.080000 USD 2021-12-01 -195.970000 N N N N/A N/A 000000000 1.000000 NC -376.100000 -0.0000151 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 36002.000000 EUR 40684.960000 USD 2022-04-01 -376.100000 N N N N/A N/A 000000000 1.000000 NC -417.510000 -0.0000167 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 35551.000000 EUR 40072.250000 USD 2022-02-01 -417.510000 N N N N/A N/A 000000000 1.000000 NC -427.680000 -0.0000171 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 37842.000000 EUR 42700.080000 USD 2022-03-01 -427.680000 N N N N/A N/A 000000000 1.000000 NC -190.370000 -0.0000076 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 38289.000000 EUR 43723.690000 USD 2022-11-01 -190.370000 N N N N/A N/A 000000000 1.000000 NC -296.660000 -0.0000119 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 33777.000000 EUR 38282.820000 USD 2022-06-01 -296.660000 N N N N/A N/A 000000000 1.000000 NC -1245.760000 -0.0000499 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 187500.000000 EUR 213066.810000 USD 2022-07-01 -1245.760000 N N N N/A N/A 000000000 1.000000 NC 2174.240000 0.0000871 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 211111.000000 EUR 243474.190000 USD 2022-07-01 2174.240000 N N N N/A N/A 000000000 1.000000 NC 12549.630000 0.0005025 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2401000.000000 EUR 2710072.090000 USD 2020-07-02 12549.630000 N N N N/A N/A 000000000 1.000000 NC 79.960000 0.0000032 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 404082.000000 EUR 457955.020000 USD 2021-07-01 79.960000 N N N N/A N/A 000000000 1.000000 NC -925371.620000 -0.0370519 N/A DFE GB N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 100438000.000000 GBP 123527410.590000 USD 2020-07-02 -925371.620000 N N N N/A N/A 000000000 1.000000 NC -1284.340000 -0.0000514 N/A DFE RU N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 53669.950000 RUB 3747853.000000 RUB 2020-08-14 -1284.340000 N N N ARGENT SECURITIES INC 2006-M1 N/A 04012MAM1 5655697.950000 PA USD 4790880.090000 0.1918272 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.3345 N N N N N N N/A N/A 000000000 88.000000 NC USD -19536.010000 -0.0007822 N/A DCO US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long N/A Live Cattle 2020-08-31 3388880.000000 USD -19536.010000 N N N N/A N/A 000000000 1.000000 NC USD 8608.640000 0.0003447 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 LONDON GOLD MKT FIX LTD PM N/A N/A Y Single Leg Swap 2024-08-02 0.000000 USD 0.000000 USD 600400.000000 USD 8608.640000 N N N N/A N/A 000000000 1.000000 NC USD 164230.910000 0.0065758 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 COMM SWAP JMABDEWE JPM JMABDEWE Internal ID COMM SWAP JMABDEWE JPM -5628323.937419 USD -29198.467888 USD COMM SWAP JMABDEWE JPM -1047586.666748 USD -5434.641998 USD COMM SWAP JMABDEWE JPM 4345039.568036 USD 22541.079673 USD COMM SWAP JMABDEWE JPM 5709080.939799 USD 29617.416898 USD COMM SWAP JMABDEWE JPM -1050094.169018 USD -5447.650351 USD COMM SWAP JMABDEWE JPM -2119029.258303 USD -10993.043123 USD COMM SWAP JMABDEWE JPM -2211320.960767 USD -11471.831540 USD COMM SWAP JMABDEWE JPM 2247286.605723 USD 11658.413148 USD COMM SWAP JMABDEWE JPM 2227206.703916 USD 11554.243172 USD COMM SWAP JMABDEWE JPM -1181597.051581 USD -6129.857476 USD COMM SWAP JMABDEWE JPM -2242282.073584 USD -11632.450771 USD COMM SWAP JMABDEWE JPM -1175027.131035 USD -6095.774219 USD COMM SWAP JMABDEWE JPM -8656654.887577 USD -44908.761928 USD COMM SWAP JMABDEWE JPM -5784189.434487 USD -30007.062732 USD COMM SWAP JMABDEWE JPM 9695651.548376 USD 50298.840923 USD COMM SWAP JMABDEWE JPM -1140605.993857 USD -5917.205167 USD COMM SWAP JMABDEWE JPM 31816797.823842 USD 165058.329958 USD COMM SWAP JMABDEWE JPM 7852951.954685 USD 40739.333419 USD Y Single Leg Swap 2021-02-16 0.000000 USD 0.000000 USD 31657303.580000 USD 164230.910000 N N N N/A N/A 000000000 1.000000 NC USD 1732644.480000 0.0693752 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 COMM SWAP JMABNIC2 JPM JMABNIC2 Internal ID COMM SWAP JMABNIC2 JPM 3589057.950285 USD 82826.321836 USD COMM SWAP JMABNIC2 JPM 8027513.364820 USD 185254.575075 USD COMM SWAP JMABNIC2 JPM 14686525.027682 USD 338927.614279 USD COMM SWAP JMABNIC2 JPM 7764415.865873 USD 179182.954493 USD COMM SWAP JMABNIC2 JPM 3285040.496216 USD 75810.372848 USD COMM SWAP JMABNIC2 JPM 1455907.404349 USD 33598.636998 USD COMM SWAP JMABNIC2 JPM 5644899.082186 USD 130269.902183 USD COMM SWAP JMABNIC2 JPM 7341542.368688 USD 169424.110568 USD COMM SWAP JMABNIC2 JPM 1485253.994859 USD 34275.881608 USD COMM SWAP JMABNIC2 JPM 4542921.680349 USD 104839.068743 USD COMM SWAP JMABNIC2 JPM 607153.113399 USD 14011.548398 USD COMM SWAP JMABNIC2 JPM -0.007508 USD -0.000173 USD COMM SWAP JMABNIC2 JPM 3302164.344326 USD 76205.547675 USD COMM SWAP JMABNIC2 JPM 13347136.894475 USD 308017.945469 USD Y Single Leg Swap 2021-02-16 0.000000 USD 0.000000 USD 75079531.580000 USD 1732644.480000 N N N N/A N/A 000000000 1.000000 NC USD 754640.590000 0.0302159 N/A DCO US N 2 Canadian Imperial Bank of Commerce 2IGI19DL77OX0HC3ZE78 COMM SWAP PIMCODB CIB PIMCODB2 Internal ID COMM SWAP PIMCODB CIB 2954962.001239 USD 44164.358092 USD COMM SWAP PIMCODB CIB 762254.109538 USD 11392.519916 USD COMM SWAP PIMCODB CIB 2305504.183978 USD 34457.672322 USD COMM SWAP PIMCODB CIB 1402737.498116 USD 20965.075405 USD COMM SWAP PIMCODB CIB 549676.292227 USD 8215.368114 USD COMM SWAP PIMCODB CIB 1950180.622688 USD 29147.066977 USD COMM SWAP PIMCODB CIB 1123170.936397 USD 16786.721255 USD COMM SWAP PIMCODB CIB 1656840.445564 USD 24762.854720 USD COMM SWAP PIMCODB CIB 1880635.456943 USD 28107.656791 USD COMM SWAP PIMCODB CIB 653327.435264 USD 9764.520420 USD COMM SWAP PIMCODB CIB 3352698.797415 USD 50108.864412 USD COMM SWAP PIMCODB CIB 3324873.696578 USD 49692.995200 USD COMM SWAP PIMCODB CIB 320701.162323 USD 4793.144875 USD COMM SWAP PIMCODB CIB 3207285.745729 USD 47935.545742 USD COMM SWAP PIMCODB CIB 544467.227081 USD 8137.514315 USD COMM SWAP PIMCODB CIB 983795.992279 USD 14703.647111 USD COMM SWAP PIMCODB CIB 329805.772599 USD 4929.220828 USD COMM SWAP PIMCODB CIB 809032.996220 USD 12091.669178 USD COMM SWAP PIMCODB CIB 1346542.567974 USD 20125.195564 USD COMM SWAP PIMCODB CIB 2908620.794390 USD 43471.750318 USD COMM SWAP PIMCODB CIB 1463018.530955 USD 21866.025441 USD COMM SWAP PIMCODB CIB 2579438.466090 USD 38551.847382 USD COMM SWAP PIMCODB CIB 108893.448198 USD 1627.502905 USD COMM SWAP PIMCODB CIB 9224565.566752 USD 137868.783680 USD COMM SWAP PIMCODB CIB 494708.672188 USD 7393.831440 USD COMM SWAP PIMCODB CIB 421537.012220 USD 6300.220290 USD COMM SWAP PIMCODB CIB 588387.626215 USD 8793.941110 USD COMM SWAP PIMCODB CIB 441290.726487 USD 6595.455934 USD COMM SWAP PIMCODB CIB 1702824.099856 USD 25450.118574 USD COMM SWAP PIMCODB CIB 1099939.066499 USD 16439.501690 USD Y Single Leg Swap 2021-02-16 0.000000 USD 0.000000 USD 50491716.950000 USD 754640.590000 N N N N/A N/A 000000000 1.000000 NC USD 806977.540000 0.0323114 N/A DCO US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 COMM SWAP TBL/RBCAEC0T RBC RBCAEC0T Internal ID COMM SWAP TBL/RBCAEC0T RBC 2360668.986786 USD 49173.290456 USD COMM SWAP TBL/RBCAEC0T RBC 1218330.839869 USD 25378.118065 USD COMM SWAP TBL/RBCAEC0T RBC 1186994.760754 USD 24725.380164 USD COMM SWAP TBL/RBCAEC0T RBC 1715685.592117 USD 35738.134581 USD COMM SWAP TBL/RBCAEC0T RBC 1450097.762727 USD 30205.877603 USD COMM SWAP TBL/RBCAEC0T RBC 693269.308170 USD 14440.962814 USD COMM SWAP TBL/RBCAEC0T RBC 1370761.720922 USD 28553.289184 USD COMM SWAP TBL/RBCAEC0T RBC 1336153.533032 USD 27832.392487 USD COMM SWAP TBL/RBCAEC0T RBC 1133164.504933 USD 23604.083269 USD COMM SWAP TBL/RBCAEC0T RBC 564235.682694 USD 11753.162034 USD COMM SWAP TBL/RBCAEC0T RBC 1728864.561860 USD 36012.655622 USD COMM SWAP TBL/RBCAEC0T RBC 616462.132645 USD 12841.051275 USD COMM SWAP TBL/RBCAEC0T RBC 1002858.960764 USD 20889.788124 USD COMM SWAP TBL/RBCAEC0T RBC 560925.650285 USD 11684.213280 USD COMM SWAP TBL/RBCAEC0T RBC 3046538.805980 USD 63460.120173 USD COMM SWAP TBL/RBCAEC0T RBC 6981448.603961 USD 145425.217142 USD COMM SWAP TBL/RBCAEC0T RBC 582717.866787 USD 12138.150278 USD COMM SWAP TBL/RBCAEC0T RBC 1898753.117330 USD 39551.474207 USD COMM SWAP TBL/RBCAEC0T RBC 2253474.102655 USD 46940.395797 USD COMM SWAP TBL/RBCAEC0T RBC 2321574.192372 USD 48358.936689 USD COMM SWAP TBL/RBCAEC0T RBC 1077170.902448 USD 22437.723354 USD COMM SWAP TBL/RBCAEC0T RBC 676569.354956 USD 14093.098859 USD COMM SWAP TBL/RBCAEC0T RBC 2963961.935953 USD 61740.024541 USD Y 2021-02-16 0.000000 USD 0.000000 USD 38740682.880000 USD 806977.540000 N N N 2020-08-04 PIMCO Funds /s/ Jason Nagler Jason Nagler Assistant Treasurer XXXX