NPORT-P false 0000810893 XXXXXXXX S000009708 C000026652 C000026651 C000064156 C000088664 C000200453 C000026650 C000026654 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO CommodityRealReturn Strategy Fund S000009708 D8BVB3JRZ75950VGOK95 2022-03-31 2021-09-30 N 9391607486.340000 2615558921.310000 6776048565.030000 0.000000 1353387619.080000 1951535852.330000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 8923419.518428 0.000000 0.000000 23470361.900000 GBP DKK CAD AUD ARS PEN NZD MXN JPY USD EUR N N/A N/A OP00137G0 -8100000.000000 NC USD -2274.970000 -0.0000336 N/A DCR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.800000 USD 2021-11-17 XXXX 4934.030000 N N N N/A N/A OP0013LZ2 -10000000.000000 NC USD -3373.800000 -0.0000498 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 IG36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.750000 USD 2021-11-17 XXXX 6526.200000 N N N N/A N/A OP0013R86 -12700000.000000 NC USD -5261.860000 -0.0000777 N/A DCR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.700000 USD 2021-11-17 XXXX 9470.140000 N N N ARMADA EURO CLO III DAC 3A N/A ACI1WGZB0 6500000.000000 PA 7511270.100000 0.1108503 Long ABS-CBDO CORP IE N 2 2031-07-15 Floating 0.72 N N N N N N N/A N/A OP0013T27 -11300000.000000 NC USD -6108.550000 -0.0000901 N/A DCR US N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 Put Written CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.800000 USD 2021-12-15 XXXX 5360.950000 N N N N/A N/A OP0013WY3 -32600000.000000 NC USD -20496.270000 -0.0003025 N/A DCR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.750000 USD 2021-12-15 XXXX 13481.730000 N N N N/A N/A OP00147W3 -11400000.000000 NC USD -6162.610000 -0.0000909 N/A DCR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.800000 USD 2021-12-15 XXXX 4553.390000 N N N N/A N/A OP0014GV5 -5500000.000000 NC USD -2973.190000 -0.0000439 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 IG36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.800000 USD 2021-12-15 XXXX 2733.060000 N N N N/A N/A OP0014SC4 -9400000.000000 NC USD -5909.970000 -0.0000872 N/A DCR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.750000 USD 2021-12-15 XXXX 2268.030000 N N N N/A N/A OP0015RP3 -11200000.000000 NC USD -11938.640000 -0.0001762 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 IG36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.730000 USD 2022-01-19 XXXX -738.640000 N N N N/A N/A OP0014K24 -10100000.000000 NC USD -6350.070000 -0.0000937 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 IG36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.750000 USD 2021-12-15 XXXX 4012.530000 N N N N/A N/A OP0013DR9 -4500000.000000 NC USD -1518.210000 -0.0000224 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 IG36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.750000 USD 2021-11-17 XXXX 3004.290000 N N N N/A N/A OP0013DS7 -24400000.000000 NC USD -8232.070000 -0.0001215 N/A DCR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Put Written MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 0.750000 USD 2021-11-17 XXXX 16081.430000 N N N N/A N/A OP0016203 -27800000.000000 NC USD -31553.280000 -0.0004657 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG37 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.850000 USD 2022-01-19 XXXX 486.220000 N N N N/A N/A 000000000 1.000000 NC 3066.270000 0.0000453 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1604595.000000 USD 10423038.500000 CNY 2021-12-15 3066.270000 N N N N/A N/A 000000000 1.000000 NC -184330.230000 -0.0027203 N/A DFE DK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 18206155.000000 USD 115700115.030000 DKK 2021-10-01 -184330.230000 N N N N/A N/A 000000000 1.000000 NC -37180.300000 -0.0005487 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1805980.610000 USD 1527000.000000 EUR 2021-10-04 -37180.300000 N N N N/A N/A 000000000 1.000000 NC -33664.450000 -0.0004968 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1969267.150000 USD 1671000.000000 EUR 2021-10-04 -33664.450000 N N N N/A N/A 000000000 1.000000 NC -13754.170000 -0.0002030 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1060902.490000 USD 904000.000000 EUR 2021-10-04 -13754.170000 N N N N/A N/A 000000000 1.000000 NC -41429.880000 -0.0006114 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3195616.680000 USD 2723000.000000 EUR 2021-10-04 -41429.880000 N N N N/A N/A 000000000 1.000000 NC -36242.410000 -0.0005349 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1554762.430000 USD 1127000.000000 GBP 2021-10-04 -36242.410000 N N N N/A N/A 000000000 1.000000 NC 123655.250000 0.0018249 N/A DFE NO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 11614278.190000 USD 102645000.000000 NOK 2021-11-17 123655.250000 N N N N/A N/A 000000000 1.000000 NC 102.090000 0.0000015 N/A DFE RU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 14744.620000 USD 1094773.000000 RUB 2021-12-20 102.090000 N N N N/A N/A 000000000 1.000000 NC 113446.380000 0.0016742 N/A DFE AU N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 35826499.000000 AUD 26014204.900000 USD 2021-10-05 113446.380000 N N N N/A N/A 000000000 1.000000 NC 185556.190000 0.0027384 N/A DFE DK N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 115263167.310000 DKK 18206155.000000 USD 2022-04-01 185556.190000 N N N N/A N/A 000000000 1.000000 NC 3774.700000 0.0000557 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 149000.000000 EUR 176368.840000 USD 2021-10-04 3774.700000 N N N N/A N/A 000000000 1.000000 NC 101071.000000 0.0014916 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4151000.000000 EUR 4909381.470000 USD 2021-10-04 101071.000000 N N N N/A N/A 000000000 1.000000 NC 15910.210000 0.0002348 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 685000.000000 EUR 809379.900000 USD 2021-10-04 15910.210000 N N N N/A N/A 000000000 1.000000 NC 35412.410000 0.0005226 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1226000.000000 GBP 1687325.040000 USD 2021-10-04 35412.410000 N N N N/A N/A 000000000 1.000000 NC 351270.940000 0.0051840 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 10273000.000000 GBP 14193113.110000 USD 2021-10-04 351270.940000 N N N ASSET BACKED FUNDING CERT 2006-OPT2 N/A 00075XAB3 5107409.010000 PA USD 4999025.700000 0.0737749 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.226 N N N N N N N/A N/A 000000000 1.000000 NC 80529.100000 0.0011884 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 16986645.000000 PEN 4160843.850000 USD 2022-02-14 80529.100000 N N N N/A N/A 000000000 1.000000 NC 841.300000 0.0000124 N/A DFE PL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 82187.520000 PLN 21490.000000 USD 2022-02-18 841.300000 N N N ASSET BACKED SEC HOME EQTY LN 2004-HE6 N/A 04541GLJ9 505717.210000 PA USD 506845.260000 0.0074800 Long ABS-MBS CORP US N 2 2034-09-25 Floating 1.031 N N N N N N N/A N/A 000000000 -1.000000 NC USD -81811.540000 -0.0012074 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A API2 Coal 2022-04-29 -162950.000000 USD -81811.540000 N N N N/A N/A 000000000 -1.000000 NC USD -64661.540000 -0.0009543 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A API2 Coal 2022-08-26 -145800.000000 USD -64661.540000 N N N N/A N/A 000000000 -1.000000 NC USD -50511.540000 -0.0007454 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A API2 Coal 2022-12-30 -131650.000000 USD -50511.540000 N N N N/A N/A 000000000 -1.000000 NC USD -109661.540000 -0.0016184 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A API2 Coal 2022-02-25 -190800.000000 USD -109661.540000 N N N N/A N/A 000000000 -1.000000 NC USD -116561.540000 -0.0017202 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A API2 Coal 2022-01-28 -197700.000000 USD -116561.540000 N N N N/A N/A 000000000 -1.000000 NC USD -65861.540000 -0.0009720 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A API2 Coal 2022-07-29 -147000.000000 USD -65861.540000 N N N N/A N/A 000000000 -1.000000 NC USD -73561.540000 -0.0010856 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A API2 Coal 2022-06-24 -154700.000000 USD -73561.540000 N N N N/A N/A 000000000 -1.000000 NC USD -102511.540000 -0.0015129 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A API2 Coal 2022-03-25 -183650.000000 USD -102511.540000 N N N N/A N/A 000000000 -1.000000 NC USD -76911.540000 -0.0011351 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A API2 Coal 2022-05-27 -158050.000000 USD -76911.540000 N N N N/A N/A 000000000 -1.000000 NC USD -54611.540000 -0.0008059 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A API2 Coal 2022-11-25 -135750.000000 USD -54611.540000 N N N N/A N/A 000000000 -1.000000 NC USD -56911.540000 -0.0008399 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A API2 Coal 2022-10-28 -138050.000000 USD -56911.540000 N N N N/A N/A 000000000 -1.000000 NC USD -63661.540000 -0.0009395 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A API2 Coal 2022-09-30 -144800.000000 USD -63661.540000 N N N N/A N/A 000000000 152.000000 NC USD 329808.870000 0.0048673 N/A DCO US N 1 New York Futures Exchange N/A Long N/A Cocoa 2021-12-15 4031040.000000 USD 329808.870000 N N N N/A N/A 000000000 -38.000000 NC USD -23285.720000 -0.0003436 N/A DCO US N 1 New York Futures Exchange N/A Short N/A Cocoa 2022-03-16 -1017260.000000 USD -23285.720000 N N N N/A N/A 000000000 -67.000000 NC USD -323993.380000 -0.0047815 N/A DCO US N 1 New York Futures Exchange N/A Short N/A Coffee 2021-12-20 -4874250.000000 USD -323993.380000 N N N N/A N/A 000000000 25.000000 NC USD 36337.190000 0.0005363 N/A DCO US N 1 New York Futures Exchange N/A Long N/A Coffee 2022-03-21 1845000.000000 USD 36337.190000 N N N N/A N/A 000000000 61.000000 NC USD -423852.060000 -0.0062552 N/A DCO US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long N/A Copper 2021-12-29 6235725.000000 USD -423852.060000 N N N N/A N/A 000000000 -1260.000000 NC USD 732246.870000 0.0108064 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A Corn 2021-12-14 -33815250.000000 USD 732246.870000 N N N N/A N/A 000000000 -16.000000 NC USD -5091.480000 -0.0000751 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A Corn 2022-12-14 -418200.000000 USD -5091.480000 N N N N/A N/A 000000000 -152.000000 NC USD 27956.000000 0.0004126 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A Corn 2022-03-14 -4138200.000000 USD 27956.000000 N N N N/A N/A 000000000 91.000000 NC USD 631581.880000 0.0093208 N/A DCO US N 1 New York Futures Exchange N/A Long N/A Cotton 2022-03-09 4726540.000000 USD 631581.880000 N N N N/A N/A 000000000 1.000000 NC 176.260000 0.0000026 N/A DFE RU N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 9448.930000 USD 705873.000000 RUB 2021-11-22 176.260000 N N N N/A N/A 000000000 -2.000000 NC USD -220.000000 -0.0000032 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 13.060000 N N N N/A N/A 000000000 2.000000 NC USD 20.000000 0.0000003 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 -126.940000 N N N N/A N/A 000000000 -2.000000 NC USD -640.000000 -0.0000094 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 -406.940000 N N N N/A N/A 000000000 2.000000 NC USD 20.000000 0.0000003 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 -126.940000 N N N N/A N/A 000000000 -15.000000 NC USD -520800.000000 -0.0076859 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 -430177.880000 N N N N/A N/A 000000000 -84.000000 NC USD -256200.000000 -0.0037810 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 76.000000 USD 2021-11-16 XXXX -140929.320000 N N N N/A N/A 000000000 -72.000000 NC USD -203760.000000 -0.0030071 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 76.500000 USD 2021-11-16 XXXX -117876.240000 N N N N/A N/A 000000000 -84.000000 NC USD -204120.000000 -0.0030124 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 77.500000 USD 2021-11-16 XXXX -97548.360000 N N N N/A N/A 000000000 -84.000000 NC USD -137760.000000 -0.0020330 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 80.000000 USD 2021-11-16 XXXX -40662.720000 N N N N/A N/A 000000000 -84.000000 NC USD -468720.000000 -0.0069173 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 10/20/21 2021-10-21 N/A USD N/A 70.000000 USD 2021-10-15 XXXX -382301.510000 N N N N/A N/A 000000000 -48.000000 NC USD -191040.000000 -0.0028193 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 10/20/21 2021-10-21 N/A USD N/A 72.000000 USD 2021-10-15 XXXX -140268.960000 N N N N/A N/A 000000000 -132.000000 NC USD -476520.000000 -0.0070324 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 10/20/21 2021-10-21 N/A USD N/A 72.500000 USD 2021-10-15 XXXX -316868.400000 N N N N/A N/A 000000000 -84.000000 NC USD -246960.000000 -0.0036446 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 10/20/21 2021-10-21 N/A USD N/A 73.500000 USD 2021-10-15 XXXX -148030.680000 N N N N/A N/A 000000000 5.000000 NC USD -7261.600000 -0.0001072 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Spread 2021-11-24 5150.000000 USD -7261.600000 N N N N/A N/A 000000000 5.000000 NC USD -6661.600000 -0.0000983 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Spread 2021-10-25 5750.000000 USD -6661.600000 N N N N/A N/A 000000000 153.000000 NC USD 1764928.880000 0.0260466 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A WTI Crude 2021-11-18 11429100.000000 USD 1764928.880000 N N N N/A N/A 000000000 55.000000 NC USD 32730.040000 0.0004830 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A WTI Crude 2021-11-19 4108500.000000 USD 32730.040000 N N N N/A N/A 000000000 190.000000 NC USD 1367902.660000 0.0201873 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A WTI Crude 2022-11-18 12863000.000000 USD 1367902.660000 N N N N/A N/A 000000000 -355.000000 NC USD -1629822.470000 -0.0240527 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A WTI Crude 2022-11-21 -24033500.000000 USD -1629822.470000 N N N N/A N/A 000000000 -15.000000 NC USD -69411.800000 -0.0010244 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A WTI Crude 2023-11-20 -935100.000000 USD -69411.800000 N N N N/A N/A 000000000 -75.000000 NC USD -584282.660000 -0.0086228 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A WTI Crude 2024-11-20 -4386750.000000 USD -584282.660000 N N N N/A N/A 000000000 -338.000000 NC USD -2365973.660000 -0.0349167 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A WTI Crude 2022-05-19 -24048700.000000 USD -2365973.660000 N N N N/A N/A 000000000 -352.000000 NC USD -2395936.160000 -0.0353589 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A WTI Crude 2022-05-20 -25044800.000000 USD -2395936.160000 N N N N/A N/A 000000000 780.000000 NC USD 4365757.680000 0.0644293 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A WTI Crude 2023-05-22 50489400.000000 USD 4365757.680000 N N N N/A N/A 000000000 9.000000 NC USD 33869.150000 0.0004998 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A WTI Crude 2024-05-21 542250.000000 USD 33869.150000 N N N N/A N/A 000000000 -7.000000 NC USD -33387.270000 -0.0004927 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A WTI Crude 2022-02-22 -510930.000000 USD -33387.270000 N N N N/A N/A 000000000 93.000000 NC USD 388247.700000 0.0057297 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A WTI Crude 2023-02-21 6147300.000000 USD 388247.700000 N N N N/A N/A 000000000 231.000000 NC USD 775505.300000 0.0114448 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A WTI Crude 2021-10-20 17331930.000000 USD 775505.300000 N N N N/A N/A 000000000 93.000000 NC USD 456845.490000 0.0067421 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A WTI Crude 2022-08-22 6443970.000000 USD 456845.490000 N N N N/A N/A 000000000 -5.000000 NC USD 3738.400000 0.0000552 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2021-11-24 -2750.000000 USD 3738.400000 N N N N/A N/A 000000000 -5.000000 NC USD 3188.400000 0.0000471 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2021-10-25 -3300.000000 USD 3188.400000 N N N N/A N/A 000000000 682.000000 NC USD 5995070.050000 0.0884744 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Emission 2021-12-27 18693620.000000 USD 5995070.050000 N N N N/A N/A 000000000 10.000000 NC USD -3599.990000 -0.0000531 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Current 2022-02-23 0.010000 USD -3599.990000 N N N N/A N/A 000000000 221.000000 NC USD 1071494.380000 0.0158130 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Emission 2022-12-23 6311760.000000 USD 1071494.380000 N N N N/A N/A 000000000 1.000000 NC -515521.310000 -0.0076080 N/A DCO GB N 3 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A EMISSION FUTURES Y 2022-12-19 0.000000 EUR 0.000000 EUR 100000000.000000 EUR -515521.310000 N N N N/A N/A 000000000 1.000000 NC -181386.590000 -0.0026769 N/A DCO GB N 3 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A EMISSION FUTURES Y 2022-12-19 0.000000 EUR 0.000000 EUR 50000000.000000 EUR -181386.590000 N N N N/A N/A 000000000 1.000000 NC USD 42531.500000 0.0006277 N/A DCO US N 3 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A EMISSION FUTURES Y 2022-12-28 0.000000 USD 0.000000 USD 50000000.000000 USD 42531.500000 N N N N/A N/A 000000000 -1.000000 NC -2536.060000 -0.0000374 N/A DCO GB N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Call Written EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCO NL N/A N/A FIN FUT EUA ICE 12/20/21 2021-12-21 N/A EUR N/A 60.000000 EUR 2021-12-15 XXXX -2536.060000 N N N N/A N/A 000000000 -3.000000 NC -3409.150000 -0.0000503 N/A DCO GB N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Call Written EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCO NL N/A N/A FIN FUT EUA ICE 12/20/21 2021-12-21 N/A EUR N/A 62.500000 EUR 2021-12-15 XXXX -3409.150000 N N N N/A N/A 000000000 1.000000 NC -2310.180000 -0.0000341 N/A DCO GB N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Put Purchased EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCO NL N/A N/A FIN FUT EUA ICE 12/20/21 2021-12-21 N/A EUR N/A 50.000000 EUR 2021-12-15 XXXX -2310.180000 N N N N/A N/A 000000000 3.000000 NC -6281.860000 -0.0000927 N/A DCO GB N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Put Purchased EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCO NL N/A N/A FIN FUT EUA ICE 12/20/21 2021-12-21 N/A EUR N/A 52.500000 EUR 2021-12-15 XXXX -6281.860000 N N N N/A N/A 000000000 123.000000 NC 996426.980000 0.0147051 N/A DCO GB N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Long N/A EUA 2021-12-20 8796532.360000 EUR 996426.980000 N N N N/A N/A 000000000 -20.000000 NC USD -67840.000000 -0.0010012 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Call Written ICE Futures Europe Exchange 549300UF4R84F48NCH34 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT EMFUT - CCA 2021 GE IFE 12/27/21 2021-12-28 N/A USD N/A 25.000000 USD 2021-12-15 XXXX -62947.570000 N N N N/A N/A 000000000 -18.000000 NC USD -25380.000000 -0.0003746 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Call Written ICE Futures Europe Exchange 549300UF4R84F48NCH34 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT EMFUT - CCA 2021 GE IFE 12/27/21 2021-12-28 N/A USD N/A 30.000000 USD 2021-12-15 XXXX -10529.600000 N N N N/A N/A 000000000 1.000000 NC USD 102.880000 0.0000015 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Ethanol 2021-12-31 78120.000000 USD 102.880000 N N N N/A N/A 000000000 18.000000 NC USD -51341.120000 -0.0007577 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Ethanol 2022-02-28 1383480.000000 USD -51341.120000 N N N N/A N/A 000000000 18.000000 NC USD -57011.120000 -0.0008414 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Ethanol 2022-01-31 1377810.000000 USD -57011.120000 N N N N/A N/A 000000000 18.000000 NC USD -43781.120000 -0.0006461 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Ethanol 2022-03-31 1391040.000000 USD -43781.120000 N N N N/A N/A 000000000 126800.000000 NC USD 14718.940000 0.0002172 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 -814.060000 N N N N/A N/A 000000000 190200.000000 NC USD 22078.450000 0.0003258 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 -1335.170000 N N N N/A N/A 000000000 -109.000000 NC 372971.710000 0.0055043 N/A DIR DE N 1 Eurex N/A Short N/A FRANCE GOVT 2021-12-08 -20952870.220000 EUR 372971.710000 N N N N/A N/A 000000000 228.000000 NC USD 2107988.250000 0.0311094 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Gasoil 2021-12-10 15298800.000000 USD 2107988.250000 N N N N/A N/A 000000000 45.000000 NC USD 306143.750000 0.0045180 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Gasoil 2022-03-10 2961000.000000 USD 306143.750000 N N N N/A N/A 000000000 32.000000 NC USD 233791.530000 0.0034503 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Gasoline 2022-02-28 2879385.600000 USD 233791.530000 N N N N/A N/A 000000000 1.000000 NC USD 35430.300000 0.0005229 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 168454.200000 N N N N/A N/A 000000000 -1550.000000 NC 1227971.020000 0.0181222 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2021-12-08 -242259037.160000 EUR 1227971.020000 N N N N/A N/A 000000000 1284.000000 NC -4102667.960000 -0.0605466 N/A DIR DE N 1 Eurex N/A Long N/A GERMANY GOVT 2021-12-08 252576899.950000 EUR -4102667.960000 N N N N/A N/A 000000000 -746.000000 NC 4415626.190000 0.0651652 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2021-12-08 -175711997.150000 EUR 4415626.190000 N N N N/A N/A 000000000 -9106.000000 NC 1154982.860000 0.0170451 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2021-12-08 -1183530963.270000 EUR 1154982.860000 N N N N/A N/A 000000000 -2600000.000000 NC USD -1149.720000 -0.0000170 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written GNMA PASS THRU POOLS GNMA II TBA 2.5% OCT 30YR JMBO N/A 102.430000 USD 2021-10-14 XXXX 4131.530000 N N N N/A N/A 000000000 311.000000 NC USD -1262375.210000 -0.0186300 N/A DCO US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long N/A Gold 2021-12-29 54642700.000000 USD -1262375.210000 N N N N/A N/A 000000000 -24.000000 NC USD -240.000000 -0.0000035 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 134939.520000 N N N N/A N/A 000000000 -24.000000 NC USD -240.000000 -0.0000035 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 22979.520000 N N N N/A N/A 000000000 1.000000 NC 4682.280000 0.0000691 N/A DFE CN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1609143.000000 USD 10463001.960000 CNY 2021-12-15 4682.280000 N N N N/A N/A 000000000 1.000000 NC 6309.660000 0.0000931 N/A DFE CN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1458600.000000 USD 9456819.680000 CNY 2021-10-22 6309.660000 N N N N/A N/A 000000000 1.000000 NC -15904.650000 -0.0002347 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 297847.020000 USD 242000.000000 EUR 2022-07-01 -15904.650000 N N N N/A N/A 000000000 1.000000 NC -19719.590000 -0.0002910 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 414671.920000 USD 339000.000000 EUR 2022-07-01 -19719.590000 N N N N/A N/A 000000000 1.000000 NC -34517.010000 -0.0005094 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 712576.760000 USD 582000.000000 EUR 2022-07-01 -34517.010000 N N N N/A N/A 000000000 1.000000 NC -38071.560000 -0.0005619 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 712869.170000 USD 579200.000000 EUR 2022-07-01 -38071.560000 N N N N/A N/A 000000000 1.000000 NC -3497.010000 -0.0000516 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 110681.710000 USD 92000.000000 EUR 2022-07-01 -3497.010000 N N N N/A N/A 000000000 1.000000 NC -7297.600000 -0.0001077 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 196035.880000 USD 162000.000000 EUR 2022-07-01 -7297.600000 N N N N/A N/A 000000000 1.000000 NC -8227.270000 -0.0001214 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 201625.760000 USD 166000.000000 EUR 2022-07-01 -8227.270000 N N N N/A N/A 000000000 1.000000 NC -8333.780000 -0.0001230 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 200567.220000 USD 165000.000000 EUR 2022-07-01 -8333.780000 N N N N/A N/A 000000000 1.000000 NC -14698.380000 -0.0002169 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 321106.830000 USD 263000.000000 EUR 2022-07-01 -14698.380000 N N N N/A N/A 000000000 1.000000 NC -9177.280000 -0.0001354 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 201410.720000 USD 165000.000000 EUR 2022-07-01 -9177.280000 N N N N/A N/A 000000000 1.000000 NC -8052.520000 -0.0001188 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 166499.470000 USD 136000.000000 EUR 2022-07-01 -8052.520000 N N N N/A N/A 000000000 1.000000 NC -7804.350000 -0.0001152 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 717872.840000 USD 613000.000000 EUR 2021-10-04 -7804.350000 N N N N/A N/A 000000000 1.000000 NC -10729.320000 -0.0001583 N/A DFE ID N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 3639996.600000 USD 52394111060.000000 IDR 2021-12-15 -10729.320000 N N N N/A N/A 000000000 1.000000 NC 392.560000 0.0000058 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 11774.390000 USD 887870.000000 RUB 2021-10-22 392.560000 N N N N/A N/A 000000000 1.000000 NC 447.140000 0.0000066 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 26487.850000 USD 1975305.000000 RUB 2021-11-22 447.140000 N N N N/A N/A 000000000 1.000000 NC 198.400000 0.0000029 N/A DFE RU N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 28211.780000 USD 2094922.000000 RUB 2021-12-20 198.400000 N N N N/A N/A 000000000 1.000000 NC -1042.730000 -0.0000154 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 38327.000000 EUR 43704.180000 USD 2022-10-03 -1042.730000 N N N N/A N/A 000000000 1.000000 NC 32211.100000 0.0004754 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 486000.000000 EUR 600105.950000 USD 2022-11-01 32211.100000 N N N N/A N/A 000000000 1.000000 NC 40066.080000 0.0005913 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 530000.000000 EUR 659931.620000 USD 2022-12-01 40066.080000 N N N N/A N/A 000000000 1.000000 NC 73690.850000 0.0010875 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 988000.000000 EUR 1224761.360000 USD 2022-07-01 73690.850000 N N N N/A N/A 000000000 1.000000 NC 225880.360000 0.0033335 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 17742000.000000 EUR 20777324.420000 USD 2021-10-04 225880.360000 N N N N/A N/A 000000000 1.000000 NC 373.820000 0.0000055 N/A DFE TW N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1568687.000000 TWD 56888.000000 USD 2021-11-15 373.820000 N N N N/A N/A 000000000 1.000000 NC 297.880000 0.0000044 N/A DFE TW N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1413661.000000 TWD 51227.030000 USD 2021-11-15 297.880000 N N N N/A N/A 000000000 34.000000 NC USD 293544.540000 0.0043321 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Heating Oil 2022-02-28 3260552.400000 USD 293544.540000 N N N N/A N/A 000000000 1.000000 NC -18876.730000 -0.0002786 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 3528248.210000 USD 4445000.000000 CAD 2021-10-04 -18876.730000 N N N N/A N/A 000000000 1.000000 NC 4972.510000 0.0000734 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 85770.350000 USD 78297.000000 EUR 2021-11-01 4972.510000 N N N N/A N/A 000000000 1.000000 NC 5386.920000 0.0000795 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 93105.420000 USD 84935.000000 EUR 2021-12-01 5386.920000 N N N N/A N/A 000000000 1.000000 NC -20457.380000 -0.0003019 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 507889.140000 USD 418378.000000 EUR 2022-07-01 -20457.380000 N N N N/A N/A 000000000 1.000000 NC -3227.920000 -0.0000476 N/A DFE ID N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1069951.000000 USD 15399804743.000000 IDR 2021-12-15 -3227.920000 N N N N/A N/A 000000000 1.000000 NC 33.500000 0.0000005 N/A DFE RU N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1808.710000 USD 135100.000000 RUB 2021-11-22 33.500000 N N N N/A N/A 000000000 1.000000 NC 395764.030000 0.0058406 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 5134000.000000 EUR 6377136.490000 USD 2022-07-01 395764.030000 N N N N/A N/A 000000000 1.000000 NC 80220.000000 0.0011839 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1432679.670000 EUR 1749365.060000 USD 2022-07-01 80220.000000 N N N N/A N/A 000000000 1.000000 NC 225990.510000 0.0033351 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 8900000.000000 EUR 10535304.690000 USD 2021-10-04 225990.510000 N N N N/A N/A 000000000 1.000000 NC 16270.540000 0.0002401 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 778000.000000 EUR 917466.770000 USD 2021-10-04 16270.540000 N N N N/A N/A 000000000 1.000000 NC 4713.220000 0.0000696 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 355000.000000 EUR 415927.440000 USD 2021-10-04 4713.220000 N N N N/A N/A 000000000 1.000000 NC 238036.930000 0.0035129 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 15423000.000000 EUR 18103267.550000 USD 2021-10-04 238036.930000 N N N N/A N/A 000000000 1.000000 NC 38276.050000 0.0005649 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2480000.000000 EUR 2910983.820000 USD 2021-10-04 38276.050000 N N N N/A N/A 000000000 1.000000 NC 55587.860000 0.0008204 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 4439000.000000 GBP 6036697.310000 USD 2021-10-04 55587.860000 N N N N/A N/A 000000000 -25800000.000000 NC USD -2.580000 0.0000000 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 -57213.450000 -0.0008443 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 1371297.860000 N N N N/A N/A 000000000 1028.000000 NC USD 108992.280000 0.0016085 N/A DCO SG N 1 Singapore International Monetary Exchange N/A Long N/A Iron Ore 2022-01-31 11826112.000000 USD 108992.280000 N N N N/A N/A 000000000 -673.000000 NC 1408422.040000 0.0207853 N/A DIR DE N 1 Eurex N/A Short N/A ITALY GOVT 2021-12-08 -118455583.650000 EUR 1408422.040000 N N N N/A N/A 000000000 -417.000000 NC 55241.340000 0.0008152 N/A DIR DE N 1 Eurex N/A Short N/A ITALY GOVT 2021-12-08 -54925558.640000 EUR 55241.340000 N N N N/A N/A OP00154T0 -1300000.000000 NC -7587.960000 -0.0001120 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX XOV35 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 3.500000 EUR 2022-01-19 XXXX -483.120000 N N N N/A N/A OP0015148 -2600000.000000 NC -15175.910000 -0.0002240 N/A DCR US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 Put Written Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX XOV35 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 3.500000 EUR 2022-01-19 XXXX -763.130000 N N N N/A N/A 000000000 -1700000.000000 NC -6507.960000 -0.0000960 N/A DCR US 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 XOV35 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 3.500000 EUR 2021-12-15 XXXX 1132.630000 N N N N/A N/A 000000000 -2700000.000000 NC -10336.160000 -0.0001525 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX XOV35 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 3.500000 EUR 2021-12-15 XXXX 2104.250000 N N N N/A N/A OP00153X2 -6800000.000000 NC -39690.860000 -0.0005858 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX XOV35 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 3.500000 EUR 2022-01-19 XXXX -2951.740000 N N N N/A N/A OP0016FR0 -1800000.000000 NC -12398.320000 -0.0001830 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX XOV36 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 3.750000 EUR 2022-01-19 XXXX -2606.670000 N N N N/A N/A OP0013WX5 -34900000.000000 NC -21675.430000 -0.0003199 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN35 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.700000 EUR 2021-12-15 XXXX 18663.180000 N N N N/A N/A OP0013WW7 -4500000.000000 NC -2794.830000 -0.0000412 N/A DCR US 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 MAIN35 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.700000 EUR 2021-12-15 XXXX 2274.910000 N N N N/A N/A OP00147X1 -7000000.000000 NC -4347.510000 -0.0000642 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Put Written JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN35 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.700000 EUR 2021-12-15 XXXX 3031.680000 N N N N/A N/A OP00107B7 -8860000.000000 NC -485.850000 -0.0000072 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN35 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.850000 EUR 2021-10-20 XXXX 8708.750000 N N N N/A N/A OP00161W4 -7600000.000000 NC -8805.570000 -0.0001300 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DCR N/A SWOP CDX ITRAXX MAIN36 (V1 ONLY) 5Y SP Single Leg Swap 2026-12-20 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.750000 EUR 2022-01-19 XXXX 1691.610000 N N N AUSTRALIA GOVT 213800J6B7JSBDETCB42 ACI01MVQ4 32208952.000000 PA 23544561.760000 0.3474674 Long DBT NUSS AU N 2 2022-02-21 Fixed 1.25 N N N N N N N/A N/A 000000000 -64.000000 NC 263518.400000 0.0038890 N/A DIR JP N 1 OSAKA SECURITIES EXCHANGE N/A Short N/A JAPAN GOVT 2021-12-13 -87045060.420000 JPY 263518.400000 N N N N/A N/A 000000000 1.000000 NC -21822.340000 -0.0003221 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 465706.820000 USD 381000.000000 EUR 2022-07-01 -21822.340000 N N N N/A N/A 000000000 1.000000 NC -22096.520000 -0.0003261 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 432194.510000 USD 352000.000000 EUR 2022-07-01 -22096.520000 N N N N/A N/A 000000000 1.000000 NC -2572.740000 -0.0000380 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 150534.230000 USD 127000.000000 EUR 2022-07-01 -2572.740000 N N N N/A N/A 000000000 1.000000 NC 1517935.800000 0.0224015 N/A DFE DK N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 301618937.970000 DKK 48499078.790000 USD 2021-10-01 1517935.800000 N N N N/A N/A 000000000 1.000000 NC -1284.500000 -0.0000190 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 63110.000000 EUR 71818.960000 USD 2021-10-01 -1284.500000 N N N AUSTRALIA GOVT 213800J6B7JSBDETCB42 B4RNSXII1 34561380.000000 PA 29261189.820000 0.4318326 Long DBT NUSS AU N 2 2025-09-20 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC -1245.260000 -0.0000184 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 64932.000000 EUR 74008.140000 USD 2021-11-01 -1245.260000 N N N N/A N/A 000000000 1.000000 NC -1272.720000 -0.0000188 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 70493.000000 EUR 80472.390000 USD 2021-12-01 -1272.720000 N N N N/A N/A 000000000 1.000000 NC -493.820000 -0.0000073 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 12932.000000 EUR 14485.960000 USD 2021-10-01 -493.820000 N N N N/A N/A 000000000 1.000000 NC -494.760000 -0.0000073 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 13365.000000 EUR 14994.700000 USD 2021-11-01 -494.760000 N N N N/A N/A 000000000 1.000000 NC -1028.990000 -0.0000152 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 35372.000000 EUR 40209.580000 USD 2022-08-01 -1028.990000 N N N N/A N/A 000000000 1.000000 NC -1127.520000 -0.0000166 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 35427.000000 EUR 40095.380000 USD 2022-05-02 -1127.520000 N N N N/A N/A 000000000 1.000000 NC -1381.820000 -0.0000204 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 39159.000000 EUR 44072.730000 USD 2022-01-03 -1381.820000 N N N N/A N/A 000000000 1.000000 NC -975.670000 -0.0000144 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 34630.000000 EUR 39425.940000 USD 2022-09-01 -975.670000 N N N N/A N/A 000000000 1.000000 NC -1051.570000 -0.0000155 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 40615.000000 EUR 46450.010000 USD 2022-12-01 -1051.570000 N N N N/A N/A 000000000 1.000000 NC -1044.320000 -0.0000154 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 34802.000000 EUR 39501.790000 USD 2022-07-01 -1044.320000 N N N N/A N/A 000000000 1.000000 NC -519.160000 -0.0000077 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 14442.000000 EUR 16228.080000 USD 2021-12-01 -519.160000 N N N N/A N/A 000000000 1.000000 NC -1180.150000 -0.0000174 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 36002.000000 EUR 40684.960000 USD 2022-04-01 -1180.150000 N N N N/A N/A 000000000 1.000000 NC -1218.980000 -0.0000180 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 35551.000000 EUR 40072.250000 USD 2022-02-01 -1218.980000 N N N N/A N/A 000000000 1.000000 NC -1277.020000 -0.0000188 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 37842.000000 EUR 42700.080000 USD 2022-03-01 -1277.020000 N N N N/A N/A 000000000 1.000000 NC -1017.310000 -0.0000150 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 38289.000000 EUR 43723.690000 USD 2022-11-01 -1017.310000 N N N N/A N/A 000000000 1.000000 NC -1044.610000 -0.0000154 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 33777.000000 EUR 38282.820000 USD 2022-06-01 -1044.610000 N N N N/A N/A 000000000 1.000000 NC -5380.280000 -0.0000794 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 187500.000000 EUR 213066.810000 USD 2022-07-01 -5380.280000 N N N N/A N/A 000000000 1.000000 NC -2480.920000 -0.0000366 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 211111.000000 EUR 243474.190000 USD 2022-07-01 -2480.920000 N N N N/A N/A 000000000 1.000000 NC 9197.440000 0.0001357 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 262500.000000 EUR 315023.360000 USD 2022-07-01 9197.440000 N N N N/A N/A 000000000 1.000000 NC 6561.610000 0.0000968 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 138000.000000 EUR 167338.660000 USD 2022-07-01 6561.610000 N N N N/A N/A 000000000 1.000000 NC 27115.480000 0.0004002 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 395000.000000 EUR 487310.670000 USD 2022-07-01 27115.480000 N N N N/A N/A 000000000 1.000000 NC 447454.370000 0.0066035 N/A DFE NZ N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 93873000.000000 NZD 65252661.820000 USD 2021-10-04 447454.370000 N N N N/A N/A 000000000 1.000000 NC 2734.400000 0.0000404 N/A DFE SG N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 144379.000000 SGD 109051.040000 USD 2021-12-15 2734.400000 N N N N/A N/A 000000000 1.000000 NC -2116.640000 -0.0000312 N/A DFE ID N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1060756.000000 USD 15231395404.000000 IDR 2021-11-15 -2116.640000 N N N N/A N/A 000000000 1.000000 NC -2019.820000 -0.0000298 N/A DFE ID N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2119762.000000 USD 30469458988.000000 IDR 2021-11-15 -2019.820000 N N N N/A N/A 000000000 1.000000 NC 22.890000 0.0000003 N/A DFE RU N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 5860.510000 USD 429335.000000 RUB 2021-10-22 22.890000 N N N N/A N/A 000000000 -357.000000 NC USD -835278.350000 -0.0123269 N/A DCO US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short N/A Lean Hogs 2021-12-14 -12195120.000000 USD -835278.350000 N N N N/A N/A 000000000 275.000000 NC USD -896468.570000 -0.0132300 N/A DCO US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long N/A Live Cattle 2021-12-31 13829750.000000 USD -896468.570000 N N N N/A N/A 000000000 1.000000 NC USD 176113.710000 0.0025991 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 2022-03-04 0.000000 USD 0.000000 USD 8367335.400000 USD 176113.710000 N N N N/A N/A 000000000 1.000000 NC USD 31119.700000 0.0004593 N/A DIR US N 2 UBS AG BFM8T61CT2L1QCEMIK50 LONDON GOLD MKT FIX LTD PM N/A N/A Y Single Leg Swap 2022-12-05 0.000000 USD 0.000000 USD 1673976.000000 USD 31119.700000 N N N N/A N/A 000000000 1.000000 NC USD 15992.280000 0.0002360 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 15992.280000 N N N AVIATION CAPITAL GROUP LLC 549300ODEK8HY3445C77 05367AAJ2 900000.000000 PA USD 904730.450000 0.0133519 Long DBT CORP US N 2 2022-01-20 Fixed 2.875 N N N N N N N/A N/A 000000000 1.000000 NC 502.960000 0.0000074 N/A DFE CN N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 154900.000000 USD 1003163.380000 CNY 2021-10-22 502.960000 N N N N/A N/A 000000000 1.000000 NC -602061.490000 -0.0088851 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 56942174.000000 USD 361703522.310000 DKK 2021-10-01 -602061.490000 N N N N/A N/A 000000000 1.000000 NC -506763.040000 -0.0074787 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 61350532.000000 USD 390616996.730000 DKK 2021-10-01 -506763.040000 N N N N/A N/A 000000000 1.000000 NC -846.900000 -0.0000125 N/A DFE ID N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1040619.000000 USD 14959938744.000000 IDR 2021-11-15 -846.900000 N N N N/A N/A 000000000 1.000000 NC 53256.710000 0.0007860 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 98786763.060000 USD 11000400000.000000 JPY 2021-10-04 53256.710000 N N N N/A N/A 000000000 1.000000 NC -63292.130000 -0.0009341 N/A DFE NZ N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 12528714.980000 USD 18056676.080000 NZD 2021-10-04 -63292.130000 N N N N/A N/A 000000000 1.000000 NC 1828869.030000 0.0269902 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 357566374.000000 DKK 57524565.910000 USD 2021-10-01 1828869.030000 N N N N/A N/A 000000000 1.000000 NC 605990.930000 0.0089431 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 360336910.130000 DKK 56942174.000000 USD 2022-04-01 605990.930000 N N N N/A N/A 000000000 1.000000 NC 510468.420000 0.0075334 N/A DFE DK N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 389144583.960000 DKK 61350532.000000 USD 2022-04-01 510468.420000 N N N N/A N/A 000000000 1.000000 NC -53265.700000 -0.0007861 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 11000400000.000000 JPY 98805840.110000 USD 2021-11-02 -53265.700000 N N N N/A N/A 000000000 1.000000 NC 63236.410000 0.0009332 N/A DFE NZ N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 18056676.080000 NZD 12526656.520000 USD 2021-11-02 63236.410000 N N N N/A N/A 000000000 1.000000 NC 464.690000 0.0000069 N/A DFE TW N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1561557.000000 TWD 56722.000000 USD 2021-11-15 464.690000 N N N N/A N/A 000000000 22.000000 NC USD 2287.440000 0.0000338 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Henry 2023-03-29 172535.000000 USD 2287.440000 N N N N/A N/A 000000000 22.000000 NC USD 3772.440000 0.0000557 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Henry 2023-07-27 174020.000000 USD 3772.440000 N N N N/A N/A 000000000 13.000000 NC USD 15691.670000 0.0002316 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Henry 2023-01-27 131560.000000 USD 15691.670000 N N N N/A N/A 000000000 15.000000 NC USD 21769.620000 0.0003213 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Henry 2022-12-28 154950.000000 USD 21769.620000 N N N N/A N/A 000000000 22.000000 NC USD 2947.440000 0.0000435 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Henry 2023-06-28 173195.000000 USD 2947.440000 N N N N/A N/A 000000000 15.000000 NC USD 6769.620000 0.0000999 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Henry 2023-02-24 139950.000000 USD 6769.620000 N N N N/A N/A 000000000 22.000000 NC USD -2112.560000 -0.0000312 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Henry 2023-04-26 168135.000000 USD -2112.560000 N N N N/A N/A 000000000 15.000000 NC USD 12287.120000 0.0001813 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Henry 2022-10-27 146175.000000 USD 12287.120000 N N N N/A N/A 000000000 22.000000 NC USD 5367.440000 0.0000792 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Henry 2023-09-27 175615.000000 USD 5367.440000 N N N N/A N/A 000000000 22.000000 NC USD 3442.440000 0.0000508 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Henry 2023-08-29 173690.000000 USD 3442.440000 N N N N/A N/A 000000000 15.000000 NC USD 18582.120000 0.0002742 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Henry 2022-11-28 151762.500000 USD 18582.120000 N N N N/A N/A 000000000 22.000000 NC USD 307.440000 0.0000045 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Henry 2023-05-26 170555.000000 USD 307.440000 N N N N/A N/A 000000000 -10.000000 NC -265825.660000 -0.0039230 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A NBP 2021-11-29 -1072805.420000 GBP -265825.660000 N N N N/A N/A 000000000 -118.000000 NC USD -1173300.300000 -0.0173154 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Henry 2022-03-29 -4715280.000000 USD -1173300.300000 N N N N/A N/A 000000000 7.000000 NC USD 26381.250000 0.0003893 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Henry 2022-01-27 416570.000000 USD 26381.250000 N N N N/A N/A 000000000 -105.000000 NC USD -786868.560000 -0.0116125 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Henry 2021-12-29 -6376650.000000 USD -786868.560000 N N N N/A N/A 000000000 38.000000 NC USD 554870.540000 0.0081887 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Henry 2022-02-24 2096460.000000 USD 554870.540000 N N N N/A N/A 000000000 179.000000 NC USD 1214525.520000 0.0179238 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Henry 2022-04-27 6844960.000000 USD 1214525.520000 N N N N/A N/A 000000000 -61.000000 NC USD -58804.730000 -0.0008678 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Henry 2022-09-28 -2386930.000000 USD -58804.730000 N N N N/A N/A 000000000 37.000000 NC 913275.640000 0.0134780 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Long N/A TTF 2022-03-30 1613927.350000 EUR 913275.640000 N N N N/A N/A 000000000 37.000000 NC 649464.840000 0.0095847 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Long N/A TTF 2022-07-28 1373471.170000 EUR 649464.840000 N N N N/A N/A 000000000 -20.000000 NC -389310.580000 -0.0057454 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Short N/A TTF 2021-11-29 -1691496.300000 EUR -389310.580000 N N N N/A N/A 000000000 8.000000 NC 170796.700000 0.0025206 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Long N/A TTF 2022-11-29 311831.280000 EUR 170796.700000 N N N N/A N/A 000000000 -49.000000 NC -1750236.300000 -0.0258297 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Short N/A TTF 2022-01-28 -3728814.310000 EUR -1750236.300000 N N N N/A N/A 000000000 -49.000000 NC -1947382.270000 -0.0287392 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Short N/A TTF 2021-12-30 -4137958.290000 EUR -1947382.270000 N N N N/A N/A 000000000 37.000000 NC 654088.470000 0.0096529 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Long N/A TTF 2022-06-29 1378094.790000 EUR 654088.470000 N N N N/A N/A 000000000 37.000000 NC 639252.680000 0.0094340 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Long N/A TTF 2022-05-30 1339904.390000 EUR 639252.680000 N N N N/A N/A 000000000 -49.000000 NC -1711384.960000 -0.0252564 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Short N/A TTF 2022-02-25 -3899016.430000 EUR -1711384.960000 N N N N/A N/A 000000000 37.000000 NC 679056.040000 0.0100214 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Long N/A TTF 2022-04-28 1403062.360000 EUR 679056.040000 N N N N/A N/A 000000000 6.000000 NC 72453.010000 0.0010693 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Long N/A TTF 2021-10-28 489268.100000 EUR 72453.010000 N N N N/A N/A 000000000 8.000000 NC 163832.520000 0.0024178 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Long N/A TTF 2022-10-28 300317.690000 EUR 163832.520000 N N N N/A N/A 000000000 8.000000 NC 165136.320000 0.0024371 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Long N/A TTF 2022-09-29 306170.900000 EUR 165136.320000 N N N N/A N/A 000000000 37.000000 NC 639160.100000 0.0094326 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Long N/A TTF 2022-08-30 1339811.810000 EUR 639160.100000 N N N N/A N/A 000000000 -13.000000 NC USD 459096.780000 0.0067753 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Palladium 2021-12-29 -2469740.000000 USD 459096.780000 N N N N/A N/A 000000000 7.000000 NC USD -18653.240000 -0.0002753 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Platinum 2022-01-27 336840.000000 USD -18653.240000 N N N N/A N/A 000000000 -54.000000 NC USD -56318.000000 -0.0008311 N/A DCO GB N 1 London Metals Exchange 213800NB8G5VRT1DXC91 Short N/A Aluminum 2022-01-17 -3849862.500000 USD -56318.000000 N N N N/A N/A 000000000 1.000000 NC -4888.190000 -0.0000721 N/A DFE N/A N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 149354.530000 USD 124000.000000 EUR 2022-07-01 -4888.190000 N N N N/A N/A 000000000 1.000000 NC -111833.150000 -0.0016504 N/A DFE GB N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 3893985.490000 USD 2807000.000000 GBP 2021-10-04 -111833.150000 N N N N/A N/A 000000000 -2.000000 NC USD 10754.910000 0.0001587 N/A DCO US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short N/A Silver 2021-12-29 -220470.000000 USD 10754.910000 N N N N/A N/A 000000000 1.000000 NC 2173467.230000 0.0320757 N/A DFE DK N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 425561869.000000 DKK 68460362.710000 USD 2021-10-01 2173467.230000 N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 05401AAR2 532000.000000 PA USD 523665.070000 0.0077282 Long DBT CORP KY N 2 2027-11-18 Fixed 2.528 N N N N N N N/A N/A 000000000 269.000000 NC USD -342599.300000 -0.0050560 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A Soybeans 2022-01-14 17020975.000000 USD -342599.300000 N N N N/A N/A 000000000 -34.000000 NC USD 32762.100000 0.0004835 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A Soybeans 2022-03-14 -2162400.000000 USD 32762.100000 N N N N/A N/A 000000000 934.000000 NC USD -1096504.100000 -0.0161821 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A Soybean Meal 2022-01-14 30915400.000000 USD -1096504.100000 N N N N/A N/A 000000000 -95.000000 NC USD 135838.610000 0.0020047 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A Soybean Meal 2022-03-14 -3167300.000000 USD 135838.610000 N N N N/A N/A 000000000 -83.000000 NC USD -67763.510000 -0.0010000 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A Soybean Oil 2022-01-14 -2915790.000000 USD -67763.510000 N N N N/A N/A 000000000 -33.000000 NC USD -13769.450000 -0.0002032 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A Soybean Oil 2022-03-14 -1153746.000000 USD -13769.450000 N N N N/A N/A 000000000 1.000000 NC 5400.340000 0.0000797 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1900245.000000 USD 12354974.940000 CNY 2021-12-15 5400.340000 N N N N/A N/A 000000000 1.000000 NC 702.610000 0.0000104 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 194614.000000 USD 1266645.220000 CNY 2021-12-15 702.610000 N N N N/A N/A 000000000 1.000000 NC -32759.610000 -0.0004835 N/A DFE GB N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 1960889.280000 USD 1431000.000000 GBP 2021-10-04 -32759.610000 N N N N/A N/A 000000000 1.000000 NC -11122.240000 -0.0001641 N/A DFE ID N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 2213083.000000 USD 31788724212.000000 IDR 2021-12-15 -11122.240000 N N N N/A N/A 000000000 1.000000 NC -772.570000 -0.0000114 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 84843.000000 USD 6291023.610000 INR 2021-12-15 -772.570000 N N N N/A N/A 000000000 1.000000 NC -19648.530000 -0.0002900 N/A DFE NZ N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 994422.460000 USD 1412000.000000 NZD 2021-10-04 -19648.530000 N N N N/A N/A 000000000 1.000000 NC 1091.850000 0.0000161 N/A DFE RU N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 61023.420000 USD 4532795.000000 RUB 2021-10-22 1091.850000 N N N N/A N/A 000000000 1.000000 NC -56410.460000 -0.0008325 N/A DFE SE N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 3866511.940000 USD 33345000.000000 SEK 2021-11-17 -56410.460000 N N N N/A N/A 000000000 1.000000 NC 27634.510000 0.0004078 N/A DFE AU N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 11852932.000000 AUD 8596708.740000 USD 2021-10-05 27634.510000 N N N N/A N/A 000000000 1.000000 NC 3659.360000 0.0000540 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 162000.000000 EUR 191312.040000 USD 2021-10-04 3659.360000 N N N N/A N/A 000000000 1.000000 NC 2112906.090000 0.0311820 N/A DFE GB N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 91921000.000000 GBP 125967279.080000 USD 2021-10-04 2112906.090000 N N N N/A N/A 000000000 1.000000 NC 380704.600000 0.0056184 N/A DFE GB N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 22934000.000000 GBP 31281980.590000 USD 2021-10-04 380704.600000 N N N N/A N/A 000000000 1.000000 NC 1370.170000 0.0000202 N/A DFE KR N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 91718024.000000 KRW 78734.000000 USD 2021-12-15 1370.170000 N N N N/A N/A 000000000 -3.000000 NC USD 0.000000 0.0000000 N/A DCO US N 3 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A COM FWD EUROBOBCO 4Q21 1.00 12/31/21 GST 2021-12-31 0.000000 USD 0.000000 USD N/A USD N/A 1.000000 USD 2021-12-31 XXXX 2640.000000 N N N N/A N/A 000000000 -3.000000 NC USD -7379.300000 -0.0001089 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 EUROBOBCO 4Q21 4.00 12/31/21 GST 2021-12-31 0.000000 USD 0.000000 USD N/A USD N/A 4.000000 USD 2021-12-31 XXXX -4739.300000 N N N N/A N/A 000000000 11760000.000000 NC 1663023.430000 0.0245427 N/A DIR DE N 2 BNP Paribas S.A. N/A Put Purchased BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 0.19700 11/08/22-30Y LCH 2052-11-08 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.200000 EUR 2022-11-04 XXXX 767185.190000 N N N N/A N/A 000000000 -35210000.000000 NC -1615994.940000 -0.0238486 N/A DIR 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 DIR N/A IRS EUR R 0.00000 11/08/22-10Y LCH 2032-11-08 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.000000 EUR 2022-11-04 XXXX -742021.900000 N N N N/A N/A 000000000 -194500000.000000 NC -48709.660000 -0.0007189 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 -0.52600 11/21/22-1Y (RED) LCH 2023-11-21 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.530000 EUR 2022-11-17 XXXX 253617.520000 N N N N/A N/A 000000000 5740000.000000 NC 811713.830000 0.0119792 N/A DIR DE N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 0.19700 11/08/22-30Y LCH 2052-11-08 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.200000 EUR 2022-11-04 XXXX 383253.560000 N N N N/A N/A 000000000 -17190000.000000 NC -788950.660000 -0.0116432 N/A DIR DE N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 0.00000 11/08/22-10Y LCH 2032-11-08 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.000000 EUR 2022-11-04 XXXX -367825.410000 N N N BABSON EURO CLO 2015-1A BV N/A ACI0Y8ZQ5 222311.820000 PA 257480.880000 0.0037999 Long ABS-CBDO CORP IE N 2 2029-10-25 Floating 0.271 N N N N N N N/A N/A 000000000 8600000.000000 NC 1228706.480000 0.0181331 N/A DIR DE N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 0.19000 11/04/22-30Y LCH 2052-11-04 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.190000 EUR 2022-11-02 XXXX 601468.740000 N N N N/A N/A 000000000 -25800000.000000 NC -1179159.430000 -0.0174019 N/A DIR DE N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put 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 11/04/22-10Y LCH 2032-11-04 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.000000 EUR 2022-11-02 XXXX -553312.460000 N N N BABSON EURO CLO 2016-1 BV 16-1A N/A ACI13K096 1005762.370000 PA 1166609.270000 0.0172167 Long ABS-CBDO CORP IE N 2 2030-07-27 Floating 0.68 N N N N N N N/A N/A 000000000 8950000.000000 NC 1267602.460000 0.0187071 N/A DIR DE N 2 BNP Paribas S.A. N/A Put Purchased BNP Paribas S.A. N/A N/A N/A 000000000 0.000000 NC 0.000000 0.000000 DIR N/A IRS EUR R 0.19500 11/04/22-30Y LCH 2052-11-04 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.200000 EUR 2022-11-02 XXXX 1260868.490000 N N N N/A N/A 000000000 -26900000.000000 NC -1229433.670000 -0.0181438 N/A DIR 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 DIR N/A IRS EUR R 0.00000 11/04/22-10Y LCH 2032-11-04 0.000000 EUR 0.000000 EUR N/A EUR N/A 0.000000 EUR 2022-11-02 XXXX -1229433.670000 N N N BABSON EURO CLO 2016-1 BV 16-1A N/A ACI13K088 150864.360000 PA 174891.250000 0.0025810 Long ABS-CBDO CORP IE N 2 2030-07-27 Fixed 1.05 N N N N N N N/A N/A 000000000 1.000000 NC USD 22050.520000 0.0003254 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Petroleum Y Single Leg Swap 2022-06-30 0.000000 USD 0.000000 USD 11400.000000 USD 22050.520000 N N N N/A N/A 000000000 1.000000 NC USD 116402.660000 0.0017179 N/A DCO US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A Petroleum Y Single Leg Swap 2022-03-31 69759.000000 USD 0.000000 USD 84000.000000 USD 46643.660000 N N N N/A N/A 000000000 1.000000 NC USD -27250.880000 -0.0004022 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A Petroleum Y Single Leg Swap 2022-03-31 0.000000 USD 0.000000 USD 20100.000000 USD -27250.880000 N N N N/A N/A 000000000 1.000000 NC USD 7743.890000 0.0001143 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 N/A Petroleum Y Single Leg Swap 2022-03-31 0.000000 USD 0.000000 USD 18600.000000 USD 7743.890000 N N N N/A N/A 000000000 1.000000 NC USD 4662.990000 0.0000688 N/A DCO US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD -1200.000000 USD 2400.000000 USD 5862.990000 N N N N/A N/A 000000000 1.000000 NC USD 35555.330000 0.0005247 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD -3073.290000 USD 18300.000000 USD 38628.620000 N N N N/A N/A 000000000 1.000000 NC USD 4310.010000 0.0000636 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 900.000000 USD 4310.010000 N N N N/A N/A 000000000 1.000000 NC USD 109720.660000 0.0016192 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 23400.000000 USD 109720.660000 N N N N/A N/A 000000000 1.000000 NC USD 11064.390000 0.0001633 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 2550.000000 USD 11064.390000 N N N N/A N/A 000000000 1.000000 NC USD 3887.080000 0.0000574 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 900.000000 USD 3887.080000 N N N N/A N/A 000000000 1.000000 NC USD 12866.950000 0.0001899 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 3000.000000 USD 12866.950000 N N N N/A N/A 000000000 1.000000 NC USD 6260.310000 0.0000924 N/A DCO US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD -10575.000000 USD 3750.000000 USD 16835.310000 N N N N/A N/A 000000000 1.000000 NC USD 9241.300000 0.0001364 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 -16580.590000 USD 6420.000000 USD 25821.890000 N N N N/A N/A 000000000 1.000000 NC USD 20997.880000 0.0003099 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Petroleum Y Single Leg Swap 2022-06-30 0.000000 USD 0.000000 USD 10800.000000 USD 20997.880000 N N N N/A N/A 000000000 1.000000 NC USD 35163.570000 0.0005189 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 35163.570000 N N N N/A N/A 000000000 1.000000 NC USD 5182.270000 0.0000765 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 5182.270000 N N N N/A N/A 000000000 1.000000 NC USD 59543.320000 0.0008787 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD -126293.450000 USD 20400.000000 USD 185836.770000 N N N N/A N/A 000000000 1.000000 NC USD 5217.830000 0.0000770 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 1800.000000 USD 5217.830000 N N N N/A N/A 000000000 1.000000 NC USD 785.650000 0.0000116 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 300.000000 USD 785.650000 N N N N/A N/A 000000000 1.000000 NC USD 7556.570000 0.0001115 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 3000.000000 USD 7556.570000 N N N N/A N/A 000000000 1.000000 NC USD 6126.020000 0.0000904 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 2700.000000 USD 6126.020000 N N N N/A N/A 000000000 1.000000 NC USD 3178.380000 0.0000469 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 1500.000000 USD 3178.380000 N N N N/A N/A 000000000 1.000000 NC USD 4344.760000 0.0000641 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 2100.000000 USD 4344.760000 N N N N/A N/A 000000000 1.000000 NC USD 11223.000000 0.0001656 N/A DCO US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD -45600.000000 USD 5700.000000 USD 56823.000000 N N N N/A N/A 000000000 1.000000 NC USD 394.630000 0.0000058 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 1800.000000 USD 394.630000 N N N N/A N/A 000000000 1.000000 NC USD 4823.480000 0.0000712 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 -221292.790000 USD 28500.000000 USD 226116.270000 N N N N/A N/A 000000000 1.000000 NC USD 420353.380000 0.0062035 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A GOLD 100 OZ FUTR Dec11 Y Single Leg Swap 2021-11-24 0.000000 USD 0.000000 USD 9800.000000 USD 420353.380000 N N N N/A N/A 000000000 1.000000 NC USD -87028.340000 -0.0012844 N/A DCO US N 2 MERRILL LYNCH INTERNATIONAL GGDZP1UYGU9STUHRDP48 LONDON GOLD MKT FIX LTD PM N/A N/A Y Single Leg Swap 2021-11-29 0.000000 USD 0.000000 USD 4800.000000 USD -87028.340000 N N N N/A N/A 000000000 1.000000 NC USD -9561.350000 -0.0001411 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 LONDON GOLD MKT FIX LTD PM N/A N/A Y Single Leg Swap 2021-11-29 0.000000 USD 0.000000 USD 500.000000 USD -9561.350000 N N N N/A N/A 000000000 1.000000 NC USD -16145.980000 -0.0002383 N/A DCO US N 2 Canadian Imperial Bank of Commerce 2IGI19DL77OX0HC3ZE78 LONDON GOLD MKT FIX LTD PM N/A N/A Y Single Leg Swap 2021-11-29 0.000000 USD 0.000000 USD 800.000000 USD -16145.980000 N N N N/A N/A 000000000 1.000000 NC USD -115943.540000 -0.0017111 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 LONDON GOLD MKT FIX LTD PM N/A N/A Y Single Leg Swap 2022-11-29 0.000000 USD 0.000000 USD 900.000000 USD -115943.540000 N N N N/A N/A 000000000 1.000000 NC USD -12478.190000 -0.0001842 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 1500.000000 USD -12478.190000 N N N N/A N/A 000000000 1.000000 NC USD 9349.100000 0.0001380 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 1500.000000 USD 9349.100000 N N N N/A N/A 000000000 1.000000 NC USD 7294.440000 0.0001077 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 1500.000000 USD 7294.440000 N N N N/A N/A 000000000 1.000000 NC USD 8952.130000 0.0001321 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 1860.000000 USD 9319.250000 N N N N/A N/A 000000000 1.000000 NC USD 38722.610000 0.0005715 N/A DCO US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD -3825.000000 USD 8340.000000 USD 42547.610000 N N N N/A N/A 000000000 1.000000 NC USD 12189.290000 0.0001799 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 3000.000000 USD 12189.290000 N N N N/A N/A 000000000 1.000000 NC USD -26041.470000 -0.0003843 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 8700.000000 USD -26041.470000 N N N N/A N/A 000000000 1.000000 NC USD -17059.780000 -0.0002518 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 -17059.780000 N N N N/A N/A 000000000 1.000000 NC USD 1676.540000 0.0000247 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 3000.000000 USD 1676.540000 N N N N/A N/A 000000000 1.000000 NC USD 1844.190000 0.0000272 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 3300.000000 USD 1844.190000 N N N N/A N/A 000000000 1.000000 NC USD -555.500000 -0.0000082 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 0.000000 USD 5100.000000 USD -555.500000 N N N N/A N/A 000000000 1.000000 NC USD 1.270000 0.0000000 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 1.270000 N N N N/A N/A 000000000 1.000000 NC USD 7077.380000 0.0001044 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Petroleum Y Single Leg Swap 2022-12-31 0.000000 USD 0.000000 USD 12000.000000 USD 7077.380000 N N N N/A N/A 000000000 1.000000 NC USD 7785.120000 0.0001149 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Petroleum Y Single Leg Swap 2022-12-31 0.000000 USD 0.000000 USD 13200.000000 USD 7785.120000 N N N N/A N/A 000000000 1.000000 NC USD 8309.670000 0.0001226 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Petroleum Y Single Leg Swap 2022-12-31 0.000000 USD 0.000000 USD 8400.000000 USD 8309.670000 N N N N/A N/A 000000000 1.000000 NC USD 10826.290000 0.0001598 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 N/A Petroleum Y Single Leg Swap 2022-12-31 2436.000000 USD 0.000000 USD 8400.000000 USD 8390.290000 N N N N/A N/A 000000000 1.000000 NC USD 7788.070000 0.0001149 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A Petroleum Y Single Leg Swap 2022-06-30 0.000000 USD 0.000000 USD 13200.000000 USD 7788.070000 N N N N/A N/A 000000000 1.000000 NC USD 2303.870000 0.0000340 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A Petroleum Y Single Leg Swap 2022-06-30 0.000000 USD 0.000000 USD 3600.000000 USD 2303.870000 N N N N/A N/A 000000000 1.000000 NC USD 3875.550000 0.0000572 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A Petroleum Y Single Leg Swap 2022-12-31 0.000000 USD 0.000000 USD 6600.000000 USD 3875.550000 N N N N/A N/A 000000000 1.000000 NC USD 4237.960000 0.0000625 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A Petroleum Y Single Leg Swap 2022-12-31 0.000000 USD 0.000000 USD 7200.000000 USD 4237.960000 N N N N/A N/A 000000000 1.000000 NC USD 516.020000 0.0000076 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 900.000000 USD 516.020000 N N N N/A N/A 000000000 1.000000 NC USD 4977.740000 0.0000735 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 3900.000000 USD 4977.740000 N N N N/A N/A 000000000 1.000000 NC USD 826.770000 0.0000122 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Petroleum Y Single Leg Swap 2022-12-31 0.000000 USD 0.000000 USD 3600.000000 USD 826.770000 N N N N/A N/A 000000000 1.000000 NC USD 1677.550000 0.0000248 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Petroleum Y Single Leg Swap 2022-12-31 0.000000 USD 0.000000 USD 6000.000000 USD 1677.550000 N N N N/A N/A 000000000 1.000000 NC USD 5703.680000 0.0000842 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Petroleum Y Single Leg Swap 2022-12-31 0.000000 USD 0.000000 USD 20400.000000 USD 5703.680000 N N N N/A N/A 000000000 1.000000 NC USD 1725.530000 0.0000255 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Petroleum Y Single Leg Swap 2022-12-31 0.000000 USD 0.000000 USD 4800.000000 USD 1725.530000 N N N N/A N/A 000000000 1.000000 NC USD 11383.740000 0.0001680 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A Petroleum Y Single Leg Swap 2022-12-31 0.000000 USD 0.000000 USD 30000.000000 USD 11383.740000 N N N N/A N/A 000000000 1.000000 NC USD 1821.400000 0.0000269 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 N/A Petroleum Y Single Leg Swap 2022-12-31 0.000000 USD 0.000000 USD 4800.000000 USD 1821.400000 N N N N/A N/A 000000000 1.000000 NC USD 5464.200000 0.0000806 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Petroleum Y Single Leg Swap 2022-12-31 0.000000 USD 0.000000 USD 14400.000000 USD 5464.200000 N N N N/A N/A 000000000 1.000000 NC USD 3930.410000 0.0000580 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Petroleum Y Single Leg Swap 2022-12-31 0.000000 USD 0.000000 USD 9600.000000 USD 3930.410000 N N N N/A N/A 000000000 1.000000 NC USD 4637.420000 0.0000684 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Petroleum Y Single Leg Swap 2022-12-31 0.000000 USD 0.000000 USD 10800.000000 USD 4637.420000 N N N N/A N/A 000000000 1.000000 NC USD 4218.030000 0.0000622 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Petroleum Y Single Leg Swap 2022-12-31 0.000000 USD 0.000000 USD 9600.000000 USD 4218.030000 N N N N/A N/A 000000000 1.000000 NC USD 3642.960000 0.0000538 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Petroleum Y Single Leg Swap 2022-12-31 0.000000 USD 0.000000 USD 4800.000000 USD 3642.960000 N N N N/A N/A 000000000 1.000000 NC USD 22648.800000 0.0003342 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A Petroleum Y Single Leg Swap 2022-12-31 0.000000 USD -107.520000 USD 25200.000000 USD 22756.320000 N N N N/A N/A 000000000 1.000000 NC USD -8669.130000 -0.0001279 N/A DCO US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD -256.000000 USD 6400.000000 USD -8413.130000 N N N N/A N/A 000000000 1.000000 NC USD -1352.550000 -0.0000200 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 2200.000000 USD -1352.550000 N N N N/A N/A 000000000 1.000000 NC -78506.760000 -0.0011586 N/A DCO GB N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Natural Gas Y Single Leg Swap 2022-03-31 0.000000 GBP 0.000000 GBP 1980000.000000 GBP -78506.760000 N N N N/A N/A 000000000 1.000000 NC -44027.550000 -0.0006498 N/A DCO GB N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Natural Gas Y Single Leg Swap 2022-03-31 0.000000 GBP 0.000000 GBP 1170000.000000 GBP -44027.550000 N N N N/A N/A 000000000 1.000000 NC -59513.290000 -0.0008783 N/A DCO GB N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Natural Gas Y Single Leg Swap 2022-03-31 0.000000 GBP 0.000000 GBP 1710000.000000 GBP -59513.290000 N N N N/A N/A 000000000 1.000000 NC -6568.840000 -0.0000969 N/A DCO GB N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Natural Gas Y Single Leg Swap 2022-09-30 0.000000 GBP 0.000000 GBP 549000.000000 GBP -6568.840000 N N N N/A N/A 000000000 1.000000 NC -13679.980000 -0.0002019 N/A DCO GB N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Natural Gas Y Single Leg Swap 2021-12-31 0.000000 GBP 0.000000 GBP 276000.000000 GBP -13679.980000 N N N N/A N/A 000000000 1.000000 NC -9338.020000 -0.0001378 N/A DCO GB N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A Natural Gas Y Single Leg Swap 2022-03-31 0.000000 GBP 0.000000 GBP 182000.000000 GBP -9338.020000 N N N N/A N/A 000000000 1.000000 NC -26543.860000 -0.0003917 N/A DCO GB N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Natural Gas Y Single Leg Swap 2022-03-31 0.000000 GBP 0.000000 GBP 546000.000000 GBP -26543.860000 N N N N/A N/A 000000000 1.000000 NC -26176.310000 -0.0003863 N/A DCO GB N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Natural Gas Y Single Leg Swap 2022-03-31 0.000000 GBP 0.000000 GBP 546000.000000 GBP -26176.310000 N N N N/A N/A 000000000 1.000000 NC -17450.880000 -0.0002575 N/A DCO GB N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Natural Gas Y Single Leg Swap 2022-03-31 0.000000 GBP 0.000000 GBP 364000.000000 GBP -17450.880000 N N N N/A N/A 000000000 1.000000 NC -17107.830000 -0.0002525 N/A DCO GB N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Natural Gas Y Single Leg Swap 2022-03-31 0.000000 GBP 0.000000 GBP 364000.000000 GBP -17107.830000 N N N N/A N/A 000000000 1.000000 NC -25588.240000 -0.0003776 N/A DCO GB N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Natural Gas Y Single Leg Swap 2022-03-31 0.000000 GBP 0.000000 GBP 546000.000000 GBP -25588.240000 N N N N/A N/A 000000000 1.000000 NC -32941.500000 -0.0004861 N/A DCO GB N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Natural Gas Y Single Leg Swap 2022-03-31 0.000000 GBP 0.000000 GBP 728000.000000 GBP -32941.500000 N N N N/A N/A 000000000 1.000000 NC -24338.580000 -0.0003592 N/A DCO GB N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Natural Gas Y Single Leg Swap 2022-03-31 0.000000 GBP 0.000000 GBP 546000.000000 GBP -24338.580000 N N N N/A N/A 000000000 1.000000 NC -23971.030000 -0.0003538 N/A DCO GB N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Natural Gas Y Single Leg Swap 2022-03-31 0.000000 GBP 0.000000 GBP 546000.000000 GBP -23971.030000 N N N N/A N/A 000000000 1.000000 NC 15398.060000 0.0002272 N/A DCO GB N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A Natural Gas Y Single Leg Swap 2021-10-31 0.000000 GBP 0.000000 GBP 248000.000000 GBP 15398.060000 N N N N/A N/A 000000000 1.000000 NC 3598.920000 0.0000531 N/A DCO GB N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Natural Gas Y Single Leg Swap 2021-10-31 0.000000 GBP 0.000000 GBP 62000.000000 GBP 3598.920000 N N N N/A N/A 000000000 1.000000 NC 13727.400000 0.0002026 N/A DCO GB N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Natural Gas Y Single Leg Swap 2021-10-31 0.000000 GBP 0.000000 GBP 248000.000000 GBP 13727.400000 N N N N/A N/A 000000000 1.000000 NC 12926.830000 0.0001908 N/A DCO GB N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Natural Gas Y Single Leg Swap 2021-10-31 0.000000 GBP 0.000000 GBP 186000.000000 GBP 12926.830000 N N N N/A N/A 000000000 1.000000 NC 10121.480000 0.0001494 N/A DCO GB N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Natural Gas Y Single Leg Swap 2021-10-31 0.000000 GBP 0.000000 GBP 124000.000000 GBP 10121.480000 N N N N/A N/A 000000000 1.000000 NC 2843.620000 0.0000420 N/A DCO GB N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Natural Gas Y Single Leg Swap 2021-10-31 0.000000 GBP 0.000000 GBP 31000.000000 GBP 2843.620000 N N N N/A N/A 000000000 1.000000 NC USD 8935.030000 0.0001319 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 1500.000000 USD 8935.030000 N N N N/A N/A 000000000 1.000000 NC USD 17435.120000 0.0002573 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 3000.000000 USD 17435.120000 N N N N/A N/A 000000000 1.000000 NC USD 3201.370000 0.0000472 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 900.000000 USD 3201.370000 N N N N/A N/A 000000000 1.000000 NC USD 10251.310000 0.0001513 N/A DCO US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD -6756.000000 USD 3000.000000 USD 17007.310000 N N N N/A N/A 000000000 1.000000 NC USD 439307.870000 0.0064832 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A BCOM Y Single Leg Swap 2022-01-14 120472.570000 USD 0.000000 USD 1829285.940000 USD 318835.300000 N N N N/A N/A 000000000 1.000000 NC USD -477812.260000 -0.0070515 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A BCOM Y Single Leg Swap 2021-12-14 0.000000 USD 0.000000 USD 16666682.250000 USD -477812.260000 N N N N/A N/A 000000000 1.000000 NC USD 1079050.410000 0.0159245 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A BCOM Y Single Leg Swap 2022-01-18 817493.000000 USD 0.000000 USD 4275472.810000 USD 261557.410000 N N N N/A N/A 000000000 1.000000 NC USD 164581.620000 0.0024289 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A BCOM Y Single Leg Swap 2022-03-02 28716.590000 USD 0.000000 USD 899915.620000 USD 135865.030000 N N N N/A N/A 000000000 1.000000 NC USD 208714.450000 0.0030802 N/A DCO US N 2 UBS AG BFM8T61CT2L1QCEMIK50 N/A BCOM Y Single Leg Swap 2022-03-02 33274.880000 USD 0.000000 USD 1163000.280000 USD 175439.570000 N N N N/A N/A 000000000 1.000000 NC USD 22192.940000 0.0003275 N/A DCO US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 COMM SWAP BCOMF1NTC BPS BCOMF1NTC Y Single Leg Swap 2022-02-15 0.000000 USD 0.000000 USD 20170321.520000 USD 22192.940000 N N N N/A N/A 000000000 1.000000 NC USD -437095.620000 -0.0064506 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 COMM SWAP CMDSKEWLS GST ABGS1042 Y Single Leg Swap 2022-02-15 0.000000 USD 0.000000 USD 22928058.950000 USD -437095.620000 N N N N/A N/A 000000000 1.000000 NC USD 77496.940000 0.0011437 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 COMM SWAP PIMCODB MAC PIMCODB1 Y Single Leg Swap 2022-02-15 0.000000 USD 0.000000 USD 12856663.560000 USD 77496.940000 N N N N/A N/A 000000000 1.000000 NC USD 4429861.660000 0.0653753 N/A DCO US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 COMM SWAP TBL/BCOMF1TC BPS BCOMF1TCD Y 2022-02-15 0.000000 USD 0.000000 USD 343730866.710000 USD 4429861.660000 N N N N/A N/A 000000000 1.000000 NC USD 4970573.310000 0.0733550 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 COMM SWAP TBL/BCOMF1TC GST BCOMF1TCA Y 2022-02-15 0.000000 USD 0.000000 USD 385677990.610000 USD 4970573.310000 N N N N/A N/A 000000000 1.000000 NC USD 12270219.010000 0.1810822 N/A DCO US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A US Treasury H15 Treasury Bill 3 Month Auction Avg Discount Y 2022-02-15 0.000000 USD -427366.650000 USD 1044645263.060000 USD 12697585.660000 N N N N/A N/A 000000000 1.000000 NC USD 1992434.540000 0.0294041 N/A DCO US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A US Treasury H15 Treasury Bill 3 Month Auction Avg Discount Y 2022-02-15 0.000000 USD 0.000000 USD 169629205.110000 USD 1992434.540000 N N N N/A N/A 000000000 1.000000 NC USD 1001848.110000 0.0147851 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 2022-02-15 0.000000 USD 0.000000 USD 85293987.820000 USD 1001848.110000 N N N N/A N/A 000000000 1.000000 NC USD 3442775.380000 0.0508080 N/A DCO US N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 N/A US Treasury H15 Treasury Bill 3 Month Auction Avg Discount Y 2022-02-15 0.000000 USD 0.000000 USD 292898453.780000 USD 3442775.380000 N N N N/A N/A 000000000 1.000000 NC USD 7030923.090000 0.1037614 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A US Treasury H15 Treasury Bill 3 Month Auction Avg Discount Y 2022-02-15 0.000000 USD -550478.550000 USD 598802317.990000 USD 7581401.640000 N N N N/A N/A 000000000 1.000000 NC USD 10229497.060000 0.1509655 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 2022-02-15 0.000000 USD 0.000000 USD 871214258.550000 USD 10229497.060000 N N N N/A N/A 000000000 1.000000 NC USD 590643.700000 0.0087166 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 N/A US Treasury H15 Treasury Bill 3 Month Auction Avg Discount Y 2022-02-15 0.000000 USD 0.000000 USD 50303276.010000 USD 590643.700000 N N N N/A N/A 000000000 1.000000 NC USD 3462479.080000 0.0510988 N/A DCO US N 2 MERRILL LYNCH INTERNATIONAL GGDZP1UYGU9STUHRDP48 N/A US Treasury H15 Treasury Bill 3 Month Auction Avg Discount Y 2022-02-15 0.000000 USD 0.000000 USD 294783860.460000 USD 3462479.080000 N N N N/A N/A 000000000 1.000000 NC USD 1921257.500000 0.0283537 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A US Treasury H15 Treasury Bill 3 Month Auction Avg Discount Y 2022-02-15 0.000000 USD 0.000000 USD 163511392.710000 USD 1921257.500000 N N N N/A N/A 000000000 1.000000 NC USD 2819568.910000 0.0416108 N/A DCO US N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 N/A US Treasury H15 Treasury Bill 3 Month Auction Avg Discount Y 2022-02-15 0.000000 USD 0.000000 USD 240133865.710000 USD 2819568.910000 N N N N/A N/A 000000000 1.000000 NC USD 1025075.150000 0.0151279 N/A DCO US N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 N/A US Treasury H15 Treasury Bill 3 Month Auction Avg Discount Y 2022-02-15 0.000000 USD 0.000000 USD 87147753.470000 USD 1025075.150000 N N N N/A N/A 000000000 1.000000 NC USD 464713.530000 0.0068582 N/A DCO US N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 N/A US Treasury H15 Treasury Bill 3 Month Auction Avg Discount Y 2022-02-15 0.000000 USD 0.000000 USD 39557131.430000 USD 464713.530000 N N N N/A N/A 000000000 1.000000 NC USD 749852.660000 0.0110662 N/A DCO US N 2 UBS AG BFM8T61CT2L1QCEMIK50 N/A US Treasury H15 Treasury Bill 3 Month Auction Avg Discount Y 2022-02-15 0.000000 USD 0.000000 USD 63862603.240000 USD 749852.660000 N N N N/A N/A 000000000 1.000000 NC USD 3038617.670000 0.0448435 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 COMM SWAP TBL/BCOMTR1 GST BCOMTR1F Y 2022-02-15 0.000000 USD 0.000000 USD 258881326.430000 USD 3038617.670000 N N N N/A N/A 000000000 1.000000 NC USD 1498999.240000 0.0221220 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 COMM SWAP TBL/BCOMTR1 MAC BCOMTR3E Y 2022-02-15 0.000000 USD 0.000000 USD 127657730.830000 USD 1498999.240000 N N N N/A N/A 000000000 1.000000 NC USD 2136322.850000 0.0315276 N/A DCO US N 2 MERRILL LYNCH INTERNATIONAL GGDZP1UYGU9STUHRDP48 COMM SWAP TBL/BCOMTR1 MEI BCOMTR1G Y 2022-02-15 0.000000 USD 0.000000 USD 181877751.130000 USD 2136322.850000 N N N N/A N/A 000000000 1.000000 NC USD 1406814.820000 0.0207616 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 COMM SWAP TBL/BCOMTR1 MYC BCOMTR1I Y 2022-02-15 0.000000 USD 0.000000 USD 119897613.760000 USD 1406814.820000 N N N N/A N/A 000000000 1.000000 NC USD 2085709.540000 0.0307806 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 COMM SWAP TBL/BCOMTR2 GST BCOMTR2D Y 2022-02-15 0.000000 USD 0.000000 USD 172984643.190000 USD 2085709.540000 N N N N/A N/A 000000000 1.000000 NC USD 2756800.260000 0.0406845 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 COMM SWAP TBL/BCOMTR2 MAC BCOMTR2C Y 2022-02-15 0.000000 USD 0.000000 USD 227305037.260000 USD 2756800.260000 N N N N/A N/A 000000000 1.000000 NC USD 1228864.580000 0.0181354 N/A DCO US N 2 MERRILL LYNCH INTERNATIONAL GGDZP1UYGU9STUHRDP48 COMM SWAP TBL/BCOMTR2 MEI BCOMTR2E Y 2022-02-15 0.000000 USD 0.000000 USD 104850270.640000 USD 1228864.580000 N N N N/A N/A 000000000 1.000000 NC USD 1939477.640000 0.0286225 N/A DCO US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A US Treasury H15 Treasury Bill 3 Month Auction Avg Discount Y 2022-02-15 0.000000 USD 0.000000 USD 162046033.110000 USD 1939477.640000 N N N N/A N/A 000000000 1.000000 NC USD 708940.320000 0.0104624 N/A DCO US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 COMM SWAP TBL/RBCAEC0T RBC RBCAEC0T Y 2022-02-15 0.000000 USD 0.000000 USD 60615675.410000 USD 708940.320000 N N N N/A N/A 000000000 1.000000 NC USD 374020.660000 0.0055197 N/A DCO US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 COMM SWAP TBL/RBCAECR1 RBC RBCAECR1 Y 2022-02-15 0.000000 USD 0.000000 USD 29876634.740000 USD 374020.660000 N N N N/A N/A 000000000 1.000000 NC USD 3588384.760000 0.0529569 N/A DCO US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 N/A US Treasury H15 Treasury Bill 3 Month Auction Avg Discount Y 2022-02-15 0.000000 USD 0.000000 USD 306820458.900000 USD 3588384.760000 N N N N/A N/A 000000000 1.000000 NC -2521741.270000 -0.0372155 N/A DIR N/A N 2 London Clearing house N/A Eurostat Eurozone HICP Ex Tob N/A N/A Y 2031-03-15 0.000000 EUR -231733.770000 EUR 32100000.000000 EUR -2290007.500000 N N N N/A N/A 000000000 1.000000 NC 3578.450000 0.0000528 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 10512.630000 N N N N/A N/A 000000000 1.000000 NC 44595.720000 0.0006581 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 37705.900000 N N N N/A N/A 000000000 1.000000 NC 129928.670000 0.0019175 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 132440.850000 N N N N/A N/A 000000000 1.000000 NC 257202.790000 0.0037958 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 257202.790000 N N N N/A N/A 000000000 1.000000 NC 362791.420000 0.0053540 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 346582.740000 N N N N/A N/A 000000000 1.000000 NC -823524.940000 -0.0121535 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2022-03-15 0.000000 GBP -277.010000 GBP 19900000.000000 GBP -823247.930000 N N N N/A N/A 000000000 1.000000 NC -1729927.400000 -0.0255300 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 -1965616.270000 N N N N/A N/A 000000000 1.000000 NC -5024078.370000 -0.0741447 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2025-01-15 3341017.390000 GBP 0.000000 GBP 112300000.000000 GBP -8365095.760000 N N N N/A N/A 000000000 1.000000 NC -1097389.470000 -0.0161951 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2030-05-15 24682.000000 GBP 0.000000 GBP 10200000.000000 GBP -1122071.470000 N N N BAIN CAPITAL EURO 2018-2 DAC 18-2A N/A ACI1WTQT3 6700000.000000 PA 7774486.850000 0.1147348 Long ABS-CBDO CORP IE N 2 2032-01-20 Floating 0.74 N N N N N N N/A N/A 000000000 1.000000 NC -4126832.020000 -0.0609032 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 -4107193.270000 N N N N/A N/A 000000000 1.000000 NC -976532.620000 -0.0144115 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2022-02-15 0.000000 GBP 0.000000 GBP 24600000.000000 GBP -976532.620000 N N N N/A N/A 000000000 1.000000 NC -1491998.660000 -0.0220187 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2030-01-15 213933.440000 GBP 0.000000 GBP 20000000.000000 GBP -1705932.100000 N N N N/A N/A 000000000 1.000000 NC -497197.030000 -0.0073376 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2036-03-15 0.000000 GBP 0.000000 GBP 4300000.000000 GBP -497197.030000 N N N N/A N/A 000000000 1.000000 NC -1149815.780000 -0.0169688 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2036-03-15 0.000000 GBP -60151.240000 GBP 10300000.000000 GBP -1089664.540000 N N N N/A N/A 000000000 1.000000 NC -37279.830000 -0.0005502 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 -37279.830000 N N N N/A N/A 000000000 1.000000 NC -1724842.820000 -0.0254550 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2031-02-15 0.000000 GBP 0.000000 GBP 17800000.000000 GBP -1724842.820000 N N N N/A N/A 000000000 1.000000 NC -41411.190000 -0.0006111 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 -41411.190000 N N N N/A N/A 000000000 1.000000 NC -2695868.600000 -0.0397853 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2031-04-15 20630.710000 GBP 0.000000 GBP 35630000.000000 GBP -2716499.310000 N N N N/A N/A 000000000 1.000000 NC 182909.090000 0.0026993 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2031-09-15 0.000000 GBP 0.000000 GBP 19500000.000000 GBP 182909.090000 N N N N/A N/A 000000000 1.000000 NC 68955.510000 0.0010176 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2023-09-15 0.000000 GBP 0.000000 GBP 7400000.000000 GBP 68955.510000 N N N N/A N/A 000000000 1.000000 NC USD -1881846.450000 -0.0277720 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2021-11-04 0.000000 USD -4670.000000 USD 46700000.000000 USD -1877176.450000 N N N N/A N/A 000000000 1.000000 NC USD -472945.890000 -0.0069797 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2021-11-02 0.000000 USD 0.000000 USD 11900000.000000 USD -472945.890000 N N N N/A N/A 000000000 1.000000 NC USD 9287691.900000 0.1370665 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2027-08-24 0.000000 USD 0.000000 USD 90200000.000000 USD 9287691.900000 N N N N/A N/A 000000000 1.000000 NC USD 2225457.480000 0.0328430 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2027-08-25 0.000000 USD 0.000000 USD 21700000.000000 USD 2225457.480000 N N N N/A N/A 000000000 1.000000 NC USD 3828161.090000 0.0564955 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2027-08-27 0.000000 USD 0.000000 USD 40100000.000000 USD 3828161.090000 N N N N/A N/A 000000000 1.000000 NC USD -2863276.520000 -0.0422558 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 -2863276.520000 N N N N/A N/A 000000000 1.000000 NC USD -7837642.630000 -0.1156669 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 -7858422.360000 N N N N/A N/A 000000000 1.000000 NC USD 379823.520000 0.0056054 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 379823.520000 N N N N/A N/A 000000000 1.000000 NC USD -954086.950000 -0.0140803 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 -954086.950000 N N N N/A N/A 000000000 1.000000 NC USD 1895782.590000 0.0279777 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 1895782.590000 N N N N/A N/A 000000000 1.000000 NC USD 273708.350000 0.0040394 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 273708.350000 N N N N/A N/A 000000000 1.000000 NC USD 345758.290000 0.0051027 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 349667.420000 N N N N/A N/A 000000000 1.000000 NC USD 377254.850000 0.0055675 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 377254.850000 N N N N/A N/A 000000000 1.000000 NC USD 2064382.760000 0.0304659 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2031-02-24 0.000000 USD 0.000000 USD 34100000.000000 USD 2064382.760000 N N N N/A N/A 000000000 1.000000 NC USD -1269445.620000 -0.0187343 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 -1339137.040000 N N N N/A N/A 000000000 1.000000 NC USD -370441.360000 -0.0054669 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 -370441.360000 N N N N/A N/A 000000000 1.000000 NC USD -544313.620000 -0.0080329 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 -544313.620000 N N N N/A N/A 000000000 1.000000 NC USD -549054.740000 -0.0081029 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 -549054.740000 N N N N/A N/A 000000000 1.000000 NC USD 357190.400000 0.0052714 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2026-03-05 0.000000 USD 0.000000 USD 8100000.000000 USD 357190.400000 N N N N/A N/A 000000000 1.000000 NC USD -699940.140000 -0.0103296 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 287577.100000 N N N N/A N/A 000000000 1.000000 NC USD 258775.370000 0.0038190 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2026-06-01 0.000000 USD 0.000000 USD 10400000.000000 USD 258775.370000 N N N N/A N/A 000000000 1.000000 NC USD 239043.540000 0.0035278 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2026-05-25 1771.640000 USD 0.000000 USD 9590000.000000 USD 237271.900000 N N N N/A N/A 000000000 1.000000 NC USD 550682.360000 0.0081269 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2026-05-13 0.000000 USD 0.000000 USD 24600000.000000 USD 550682.360000 N N N N/A N/A 000000000 1.000000 NC USD 194638.580000 0.0028724 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2026-05-14 0.000000 USD 0.000000 USD 9800000.000000 USD 194638.580000 N N N BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2021-JACX N/A 05493LAA4 3100000.000000 PA USD 3107226.720000 0.0458560 Long ABS-MBS CORP US N 2 2038-09-15 Floating 1.15 N N N N N N N/A N/A 000000000 1.000000 NC -170576.290000 -0.0025173 N/A DIR N/A N 2 London Clearing house N/A N/A Euribor 3 Month ACT/360 Y 2023-11-21 0.000000 EUR 0.000000 EUR 97200000.000000 EUR -170576.290000 N N N N/A N/A 000000000 1.000000 NC -83555.060000 -0.0012331 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 -72890.220000 N N N N/A N/A 000000000 1.000000 NC -348647.680000 -0.0051453 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 -303493.040000 N N N BANC OF AMERICA FUNDING CORP 2005-D N/A 06051GDM8 16424.540000 PA USD 17064.190000 0.0002518 Long ABS-MBS CORP US N 2 2035-05-25 Floating 2.77754 N N N N N N BANC OF AMERICA FUNDING CORP 2005-E N/A 05946XXH1 80284.090000 PA USD 76500.130000 0.0011290 Long ABS-MBS CORP US N 2 2035-05-20 Floating 0.66738 Y N N N N N N/A N/A 000000000 1.000000 NC -1584513.010000 -0.0233840 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 -1675154.800000 N N N BANC OF AMERICA FUNDING CORP 2006-J N/A 05951EAC1 4447048.690000 PA USD 4384978.560000 0.0647129 Long ABS-MBS CORP US N 2 2047-01-20 Variable 3.16209 N N N N N N BANC OF AMERICA FUNDING CORP 2006-J N/A 05951EAM9 113121.300000 PA USD 109454.760000 0.0016153 Long ABS-MBS CORP US N 2 2047-01-20 Floating 3.41132 Y N N N N N N/A N/A 000000000 1.000000 NC USD -20390.180000 -0.0003009 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 -97689.690000 N N N N/A N/A 000000000 1.000000 NC USD -192472.470000 -0.0028405 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 -62454.580000 N N N N/A N/A 000000000 1.000000 NC USD -279349.830000 -0.0041226 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 -96592.200000 N N N BANC OF AMERICA FUNDING CORP 2007-C N/A 059522AV4 159763.620000 PA USD 161695.990000 0.0023863 Long ABS-MBS CORP US N 2 2036-05-20 Floating 3.05342 Y N N N N N N/A N/A 000000000 1.000000 NC -61046.560000 -0.0009009 N/A DFE AU N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 26002920.680000 USD 35883371.000000 AUD 2021-10-05 -61046.560000 N N N N/A N/A 000000000 1.000000 NC -417.480000 -0.0000062 N/A DFE CN N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 1729675.000000 USD 11211390.120000 CNY 2021-12-15 -417.480000 N N N N/A N/A 000000000 1.000000 NC 4814.660000 0.0000711 N/A DFE N/A N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 83268.580000 USD 76042.000000 EUR 2021-10-01 4814.660000 N N N N/A N/A 000000000 1.000000 NC -4493.750000 -0.0000663 N/A DFE ID N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 1107949.000000 USD 15930090722.000000 IDR 2021-12-15 -4493.750000 N N N N/A N/A 000000000 1.000000 NC 61024.160000 0.0009006 N/A DFE AU N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 35883371.000000 AUD 26006006.650000 USD 2021-11-02 61024.160000 N N N N/A N/A 000000000 1.000000 NC 14760.590000 0.0002178 N/A DFE CA N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 8204457.000000 CAD 6492260.580000 USD 2021-10-04 14760.590000 N N N N/A N/A 000000000 1.000000 NC 10091037.950000 0.1489222 N/A DFE N/A N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 441753102.410000 EUR 521795703.220000 USD 2021-10-04 10091037.950000 N N N N/A N/A 000000000 1.000000 NC 838536.690000 0.0123750 N/A DFE JP N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 8411915183.000000 JPY 76420684.880000 USD 2021-10-04 838536.690000 N N N N/A N/A 000000000 1.000000 NC -9849.030000 -0.0001454 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 6681533.690000 USD 9228421.000000 AUD 2021-10-05 -9849.030000 N N N N/A N/A 000000000 1.000000 NC 356.570000 0.0000053 N/A DFE RU N 2 UBS AG BFM8T61CT2L1QCEMIK50 17035.880000 USD 1275493.000000 RUB 2021-11-22 356.570000 N N N N/A N/A 000000000 1.000000 NC -106650.550000 -0.0015739 N/A DFE SE N 2 UBS AG BFM8T61CT2L1QCEMIK50 12069992.120000 USD 104700000.000000 SEK 2021-11-17 -106650.550000 N N N N/A N/A 000000000 1.000000 NC 9861.720000 0.0001455 N/A DFE AU N 2 UBS AG BFM8T61CT2L1QCEMIK50 9228421.000000 AUD 6682345.790000 USD 2021-11-02 9861.720000 N N N N/A N/A 000000000 1.000000 NC 66320.020000 0.0009787 N/A DFE GB N 2 UBS AG BFM8T61CT2L1QCEMIK50 2024000.000000 GBP 2793458.010000 USD 2021-10-04 66320.020000 N N N N/A N/A 000000000 -50.000000 NC USD -813200.000000 -0.0120011 N/A DCO 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 DCO GB N/A N/A LME COPPER FUTURE 12/19/22 2022-12-20 N/A USD N/A 8000.000000 USD 2022-12-07 XXXX -165725.000000 N N N N/A N/A 000000000 -50.000000 NC USD -206737.500000 -0.0030510 N/A DCO 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 DCO GB N/A N/A LME COPPER FUTURE 12/19/22 2022-12-20 N/A USD N/A 13000.000000 USD 2022-12-07 XXXX 203287.500000 N N N N/A N/A 000000000 48.000000 NC USD -165168.750000 -0.0024375 N/A DCO GB N 1 London Metals Exchange 213800NB8G5VRT1DXC91 Long N/A Lead 2022-01-17 2510400.000000 USD -165168.750000 N N N N/A N/A 000000000 35.000000 NC USD -253209.000000 -0.0037368 N/A DCO GB N 1 London Metals Exchange 213800NB8G5VRT1DXC91 Long N/A Nickel 2022-01-17 3765195.000000 USD -253209.000000 N N N N/A N/A 000000000 23.000000 NC USD -35118.750000 -0.0005183 N/A DCO GB N 1 London Metals Exchange 213800NB8G5VRT1DXC91 Long N/A Zinc 2022-01-17 1718100.000000 USD -35118.750000 N N N N/A N/A 000000000 -2000000.000000 NC USD -0.600000 0.0000000 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.5% OCT 30YR N/A 104.320000 USD 2021-10-07 XXXX 3593.150000 N N N N/A N/A 000000000 -1500000.000000 NC USD -0.020000 0.0000000 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% OCT 30YR N/A 102.670000 USD 2021-10-07 XXXX 3398.420000 N N N N/A N/A 000000000 -4400000.000000 NC USD -15853.640000 -0.0002340 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% DEC 30YR N/A 98.550000 USD 2021-12-06 XXXX 1333.860000 N N N N/A N/A 000000000 -4200000.000000 NC USD -17839.080000 -0.0002633 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% NOV 30YR N/A 100.220000 USD 2021-11-03 XXXX -2417.200000 N N N N/A N/A 000000000 -1400000.000000 NC USD -67.760000 -0.0000010 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% OCT 30YR N/A 101.190000 USD 2021-10-07 XXXX 9338.490000 N N N N/A N/A 000000000 -1600000.000000 NC USD -606.400000 -0.0000089 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% NOV 30YR N/A 101.560000 USD 2021-11-03 XXXX 3893.600000 N N N N/A N/A 000000000 -3800000.000000 NC USD -2.280000 0.0000000 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% OCT 30YR N/A 101.690000 USD 2021-10-07 XXXX 7716.470000 N N N N/A N/A 000000000 -1500000.000000 NC USD -987.900000 -0.0000146 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% NOV 30YR N/A 101.340000 USD 2021-11-03 XXXX 4637.100000 N N N N/A N/A 000000000 -1700000.000000 NC USD -698.530000 -0.0000103 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% NOV 30YR N/A 101.530000 USD 2021-11-03 XXXX 5742.880000 N N N N/A N/A 000000000 -4400000.000000 NC USD -17900.960000 -0.0002642 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% DEC 30YR N/A 100.550000 USD 2021-12-06 XXXX -8275.960000 N N N N/A N/A 000000000 -1500000.000000 NC USD -6986.550000 -0.0001031 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 2.0% OCT 30YR N/A 100.670000 USD 2021-10-07 XXXX -1713.110000 N N N N/A N/A 000000000 -1600000.000000 NC USD -76.160000 -0.0000011 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Call Written UMBS PASS THRU POOLS FNMA TBA 2.5% OCT 30YR N/A 103.810000 USD 2021-10-07 XXXX 4298.840000 N N N N/A N/A 000000000 -1450000.000000 NC USD -121.950000 -0.0000018 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.5% OCT 30YR N/A 103.730000 USD 2021-10-07 XXXX 3956.180000 N N N BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA) K8MS7FD7N5Z2WQ51AZ71 BF2PHRII3 400000.000000 PA 497095.210000 0.0073361 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 N/A N/A 000000000 -1600000.000000 NC USD -761.760000 -0.0000112 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% NOV 30YR N/A 101.470000 USD 2021-11-03 XXXX 4238.240000 N N N N/A N/A 000000000 -3100000.000000 NC USD -5870.780000 -0.0000866 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Put Written UMBS PASS THRU POOLS FNMA TBA 3.0% DEC 30YR N/A 103.990000 USD 2021-12-06 XXXX -542.650000 N N N N/A N/A 000000000 -1600000.000000 NC USD -657.440000 -0.0000097 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% NOV 30YR N/A 101.530000 USD 2021-11-03 XXXX 3967.560000 N N N N/A N/A 000000000 -1400000.000000 NC USD -31.360000 -0.0000005 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.5% OCT 30YR N/A 103.910000 USD 2021-10-07 XXXX 3413.950000 N N N BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA) K8MS7FD7N5Z2WQ51AZ71 ACI0V89K0 400000.000000 PA 476218.030000 0.0070280 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 N/A N/A 000000000 -1800000.000000 NC USD -602.640000 -0.0000089 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% NOV 30YR N/A 101.610000 USD 2021-11-03 XXXX 4459.860000 N N N N/A N/A 000000000 -1500000.000000 NC USD -297.900000 -0.0000044 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Call Written UMBS PASS THRU POOLS FNMA TBA 2.5% OCT 30YR N/A 103.600000 USD 2021-10-07 XXXX 4506.790000 N N N N/A N/A 000000000 -1700000.000000 NC USD -618.460000 -0.0000091 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% NOV 30YR N/A 101.580000 USD 2021-11-03 XXXX 6420.600000 N N N N/A N/A 000000000 -1450000.000000 NC USD -97.730000 -0.0000014 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.5% OCT 30YR N/A 103.770000 USD 2021-10-07 XXXX 4037.040000 N N N N/A N/A 000000000 -1500000.000000 NC USD -592.050000 -0.0000087 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% NOV 30YR N/A 101.550000 USD 2021-11-03 XXXX 4505.610000 N N N N/A N/A 000000000 -1900000.000000 NC USD -780.710000 -0.0000115 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% NOV 30YR N/A 101.530000 USD 2021-11-03 XXXX 5602.100000 N N N N/A N/A 000000000 -3500000.000000 NC USD -6264.300000 -0.0000924 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.5% NOV 30YR N/A 103.380000 USD 2021-11-03 XXXX 10141.950000 N N N N/A N/A 000000000 -2500000.000000 NC USD -1.000000 0.0000000 N/A DIR US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written UMBS PASS THRU POOLS FNMA TBA 2.0% OCT 30YR N/A 101.730000 USD 2021-10-07 XXXX 3514.630000 N N N N/A N/A 000000000 -1310.000000 NC 5749388.150000 0.0848487 N/A DIR GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A UNITED KINGDOM GOVT 2021-12-29 -220901545.470000 GBP 5749388.150000 N N N N/A N/A 000000000 1.000000 NC USD -327943.540000 -0.0048397 N/A DCR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2021-09-30 0.000000 USD 0.000000 USD 48100000.000000 USD -327943.540000 N N N N/A N/A 000000000 1.000000 NC USD -2586.410000 -0.0000382 N/A DCR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2021-10-08 0.000000 USD 0.000000 USD 12900000.000000 USD -2586.410000 N N N N/A N/A 000000000 1.000000 NC USD -1785004.130000 -0.0263428 N/A DCR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 UNITED STATES GOVT U S TREASURY INFLATE PROT BD Y 2021-12-06 0.000000 USD 0.000000 USD 150000000.000000 USD -1785004.130000 N N N N/A N/A 000000000 -2900.000000 NC USD 4441836.690000 0.0655520 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2021-12-21 -382007029.800000 USD 4441836.690000 N N N N/A N/A 000000000 -1428.000000 NC USD 3469570.320000 0.0512034 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2021-12-21 -207695905.540000 USD 3469570.320000 N N N N/A N/A 000000000 2373.000000 NC USD -244586.410000 -0.0036096 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2021-12-31 522236119.310000 USD -244586.410000 N N N N/A N/A 000000000 9520.000000 NC USD -6547437.770000 -0.0966262 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2021-12-31 1168989064.880000 USD -6547437.770000 N N N N/A N/A 000000000 -1506.000000 NC USD 4306513.440000 0.0635549 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2021-12-21 -240230531.250000 USD 4306513.440000 N N N N/A N/A 000000000 -759.000000 NC USD 4892665.630000 0.0722053 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2021-12-21 -145431515.630000 USD 4892665.630000 N N N N/A N/A 000000000 -175.000000 NC USD -199000.770000 -0.0029368 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A Kansas Wheat 2021-12-14 -6402812.500000 USD -199000.770000 N N N N/A N/A 000000000 156.000000 NC USD 108416.250000 0.0016000 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A Kansas Wheat 2022-03-14 5766150.000000 USD 108416.250000 N N N N/A N/A 000000000 -174.000000 NC USD -93397.640000 -0.0013783 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A Wheat 2021-12-14 -6311850.000000 USD -93397.640000 N N N N/A N/A 000000000 12.000000 NC USD 10857.250000 0.0001602 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A Wheat 2022-07-14 432900.000000 USD 10857.250000 N N N N/A N/A 000000000 -135.000000 NC USD -42713.820000 -0.0006304 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A Wheat 2022-03-14 -4971375.000000 USD -42713.820000 N N N N/A N/A 000000000 70.000000 NC USD 31583.340000 0.0004661 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Refined Sugar 2022-02-11 1805300.000000 USD 31583.340000 N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 BF8PC7II6 200000.000000 PA 243253.480000 0.0035899 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 800755.930000 PA USD 801440.580000 0.0118276 Long ABS-MBS CORP US N 2 2036-09-15 Floating 1.21448 N N N N N N BANK OF AMERICA MTGE SEC 2004-K N/A 05949AXJ4 222170.580000 PA USD 248456.710000 0.0036667 Long ABS-MBS CORP US N 2 2034-12-25 Floating 2.96729 N N N N N N BANK OF AMERICA MTGE SEC 2005-F N/A 05949CCA2 186811.590000 PA USD 188281.270000 0.0027786 Long ABS-MBS CORP US N 2 2035-07-25 Floating 2.68474 Y N N N N N BANK OF AMERICA MTGE SECS-2005-J N/A 05949CKT2 177448.350000 PA USD 172319.760000 0.0025431 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.57004 Y N N N N N BANK OF AMERICA MTGE SECURITIES 2004-L N/A 05949AZG8 1367.500000 PA USD 1409.410000 0.0000208 Long ABS-MBS CORP US N 2 2035-01-25 Floating 2.44506 N N N N N N BCAP LLC TRUST 2006-AA2 N/A 05530MAA7 716789.610000 PA USD 714125.160000 0.0105390 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.426 Y N N N N N BCAP LLC TRUST 2011-RR5 N/A 05533YBC3 804519.160000 PA USD 724197.740000 0.0106876 Long ABS-MBS CORP US N 2 2036-04-26 Floating 2.92733 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2003-3 N/A 07384MUR1 13450.510000 PA USD 13663.090000 0.0002016 Long ABS-MBS CORP US N 2 2033-05-25 Floating 2.87059 N N N N N N BEAR STEARNS ADJ RATE MTGE TR 2006-2 N/A 07388DAS7 342641.290000 PA USD 337038.350000 0.0049740 Long ABS-MBS CORP US N 2 2036-07-25 Floating 2.96959 Y N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-10 N/A 07387AET8 271396.520000 PA USD 279801.180000 0.0041293 Long ABS-MBS CORP US N 2 2035-10-25 Floating 2.69948 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12 N/A 07387AGE9 151628.490000 PA USD 151392.770000 0.0022342 Long ABS-MBS CORP US N 2 2036-02-25 Floating 3.10476 Y N N N N N BEAR STEARNS ADJUSTABLE RATE MTGE 20 N/A 07384MS94 23592.050000 PA USD 24314.420000 0.0003588 Long ABS-MBS CORP US N 2 2034-07-25 Floating 2.75 N N N N N N BEAR STEARNS ALT-A TRUST 2004-9 N/A 07386HLE9 137254.110000 PA USD 153657.020000 0.0022676 Long ABS-MBS CORP US N 2 2034-09-25 Floating 3.26646 N N N N N N BEAR STEARNS ALT-A TRUST 2005-7 N/A 07386HVS7 192521.990000 PA USD 149529.370000 0.0022067 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.90988 Y N N N N N BEAR STEARNS ALT-A TRUST 2006-8 N/A 07387QAX8 396968.550000 PA USD 388795.760000 0.0057378 Long ABS-MBS CORP US N 2 2034-02-25 Floating 0.406 N N N N N N BEAR STEARNS ALT-A TRUST II 2007-1 N/A 07389KAA9 3173809.780000 PA USD 2112939.740000 0.0311825 Long ABS-MBS CORP US N 2 2047-09-25 Floating 3.08937 Y N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE7 N/A 07387VAC3 2131351.020000 PA USD 2142057.440000 0.0316122 Long ABS-MBS CORP US N 2 2037-10-25 Floating 1.036 N N N N N N BLACKROCK EUROPEAN CLO VII DAC 7A N/A ACI1W2WD0 3300000.000000 PA 3812661.890000 0.0562667 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 0.62 N N N N N N BLUEMOUNTAIN FUJI EUR CLO II DAC 17-2A N/A ACI1VBS38 600000.000000 PA 696966.510000 0.0102857 Long ABS-CBDO CORP IE N 2 2030-07-15 Floating 0.65 N N N N N N BLUEMOUNTAIN FUJI EUR CLO III DAC 3A N/A ACI1XNPD1 8800000.000000 PA 10174401.880000 0.1501524 Long ABS-CBDO CORP IE N 2 2031-01-15 Floating 0.72 N N N N N N BRISTOL-MYERS SQUIBB COMPANY HLYYNH7UQUORYSJQCN42 110122CW6 100000.000000 PA USD 102587.380000 0.0015140 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 400055.360000 0.0059040 Long DBT CORP NL N 2 2021-11-04 None 0 N N N N N N CAIRN CLO IV BV 14-4A N/A ACI1W1H64 4100000.000000 PA 4736973.000000 0.0699076 Long ABS-CBDO CORP IE N 2 2031-04-30 Floating 0.6 N N N N N N CAIRN CLO X BV 18-10A N/A ACI1YFN80 3100000.000000 PA 3596120.120000 0.0530710 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 0.78 N N N N N N CANADA GOVT 4BFD7AQU0A75QLAHK410 135087VS0 18142992.000000 PA 18264635.850000 0.2695470 Long DBT NUSS CA N 2 2026-12-01 Fixed 4.25 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2012-4A N/A 14309YBQ6 1000000.000000 PA USD 1000460.300000 0.0147647 Long ABS-CBDO CORP KY N 2 2032-04-22 Floating 1.21825 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 17-3A N/A ACI1YDTG1 9300000.000000 PA 10784439.200000 0.1591553 Long ABS-CBDO CORP IE N 2 2031-01-15 Floating 0.7 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 2014-2 LTD 14-2A N/A ACI1XGH29 3200000.000000 PA 3714127.510000 0.0548126 Long ABS-CBDO CORP IE N 2 2031-11-15 Floating 0.75 N N N N N N CATAMARAN CLO LTD 2016-1A N/A 14900AAJ8 6083293.400000 PA USD 6091032.200000 0.0898906 Long ABS-CBDO CORP KY N 2 2029-01-18 Floating 1.22388 N N N N N N CATHEDRAL LAKE CLO LTD 2015-2A N/A 14918MAW3 4421323.230000 PA USD 4422857.650000 0.0652719 Long ABS-CBDO CORP KY N 2 2029-07-16 Floating 0.97613 N N N N N N CENTRAL NIPPON EXPRESSWAY COMPANY LIMITED 3538005TH2GJERPBFN83 ACI0YDJX7 200000.000000 PA USD 200337.990000 0.0029566 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 254471.250000 PA USD 244515.220000 0.0036085 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.86327 Y N N N N N CHASE MORTGAGE FINANCE CORP 2006-A1 N/A 16163CAN2 453813.390000 PA USD 412218.310000 0.0060835 Long ABS-MBS CORP US N 2 2036-09-25 Floating 2.73859 Y N N N N N CHASE MORTGAGE FINANCE CORP 2007-A1 N/A 161630BD9 611128.330000 PA USD 623857.830000 0.0092068 Long ABS-MBS CORP US N 2 2037-03-25 Floating 3.06802 Y N N N N N CHASE MORTGAGE FINANCE CORPORATION 2007-S6 N/A 161636AE5 864667.150000 PA USD 494604.480000 0.0072993 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 4609294.730000 PA USD 4609294.730000 0.0680233 Long ABS-CBDO CORP KY N 2 2027-10-25 Floating 0.98525 N N N N N N CIFC FUNDING LTD 2017-4A N/A 12551JAL0 5800000.000000 PA USD 5802900.000000 0.0856384 Long ABS-CBDO CORP KY N 2 2030-10-24 Floating 1.07525 N N N N N N CIM TRUST 2019-INV1 N/A 12555DAB1 330621.550000 PA USD 331005.800000 0.0048849 Long ABS-MBS CORP US N 2 2049-02-25 Floating 1.086 N N N N N N CIT MTGE LOAN TRUST 2007-1 N/A 12559QAA0 1023056.560000 PA USD 1032706.440000 0.0152405 Long ABS-MBS CORP US N 2 2037-10-25 Floating 1.436 N N N N N N CIT MTGE LOAN TRUST 2007-1 N/A 12559QAF9 4400000.000000 PA USD 4493773.240000 0.0663185 Long ABS-MBS CORP US N 2 2037-10-25 Floating 1.586 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2005-10 N/A 17307GT57 260267.070000 PA USD 182444.740000 0.0026925 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.91292 Y N N N N N CITIGROUP MORTGAGE LOAN TRUST 2006-WFH3 N/A 17309QAG9 7400000.000000 PA USD 7277945.880000 0.1074069 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.581 N N N N N N CITIGROUP MORTGAGE LOAN TRUST 2019-B N/A 17327VAA9 765983.070000 PA USD 772556.740000 0.0114013 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 36032.530000 PA USD 36227.650000 0.0005346 Long ABS-MBS CORP US N 2 2036-03-25 Floating 2.52 Y N N N N N CITIGROUP MTGE LOAN TR INC 2006-HE3 N/A 17310VAD2 1106314.730000 PA USD 920912.870000 0.0135907 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.546 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-AMC2 N/A 17311XAA3 48695.370000 PA USD 42807.820000 0.0006318 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.166 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-WFH2 N/A 17312BAG7 3200000.000000 PA USD 3110720.000000 0.0459076 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.791 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW53 52281.780000 PA USD 53114.190000 0.0007839 Long ABS-MBS CORP US N 2 2035-05-25 Floating 2.47 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-6 N/A 17307GXR4 53401.620000 PA USD 54920.620000 0.0008105 Long ABS-MBS CORP US N 2 2035-09-25 Floating 1.86 N N N N N N CITIMORTGAGE ALTERNATIVE LN TR 2007-A6 N/A 18976GAE6 191426.910000 PA USD 192690.440000 0.0028437 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 137225.040000 0.0020251 Long DBT MUN AR N 2 2022-01-23 Floating 39.1188 N N N N N N CORPORACION ANDINA DE FOMENTO (CAF) UKZ46SXGNYCZK0UOZE76 ACI08TK92 100374191.000000 PA 4864923.050000 0.0717959 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 250000.650000 PA USD 222307.800000 0.0032808 Long ABS-MBS CORP US N 2 2046-12-20 Floating 0.28238 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-29CB N/A 12667GUG6 881904.250000 PA USD 676320.380000 0.0099810 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 252082.580000 PA USD 232855.910000 0.0034365 Long ABS-MBS CORP US N 2 2035-12-25 Floating 1.09211 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-J1 N/A 12667FU29 41519.750000 PA USD 41827.400000 0.0006173 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 3177785.910000 PA USD 2498453.770000 0.0368718 Long ABS-MBS CORP US N 2 2047-02-20 Floating 0.26738 Y N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-1T1 N/A 23246KAA9 196657.030000 PA USD 111940.090000 0.0016520 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 219876.500000 PA USD 168981.270000 0.0024938 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 201502.500000 PA USD 198528.380000 0.0029299 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.90265 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA6 N/A 12668BE33 90816.380000 PA USD 87435.000000 0.0012904 Long ABS-MBS CORP US N 2 2046-07-25 Floating 0.506 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TR 2007-OA7 N/A 126680AA5 1094312.610000 PA USD 1054374.580000 0.0155603 Long ABS-MBS CORP US N 2 2047-05-25 Floating 0.266 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-26CB N/A 12667GTP8 131562.840000 PA USD 123093.110000 0.0018166 Long ABS-MBS CORP US N 2 2035-07-25 Fixed 5.5 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-7 N/A 126673EG3 7501960.580000 PA USD 7627148.800000 0.1125604 Long ABS-MBS CORP US N 2 2034-11-25 Floating 1.811 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2006-5 N/A 126670YH5 389276.550000 PA USD 389158.210000 0.0057431 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.666 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-1 N/A 23245CAA8 2549265.410000 PA USD 2419503.720000 0.0357067 Long ABS-MBS CORP US N 2 2037-07-25 Floating 0.226 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-6 N/A 12669LAA8 2041150.310000 PA USD 1924435.090000 0.0284006 Long ABS-MBS CORP US N 2 2037-09-25 Floating 0.286 N N N N N N COUNTRYWIDE ASSET-BACKED CERTI 2006-19 N/A 12667CAD4 5700000.000000 PA USD 5530442.670000 0.0816175 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.336 N N N N N N COUNTRYWIDE HOME LOANS 2004-HYB5 N/A 12669F3A9 2355.400000 PA USD 2357.380000 0.0000348 Long ABS-MBS CORP US N 2 2035-04-20 Floating 2.69761 N N N N N N COUNTRYWIDE HOME LOANS 2004-HYB7 N/A 12669GCE9 1935.450000 PA USD 1961.280000 0.0000289 Long ABS-MBS CORP US N 2 2034-11-20 Floating 2.71292 N N N N N N COUNTRYWIDE HOME LOANS 2005-2 N/A 12669GPR6 32243.040000 PA USD 31845.040000 0.0004700 Long ABS-MBS CORP US N 2 2035-03-25 Floating 0.726 N N N N N N COUNTRYWIDE HOME LOANS 2005-24 N/A 126694JR0 67230.620000 PA USD 52477.270000 0.0007745 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 22981.390000 PA USD 22302.780000 0.0003291 Long ABS-MBS CORP US N 2 2035-10-20 Floating 2.16565 N N N N N N COUNTRYWIDE HOME LOANS 2006-6 N/A 126694K64 337795.430000 PA USD 248211.740000 0.0036631 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 294833.220000 PA USD 285434.820000 0.0042124 Long ABS-MBS CORP US N 2 2047-09-25 Floating 2.92174 Y N N N N N COUNTRYWIDE HOME LOANS 2008-1 N/A 12544YAD5 231406.030000 PA USD 242181.710000 0.0035741 Long ABS-MBS CORP US N 2 2038-04-25 Fixed 5.5 N N N N N N CREDIT SUISSE GROUP FUNDING (GUERNSEY) LTD 549300PXR5FKNXF0OH19 225433AH4 7000000.000000 PA USD 7230224.750000 0.1067027 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 378771.030000 PA USD 373109.050000 0.0055063 Long ABS-MBS CORP US N 2 2036-10-26 Fixed 6.11312 N N N N N N CREDIT SUISSE MORTGAGE CAP CERT 2007-6 N/A 12639PAA6 1640286.440000 PA USD 1392818.720000 0.0205550 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 2658798.860000 PA USD 2613247.520000 0.0385660 Long ABS-MBS CORP US N 2 2036-09-29 Floating 0.236 N N N N N N CRESTLINE DENALI CLO XIV LTD 2016-1A N/A 22615MAW2 6700000.000000 PA USD 6700017.550000 0.0988779 Long ABS-CBDO CORP KY N 2 2031-10-23 Floating 1.22552 N N N N N N CVC CORDATUS LOAN FUND VII DAC 7A N/A ACI1W2TC6 3100000.000000 PA 3593950.150000 0.0530390 Long ABS-CBDO CORP IE N 2 2031-09-15 Floating 0.63 N N N N N N CVC CORDATUS LOAN FUND XI DAC 21-1 N/A ACI1W60L8 8700000.000000 PA 10078148.080000 0.1487319 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 0.65 N N N N N N DAIMLER FINANCE NORTH AMERICA LLC 549300423Z16BB673J12 233851CS1 300000.000000 PA USD 302009.240000 0.0044570 Long DBT CORP US N 2 2022-01-06 Fixed 2.85 N N N N N N DEUTSCHE ALT-A SEC INC MTGE LO 2005-6 N/A 251510KH5 259446.490000 PA USD 256469.000000 0.0037849 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 69314.630000 PA USD 56968.990000 0.0008407 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.186 Y N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526BX6 28300000.000000 PA USD 28330627.680000 0.4180995 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 163493.510000 0.0024128 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 1491071.540000 PA USD 1493497.830000 0.0220408 Long ABS-CBDO CORP IE N 2 2028-04-20 Floating 1.03425 N N N N N N DRYDEN XXV SENIOR LOAN FUND 2012-25A N/A 26250JAS9 7588737.520000 PA USD 7588737.520000 0.1119936 Long ABS-CBDO CORP KY N 2 2027-10-15 Floating 1.02613 N N N N N N DRYDEN XXVII-R EURO CLO BV 2017-27A N/A ACI1W43B2 2700000.000000 PA 3113597.430000 0.0459500 Long ABS-CBDO CORP NL N 2 2033-04-15 Floating 0.66 N N N N N N DUKE ENERGY CORPORATION I1BZKREC126H0VB1BL91 26441CAW5 200000.000000 PA USD 203367.720000 0.0030013 Long DBT CORP US N 2 2022-08-15 Fixed 2.4 N N N N N N ENTERPRISE PRODUCTS OPERATING LLC 5493004LGN656HWLDA30 29379VAU7 200000.000000 PA USD 202818.480000 0.0029932 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 232195.870000 0.0034267 Long DBT CORP AT N 2 2021-10-15 Floating 8.875 N N N N N N EURO-GALAXY III CLO BV 13-3A N/A ACI1W6FF5 4800000.000000 PA 5534851.090000 0.0816826 Long ABS-CBDO CORP NL N 2 2034-04-24 Floating 0.62 N N N N N N EUROSAIL PLC 2007-NL2X N/A 919AJRII1 1826655.560000 PA 2121109.320000 0.0313030 Long ABS-MBS CORP NL N 2 2040-10-17 Floating 0.952 N N N N N N EVERSOURCE ENERGY SJ7XXD41SQU3ZNWUJ746 30040WAD0 200000.000000 PA USD 211437.540000 0.0031204 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 53337.210000 PA USD 53142.090000 0.0007843 Long ABS-MBS USGSE US N 2 2036-03-25 Floating 0.201387 N N N N N N FANNIE MAE 2007-4 N/A 31396PMC2 392268.070000 PA USD 396423.520000 0.0058504 Long ABS-MBS USGSE US N 2 2037-02-25 Floating 0.531 N N N N N N FHLMC PASS THRU POOLS N/A 3128JRAN6 84111.060000 PA USD 84739.560000 0.0012506 Long ABS-MBS USGSE US N 2 2034-01-01 Floating 2.429 N N N N N N FHLMC PASS THRU POOLS N/A 3128JRLD6 80375.960000 PA USD 81509.480000 0.0012029 Long ABS-MBS USGSE US N 2 2033-06-01 Floating 2.105 N N N N N N FIRST HORIZON ALT MTG SEC 2006-FA8 N/A 32052DAG6 123675.930000 PA USD 75100.910000 0.0011083 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 55738.520000 PA USD 59725.920000 0.0008814 Long ABS-MBS CORP US N 2 2035-10-25 Floating 2.5 N N N N N N FNMA PASS THRU POOLS N/A 31406VGS9 27667.740000 PA USD 27918.710000 0.0004120 Long ABS-MBS USGSE US N 2 2035-05-01 Floating 1.93 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 22999.850000 PA USD 226824.500000 0.0033474 Long STIV RF US N 1 N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 34540XAB9 4200000.000000 PA USD 4286226.000000 0.0632555 Long DBT CORP US N 2 2022-10-07 Fixed 3.55 N N N N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI1N4959 22017744.000000 PA 28215685.240000 0.4164032 Long DBT NUSS FR N 2 2026-03-01 Fixed 0.1 N N N N N N FRANCE GOVT 969500KCGF3SUYJHPV70 B2PP4HII3 42087309.000000 PA 52594839.770000 0.7761875 Long DBT NUSS FR N 2 2023-07-25 Fixed 2.1 N N N N N N FRANCE GOVT 969500KCGF3SUYJHPV70 ACI04Z888 16732254.000000 PA 21002550.150000 0.3099528 Long DBT NUSS FR N 2 2024-07-25 Fixed 0.25 N N N N N N FREDDIE MAC-3262 N/A 31397EM44 4035.350000 PA USD 4047.490000 0.0000597 Long ABS-MBS USGSE US N 2 2037-01-15 Floating 0.35375 N N N N N N FREMONT HOME LOAN TRUST 2006-C N/A 35729TAA0 609371.310000 PA USD 572157.920000 0.0084438 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.221 N N N N N N GALAXY XV CLO LTD 2013-15A N/A 36318WAK6 4400000.000000 PA USD 4405622.980000 0.0650176 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 1.09613 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H15 N/A 38380LJY0 6716300.280000 PA USD 6646863.140000 0.0980935 Long ABS-MBS USGSE US N 2 2068-08-20 Floating 0.38238 N N N N N N GREAT HALL MORTGAGES PLC 2006-1 N/A 991XUKII4 147135.150000 PA 196699.060000 0.0029029 Long ABS-MBS CORP GB N 2 2038-06-18 Floating 0.22188 N N N N N N GREAT HALL MORTGAGES PLC 2007-1 N/A B1S83ZII1 204625.320000 PA 273386.340000 0.0040346 Long ABS-MBS CORP GB N 2 2039-03-18 Floating 0.20188 N N N N N N GSAA HOME EQUITY TRUST 2007-4 N/A 3622EBAC2 595895.860000 PA USD 326696.450000 0.0048213 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.686 N N N N N N GSAMP TRUST 2005-HE2 N/A 36242DA60 1394954.510000 PA USD 1376179.120000 0.0203095 Long ABS-MBS CORP US N 2 2035-03-25 Floating 1.061 Y N N N N N GSAMP TRUST 2006-SD3 N/A 36244RAA8 2386706.340000 PA USD 2327275.440000 0.0343456 Long ABS-MBS CORP US N 2 2046-02-25 Floating 0.346 N N N N N N GSAMP TRUST 2007-HE2 N/A 362440AE9 2500000.000000 PA USD 2245665.250000 0.0331412 Long ABS-MBS CORP US N 2 2047-03-25 Floating 0.456 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341WZ8 186158.460000 PA USD 189939.750000 0.0028031 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.80479 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341XC8 175298.530000 PA USD 126372.060000 0.0018650 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.95532 Y N N N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341XE4 831013.020000 PA USD 798504.870000 0.0117842 Long ABS-MBS CORP US N 2 2035-11-25 Floating 3.13336 Y N N N N N HALCYON LOAN ADVISORS FUNDING LTD 2015-1A N/A 40538HAN9 85834.920000 PA USD 85897.000000 0.0012677 Long ABS-CBDO CORP KY N 2 2027-04-20 Floating 1.05425 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-2 N/A 41161PLR2 378526.400000 PA USD 366703.010000 0.0054118 Long ABS-MBS CORP US N 2 2035-05-19 Floating 0.52738 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-6 N/A 41161UAJ1 77076.740000 PA USD 77302.140000 0.0011408 Long ABS-MBS CORP US N 2 2036-08-19 Floating 2.56208 Y N N N N N HARBORVIEW MORTGAGE LOAN TR 2007-5 N/A 41165AAB8 65582.260000 PA USD 64700.950000 0.0009548 Long ABS-MBS CORP US N 2 2037-09-19 Floating 0.27738 N N N N N N HARBORVIEW MORTGAGE LOAN TRUST 2005-16 N/A 41161PYZ0 1240932.820000 PA USD 891333.380000 0.0131542 Long ABS-MBS CORP US N 2 2036-01-19 Floating 0.58738 Y N N N N N HARVEST CLO XI DAC 11A N/A ACI1XMR09 10400000.000000 PA 12026381.210000 0.1774837 Long ABS-CBDO CORP IE N 2 2030-06-26 Floating 0.65 N N N N N N HARVEST CLO XVI DAC 16A N/A ACI1VVSJ9 8100000.000000 PA 9315071.020000 0.1374705 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 0.64 N N N N N N HARVEST CLO XX DAC 20A N/A ACI1WC7B0 4800000.000000 PA 5551619.890000 0.0819300 Long ABS-CBDO CORP IE N 2 2031-10-20 Floating 0.68 N N N N N N HAWKSMOOR MORTGAGES 19-1A N/A ACI1DHFV7 15283262.390000 PA 20686196.400000 0.3052841 Long ABS-MBS CORP GB N 2 2053-05-25 Floating 1.10022 N N N N N N HOME EQUITY ASSET TRUST 2004-2 N/A 437084BL9 316839.730000 PA USD 315750.090000 0.0046598 Long ABS-MBS CORP US N 2 2034-07-25 Floating 0.881 N N N N N N HOME EQUITY PASS-THRU CERTS 2005-8 N/A 437084QA7 3700000.000000 PA USD 3690044.040000 0.0544572 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.761 N N N N N N HOMEBANC MTGE TRUST 2006-2 N/A 43739HAA8 83641.460000 PA USD 83859.030000 0.0012376 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.446 N N N N N N HSI ASSET SEC CORP TRUST 2006-OPT3 N/A 40430HFM5 2381000.000000 PA USD 2371199.800000 0.0349938 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.626 N N N N N N IHS MARKIT LTD 549300HLPTRASHS0E726 44962LAA5 100000.000000 PA USD 103817.000000 0.0015321 Long DBT CORP BM N 2 2022-11-01 Fixed 5 N N N N N N INDYMAC IMSC MTGE LN TRUST 2007-HOA1 N/A 45670LAA5 1453198.820000 PA USD 1160669.170000 0.0171290 Long ABS-MBS CORP US N 2 2047-07-25 Floating 0.446 Y N N N N N INDYMAC INDB MORTGAGE LOAN TR 2006-1 N/A 45661JAA1 4360461.570000 PA USD 1666559.690000 0.0245949 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.226 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2005-AR14 N/A 45660LRU5 215161.630000 PA USD 177780.830000 0.0026237 Long ABS-MBS CORP US N 2 2035-07-25 Floating 0.646 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2005-AR15 N/A 45660LVM8 187259.140000 PA USD 178565.220000 0.0026352 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.97673 Y N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR12 N/A 45661VAA4 2775669.450000 PA USD 2631408.470000 0.0388340 Long ABS-MBS CORP US N 2 2046-09-25 Floating 0.276 N N N N N N INDYMAC INDX MTGE LOAN TR 2004-AR6 N/A 45660NX83 300954.100000 PA USD 307772.280000 0.0045421 Long ABS-MBS CORP US N 2 2034-10-25 Floating 2.88929 N N N N N N INDYMAC INDX MTGE LOAN TRUST 2005-AR7 N/A 45660LLP2 78953.930000 PA USD 77368.690000 0.0011418 Long ABS-MBS CORP US N 2 2035-06-25 Floating 3.06782 Y N N N N N INDYMAC INDX MTGE LOAN TRUST 2006-AR14 N/A 45668GAD4 291018.350000 PA USD 293875.740000 0.0043370 Long ABS-MBS CORP US N 2 2046-11-25 Floating 0.486 Y N N N N N INDYMAC RESIDENTIAL ASSET BACKED 2007-A N/A 43710BAA4 2084086.640000 PA USD 1829099.890000 0.0269936 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.306 N N N N N N ING BANK NV/AMSTERDAM BRANCH 3TK20IVIUJ8J3ZU0QE75 44986L2A6 7600000.000000 PA USD 7811626.030000 0.1152829 Long DBT CORP NL N 2 2022-12-05 Fixed 2.625 N N N N N N ING INVESTMENT MANAGEMENT CLO LTD 2012-4A N/A 92916GBE3 5600000.000000 PA USD 5600133.950000 0.0826460 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 1.09148 N N N N N N ITALY GOVT 815600DE60799F5A9309 ACI1MHM64 98896700.000000 PA 125594204.950000 1.8535021 Long DBT NUSS IT N 2 2025-05-26 Fixed 1.4 N N N N N N ITALY GOVT 815600DE60799F5A9309 BK5MSXII1 108068616.000000 PA 138606962.690000 2.0455426 Long DBT NUSS IT N 2 2030-05-15 Fixed 0.4 N N N N N N J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FL12 N/A 46651QAA5 709902.890000 PA USD 706460.220000 0.0104258 Long ABS-MBS CORP US N 2 2031-12-15 Floating 1.53375 N N N N N N JACKSON NATIONAL LIFE GLOBAL FUNDING 635400PQXLYXWJI5QD78 46849LSW2 200000.000000 PA USD 203321.490000 0.0030006 Long DBT CORP US N 2 2022-06-27 Fixed 2.5 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI12NZL6 3742228080.000000 PA 34565887.650000 0.5101187 Long DBT NUSS JP N 2 2028-03-10 Fixed 0.1 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI1BXN03 4464076740.000000 PA 41373782.810000 0.6105886 Long DBT NUSS JP N 2 2029-03-10 Fixed 0.1 N N N N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI1XV2Q9 2600536800.000000 PA 23926948.050000 0.3531106 Long DBT NUSS JP N 2 2031-03-10 Fixed 0.005 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2006-A7 N/A 466286AD3 3363843.030000 PA USD 3304232.700000 0.0487634 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.546 N N N N N N JP MORGAN MORTGAGE TRUST 2005-A3 N/A 466247PV9 53667.730000 PA USD 57350.460000 0.0008464 Long ABS-MBS CORP US N 2 2035-06-25 Floating 1.87535 N N N N N N JP MORGAN MORTGAGE TRUST 2005-A3 N/A 466247PW7 90267.500000 PA USD 93880.430000 0.0013855 Long ABS-MBS CORP US N 2 2035-06-25 Floating 2.66534 N N N N N N JP MORGAN MORTGAGE TRUST 2005-A4 N/A 466247RN5 38893.890000 PA USD 40629.280000 0.0005996 Long ABS-MBS CORP US N 2 2035-07-25 Floating 2.29944 N N N N N N JP MORGAN MORTGAGE TRUST 2005-A8 N/A 466247YH0 147563.470000 PA USD 137853.590000 0.0020344 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.90564 Y N N N N N JP MORGAN MORTGAGE TRUST 2006-A4 N/A 46628LAG3 481598.970000 PA USD 398667.050000 0.0058835 Long ABS-MBS CORP US N 2 2036-06-25 Floating 2.31929 Y N N N N N JP MORGAN MORTGAGE TRUST 2006-A5 N/A 46629CAK3 98654.950000 PA USD 89821.890000 0.0013256 Long ABS-MBS CORP US N 2 2036-08-25 Floating 2.79959 Y N N N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GBB0 68728.170000 PA USD 70274.220000 0.0010371 Long ABS-MBS CORP US N 2 2035-07-25 Floating 2.59462 N N N N N N JP MORGAN MORTGAGE TRUST 2008-R2 N/A 46632TAA3 236482.010000 PA USD 233542.210000 0.0034466 Long ABS-MBS CORP US N 2 2037-07-27 Floating 2.89237 N N N N N N JP MORGAN MORTGAGE TRUST-2004-A3 N/A 466247CW1 10213.370000 PA USD 10603.240000 0.0001565 Long ABS-MBS CORP US N 2 2034-07-25 Floating 2.24 N N N N N N JP MORGAN MTGE ACQUIS CORP 2006-CH2 N/A 46629QAW6 200977.870000 PA USD 199989.160000 0.0029514 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.296 N N N N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 060505FL3 3840000.000000 NS USD 4387584.000000 0.0647514 Long EP CORP US N 2 N N N JUBILEE CLO 2014-XI BV 14-11A N/A ACI1W2T93 8800000.000000 PA 10175138.460000 0.1501633 Long ABS-CBDO CORP NL N 2 2030-04-15 Floating 0.61 N N N N N N JUBILEE CLO 2016-XVII BV 16-17A N/A ACI1W2TB8 1800000.000000 PA 2078620.530000 0.0306760 Long ABS-CBDO CORP NL N 2 2031-04-15 Floating 0.65 N N N N N N JUBILEE CLO 2016-XVII BV 16-17A N/A ACI1W2W24 800000.000000 PA 928099.230000 0.0136968 Long ABS-CBDO CORP NL N 2 2031-04-15 Floating 0.65 N N N N N N JYSKE REALKREDIT KGS 529900R9HQNZRT2OXB26 ACI1TRDT5 784299.280000 PA 113857.780000 0.0016803 Long DBT CORP DK N 2 2043-10-01 Fixed 0.5 N N N N N N JYSKE REALKREDIT KGS 529900R9HQNZRT2OXB26 ACI09QH00 13650.670000 PA 2274.690000 0.0000336 Long DBT CORP DK N 2 2047-10-01 Fixed 2.5 N N N N N N JYSKE REALKREDIT KGS 529900R9HQNZRT2OXB26 ACI1PMG75 9764352.180000 PA 1393929.710000 0.0205714 Long DBT CORP DK N 2 2053-10-01 Fixed 1 N N N N N N JYSKE REALKREDIT KGS 529900R9HQNZRT2OXB26 ACI1CPNN9 258457591.700000 PA 37933281.270000 0.5598142 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N KKR CLO 9 LTD N/A 48250LAW9 2600000.000000 PA USD 2600369.670000 0.0383759 Long ABS-CBDO CORP KY N 2 2030-07-15 Floating 1.07613 N N N N N N KOMATSU FINANCE AMERICA INC 549300SRAAFEEQ8Z4D68 ACI0XK426 200000.000000 PA USD 203757.410000 0.0030070 Long DBT CORP US N 2 2022-09-11 Fixed 2.437 N N N N N N LAURELIN 2016-1 DAC 16-1A N/A ACI1WVS58 4800000.000000 PA 5533407.910000 0.0816613 Long ABS-CBDO CORP IE N 2 2031-10-20 Floating 0.72 N N N N N N LCM 30 LTD N/A 50200YAQ1 2600000.000000 PA USD 2600755.170000 0.0383816 Long ABS-CBDO CORP KY N 2 2031-04-20 Floating 1.21425 N N N N N N LEGACY MORTGAGE ASSET TRUST 2019-GS3 N/A 52474WAA5 212931.540000 PA USD 214580.380000 0.0031667 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 2375188.450000 PA USD 1792995.320000 0.0264608 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 1524277.820000 PA USD 1721822.400000 0.0254104 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.406 N N N N N N LEHMAN XS TRUST 2006-8 N/A 52522HAM4 4598641.310000 PA USD 4952043.220000 0.0730816 Long ABS-MBS CORP US N 2 2036-06-25 Variable 6.9 N N N N N N LOANCORE ISSUER LTD 2019-CRE2 N/A 53946JAA2 2867066.350000 PA USD 2868929.940000 0.0423393 Long ABS-CBDO CORP KY N 2 2036-05-15 Floating 1.21375 N N N N N N LUMINENT MORTGAGE TRUST 2006-6 N/A 55027YAD0 490511.560000 PA USD 479101.820000 0.0070705 Long ABS-MBS CORP US N 2 2046-10-25 Floating 0.486 N N N N N N MAN GLG EURO CLO II DAC 2A N/A ACI1DJHC3 2035142.650000 PA 2353530.800000 0.0347331 Long ABS-CBDO CORP IE N 2 2030-01-15 Floating 0.87 N N N N N N MAN GLG EURO CLO V DAC 5A N/A ACI1WBHS4 5300000.000000 PA 6149704.320000 0.0907565 Long ABS-CBDO CORP IE N 2 2031-12-15 Floating 0.69 N N N N N N MARATHON CLO IX LTD 2017-9A N/A 56577PAL3 1850000.000000 PA USD 1853302.560000 0.0273508 Long ABS-CBDO CORP KY N 2 2029-04-15 Floating 1.27613 N N N N N N MARBLE POINT CLO X LTD 2017-1A N/A 566061AL1 7000000.000000 PA USD 6999997.270000 0.1033050 Long ABS-CBDO CORP KY N 2 2030-10-15 Floating 1.16613 N N N N N N MARLETTE FUNDING TRUST 2019-3 N/A 57109MAA9 22236.550000 PA USD 22282.150000 0.0003288 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 282994.450000 PA USD 160636.510000 0.0023707 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.566 N N N N N N MASTR ASSET BACKED SECUR TR 2006-WMC4 N/A 57645MAE2 1617671.040000 PA USD 729418.390000 0.0107647 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.236 N N N N N N MASTR SPECIALIZED LOAN TRUST 2007-1 N/A 57645KAA4 21894467.050000 PA USD 12403403.880000 0.1830477 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.456 N N N N N N MERRILL LYNCH ALTERNATIVE NT 2007-A2 N/A 59024FAF1 696048.920000 PA USD 258147.770000 0.0038097 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.686 N N N N N N MERRILL LYNCH ALTERNATIVE NT 2007-AF1 N/A 59024KAX1 304249.770000 PA USD 221973.660000 0.0032759 Long ABS-MBS CORP US N 2 2037-06-25 Floating 2.91646 Y N N N N N MERRILL LYNCH MORTGAGE BACKED SEC 2007-1 N/A 59024NAC1 836255.650000 PA USD 857402.720000 0.0126534 Long ABS-MBS CORP US N 2 2037-04-25 Floating 2.71443 Y N N N N N MERRILL LYNCH MORTGAGE INVEST TR 2005-A7 N/A 59020UH32 84670.450000 PA USD 77984.210000 0.0011509 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.96452 Y N N N N N MERRILL LYNCH MORTGAGE INVS 2005-A5 N/A 59020UYU3 170518.530000 PA USD 175150.970000 0.0025849 Long ABS-MBS CORP US N 2 2035-06-25 Floating 2.15844 N N N N N N MERRILL LYNCH MORTGAGE INVS 2005-A9 N/A 59020UW68 49357.130000 PA USD 42510.780000 0.0006274 Long ABS-MBS CORP US N 2 2035-12-25 Floating 2.94377 N N N N N N MERRILL LYNCH MTGE INVESTORS 2004-A3 N/A 59020UHG3 104569.600000 PA USD 106186.470000 0.0015671 Long ABS-MBS CORP US N 2 2034-05-25 Floating 3.46511 N N N N N N MEXICO GOVT 254900EGTWEU67VP6075 B1G14FII2 406709991.810000 PA 22702383.670000 0.3350387 Long DBT NUSS MX N 2 2035-11-22 Fixed 4.5 N N N N N N MIDOCEAN CREDIT CLO II 2013-2A N/A 59863KAS6 3700000.000000 PA USD 3698300.960000 0.0545790 Long ABS-CBDO CORP KY N 2 2030-01-29 Floating 1.20713 N N N N N N MITSUBISHI HC CAPITAL INC 353800MZ3QX9RLMH7B09 60682LAD4 200000.000000 PA USD 201886.120000 0.0029794 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 58506.410000 PA USD 55886.460000 0.0008248 Long ABS-MBS CORP US N 2 2036-05-25 Floating 1.73982 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE6 N/A 61755CAA0 468708.840000 PA USD 430464.590000 0.0063527 Long ABS-MBS CORP US N 2 2037-05-25 Floating 0.146 N N N N N N MORGAN STANLEY CAPITAL INC 2005-HE4 N/A 61744CTL0 25824.760000 PA USD 26646.060000 0.0003932 Long ABS-MBS CORP US N 2 2035-07-25 Floating 0.791 N N N N N N MORGAN STANLEY MORTGAGE TRUST-2006-15XS N/A 61750YAJ8 1574959.430000 PA USD 557573.750000 0.0082286 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 666490.730000 PA USD 283235.030000 0.0041799 Long ABS-MBS CORP US N 2 2037-04-25 Floating 0.806 N N N N N N MOUNTAIN VIEW CLO LTD 2014-1A N/A 62431XAU0 91797.340000 PA USD 91907.540000 0.0013564 Long ABS-CBDO CORP KY N 2 2026-10-15 Floating 0.92613 N N N N N N MOUNTAIN VIEW CLO XIV LTD 2019-1A N/A 62432MAA7 3077467.220000 PA USD 3081471.040000 0.0454759 Long ABS-CBDO CORP KY N 2 2029-04-15 Floating 1.24613 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BH3 6500000.000000 PA USD 6637324.400000 0.0979527 Long DBT CORP GB N 2 2024-06-25 Floating 1.68225 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BJ9 4200000.000000 PA USD 4471626.180000 0.0659916 Long DBT CORP GB N 2 2024-06-25 Floating 4.519 N N N N N N NEW CENTURY HOME EQUITY LOAN TR 2004-4 N/A 64352VJJ1 1620181.240000 PA USD 1610642.100000 0.0237696 Long ABS-MBS CORP US N 2 2035-02-25 Floating 0.851 N N N N N N NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-3A N/A 64830KAA5 106279.260000 PA USD 114921.630000 0.0016960 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 924278.530000 PA USD 956267.720000 0.0141125 Long ABS-MBS CORP US N 2 2059-07-25 Fixed 2.75 N N N N N N ACE SECURITIES CORP 2006-HE4 N/A 00442BAB7 21305.520000 PA USD 11447.220000 0.0001689 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.206 N N N N N N NEW YORK LIFE GLOBAL FUNDING 635400DPNHEAUHB7ZI15 64952WDH3 300000.000000 PA USD 304714.980000 0.0044969 Long DBT CORP US N 2 2022-07-12 Fixed 2.25 N N N N N N NEW ZEALAND GOVT 549300237GPHG2AI7C34 ACI02MK69 78390749.500000 PA 58941357.950000 0.8698485 Long DBT NUSS NZ N 2 2025-09-20 Fixed 2 N N N N N N NEW ZEALAND GOVT 549300237GPHG2AI7C34 ACI09X300 4319640.000000 PA 3799728.280000 0.0560759 Long DBT NUSS NZ N 2 2035-09-20 Fixed 2.5 N N N N N N NISSAN MOTOR ACCEPTANCE COMPANY LLC 7D6DIU2QXTUJRFNNJA49 654740AZ2 200000.000000 PA USD 203067.130000 0.0029968 Long DBT CORP US N 2 2022-07-13 Fixed 2.65 N N N N N N ADAGIO V CLO DAC V-A N/A ACI1WGSL6 2500000.000000 PA 2900746.070000 0.0428088 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 0.72 N N N N N N NISSAN MOTOR ACCEPTANCE COMPANY LLC 7D6DIU2QXTUJRFNNJA49 654740BL2 100000.000000 PA USD 105556.610000 0.0015578 Long DBT CORP US N 2 2023-09-21 Fixed 3.875 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 ACI1RSH20 293696.120000 PA 42544.760000 0.0006279 Long DBT CORP DK N 2 2043-10-01 Fixed 0.5 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 ACI0CR3W9 2686.570000 PA 447.850000 0.0000066 Long DBT CORP DK N 2 2047-10-01 Fixed 2.5 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 ACI1WZT66 71100000.000000 PA 10615163.550000 0.1566571 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N NORDEA KREDIT REALKREDITAKTIESELSKAB 52990080NNXXLC14OC65 BK99HJII9 229243757.160000 PA 33699189.380000 0.4973280 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 3684877.710000 PA USD 3684878.450000 0.0543809 Long ABS-MBS CORP US N 2 2036-01-25 Floating 0.791 N N N N N N NXP BV/NXP FUNDING LLC N/A 62947QAV0 300000.000000 PA USD 319098.750000 0.0047092 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 205985.600000 0.0030399 Long DBT CORP NL N 2 2022-09-01 Fixed 3.875 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1RMVS0 3327297.360000 PA 481343.830000 0.0071036 Long DBT CORP DK N 2 2043-10-01 Fixed 0.5 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI09WV27 11459.120000 PA 1910.750000 0.0000282 Long DBT CORP DK N 2 2047-10-01 Fixed 2.5 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 BK9CXBII1 252241976.040000 PA 36995489.820000 0.5459744 Long DBT CORP DK N 2 2050-10-01 Fixed 1 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1NN643 48717738.000000 PA 7275409.860000 0.1073695 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N NYKREDIT REALKREDIT A/S LIU16F6VZJSD6UKHD557 ACI1P1CP5 70324629.000000 PA 10649471.080000 0.1571634 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N OAK HILL EUROPEAN CREDIT PARTNERS IV DESIGNATED ACTIVITY CO 15-4A N/A ACI0ZJQQ0 600000.000000 PA 695531.200000 0.0102646 Long ABS-CBDO CORP IE N 2 2032-01-20 Floating 0.73 N N N N N N OAK HILL EUROPEAN CREDIT PARTNERS IV DESIGNATED ACTIVITY CO 15-4A N/A ACI1WJ2Z7 2000000.000000 PA 2318437.340000 0.0342152 Long ABS-CBDO CORP IE N 2 2032-01-20 Floating 0.73 N N N N N N OAK HILL EUROPEAN CREDIT PARTNERS VII DAC 18-7A N/A ACI1WXMN1 3900000.000000 PA 4505413.390000 0.0664903 Long ABS-CBDO CORP IE N 2 2031-10-20 Floating 0.74 N N N N N N OAKTREE CLO 2019-1A N/A 67401XAS0 2200000.000000 PA USD 2200036.980000 0.0324678 Long ABS-CBDO CORP KY N 2 2030-04-22 Floating 1.24825 N N N N N N OAKTREE CLO LTD 2019-4A N/A 67402CAQ9 2500000.000000 PA USD 2499822.280000 0.0368920 Long ABS-CBDO CORP KY N 3 2032-10-20 Floating 1.25175 N N N N N N OCP CLO 2015-9 N/A 67091YAJ3 59024.160000 PA USD 59045.120000 0.0008714 Long ABS-CBDO CORP KY N 2 2027-07-15 Floating 0.92613 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2005-5 N/A 007036LJ3 415059.520000 PA USD 398394.800000 0.0058795 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.67487 Y N N N N N OCP EURO CLO 2020-4 DAC 20-4A N/A ACI1ZTQK9 9700000.000000 PA 11182115.830000 0.1650241 Long ABS-CBDO CORP IE N 2 2034-09-22 Floating 0.88 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2005-7 N/A 007036MX1 256325.070000 PA USD 253228.410000 0.0037371 Long ABS-MBS CORP US N 2 2035-10-25 Floating 2.61249 Y N N N N N OZLM IX LTD 2014-9A N/A 67109KBC7 400000.000000 PA USD 400000.000000 0.0059031 Long ABS-CBDO CORP KY N 2 2031-10-20 Floating 1.22838 N N N N N N OZLM XXIV LTD 2019-24A N/A 67113DAW4 3700000.000000 PA USD 3703711.470000 0.0546589 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 1.27413 N N N N N N PALMER SQUARE EUROPEAN LOAN FUNDING 2020-2 DAC 20-2A N/A ACI1SDQ48 1096682.910000 PA 1272042.090000 0.0187726 Long ABS-CBDO CORP IE N 2 2030-02-15 Floating 0.87 N N N N N N PALMER SQUARE EUROPEAN LOAN FUNDING 2021-1 DAC 21-1A N/A ACI1ZMCH6 8400000.000000 PA 9732024.150000 0.1436239 Long ABS-CBDO CORP IE N 2 2031-04-15 Floating 0.78 N N N N N N PALMER SQUARE LOAN FUNDING LTD 2019-2A N/A 69689PAA5 87960.650000 PA USD 88004.600000 0.0012988 Long ABS-CBDO CORP KY N 2 2027-04-20 Floating 1.10425 N N N N N N PARK PLACE SEC INC 2005-WHQ2 N/A 70069FHV2 115625.120000 PA USD 115808.390000 0.0017091 Long ABS-MBS CORP US N 2 2035-05-25 Floating 0.776 N N N N N N PARK PLACE SECURITIES INC 2004-WCW2 N/A 70069FAY3 28591.510000 PA USD 29787.400000 0.0004396 Long ABS-MBS CORP US N 2 2034-10-25 Floating 1.061 N N N N N N PARK PLACE SECURITIES INC 2004-WHQ1 N/A 70069FBS5 190793.570000 PA USD 191066.330000 0.0028197 Long ABS-MBS CORP US N 2 2034-09-25 Floating 1.076 N N N N N N PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP N/A 709599AN4 100000.000000 PA USD 104693.650000 0.0015451 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 3859110.170000 0.0569522 Long DBT NUSS PE N 2 2029-02-12 Fixed 5.94 N N N N N N POPULAR ABS MTGE PASS THRU TRUST 2006-A N/A 73316PJX9 4300000.000000 PA USD 4252116.490000 0.0627522 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.956 N N N N N N PROGRESS ENERGY INC 549300FBMTW0JYWMNB26 743263AS4 100000.000000 PA USD 100685.110000 0.0014859 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 126685.860000 0.0018696 Long DBT NUSS AR N 2 2022-05-31 Floating 37.9628 N N N N N N QATAR GOVT 52990074F6OJOAXK4P65 ACI122SK2 6300000.000000 PA USD 6634737.900000 0.0979146 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 563626.630000 PA USD 485225.880000 0.0071609 Long ABS-MBS CORP US N 2 2035-08-25 Floating 0.386 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 ACI0B2V53 10618.520000 PA 1774.550000 0.0000262 Long DBT CORP DK N 2 2047-04-01 Fixed 2.5 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 BL63VNII8 37442968.050000 PA 5359826.740000 0.0790996 Long DBT CORP DK N 2 2053-10-01 Fixed 1 N N N N N N REALKREDIT DANMARK A/S 549300NLOMBOWE943Y30 ACI1WVDP0 126272997.930000 PA 18852440.580000 0.2782217 Long DBT CORP DK N 2 2053-10-01 Fixed 1.5 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2007-3 N/A 75971FAD5 14641255.860000 PA USD 8001203.280000 0.1180807 Long ABS-MBS CORP US N 2 2037-09-25 Floating 1.186 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QH1 N/A 75115GAA6 896690.190000 PA USD 871428.900000 0.0128604 Long ABS-MBS CORP US N 2 2036-12-25 Floating 0.466 N N N N N N RESIDENTIAL ACCREDIT LOANS INC 2005-QA9 N/A 761118FJ2 468490.910000 PA USD 256411.960000 0.0037841 Long ABS-MBS CORP US N 2 2035-08-25 Floating 3.12851 Y N N N N N RESIDENTIAL ACCREDIT LOANS INC 2006-QA2 N/A 761118TR9 270056.080000 PA USD 237124.440000 0.0034995 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.07299 Y N N N N N RESIDENTIAL ASSET SEC CORP 2006-EMX7 N/A 74924TAD6 775549.020000 PA USD 708822.330000 0.0104607 Long ABS-MBS CORP US N 2 2036-08-25 Floating 0.566 N N N N N N RESIDENTIAL ASSET SEC TRUST 2005-A5 N/A 45660LJZ3 887449.580000 PA USD 648797.170000 0.0095749 Long ABS-MBS CORP US N 2 2035-05-25 Floating 0.486 N N N N N N RESIDENTIAL ASSET SEC TRUST 2006-A10 N/A 76113LAE7 655452.880000 PA USD 355942.770000 0.0052530 Long ABS-MBS CORP US N 2 2036-09-25 Fixed 6.5 Y N N N N N RESIDENTIAL ASSET SECURITIZATION TRUST 2007-A6 N/A 76114CAG1 11644577.360000 PA USD 4442771.900000 0.0655658 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 212569.130000 PA USD 223312.590000 0.0032956 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 143663.550000 PA USD 133990.780000 0.0019774 Long ABS-MBS CORP US N 2 2035-06-25 Floating 2.18338 N N N N N N RESIDENTIAL FUNDING MTGE SEC 2005-SA4 N/A 76111XYD9 986704.350000 PA USD 739327.800000 0.0109109 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.93982 Y N N N N N RESIDENTIAL FUNDING MTGE SEC 2007-S6 N/A 762009AK4 466607.840000 PA USD 457882.790000 0.0067574 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 102566.290000 PA USD 100648.410000 0.0014854 Long ABS-MBS CORP US N 2 2037-06-25 Fixed 6 Y N N N N N ALLIANCE BANCORP TRUST 2007-OA1 N/A 01852TAA1 1891477.120000 PA USD 1818985.120000 0.0268443 Long ABS-MBS CORP US N 2 2037-07-25 Floating 0.326 N N N N N N SABINE PASS LIQUEFACTION LLC 549300KJYBG7C6WJYZ11 785592AH9 600000.000000 PA USD 606906.050000 0.0089566 Long DBT CORP US N 2 2022-03-15 Fixed 6.25 N N N N N N SARANAC CLO LTD 2018-6A N/A 80317LAJ2 2800000.000000 PA USD 2800042.340000 0.0413226 Long ABS-CBDO CORP JE N 2 2031-08-13 Floating 1.25888 N N N N N N SEC ASSET BACKED REC LLC 2006-FR3 N/A 813765AC8 4616528.530000 PA USD 3197710.500000 0.0471914 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.586 N N N N N N SEQUOIA MORTGAGE TRUST 2007-1 N/A 81744HAA1 351939.150000 PA USD 270734.720000 0.0039955 Long ABS-MBS CORP US N 2 2047-01-20 Floating 1.93605 Y N N N N N SEQUOIA MORTGAGE TRUST 5 N/A 81743WAA9 16460.070000 PA USD 16394.110000 0.0002419 Long ABS-MBS CORP US N 2 2026-10-19 Floating 0.78738 N N N N N N SOUND POINT CLO XIV LTD 2016-3A N/A 83609NAN0 8076402.660000 PA USD 8078421.760000 0.1192202 Long ABS-CBDO CORP KY N 2 2029-01-23 Floating 1.12788 N N N N N N SOUND POINT CLO XVI LTD 2017-2A N/A 83610KAJ2 3600000.000000 PA USD 3601897.310000 0.0531563 Long ABS-CBDO CORP KY N 2 2030-07-25 Floating 1.10525 N N N N N N SOUNDVIEW HOME EQUITY LN TRUST 2006-NLC1 N/A 83611DAA6 474939.630000 PA USD 195011.640000 0.0028780 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.146 N N N N N N STANWICH MORTGAGE LOAN CO LLC 2019-NPB1 N/A 85502HAA4 49780.320000 PA USD 49952.270000 0.0007372 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 800520.000000 0.0118140 Long ABS-CBDO CORP KY N 2 2038-07-15 Floating 1.24448 N N N N N N STRUCTURED ADJ RATE MTGE LOAN 2006-1 N/A 863579R42 232390.720000 PA USD 180525.200000 0.0026642 Long ABS-MBS CORP US N 2 2036-02-25 Floating 2.9183 Y N N N N N STRUCTURED ARM LOAN TRUST 2005-19XS N/A 863579YR3 568841.540000 PA USD 569934.060000 0.0084110 Long ABS-MBS CORP US N 2 2035-10-25 Floating 0.406 N N N N N N STRUCTURED ASSET INVEST LN TR 2003-BC2 N/A 86358EAK2 1317852.620000 PA USD 1311322.000000 0.0193523 Long ABS-MBS CORP US N 2 2033-04-25 Floating 0.806 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR4 N/A 86360QAB1 138383.080000 PA USD 137701.230000 0.0020322 Long ABS-MBS CORP US N 2 2036-06-25 Floating 0.466 N N N N N N STRUCTURED ASSET MTG INV INC 2005-AR5 N/A 86359LPF0 612866.010000 PA USD 626581.030000 0.0092470 Long ABS-MBS CORP US N 2 2035-07-19 Floating 0.58738 N N N N N N STRUCTURED ASSET MTG INV INC 2006-AR3 N/A 86360KAA6 10503.420000 PA USD 10094.770000 0.0001490 Long ABS-MBS CORP US N 2 2036-04-25 Floating 0.506 N N N N N N STRUCTURED ASSET MTGE INVEST 2006-AR5 N/A 86360JAN1 3026611.820000 PA USD 1544738.480000 0.0227970 Long ABS-MBS CORP US N 2 2046-05-25 Floating 0.526 N N N N N N AMERICAN HOME MORTGAGE ASSETS 2006-1 N/A 02660WAC0 117836.630000 PA USD 106785.710000 0.0015759 Long ABS-MBS CORP US N 2 2046-05-25 Floating 0.466 Y N N N N N AMERICAN HOME MORTGAGE ASSETS 2006-5 N/A 02660KAA0 5031093.010000 PA USD 2096833.290000 0.0309448 Long ABS-MBS CORP US N 2 2046-11-25 Floating 1.01211 N N N N N N SYDNEY AIRPORT FINANCE COMPANY PTY LIMITED 549300MJAANHLHOVTO40 87124VAD1 200000.000000 PA USD 208864.410000 0.0030824 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 1255025.130000 PA USD 1256688.970000 0.0185460 Long ABS-CBDO CORP KY N 2 2026-07-14 Floating 1.08288 N N N N N N SYMPHONY CLO XVII LTD 2016-17A N/A 87165UAN1 1245639.610000 PA USD 1247205.900000 0.0184061 Long ABS-CBDO CORP KY N 2 2028-04-15 Floating 1.00613 N N N N N N TAMPA ELECTRIC COMPANY WS423EPRKJIIJUITXD73 875127BB7 100000.000000 PA USD 101558.230000 0.0014988 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 1237764.830000 PA USD 1239306.010000 0.0182895 Long ABS-CBDO CORP KY N 2 2028-04-17 Floating 1.08388 N N N N N N AMERICAN HOME MTGE INV TRUST 2005-2 N/A 02660TFG3 55182.210000 PA USD 55378.520000 0.0008173 Long ABS-MBS CORP US N 2 2045-09-25 Floating 1.65475 N N N N N N THL CREDIT WIND RIVER 2019-3 CLO LTD N/A 97314JAA3 3700000.000000 PA USD 3700058.200000 0.0546050 Long ABS-CBDO CORP KY N 2 2031-04-15 Floating 1.16431 N N N N N N TICP CLO III-2 LTD 2018-3R N/A 87249FAC8 2504224.450000 PA USD 2507354.050000 0.0370032 Long ABS-CBDO CORP KY N 2 2028-04-20 Floating 0.97425 N N N N N N TORO EUROPEAN CLO 6 DAC 6A N/A ACI1ZW9V7 2400000.000000 PA 2783514.830000 0.0410787 Long ABS-CBDO CORP IE N 2 2032-01-12 Floating 0.92 N N N N N N TOWD POINT MORTGAGE FUNDING 2019 - GRANITE4 PLC N/A ACI19VH23 13047325.110000 PA 17726761.080000 0.2616091 Long ABS-MBS CORP GB N 2 2051-10-20 Floating 1.09713 N N N N N N TOWD POINT MORTGAGE TRUST 2017-1 N/A 89173FAA8 1471333.090000 PA USD 1491934.990000 0.0220178 Long ABS-MBS CORP US N 2 2056-10-25 Variable 2.75 N N N N N N TOWD POINT MORTGAGE TRUST 2019-HY2 N/A 89177HAA0 8103014.220000 PA USD 8173284.370000 0.1206202 Long ABS-MBS CORP US N 2 2058-05-25 Floating 1.086 N N N N N N TOYOTA INDUSTRIES CORPORATION 35380000WKGEAHEMW830 892330AD3 200000.000000 PA USD 202076.940000 0.0029822 Long DBT CORP JP N 2 2022-03-12 Fixed 3.11 N N N N N N UMBS PASS THRU POOLS N/A 01F0306C7 1000000.000000 PA USD 1043365.750000 0.0153978 Long ABS-MBS USGSE US N 2 2051-12-13 Fixed 3 N N N N N N UMBS PASS THRU POOLS N/A 01F0326A7 -2000000.000000 PA USD -2116289.080000 -0.0312319 Short ABS-MBS USGSE US N 2 2051-10-14 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F0406A0 134000000.000000 PA USD 143576289.900000 2.1188793 Long ABS-MBS USGSE US N 2 2051-10-14 Fixed 4 N N N N N N UMBS PASS THRU POOLS N/A 01F0406B8 131689000.000000 PA USD 141249311.930000 2.0845381 Long ABS-MBS USGSE US N 2 2051-11-10 Fixed 4 N N N N N N UNICREDIT SPA 549300TRUWO2CD2G5692 904678AG4 14500000.000000 PA USD 16599046.100000 0.2449665 Long DBT CORP IT N 2 2023-12-04 Fixed 7.83 N N N N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 B85SFQII4 30870245.000000 PA 45888922.620000 0.6772225 Long DBT NUSS GB N 2 2024-03-22 Fixed 0.125 N N N N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 BYY5F1II0 4449731.220000 PA 6994832.140000 0.1032288 Long DBT NUSS GB N 2 2026-03-22 Fixed 0.125 N N N N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 BZ1NTBII7 33166744.800000 PA 55642435.180000 0.8211635 Long DBT NUSS GB N 2 2028-08-10 Fixed 0.125 N N N N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 B128DHII8 67537765.400000 PA 118575702.630000 1.7499240 Long DBT NUSS GB N 2 2027-11-22 Fixed 1.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796Q51 39700000.000000 PA USD 39697380.990000 0.5858485 Long DBT UST US N 2 2022-01-04 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796Q69 241600000.000000 PA USD 241582887.470000 3.5652473 Long DBT UST US N 2 2022-01-11 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796Q77 30000000.000000 PA USD 29996820.900000 0.4426890 Long DBT UST US N 2 2022-01-18 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796Q85 111000000.000000 PA USD 110985693.210000 1.6379117 Long DBT UST US N 2 2022-01-25 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796Q93 115700000.000000 PA USD 115716267.420000 1.7077249 Long DBT UST US N 2 2022-02-01 None 0 N N N N N N AMGEN INC 62QBXGPJ34PQ72Z12S66 031162CP3 200000.000000 PA USD 202518.410000 0.0029887 Long DBT CORP US N 2 2022-05-11 Fixed 2.65 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796C31 20100000.000000 PA USD 20097348.200000 0.2965939 Long DBT UST US N 2 2022-01-27 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796L80 6751000.000000 PA USD 6749892.160000 0.0996140 Long DBT UST US N 2 2022-02-17 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796F38 200000000.000000 PA USD 199958916.000000 2.9509664 Long DBT UST US N 2 2022-03-24 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796N39 225400000.000000 PA USD 225343336.690000 3.3255862 Long DBT UST US N 2 2022-03-31 None 0 N N N N N N AMMC CLO 20 LTD 2017-20A N/A 00177TAJ2 5000000.000000 PA USD 5006246.800000 0.0738815 Long ABS-CBDO CORP KY N 2 2029-04-17 Floating 0.99138 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828SA9 133383600.000000 PA USD 134360086.660000 1.9828678 Long DBT UST US N 2 2022-01-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828UH1 244132717.300000 PA USD 252420991.320000 3.7251945 Long DBT UST US N 2 2023-01-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828B25 146183206.400000 PA USD 156000822.300000 2.3022388 Long DBT UST US N 2 2024-01-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828H45 222766652.000000 PA USD 239405445.210000 3.5331129 Long DBT UST US N 2 2025-01-15 Fixed 0.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810FR4 105378088.540000 PA USD 121000147.800000 1.7857037 Long DBT UST US N 2 2025-01-15 Fixed 2.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828N71 94749724.800000 PA USD 104621059.070000 1.5439833 Long DBT UST US N 2 2026-01-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810PV4 59321099.970000 PA USD 71419360.090000 1.0539972 Long DBT UST US N 2 2028-01-15 Fixed 1.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128285W6 41943576.000000 PA USD 48494186.540000 0.7156706 Long DBT UST US N 2 2029-01-15 Fixed 0.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810PZ5 47052663.500000 PA USD 60304139.940000 0.8899603 Long DBT UST US N 2 2029-01-15 Fixed 2.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828Z37 139618388.000000 PA USD 153505730.620000 2.2654166 Long DBT UST US N 2 2030-01-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CBF7 81442431.900000 PA USD 89462923.310000 1.3202816 Long DBT UST US N 2 2031-01-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QF8 3409803.000000 PA USD 5080877.690000 0.0749829 Long DBT UST US N 2 2040-02-15 Fixed 2.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QP6 10376613.000000 PA USD 15642885.320000 0.2308556 Long DBT UST US N 2 2041-02-15 Fixed 2.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RA8 498640.800000 PA USD 594948.400000 0.0087802 Long DBT UST US N 2 2043-02-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RF7 2553216.000000 PA USD 3510911.110000 0.0518135 Long DBT UST US N 2 2044-02-15 Fixed 1.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RR1 13593600.000000 PA USD 17728250.170000 0.2616311 Long DBT UST US N 2 2046-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828X39 424524936.870000 PA USD 430474055.280000 6.3528774 Long DBT UST US N 2 2022-04-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128284H0 504102984.300000 PA USD 527552105.890000 7.7855420 Long DBT UST US N 2 2023-04-15 Fixed 0.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128286N5 369414632.400000 PA USD 394609585.840000 5.8235944 Long DBT UST US N 2 2024-04-15 Fixed 0.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828ZJ2 518230200.000000 PA USD 556141864.060000 8.2074657 Long DBT UST US N 2 2025-04-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CCA7 740422350.800000 PA USD 801882862.830000 11.8340779 Long DBT UST US N 2 2026-04-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810FH6 13533920.400000 PA USD 18889701.700000 0.2787716 Long DBT UST US N 2 2029-04-15 Fixed 3.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828TE0 111978749.800000 PA USD 114685323.210000 1.6925103 Long DBT UST US N 2 2022-07-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828VM9 240765288.400000 PA USD 253695833.790000 3.7440085 Long DBT UST US N 2 2023-07-15 Fixed 0.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828WU0 62076240.000000 PA USD 66289900.060000 0.9782973 Long DBT UST US N 2 2024-07-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828XL9 159454487.960000 PA USD 174056371.640000 2.5687002 Long DBT UST US N 2 2025-07-15 Fixed 0.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828S50 34879912.500000 PA USD 38066961.610000 0.5617870 Long DBT UST US N 2 2026-07-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828Y38 5633043.690000 PA USD 6453784.180000 0.0952441 Long DBT UST US N 2 2028-07-15 Fixed 0.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128287D6 25095225.870000 PA USD 27939157.400000 0.4123223 Long DBT UST US N 2 2029-07-15 Fixed 0.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828ZZ6 11976975.000000 PA USD 13219353.080000 0.1950894 Long DBT UST US N 2 2030-07-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CCM1 89041334.900000 PA USD 98139973.840000 1.4483363 Long DBT UST US N 2 2031-07-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828YL8 495085865.000000 PA USD 529788260.140000 7.8185428 Long DBT UST US N 2 2024-10-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CAQ4 196827329.000000 PA USD 213057409.400000 3.1442722 Long DBT UST US N 2 2025-10-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RM2 1370000.000000 PA USD 1612318.750000 0.0237944 Long DBT UST US N 2 2045-05-15 Fixed 3 N N N N N N ANCHORAGE CAPITAL CLO LTD 2015-6A N/A 03328QAY7 5100000.000000 PA USD 5100755.770000 0.0752763 Long ABS-CBDO CORP KY N 2 2030-07-15 Floating 1.17613 N N N N N N ANCHORAGE CAPITAL CLO LTD 2016-9A N/A 03328WAS7 9800000.000000 PA USD 9800311.930000 0.1446317 Long ABS-CBDO CORP KY N 2 2032-07-15 Floating 1.23587 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SS8 30630000.000000 PA USD 27527516.090000 0.4062473 Long DBT UST US N 2 2050-11-15 Fixed 1.625 N N N N N N US AIRWAYS 2011-1 CLASS A PASS THRU TRUST N/A 903436AA1 1409377.730000 PA USD 1501640.110000 0.0221610 Long DBT CORP US N 2 2025-04-22 Fixed 7.125 N N N N N N VENTURE 36 CLO LTD N/A 92332LAU3 9000000.000000 PA USD 8986780.170000 0.1326257 Long ABS-CBDO CORP KY N 2 2032-04-20 Floating 1.26425 N N N N N N VENTURE CLO LTD 2014-17A N/A 92329YAL0 3171935.710000 PA USD 3172728.690000 0.0468227 Long ABS-CBDO CORP KY N 2 2027-04-15 Floating 1.00613 N N N N N N VENTURE XXI CLO LTD 2015-21A N/A 92330MAL3 1159425.210000 PA USD 1159623.830000 0.0171136 Long ABS-CBDO CORP KY N 2 2027-07-15 Floating 1.00613 N N N N N N VENTURE XXIX CLO LTD 2017-29A N/A 92331EAF3 2300000.000000 PA USD 2298219.390000 0.0339168 Long ABS-CBDO CORP KY N 2 2030-09-07 Floating 1.11475 N N N N N N VENTURE XXVI CLO LTD 2017-26A N/A 92331MAE8 1400000.000000 PA USD 1401110.350000 0.0206774 Long ABS-CBDO CORP KY N 2 2029-01-20 Floating 1.23425 N N N N N N VENTURE XXVII CLO LTD 2017-27A N/A 92331LBC3 3200000.000000 PA USD 3198167.620000 0.0471981 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 1.18425 N N N N N N VENTURE XXVIII CLO LTD 2017-28A N/A 92331AAU8 8100000.000000 PA USD 8100193.100000 0.1195415 Long ABS-CBDO CORP KY N 2 2030-07-20 Floating 1.10963 N N N N N N VIBRANT CLO IV LTD 2016-4A N/A 92557WAW3 2400000.000000 PA USD 2401100.400000 0.0354351 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 1.24475 N N N N N N VIBRANT CLO VI LTD 2017-6A N/A 92558EAJ1 12600000.000000 PA USD 12603209.470000 0.1859964 Long ABS-CBDO CORP KY N 2 2029-06-20 Floating 1.072 N N N N N N VIBRANT CLO XI LTD 2019-11A N/A 92558NAJ1 2600000.000000 PA USD 2600000.000000 0.0383704 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 1.19825 N N N N N N VMWARE INC 549300BUDHS3LRWBE814 928563AC9 900000.000000 PA USD 1003719.380000 0.0148128 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 1204737.520000 0.0177794 Long DBT CORP US N 2 2021-11-12 Fixed 4 N N N N N N VOYA CLO LTD 2017-1A N/A 92916MAF8 3700000.000000 PA USD 3700289.230000 0.0546084 Long ABS-CBDO CORP KY N 2 2030-04-17 Floating 1.08388 N N N N N N WACHOVIA MORTGAGE LN TRUST LLC 2005-A N/A 92977YAC5 180530.080000 PA USD 182320.670000 0.0026907 Long ABS-MBS CORP US N 2 2035-08-20 Floating 2.74066 Y N N N N N WAMU MTGE P/T CERT 2007-HY1 N/A 92925VAJ9 116868.380000 PA USD 116765.150000 0.0017232 Long ABS-MBS CORP US N 2 2037-02-25 Floating 3.09322 Y N N N N N WASHINGTON MUTUAL 2002-AR17 N/A 929227XB7 81331.090000 PA USD 80760.830000 0.0011919 Long ABS-MBS CORP US N 2 2042-11-25 Floating 1.29211 N N N N N N WASHINGTON MUTUAL 2003-AR9 N/A 92922FBX5 48716.150000 PA USD 48782.260000 0.0007199 Long ABS-MBS CORP US N 2 2033-09-25 Floating 2.36802 N N N N N N WASHINGTON MUTUAL 2006-AR10 N/A 93363EAA3 826426.800000 PA USD 830833.310000 0.0122613 Long ABS-MBS CORP US N 2 2036-09-25 Floating 2.86406 Y N N N N N WASHINGTON MUTUAL 2006-AR15 N/A 93363QAC2 539653.060000 PA USD 534792.240000 0.0078924 Long ABS-MBS CORP US N 2 2046-11-25 Floating 1.763 N N N N N N WASHINGTON MUTUAL 2006-AR17 N/A 92925DAB6 640520.120000 PA USD 622785.530000 0.0091910 Long ABS-MBS CORP US N 2 2046-12-25 Floating 0.90916 N N N N N N WASHINGTON MUTUAL 2006-AR19 N/A 933638AA6 1408337.920000 PA USD 1372215.320000 0.0202510 Long ABS-MBS CORP US N 2 2047-01-25 Floating 0.83211 Y N N N N N WASHINGTON MUTUAL 2006-AR5 N/A 93362YAB8 106454.860000 PA USD 108690.730000 0.0016040 Long ABS-MBS CORP US N 2 2046-06-25 Floating 1.06738 N N N N N N WASHINGTON MUTUAL 2006-AR8 N/A 93362FAJ2 84347.250000 PA USD 83859.150000 0.0012376 Long ABS-MBS CORP US N 2 2036-08-25 Floating 3.13135 Y N N N N N WASHINGTON MUTUAL 2006-AR9 N/A 93363DAA5 267561.050000 PA USD 268944.100000 0.0039690 Long ABS-MBS CORP US N 2 2046-08-25 Floating 1.09211 N N N N N N WELLFLEET CLO LTD 2015-1 N/A 949496BJ1 7200000.000000 PA USD 7200246.100000 0.1062602 Long ABS-CBDO CORP KY N 2 2029-07-20 Floating 0.97953 N N N N N N WELLFLEET CLO LTD 2017-1A N/A 94950GAL1 4268720.250000 PA USD 4266805.730000 0.0629689 Long ABS-CBDO CORP KY N 2 2029-04-20 Floating 1.02425 N N N N N N AQUEDUCT EUROPEAN CLO 1-2017 DAC N/A ACI1VHTC4 7962250.300000 PA 9236570.600000 0.1363120 Long ABS-CBDO CORP IE N 2 2030-07-20 Floating 0.64 N N N N N N WELLS FARGO HOME EQUITY TRUST 2005-2 N/A 94981PAM2 1460000.000000 PA USD 1507322.540000 0.0222449 Long ABS-MBS CORP US N 2 2034-12-25 Floating 2.486 N N N N N N WELLS FARGO MTGE BK SEC TR 2006-AR15 N/A 94985AAA7 5733.160000 PA USD 5692.050000 0.0000840 Long ABS-MBS CORP US N 2 2036-10-25 Floating 2.70694 Y N N N N N WELLS FARGO MTGE BK SEC TR 2006-AR4 N/A 94983PAF5 326048.400000 PA USD 320813.990000 0.0047345 Long ABS-MBS CORP US N 2 2036-04-25 Floating 2.79988 Y N N N N N WHITEHORSE X LTD 2015-10A N/A 96525WAN3 85110.120000 PA USD 85215.430000 0.0012576 Long ABS-CBDO CORP KY N 2 2027-04-17 Floating 1.06388 N N N N N N WIND RIVER CLO LTD 2015-2A N/A 88432GAL1 46546.720000 PA USD 46591.650000 0.0006876 Long ABS-CBDO CORP KY N 2 2027-10-15 Floating 0.99613 N N N N N N WMALT MTGE PASS-THRU CERT 2005-7 N/A 93934FBT8 128113.120000 PA USD 123164.110000 0.0018176 Long ABS-MBS CORP US N 2 2035-08-25 Fixed 6.5 Y N N N N N N/A N/A 000000000 14779000.000000 PA USD 14779000.000000 0.2181065 Long RA US N 2 Repurchase N 0.0000001 2021-10-01 13721100.000000 USD 15074709.540000 USD UST N N N ARES EUROPEAN CLO X BV 10A N/A ACI1Y2RR3 2100000.000000 PA 2436157.460000 0.0359525 Long ABS-CBDO CORP IE N 2 2031-10-15 Floating 0.78 N N N N N N ARES EUROPEAN CLO XII BV 12A N/A ACI20RGN4 5200000.000000 PA 6023419.520000 0.0888928 Long ABS-CBDO CORP IE N 2 2032-04-20 Floating 0.85 N N N N N N ARES L CLO LTD 2018-50A N/A 04018LAJ4 1000000.000000 PA USD 999378.500000 0.0147487 Long ABS-CBDO CORP KY N 2 2032-01-15 Floating 1.17613 N N N N N N ARES XXXIX CLO LTD 2016-39A N/A 04015WBA1 8000000.000000 PA USD 8025040.000000 0.1184324 Long ABS-CBDO CORP KY N 2 2031-04-18 Floating 1.17725 N N N N N N N/A N/A 000000000 130165764.000000 PA USD 130165764.000000 1.9209686 Long RA US N 2 Repurchase N 0.0800000 2021-10-14 54439340.000000 GBP 92388543.620000 GBP N N N N/A N/A 000000000 109300000.000000 PA USD 109300000.000000 1.6130345 Long RA US N 2 Repurchase N 0.0200000 2021-10-01 110623000.000000 USD 111636886.440000 USD UST N N N N/A N/A 000000000 -73091203.000000 PA -98498247.990000 -1.4536237 Short RA GB N 2 Reverse repurchase N 0.1100000 2021-11-15 55517844.000000 GBP 72341077.050000 GBP N N N ARGENT SECURITIES INC 2006-M1 N/A 04012MAM1 5463968.060000 PA USD 5196214.500000 0.0766850 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.386 N N N N N N ARGENT SECURITIES INC 2006-W4 N/A 040104TG6 2593447.850000 PA USD 938055.790000 0.0138437 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.406 N N N N N N N/A N/A 000000000 -480016250.000000 PA USD -480016916.660000 -7.0840241 Short RA US N 2 Reverse repurchase N 0.0500000 2021-10-01 425000000.000000 USD 444769525.250000 USD UST N N N N/A N/A 000000000 -98140175.000000 PA USD -98140284.040000 -1.4483409 Short RA US N 2 Reverse repurchase N 0.0100000 2021-10-01 87430000.000000 USD 96363985.590000 USD UST N N N N/A N/A 000000000 -65505200.000000 PA USD -65505691.290000 -0.9667241 Short RA US N 2 Reverse repurchase N 0.0300000 2021-10-06 56470000.000000 USD 62031193.840000 USD UST N N N N/A N/A 000000000 -26382362.500000 PA USD -26381776.230000 -0.3893387 Short RA US N 2 Reverse repurchase N -0.0500000 2021-10-04 23270000.000000 USD 25201581.500000 USD UST N N N N/A N/A 000000000 -395062500.000000 PA USD -395058988.310000 -5.8302266 Short RA US N 2 Reverse repurchase N -0.0400000 2021-10-01 350000000.000000 USD 379052579.500000 USD UST N N N N/A N/A 000000000 -24645000.000000 PA USD -24645109.530000 -0.3637092 Short RA US N 2 Reverse repurchase N 0.0200000 2021-10-01 21200000.000000 USD 23287786.600000 USD UST N N N N/A N/A 000000000 -112625000.000000 PA USD -112623686.040000 -1.6620850 Short RA US N 2 Reverse repurchase N -0.0600000 2021-10-01 100000000.000000 USD 108300737.000000 USD UST N N N N/A N/A 000000000 -154125000.000000 PA USD -154123630.000000 -2.2745355 Short RA US N 2 Reverse repurchase N -0.0800000 2021-10-04 137000000.000000 USD 148372009.690000 USD UST N N N N/A N/A 000000000 -24710875.000000 PA USD -24711259.390000 -0.3646854 Short RA US N 2 Reverse repurchase N 0.0700000 2021-10-07 21700000.000000 USD 23221033.070000 USD UST N N N N/A N/A 000000000 -142385112.500000 PA USD -142391203.430000 -2.1013899 Short RA US N 2 Reverse repurchase N 0.0700000 2021-10-06 130630000.000000 USD 134690002.090000 USD UST N N N N/A N/A 000000000 -198380000.000000 PA USD -198402758.610000 -2.9280008 Short RA US N 2 Reverse repurchase N 0.0700000 2021-10-05 174400000.000000 USD 187158411.630000 USD UST N N N N/A N/A 000000000 -14348250.000000 PA USD -14348473.190000 -0.2117528 Short RA US N 2 Reverse repurchase N 0.0700000 2021-10-07 12600000.000000 USD 13483180.490000 USD UST N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1ZMTV7 3650377.620000 PA 20338.520000 0.0003002 Long DBT NUSS AR N 2 2021-12-31 None 0 N N N N N N N/A N/A 000000000 -137.000000 NC 239502.540000 0.0035345 N/A DIR AU N 1 ASX - SYDNEY FUTURES EXCHANGE LIMITED N/A Short N/A AUSTRALIA GOVT 2021-12-15 -14012025.610000 AUD 239502.540000 N N N N/A N/A 000000000 -371.000000 NC 37119.410000 0.0005478 N/A DIR AU N 1 ASX - SYDNEY FUTURES EXCHANGE LIMITED N/A Short N/A AUSTRALIA GOVT 2021-12-15 -31230362.130000 AUD 37119.410000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI0TFSY6 40847000.000000 PA 225930.600000 0.0033343 Long DBT NUSS AR N 2 2022-04-03 Floating 36.1445 N N N N N N N/A N/A 000000000 1.000000 NC -21890.020000 -0.0003230 N/A DFE AU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 7212468.970000 USD 9946167.000000 AUD 2021-10-05 -21890.020000 N N N N/A N/A 000000000 1.000000 NC 5622.540000 0.0000830 N/A DFE CN N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1585848.000000 USD 10273841.730000 CNY 2021-10-22 5622.540000 N N N N/A N/A 000000000 1.000000 NC 9406.010000 0.0001388 N/A DFE CN N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 3250094.100000 USD 21041915.230000 CNY 2021-10-22 9406.010000 N N N N/A N/A 000000000 1.000000 NC 260.320000 0.0000038 N/A DFE CN N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 71023.000000 USD 460150.910000 CNY 2021-10-22 260.320000 N N N N/A N/A 000000000 1.000000 NC 395.430000 0.0000058 N/A DFE CN N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 106535.000000 USD 690261.570000 CNY 2021-10-22 395.430000 N N N N/A N/A 000000000 1.000000 NC -401331.670000 -0.0059228 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 39639220.000000 USD 251907243.100000 DKK 2021-10-01 -401331.670000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1QL1T4 189000.000000 PA USD 63919.800000 0.0009433 Long DBT NUSS AR N 2 2030-07-09 Variable 0.5 N N N N N N N/A N/A 000000000 1.000000 NC -3572.390000 -0.0000527 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 120077.500000 USD 100000.000000 EUR 2022-07-01 -3572.390000 N N N N/A N/A 000000000 1.000000 NC -8774.540000 -0.0001295 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 195182.720000 USD 160000.000000 EUR 2022-07-01 -8774.540000 N N N N/A N/A 000000000 1.000000 NC -625685.100000 -0.0092338 N/A DFE GB N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 178359896.940000 USD 131909000.000000 GBP 2021-10-04 -625685.100000 N N N N/A N/A 000000000 1.000000 NC -770.820000 -0.0000114 N/A DFE IN N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 113567.230000 USD 8440600.450000 INR 2021-12-15 -770.820000 N N N N/A N/A 000000000 1.000000 NC -26420.060000 -0.0003899 N/A DFE NO N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 4507407.170000 USD 39185000.000000 NOK 2021-11-17 -26420.060000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI1QL1M9 130000.000000 PA USD 41275.000000 0.0006091 Long DBT NUSS AR N 2 2035-07-09 Variable 1.125 N N N N N N N/A N/A 000000000 1.000000 NC 87.110000 0.0000013 N/A DFE RU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 4098.060000 USD 306924.000000 RUB 2021-11-22 87.110000 N N N N/A N/A 000000000 1.000000 NC 171.710000 0.0000025 N/A DFE RU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 14921.070000 USD 1112918.000000 RUB 2021-12-20 171.710000 N N N N/A N/A 000000000 1.000000 NC 172.500000 0.0000025 N/A DFE RU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 14989.900000 USD 1118052.000000 RUB 2021-12-20 172.500000 N N N N/A N/A 000000000 1.000000 NC 20386.500000 0.0003009 N/A DFE AU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 7378528.000000 AUD 5354691.480000 USD 2021-10-05 20386.500000 N N N N/A N/A 000000000 1.000000 NC 21913.650000 0.0003234 N/A DFE AU N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 9946167.000000 AUD 7213354.180000 USD 2021-11-02 21913.650000 N N N N/A N/A 000000000 1.000000 NC 404000.870000 0.0059622 N/A DFE DK N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 250955901.820000 DKK 39639220.000000 USD 2022-04-01 404000.870000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 ACI0QD081 21780000.000000 PA 56761.330000 0.0008377 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 -11743.920000 -0.0001733 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 237097.000000 EUR 264486.210000 USD 2022-07-01 -11743.920000 N N N N/A N/A 000000000 1.000000 NC -6358.510000 -0.0000938 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 112500.000000 EUR 124709.740000 USD 2022-07-01 -6358.510000 N N N N/A N/A 000000000 1.000000 NC 23126.490000 0.0003413 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1219000.000000 EUR 1435155.030000 USD 2021-10-04 23126.490000 N N N N/A N/A 000000000 1.000000 NC 626949.690000 0.0092524 N/A DFE GB N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 131909000.000000 GBP 178367745.530000 USD 2021-11-02 626949.690000 N N N N/A N/A 000000000 1.000000 NC -727.650000 -0.0000107 N/A DFE IL N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 143000.000000 ILS 43640.470000 USD 2021-11-12 -727.650000 N N N N/A N/A 000000000 1.000000 NC 161.810000 0.0000024 N/A DFE IL N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 309721.380000 ILS 96258.000000 USD 2021-11-12 161.810000 N N N N/A N/A 000000000 1.000000 NC 2313.810000 0.0000341 N/A DFE KR N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 196265595.000000 KRW 167863.150000 USD 2021-12-15 2313.810000 N N N N/A N/A 000000000 1.000000 NC 1005.580000 0.0000148 N/A DFE PL N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 88139.340000 PLN 23164.000000 USD 2021-11-15 1005.580000 N N N N/A N/A 000000000 1.000000 NC 1043.910000 0.0000154 N/A DFE PL N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 107049.870000 PLN 27939.000000 USD 2022-02-18 1043.910000 N N N N/A N/A 000000000 1.000000 NC 509.770000 0.0000075 N/A DFE TW N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 4018002.000000 TWD 145264.000000 USD 2021-11-15 509.770000 N N N N/A N/A 000000000 1.000000 NC 241.580000 0.0000036 N/A DFE TW N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1606083.000000 TWD 58103.000000 USD 2021-11-15 241.580000 N N N N/A N/A 000000000 1.000000 NC 453.600000 0.0000067 N/A DFE RU N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 25172.840000 USD 1879341.000000 RUB 2021-11-22 453.600000 N N N N/A N/A 000000000 -9088.000000 NC USD -29042.450000 -0.0004286 N/A DCO US N 2 UBS Securities LLC T6FIZBDPKLYJKFCRVK44 Call Written BCOM COMMODITY INDEX BCOM INDEX N/A 100.500000 USD 2021-11-29 XXXX -546.120000 N N N N/A N/A 000000000 -1063467.000000 NC USD -472043.220000 -0.0069663 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written BCOM COMMODITY INDEX BCOM INDEX N/A 90.000000 USD 2021-12-14 XXXX 361289.520000 N N N N/A N/A 000000000 -9088.000000 NC USD -26697.310000 -0.0003940 N/A DCO US N 2 UBS Securities LLC T6FIZBDPKLYJKFCRVK44 Put Written BCOM COMMODITY INDEX BCOM INDEX N/A 100.500000 USD 2021-11-29 XXXX 1799.020000 N N N N/A N/A 000000000 -22362.000000 NC USD -257765.680000 -0.0038041 N/A DCO US N 2 J.P. MORGAN SECURITIES LLC ZBUT11V806EZRVTWT807 Call Written BCOM COMMODITY INDEX BCOM INDEX N/A 90.000000 USD 2022-01-18 XXXX -200052.930000 N N N N/A N/A 000000000 -56519.000000 NC USD -229480.370000 -0.0033866 N/A DCO US N 2 UBS Securities LLC T6FIZBDPKLYJKFCRVK44 Call Written BCOM COMMODITY INDEX BCOM INDEX N/A 102.600000 USD 2022-03-02 XXXX -158557.640000 N N N N/A N/A 000000000 -43547.500000 NC USD -501328.440000 -0.0073985 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Written BCOM COMMODITY INDEX BCOM INDEX N/A 90.000000 USD 2022-01-14 XXXX -366792.790000 N N N N/A N/A 000000000 -18913.000000 NC USD -27054.650000 -0.0003993 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Written BCOM COMMODITY INDEX BCOM INDEX N/A 105.000000 USD 2021-11-23 XXXX -13259.380000 N N N N/A N/A 000000000 -21255.990000 NC USD -189023.050000 -0.0027896 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written BCOM COMMODITY INDEX BCOM INDEX N/A 93.940000 USD 2022-03-02 XXXX -128211.790000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 040114HS2 10000.000000 PA USD 3670.000000 0.0000542 Long DBT NUSS AR N 2 2030-07-09 Variable 0.5 N N N N N N N/A N/A 000000000 1.000000 NC 6928.490000 0.0001022 N/A DFE CN N 2 BNP Paribas S.A. N/A 1447417.000000 USD 9388622.030000 CNY 2021-10-22 6928.490000 N N N N/A N/A 000000000 1.000000 NC 5150.500000 0.0000760 N/A DFE CN N 2 BNP Paribas S.A. N/A 1431153.000000 USD 9272150.760000 CNY 2021-10-22 5150.500000 N N N N/A N/A 000000000 1.000000 NC -32045.690000 -0.0004729 N/A DFE DK N 2 BNP Paribas S.A. N/A 1155877.470000 USD 7215000.000000 DKK 2021-10-01 -32045.690000 N N N N/A N/A 000000000 1.000000 NC -252057.390000 -0.0037198 N/A DFE N/A N 2 BNP Paribas S.A. N/A 7053392.830000 USD 5837800.000000 EUR 2022-07-01 -252057.390000 N N N N/A N/A 000000000 1.000000 NC -36310.920000 -0.0005359 N/A DFE GB N 2 BNP Paribas S.A. N/A 2295901.040000 USD 1677000.000000 GBP 2021-10-04 -36310.920000 N N N N/A N/A 000000000 1.000000 NC -9052.610000 -0.0001336 N/A DFE ID N 2 BNP Paribas S.A. N/A 3895000.000000 USD 55909881650.000000 IDR 2021-11-15 -9052.610000 N N N N/A N/A 000000000 1.000000 NC -55206.870000 -0.0008147 N/A DFE MX N 2 BNP Paribas S.A. N/A 2041284.400000 USD 41207000.000000 MXN 2021-11-08 -55206.870000 N N N N/A N/A 000000000 1.000000 NC -647228.210000 -0.0095517 N/A DFE MX N 2 BNP Paribas S.A. N/A 29713200.600000 USD 600067000.000000 MXN 2021-10-05 -647228.210000 N N N N/A N/A 000000000 1.000000 NC 83297.940000 0.0012293 N/A DFE DK N 2 BNP Paribas S.A. N/A 19775000.000000 DKK 3163516.010000 USD 2021-10-01 83297.940000 N N N N/A N/A 000000000 1.000000 NC -3968.080000 -0.0000586 N/A DFE N/A N 2 BNP Paribas S.A. N/A 260050.000000 EUR 299003.460000 USD 2022-07-01 -3968.080000 N N N N/A N/A 000000000 1.000000 NC 4654.080000 0.0000687 N/A DFE N/A N 2 BNP Paribas S.A. N/A 159000.000000 EUR 188831.720000 USD 2021-10-04 4654.080000 N N N N/A N/A 000000000 1.000000 NC 6089.600000 0.0000899 N/A DFE N/A N 2 BNP Paribas S.A. N/A 253000.000000 EUR 299152.130000 USD 2021-10-04 6089.600000 N N N N/A N/A 000000000 1.000000 NC 28825.300000 0.0004254 N/A DFE N/A N 2 BNP Paribas S.A. N/A 1163000.000000 EUR 1375986.240000 USD 2021-10-04 28825.300000 N N N N/A N/A 000000000 1.000000 NC 16676.150000 0.0002461 N/A DFE N/A N 2 BNP Paribas S.A. N/A 1165000.000000 EUR 1366153.790000 USD 2021-10-04 16676.150000 N N N N/A N/A 000000000 1.000000 NC 5326.250000 0.0000786 N/A DFE N/A N 2 BNP Paribas S.A. N/A 693000.000000 EUR 808062.740000 USD 2021-10-04 5326.250000 N N N N/A N/A 000000000 1.000000 NC 154891.090000 0.0022859 N/A DFE GB N 2 BNP Paribas S.A. N/A 4566000.000000 GBP 6307120.360000 USD 2021-10-04 154891.090000 N N N N/A N/A 000000000 1.000000 NC 96678.580000 0.0014268 N/A DFE GB N 2 BNP Paribas S.A. N/A 2794000.000000 GBP 3861314.710000 USD 2021-10-04 96678.580000 N N N N/A N/A 000000000 1.000000 NC 310011.460000 0.0045751 N/A DFE JP N 2 BNP Paribas S.A. N/A 2588484817.000000 JPY 23567883.040000 USD 2021-10-04 310011.460000 N N N N/A N/A 000000000 1.000000 NC 185095.710000 0.0027316 N/A DFE MX N 2 BNP Paribas S.A. N/A 179135000.000000 MXN 8862015.060000 USD 2021-10-05 185095.710000 N N N N/A N/A 000000000 1.000000 NC 344920.110000 0.0050903 N/A DFE MX N 2 BNP Paribas S.A. N/A 420932000.000000 MXN 20733973.150000 USD 2021-10-05 344920.110000 N N N N/A N/A 000000000 1.000000 NC 642466.820000 0.0094814 N/A DFE MX N 2 BNP Paribas S.A. N/A 600067000.000000 MXN 29303294.300000 USD 2022-01-12 642466.820000 N N N ARGENTINA GOVT 549300KPBYGYF7HCHO27 P0761DAQ6 1800000.000000 PA 6752.960000 0.0000997 Long DBT NUSS AR N 2 2022-10-04 Floating 34.1187 N N N N N N N/A N/A 000000000 -179.000000 NC USD -832638.040000 -0.0122880 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Brent Oil 2021-10-29 -14017490.000000 USD -832638.040000 N N N N/A N/A 000000000 -9.000000 NC USD 2490.430000 0.0000368 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Brent Oil 2022-10-31 -641790.000000 USD 2490.430000 N N N N/A N/A 000000000 15.000000 NC USD 75073.970000 0.0011079 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Brent Oil 2023-10-31 1001700.000000 USD 75073.970000 N N N N/A N/A 000000000 75.000000 NC USD 619105.280000 0.0091367 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Brent Oil 2024-10-31 4751250.000000 USD 619105.280000 N N N N/A N/A 000000000 91.000000 NC USD -37123.790000 -0.0005479 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Brent Oil 2021-11-30 7055230.000000 USD -37123.790000 N N N N/A N/A 000000000 604.000000 NC USD 3893196.490000 0.0574553 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Brent Oil 2022-04-29 44871160.000000 USD 3893196.490000 N N N N/A N/A 000000000 -780.000000 NC USD -5417816.720000 -0.0799554 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Brent Oil 2023-04-28 -53726400.000000 USD -5417816.720000 N N N N/A N/A 000000000 -9.000000 NC USD -32573.960000 -0.0004807 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Brent Oil 2024-04-30 -585360.000000 USD -32573.960000 N N N N/A N/A 000000000 273.000000 NC USD 2586768.500000 0.0381752 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Brent Oil 2022-01-31 20764380.000000 USD 2586768.500000 N N N N/A N/A 000000000 -24.000000 NC USD -92481.810000 -0.0013648 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Brent Oil 2022-07-29 -1745520.000000 USD -92481.810000 N N N N/A N/A 000000000 -36.000000 NC USD 48902.760000 0.0007217 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 10/29/21 2021-10-30 N/A USD N/A 50.000000 USD 2021-10-26 XXXX 48902.760000 N N N N/A N/A 000000000 -84.000000 NC USD -483981.960000 -0.0071425 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 10/29/21 2021-10-30 N/A USD N/A 72.000000 USD 2021-10-26 XXXX -483981.960000 N N N N/A N/A 000000000 -24.000000 NC USD -129454.630000 -0.0019105 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 10/29/21 2021-10-30 N/A USD N/A 72.500000 USD 2021-10-26 XXXX -129454.630000 N N N N/A N/A 000000000 -84.000000 NC USD -350647.330000 -0.0051748 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 10/29/21 2021-10-30 N/A USD N/A 74.000000 USD 2021-10-26 XXXX -350647.330000 N N N N/A N/A 000000000 -84.000000 NC USD -243733.560000 -0.0035970 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 10/29/21 2021-10-30 N/A USD N/A 76.000000 USD 2021-10-26 XXXX -243733.560000 N N N N/A N/A 000000000 -84.000000 NC USD -3501.960000 -0.0000517 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 11/30/21 2021-12-01 N/A USD N/A 83.000000 USD 2021-11-25 XXXX -3501.960000 N N N N/A N/A 000000000 -72.000000 NC USD -8041.680000 -0.0001187 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 11/30/21 2021-12-01 N/A USD N/A 84.000000 USD 2021-11-25 XXXX -8041.680000 N N N N/A N/A 000000000 -84.000000 NC USD 698.040000 0.0000103 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 11/30/21 2021-12-01 N/A USD N/A 84.500000 USD 2021-11-25 XXXX 698.040000 N N N N/A N/A 000000000 -84.000000 NC USD 14138.040000 0.0002086 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 11/30/21 2021-12-01 N/A USD N/A 85.000000 USD 2021-11-25 XXXX 14138.040000 N N N N/A N/A 000000000 -6.000000 NC USD 292.240000 0.0000043 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Other Crude 2022-04-29 -15120.000000 USD 292.240000 N N N N/A N/A 000000000 -6.000000 NC USD 1132.240000 0.0000167 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Other Crude 2022-08-31 -14280.000000 USD 1132.240000 N N N N/A N/A 000000000 -6.000000 NC USD 1612.240000 0.0000238 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Other Crude 2022-12-30 -13800.000000 USD 1612.240000 N N N N/A N/A 000000000 11.000000 NC USD 9193.880000 0.0001357 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Other Crude 2023-12-29 22990.000000 USD 9193.880000 N N N N/A N/A 000000000 -6.000000 NC USD -247.760000 -0.0000037 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Other Crude 2022-02-28 -15660.000000 USD -247.760000 N N N N/A N/A 000000000 11.000000 NC USD 11833.880000 0.0001746 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Other Crude 2023-02-28 25630.000000 USD 11833.880000 N N N N/A N/A 000000000 11.000000 NC USD 12053.880000 0.0001779 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Other Crude 2023-01-31 25850.000000 USD 12053.880000 N N N N/A N/A 000000000 -6.000000 NC USD 1012.240000 0.0000149 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Other Crude 2022-07-29 -14400.000000 USD 1012.240000 N N N N/A N/A 000000000 11.000000 NC USD 10513.880000 0.0001552 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Other Crude 2023-07-31 24310.000000 USD 10513.880000 N N N N/A N/A 000000000 -6.000000 NC USD 772.240000 0.0000114 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Other Crude 2022-06-30 -14640.000000 USD 772.240000 N N N N/A N/A 000000000 11.000000 NC USD 10733.880000 0.0001584 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Other Crude 2023-06-30 24530.000000 USD 10733.880000 N N N N/A N/A 000000000 -6.000000 NC USD 52.240000 0.0000008 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Other Crude 2022-03-31 -15360.000000 USD 52.240000 N N N N/A N/A 000000000 11.000000 NC USD 11723.880000 0.0001730 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Other Crude 2023-03-31 25520.000000 USD 11723.880000 N N N N/A N/A 000000000 -6.000000 NC USD 592.240000 0.0000087 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Other Crude 2022-05-31 -14820.000000 USD 592.240000 N N N N/A N/A 000000000 11.000000 NC USD 11063.880000 0.0001633 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Other Crude 2023-05-31 24860.000000 USD 11063.880000 N N N N/A N/A 000000000 11.000000 NC USD 9523.880000 0.0001406 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Other Crude 2023-11-30 23320.000000 USD 9523.880000 N N N N/A N/A 000000000 11.000000 NC USD 9633.880000 0.0001422 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Other Crude 2023-10-31 23430.000000 USD 9633.880000 N N N N/A N/A 000000000 -6.000000 NC USD 1252.240000 0.0000185 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Other Crude 2022-09-30 -14160.000000 USD 1252.240000 N N N N/A N/A 000000000 11.000000 NC USD 9963.880000 0.0001470 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Other Crude 2023-09-29 23760.000000 USD 9963.880000 N N N N/A N/A 000000000 11.000000 NC USD 11283.880000 0.0001665 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Other Crude 2023-04-28 25080.000000 USD 11283.880000 N N N N/A N/A 000000000 11.000000 NC USD 10183.880000 0.0001503 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Other Crude 2023-08-31 23980.000000 USD 10183.880000 N N N N/A N/A 000000000 -6.000000 NC USD -337.760000 -0.0000050 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Other Crude 2022-01-31 -15750.000000 USD -337.760000 N N N N/A N/A 000000000 -6.000000 NC USD 1492.240000 0.0000220 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Other Crude 2022-11-30 -13920.000000 USD 1492.240000 N N N N/A N/A 000000000 -6.000000 NC USD 1372.240000 0.0000203 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Other Crude 2022-10-31 -14040.000000 USD 1372.240000 N N N N/A N/A OP0014XX2 -3100000.000000 NC USD -14462.060000 -0.0002134 N/A DCR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX HY36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 102.000000 USD 2022-01-19 XXXX 727.940000 N N N N/A N/A OP00153Y0 -2600000.000000 NC USD -9957.040000 -0.0001469 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 HY36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 104.000000 USD 2021-12-15 XXXX 728.960000 N N N N/A N/A OP00135R8 -4300000.000000 NC USD -5504.730000 -0.0000812 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 HY36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 102.000000 USD 2021-11-17 XXXX 15767.270000 N N N N/A N/A OP00137H8 -2200000.000000 NC USD -2816.370000 -0.0000416 N/A DCR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX HY36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 102.000000 USD 2021-11-17 XXXX 7633.630000 N N N N/A N/A OP0013HY0 -2200000.000000 NC USD -3396.400000 -0.0000501 N/A DCR US N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 Put Written Bank of America, National Association B4TYDEB6GKMZO031MB27 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX HY36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 103.000000 USD 2021-11-17 XXXX 8175.600000 N N N N/A N/A OP0013KG5 -3400000.000000 NC USD -3701.680000 -0.0000546 N/A DCR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX HY36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 101.000000 USD 2021-11-17 XXXX 10068.320000 N N N N/A N/A OP0015130 -2200000.000000 NC USD -8425.190000 -0.0001243 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 HY36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 104.000000 USD 2021-12-15 XXXX 374.810000 N N N N/A N/A OP0015122 -2200000.000000 NC USD -10263.400000 -0.0001515 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 HY36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 102.000000 USD 2022-01-19 XXXX -803.400000 N N N N/A N/A OP0015RS7 -2900000.000000 NC USD -11105.930000 -0.0001639 N/A DCR US N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 Put Written CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX HY36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 104.000000 USD 2021-12-15 XXXX 59.070000 N N N N/A N/A OP0014V55 -2200000.000000 NC USD -5025.640000 -0.0000742 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 HY36 (V1 ONLY) 5Y SP Single Leg Swap 2026-06-20 0.000000 USD 0.000000 USD N/A USD N/A 101.000000 USD 2021-12-15 XXXX 2894.360000 N N N N/A N/A 000000000 1.000000 NC USD -312696.900000 -0.0046147 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 COMM SWAP JMABNIC5 JPM JMABNIC5 Internal ID COMM SWAP JMABNIC5 JPM 9254546.416109 USD -22187.151313 USD COMM SWAP JMABNIC5 JPM 31466756.354136 USD -75439.427626 USD COMM SWAP JMABNIC5 JPM 2402169.102247 USD -5759.038526 USD COMM SWAP JMABNIC5 JPM 16115687.107440 USD -38636.273707 USD COMM SWAP JMABNIC5 JPM -5038.885367 USD 12.080388 USD COMM SWAP JMABNIC5 JPM 7441826.549137 USD -17841.277602 USD COMM SWAP JMABNIC5 JPM 4528540.700202 USD -10856.871123 USD COMM SWAP JMABNIC5 JPM 4828034.970183 USD -11574.888451 USD COMM SWAP JMABNIC5 JPM 9279317.415258 USD -22246.538114 USD COMM SWAP JMABNIC5 JPM 4667502.081048 USD -11190.021668 USD COMM SWAP JMABNIC5 JPM 4219861.870044 USD -10116.834432 USD COMM SWAP JMABNIC5 JPM 12246708.020020 USD -29360.657099 USD COMM SWAP JMABNIC5 JPM 15509164.349365 USD -37182.176272 USD COMM SWAP JMABNIC5 JPM 8474826.120179 USD -20317.824454 USD Y Single Leg Swap 2022-02-15 2766.500000 USD 0.000000 USD 130429902.170000 USD -315463.400000 N N N N/A N/A 000000000 1.000000 NC USD 605101.900000 0.0089300 N/A DCO US N 2 Canadian Imperial Bank of Commerce 2IGI19DL77OX0HC3ZE78 COMM SWAP PIMCODB CIB PIMCODB2 Internal ID COMM SWAP PIMCODB CIB 3538970.921147 USD 23407.808446 USD COMM SWAP PIMCODB CIB 279581.543957 USD 1849.235660 USD COMM SWAP PIMCODB CIB -17163825.179531 USD -113526.655334 USD COMM SWAP PIMCODB CIB 845942.357119 USD 5595.314879 USD COMM SWAP PIMCODB CIB 4611805.561012 USD 30503.856507 USD COMM SWAP PIMCODB CIB 323485.408770 USD 2139.628907 USD COMM SWAP PIMCODB CIB 8338504.286046 USD 55153.352600 USD COMM SWAP PIMCODB CIB 5424352.287388 USD 35878.282731 USD COMM SWAP PIMCODB CIB 7776422.120748 USD 51435.573632 USD COMM SWAP PIMCODB CIB 13328536.655576 USD 88158.913947 USD COMM SWAP PIMCODB CIB 2180074.671108 USD 14419.663636 USD COMM SWAP PIMCODB CIB 1112892.459340 USD 7361.002418 USD COMM SWAP PIMCODB CIB 5901270.788394 USD 39032.763840 USD COMM SWAP PIMCODB CIB 2486327.967087 USD 16445.314213 USD COMM SWAP PIMCODB CIB 2076201.146702 USD 13732.613186 USD COMM SWAP PIMCODB CIB 5392452.598765 USD 35667.288683 USD COMM SWAP PIMCODB CIB 4466535.749077 USD 29542.998674 USD COMM SWAP PIMCODB CIB 7196397.274031 USD 47599.116423 USD COMM SWAP PIMCODB CIB 1598375.938835 USD 10572.134848 USD COMM SWAP PIMCODB CIB 3662281.802222 USD 24223.423366 USD COMM SWAP PIMCODB CIB 268999.289749 USD 1779.241476 USD COMM SWAP PIMCODB CIB 5088875.468245 USD 33659.339062 USD COMM SWAP PIMCODB CIB 2866449.129346 USD 18959.548873 USD COMM SWAP PIMCODB CIB 5592740.632495 USD 36992.053433 USD COMM SWAP PIMCODB CIB 3475207.408294 USD 22986.057568 USD COMM SWAP PIMCODB CIB 506983.361756 USD 3353.339059 USD COMM SWAP PIMCODB CIB 3954798.000217 USD 26158.212682 USD COMM SWAP PIMCODB CIB 840037.160310 USD 5556.256147 USD COMM SWAP PIMCODB CIB 5254274.610968 USD 34753.338289 USD COMM SWAP PIMCODB CIB 258966.580825 USD 1712.882149 USD Y Single Leg Swap 2022-02-15 0.000000 USD 0.000000 USD 91483918.000000 USD 605101.900000 N N N 2021-11-05 PIMCO Funds /s/ Jason Nagler Jason Nagler Assistant Treasurer