NPORT-P false 0000810893 XXXXXXXX S000028928 C000088650 C000088655 C000088654 C000200462 C000088651 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO CommoditiesPLUS Strategy Fund S000028928 J3CR7RQMQGPILZT8TV36 2022-03-31 2021-09-30 N 3770730721.440000 900514600.500000 2870216120.940000 0.000000 840126603.450000 15343095.830000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 103512286.160000 USD GBP JPY EUR NZD N N/A N/A 000000000 1.000000 NC -7141.840000 -0.0002488 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 476662.560000 USD 405000.000000 EUR 2021-11-17 -7141.840000 N N N N/A N/A 000000000 1.000000 NC -21522.390000 -0.0007499 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1244594.890000 USD 1055000.000000 EUR 2021-11-17 -21522.390000 N N N N/A N/A 000000000 1.000000 NC -6457.810000 -0.0002250 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 500324.050000 USD 426000.000000 EUR 2021-11-17 -6457.810000 N N N N/A N/A 000000000 1.000000 NC -5362.620000 -0.0001868 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 532848.860000 USD 455000.000000 EUR 2021-11-17 -5362.620000 N N N N/A N/A 000000000 1.000000 NC -17447.910000 -0.0006079 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2049719.090000 USD 1753000.000000 EUR 2021-11-17 -17447.910000 N N N N/A N/A 000000000 1.000000 NC -186809.910000 -0.0065086 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 8728482.130000 USD 7374000.000000 EUR 2021-10-04 -186809.910000 N N N N/A N/A 000000000 1.000000 NC -76784.410000 -0.0026752 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4487960.590000 USD 3805000.000000 EUR 2021-11-17 -76784.410000 N N N N/A N/A 000000000 1.000000 NC -21959.150000 -0.0007651 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 860042.070000 USD 622000.000000 GBP 2021-10-04 -21959.150000 N N N N/A N/A 000000000 1.000000 NC 7562.270000 0.0002635 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 508000.000000 EUR 596491.970000 USD 2021-11-17 7562.270000 N N N N/A N/A 000000000 1.000000 NC 9493.580000 0.0003308 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 510000.000000 EUR 600741.900000 USD 2021-11-17 9493.580000 N N N N/A N/A 000000000 1.000000 NC 7360.090000 0.0002564 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 402000.000000 EUR 473402.880000 USD 2021-11-17 7360.090000 N N N N/A N/A 000000000 1.000000 NC 23672.750000 0.0008248 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1049000.000000 EUR 1239789.390000 USD 2021-11-17 23672.750000 N N N N/A N/A 000000000 1.000000 NC 13797.480000 0.0004807 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 566000.000000 EUR 669967.180000 USD 2021-11-17 13797.480000 N N N N/A N/A 000000000 1.000000 NC 17016.420000 0.0005929 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 706000.000000 EUR 835489.580000 USD 2021-11-17 17016.420000 N N N N/A N/A 000000000 1.000000 NC 32720.510000 0.0011400 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1565000.000000 EUR 1847041.330000 USD 2021-11-17 32720.510000 N N N N/A N/A 000000000 1.000000 NC 57996.670000 0.0020206 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3046000.000000 EUR 3589256.230000 USD 2021-11-17 57996.670000 N N N N/A N/A 000000000 1.000000 NC 9640.180000 0.0003359 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 724000.000000 EUR 848980.930000 USD 2021-11-17 9640.180000 N N N N/A N/A 000000000 1.000000 NC 90248.500000 0.0031443 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 5829000.000000 EUR 6847868.980000 USD 2021-11-17 90248.500000 N N N N/A N/A 000000000 1.000000 NC 54281.620000 0.0018912 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3787000.000000 EUR 4444590.210000 USD 2021-11-17 54281.620000 N N N N/A N/A 000000000 1.000000 NC 428.710000 0.0000149 N/A DFE GB N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 90000.000000 GBP 121694.730000 USD 2021-10-04 428.710000 N N N N/A N/A 000000000 1.000000 NC 49175.670000 0.0017133 N/A DFE NZ N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3405000.000000 NZD 2399816.760000 USD 2021-10-04 49175.670000 N N N ASSET BACKED SEC HOME EQTY LN 2006-HE6 N/A 04544NAR5 5873000.000000 PA USD 5713760.650000 0.1990707 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.316 N N N N N N N/A N/A 000000000 1.000000 NC USD 705.410000 0.0000246 N/A DCR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 CMBX.NA.AAA.7 N/A N/A Y Single Leg Swap 2047-01-18 0.000000 USD -3353.970000 USD 107987.970000 USD 4059.380000 N N N N/A N/A 000000000 1.000000 NC USD 577.150000 0.0000201 N/A DCR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 CMBX.NA.AAA.7 N/A N/A Y Single Leg Swap 2047-01-18 0.000000 USD -2744.160000 USD 88353.790000 USD 3321.310000 N N N N/A N/A 000000000 1.000000 NC USD 26983.170000 0.0009401 N/A DCR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 CMBX.NA.AAA.8 N/A N/A Y Single Leg Swap 2057-10-18 0.000000 USD -138705.940000 USD 3100000.000000 USD 165689.110000 N N N N/A N/A 000000000 -2.000000 NC USD -163623.090000 -0.0057007 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A API2 Coal 2022-04-29 -325900.000000 USD -163623.090000 N N N N/A N/A 000000000 -2.000000 NC USD -129323.090000 -0.0045057 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A API2 Coal 2022-08-26 -291600.000000 USD -129323.090000 N N N N/A N/A 000000000 -2.000000 NC USD -101023.090000 -0.0035197 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A API2 Coal 2022-12-30 -263300.000000 USD -101023.090000 N N N N/A N/A 000000000 -2.000000 NC USD -219323.090000 -0.0076413 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A API2 Coal 2022-02-25 -381600.000000 USD -219323.090000 N N N N/A N/A 000000000 -2.000000 NC USD -233123.090000 -0.0081221 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A API2 Coal 2022-01-28 -395400.000000 USD -233123.090000 N N N N/A N/A 000000000 -2.000000 NC USD -131723.090000 -0.0045893 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A API2 Coal 2022-07-29 -294000.000000 USD -131723.090000 N N N N/A N/A 000000000 -2.000000 NC USD -147123.090000 -0.0051259 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A API2 Coal 2022-06-24 -309400.000000 USD -147123.090000 N N N N/A N/A 000000000 -2.000000 NC USD -205023.090000 -0.0071431 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A API2 Coal 2022-03-25 -367300.000000 USD -205023.090000 N N N N/A N/A 000000000 -2.000000 NC USD -153823.090000 -0.0053593 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A API2 Coal 2022-05-27 -316100.000000 USD -153823.090000 N N N N/A N/A 000000000 -2.000000 NC USD -109223.090000 -0.0038054 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A API2 Coal 2022-11-25 -271500.000000 USD -109223.090000 N N N N/A N/A 000000000 -2.000000 NC USD -113823.090000 -0.0039657 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A API2 Coal 2022-10-28 -276100.000000 USD -113823.090000 N N N N/A N/A 000000000 -2.000000 NC USD -127323.090000 -0.0044360 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A API2 Coal 2022-09-30 -289600.000000 USD -127323.090000 N N N N/A N/A 000000000 80.000000 NC USD 183509.300000 0.0063936 N/A DCO US N 1 New York Futures Exchange N/A Long N/A Cocoa 2021-12-15 2121600.000000 USD 183509.300000 N N N N/A N/A 000000000 -19.000000 NC USD -12162.400000 -0.0004237 N/A DCO US N 1 New York Futures Exchange N/A Short N/A Cocoa 2022-03-16 -508630.000000 USD -12162.400000 N N N N/A N/A 000000000 -35.000000 NC USD -219893.970000 -0.0076612 N/A DCO US N 1 New York Futures Exchange N/A Short N/A Coffee 2021-12-20 -2546250.000000 USD -219893.970000 N N N N/A N/A 000000000 10.000000 NC USD 35290.600000 0.0012295 N/A DCO US N 1 New York Futures Exchange N/A Long N/A Coffee 2022-03-21 738000.000000 USD 35290.600000 N N N N/A N/A 000000000 24.000000 NC USD -157092.120000 -0.0054732 N/A DCO US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long N/A Copper 2021-12-29 2453400.000000 USD -157092.120000 N N N N/A N/A 000000000 -669.000000 NC USD 268677.450000 0.0093609 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A Corn 2021-12-14 -17954287.500000 USD 268677.450000 N N N N/A N/A 000000000 -36.000000 NC USD -11469.960000 -0.0003996 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A Corn 2022-12-14 -940950.000000 USD -11469.960000 N N N N/A N/A 000000000 -474.000000 NC USD 329230.230000 0.0114706 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A Corn 2022-03-14 -12904650.000000 USD 329230.230000 N N N N/A N/A 000000000 38.000000 NC USD 276191.540000 0.0096227 N/A DCO US N 1 New York Futures Exchange N/A Long N/A Cotton 2022-03-09 1973720.000000 USD 276191.540000 N N N N/A N/A 000000000 -9.000000 NC USD -990.000000 -0.0000345 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 58.770000 N N N N/A N/A 000000000 9.000000 NC USD 90.000000 0.0000031 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 -571.230000 N N N N/A N/A 000000000 -9.000000 NC USD -2880.000000 -0.0001003 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 -1831.230000 N N N N/A N/A 000000000 9.000000 NC USD 90.000000 0.0000031 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 -571.230000 N N N N/A N/A 000000000 -107.000000 NC USD -3715040.000000 -0.1294342 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 -3068545.090000 N N N N/A N/A 000000000 -120.000000 NC USD -366000.000000 -0.0127517 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 -201327.600000 N N N N/A N/A 000000000 -120.000000 NC USD -339600.000000 -0.0118319 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 -196460.400000 N N N N/A N/A 000000000 -120.000000 NC USD -291600.000000 -0.0101595 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 -139354.800000 N N N N/A N/A 000000000 -120.000000 NC USD -196800.000000 -0.0068566 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 -58089.600000 N N N N/A N/A 000000000 -108.000000 NC USD -602640.000000 -0.0209963 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 -491530.520000 N N N N/A N/A 000000000 -60.000000 NC USD -238800.000000 -0.0083199 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 -175336.200000 N N N N/A N/A 000000000 -192.000000 NC USD -693120.000000 -0.0241487 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 -460858.030000 N N N N/A N/A 000000000 -108.000000 NC USD -317520.000000 -0.0110626 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 -190325.160000 N N N N/A N/A 000000000 25.000000 NC USD -36358.000000 -0.0012667 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Spread 2021-11-24 25750.000000 USD -36358.000000 N N N N/A N/A 000000000 25.000000 NC USD -33358.000000 -0.0011622 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Spread 2021-10-25 28750.000000 USD -33358.000000 N N N N/A N/A 000000000 226.000000 NC USD 1973714.770000 0.0687654 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A WTI Crude 2021-11-18 16882200.000000 USD 1973714.770000 N N N N/A N/A 000000000 245.000000 NC USD 788928.940000 0.0274867 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A WTI Crude 2021-11-19 18301500.000000 USD 788928.940000 N N N N/A N/A 000000000 573.000000 NC USD 3838394.600000 0.1337319 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A WTI Crude 2022-11-18 38792100.000000 USD 3838394.600000 N N N N/A N/A 000000000 -1221.000000 NC USD -5443308.980000 -0.1896481 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A WTI Crude 2022-11-21 -82661700.000000 USD -5443308.980000 N N N N/A N/A 000000000 -48.000000 NC USD -214236.300000 -0.0074641 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A WTI Crude 2023-11-20 -2992320.000000 USD -214236.300000 N N N N/A N/A 000000000 -231.000000 NC USD -1906384.260000 -0.0664195 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A WTI Crude 2024-11-20 -13511190.000000 USD -1906384.260000 N N N N/A N/A 000000000 -1187.000000 NC USD -8608993.730000 -0.2999424 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A WTI Crude 2022-05-19 -84455050.000000 USD -8608993.730000 N N N N/A N/A 000000000 -714.000000 NC USD -4955360.410000 -0.1726476 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A WTI Crude 2022-05-20 -50801100.000000 USD -4955360.410000 N N N N/A N/A 000000000 2308.000000 NC USD 13881794.180000 0.4836498 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A WTI Crude 2023-05-22 149396840.000000 USD 13881794.180000 N N N N/A N/A 000000000 34.000000 NC USD 123819.090000 0.0043139 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A WTI Crude 2024-05-21 2048500.000000 USD 123819.090000 N N N N/A N/A 000000000 -38.000000 NC USD -175115.250000 -0.0061011 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A WTI Crude 2022-02-22 -2773620.000000 USD -175115.250000 N N N N/A N/A 000000000 281.000000 NC USD 1172220.370000 0.0408408 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A WTI Crude 2023-02-21 18574100.000000 USD 1172220.370000 N N N N/A N/A 000000000 312.000000 NC USD 818913.950000 0.0285314 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A WTI Crude 2021-10-20 23409360.000000 USD 818913.950000 N N N N/A N/A 000000000 281.000000 NC USD 1379106.490000 0.0480489 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A WTI Crude 2022-08-22 19470490.000000 USD 1379106.490000 N N N N/A N/A 000000000 -25.000000 NC USD 18692.000000 0.0006512 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2021-11-24 -13750.000000 USD 18692.000000 N N N N/A N/A 000000000 -25.000000 NC USD 15942.000000 0.0005554 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2021-10-25 -16500.000000 USD 15942.000000 N N N N/A N/A 000000000 1636.000000 NC USD 14877494.760000 0.5183406 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Emission 2021-12-27 44842760.000000 USD 14877494.760000 N N N N/A N/A 000000000 36.000000 NC USD -12959.960000 -0.0004515 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Current 2022-02-23 0.040000 USD -12959.960000 N N N N/A N/A 000000000 661.000000 NC USD 3327627.780000 0.1159365 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Emission 2022-12-23 18878160.000000 USD 3327627.780000 N N N N/A N/A 000000000 1.000000 NC -515521.310000 -0.0179611 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 -0.0063196 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 0.0014818 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 -0.0000884 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 -10.000000 NC -11217.110000 -0.0003908 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 -11217.110000 N N N N/A N/A 000000000 1.000000 NC -2310.180000 -0.0000805 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 10.000000 NC -20808.250000 -0.0007250 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 -20808.250000 N N N N/A N/A 000000000 46.000000 NC 246362.210000 0.0085834 N/A DCO GB N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Long N/A EUA 2021-12-20 3289760.070000 EUR 246362.210000 N N N N/A N/A 000000000 -59.000000 NC USD -200128.000000 -0.0069726 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 -185695.330000 N N N N/A N/A 000000000 -44.000000 NC USD -62040.000000 -0.0021615 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 -25658.630000 N N N N/A N/A 000000000 4.000000 NC USD 411.520000 0.0000143 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Ethanol 2021-12-31 312480.000000 USD 411.520000 N N N N/A N/A 000000000 70.000000 NC USD -207677.200000 -0.0072356 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Ethanol 2022-02-28 5380200.000000 USD -207677.200000 N N N N/A N/A 000000000 69.000000 NC USD -232917.080000 -0.0081150 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Ethanol 2022-01-31 5281605.000000 USD -232917.080000 N N N N/A N/A 000000000 71.000000 NC USD -188401.320000 -0.0065640 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Ethanol 2022-03-31 5486880.000000 USD -188401.320000 N N N N/A N/A 000000000 1.000000 NC USD -3467.120000 -0.0001208 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Ethanol 2021-11-30 80640.000000 USD -3467.120000 N N N N/A N/A 000000000 2.000000 NC USD 9025.760000 0.0003145 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Ethanol 2021-10-29 177240.000000 USD 9025.760000 N N N N/A N/A 000000000 866900.000000 NC USD 100629.710000 0.0035060 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 -5565.540000 N N N N/A N/A 000000000 1300400.000000 NC USD 150950.680000 0.0052592 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 -9128.560000 N N N N/A N/A 000000000 679.000000 NC USD 6190905.470000 0.2156947 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Gasoil 2021-12-10 45560900.000000 USD 6190905.470000 N N N N/A N/A 000000000 19.000000 NC USD 141018.640000 0.0049132 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Gasoil 2022-03-10 1250200.000000 USD 141018.640000 N N N N/A N/A 000000000 13.000000 NC USD 115277.190000 0.0040163 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Gasoline 2022-02-28 1169750.400000 USD 115277.190000 N N N N/A N/A 000000000 -63.000000 NC 177991.490000 0.0062013 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2021-12-08 -12392791.820000 EUR 177991.490000 N N N N/A N/A 000000000 -842.000000 NC USD 3948556.230000 0.1375700 N/A DCO US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short N/A Gold 2021-12-29 -147939400.000000 USD 3948556.230000 N N N N/A N/A 000000000 -158.000000 NC USD -1580.000000 -0.0000550 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 888541.840000 N N N N/A N/A 000000000 -96.000000 NC USD -960.000000 -0.0000334 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 91918.080000 N N N N/A N/A 000000000 1.000000 NC -42948.120000 -0.0014963 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 800141.260000 USD 648000.000000 EUR 2022-11-01 -42948.120000 N N N N/A N/A 000000000 1.000000 NC -53234.560000 -0.0018547 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 996925.970000 USD 810000.000000 EUR 2022-07-01 -53234.560000 N N N N/A N/A 000000000 1.000000 NC -78936.530000 -0.0027502 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1659910.900000 USD 1357000.000000 EUR 2022-07-01 -78936.530000 N N N N/A N/A 000000000 1.000000 NC -28423.870000 -0.0009903 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 614444.580000 USD 503000.000000 EUR 2022-07-01 -28423.870000 N N N N/A N/A 000000000 1.000000 NC -48335.680000 -0.0016840 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 997852.340000 USD 815000.000000 EUR 2022-07-01 -48335.680000 N N N N/A N/A 000000000 1.000000 NC -53301.500000 -0.0018571 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 998041.450000 USD 810900.000000 EUR 2022-07-01 -53301.500000 N N N N/A N/A 000000000 1.000000 NC -17252.280000 -0.0006011 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 454146.450000 USD 375000.000000 EUR 2022-07-01 -17252.280000 N N N N/A N/A 000000000 1.000000 NC -17409.030000 -0.0006065 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 551002.440000 USD 458000.000000 EUR 2022-07-01 -17409.030000 N N N N/A N/A 000000000 1.000000 NC -5957.890000 -0.0002076 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 190035.970000 USD 158000.000000 EUR 2022-07-01 -5957.890000 N N N N/A N/A 000000000 1.000000 NC -7177.470000 -0.0002501 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 194750.700000 USD 161000.000000 EUR 2022-07-01 -7177.470000 N N N N/A N/A 000000000 1.000000 NC -14595.190000 -0.0005085 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 392071.750000 USD 324000.000000 EUR 2022-07-01 -14595.190000 N N N N/A N/A 000000000 1.000000 NC -16504.110000 -0.0005750 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 404466.130000 USD 333000.000000 EUR 2022-07-01 -16504.110000 N N N N/A N/A 000000000 1.000000 NC -16617.060000 -0.0005789 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 399918.880000 USD 329000.000000 EUR 2022-07-01 -16617.060000 N N N N/A N/A 000000000 1.000000 NC -51472.280000 -0.0017933 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1124484.360000 USD 921000.000000 EUR 2022-07-01 -51472.280000 N N N N/A N/A 000000000 1.000000 NC -45830.780000 -0.0015968 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1005832.900000 USD 824000.000000 EUR 2022-07-01 -45830.780000 N N N N/A N/A 000000000 1.000000 NC -32210.070000 -0.0011222 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 665997.880000 USD 544000.000000 EUR 2022-07-01 -32210.070000 N N N N/A N/A 000000000 1.000000 NC -4518.500000 -0.0001574 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 166083.000000 EUR 189384.010000 USD 2022-10-03 -4518.500000 N N N N/A N/A 000000000 1.000000 NC 90110.890000 0.0031395 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1192000.000000 EUR 1484223.570000 USD 2022-12-01 90110.890000 N N N N/A N/A 000000000 1.000000 NC 305130.830000 0.0106309 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 4091000.000000 EUR 5071354.970000 USD 2022-07-01 305130.830000 N N N N/A N/A 000000000 1.000000 NC 33919.030000 0.0011818 N/A DFE GB N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 879000.000000 GBP 1218283.800000 USD 2021-10-04 33919.030000 N N N N/A N/A 000000000 15.000000 NC USD 141584.690000 0.0049329 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Heating Oil 2022-02-28 1438479.000000 USD 141584.690000 N N N N/A N/A 000000000 1.000000 NC 25185.580000 0.0008775 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 434424.320000 USD 396572.000000 EUR 2021-11-01 25185.580000 N N N N/A N/A 000000000 1.000000 NC 27276.450000 0.0009503 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 471435.620000 USD 430065.000000 EUR 2021-12-01 27276.450000 N N N N/A N/A 000000000 1.000000 NC -221281.830000 -0.0077096 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 4825513.510000 USD 3951956.780000 EUR 2022-07-01 -221281.830000 N N N N/A N/A 000000000 1.000000 NC -75010.300000 -0.0026134 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1862258.140000 USD 1534051.000000 EUR 2022-07-01 -75010.300000 N N N N/A N/A 000000000 1.000000 NC -6492.430000 -0.0002262 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 476013.150000 USD 405000.000000 EUR 2021-11-17 -6492.430000 N N N N/A N/A 000000000 1.000000 NC -9574.760000 -0.0003336 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 750374.120000 USD 639000.000000 EUR 2021-11-17 -9574.760000 N N N AT&T INC 549300Z40J86GGSTL398 00206RMM1 378000.000000 PA USD 372224.830000 0.0129685 Long DBT CORP US N 2 2033-12-01 Fixed 2.55 N N N N N N N/A N/A 000000000 1.000000 NC 92350.080000 0.0032175 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1198000.000000 EUR 1488081.320000 USD 2022-07-01 92350.080000 N N N N/A N/A 000000000 1.000000 NC 31343.380000 0.0010920 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1543000.000000 EUR 1820159.370000 USD 2021-11-17 31343.380000 N N N N/A N/A 000000000 1.000000 NC 6171.400000 0.0002150 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 814000.000000 EUR 949850.090000 USD 2021-11-17 6171.400000 N N N N/A N/A 000000000 1.000000 NC 8477.810000 0.0002954 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 677000.000000 GBP 920667.740000 USD 2021-10-04 8477.810000 N N N N/A N/A 000000000 -18600000.000000 NC USD -1.860000 -0.0000001 N/A DIR US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 Call Written US CPI Urban Consumers NSA N/A N/A N/A 4.000000 USD 2024-04-22 XXXX 135313.140000 N N N N/A N/A 000000000 -12800000.000000 NC USD -1.280000 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 88958.720000 N N N N/A N/A 000000000 -10900000.000000 NC -19860.720000 -0.0006920 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 476023.780000 N N N N/A N/A 000000000 492.000000 NC USD 86767.920000 0.0030230 N/A DCO SG N 1 Singapore International Monetary Exchange N/A Long N/A Iron Ore 2022-01-31 5659968.000000 USD 86767.920000 N N N N/A N/A 000000000 29.000000 NC -60810.870000 -0.0021187 N/A DIR DE N 1 Eurex N/A Long N/A ITALY GOVT 2021-12-08 5104326.780000 EUR -60810.870000 N N N ATRIUM XII 12A N/A 04965CAJ7 2563825.790000 PA USD 2565106.400000 0.0893698 Long ABS-CBDO CORP KY N 2 2027-04-22 Floating 0.96825 N N N N N N N/A N/A 000000000 1.000000 NC -29096.450000 -0.0010137 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 620942.420000 USD 508000.000000 EUR 2022-07-01 -29096.450000 N N N N/A N/A 000000000 1.000000 NC -29503.860000 -0.0010279 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 577077.890000 USD 470000.000000 EUR 2022-07-01 -29503.860000 N N N N/A N/A 000000000 1.000000 NC -6564.620000 -0.0002287 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 189477.650000 USD 157000.000000 EUR 2022-07-01 -6564.620000 N N N N/A N/A 000000000 1.000000 NC -5994.320000 -0.0002088 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 294512.000000 EUR 335153.630000 USD 2021-10-01 -5994.320000 N N N N/A N/A 000000000 1.000000 NC -5811.170000 -0.0002025 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 303015.000000 EUR 345370.190000 USD 2021-11-01 -5811.170000 N N N N/A N/A 000000000 1.000000 NC -5939.360000 -0.0002069 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 328968.000000 EUR 375538.590000 USD 2021-12-01 -5939.360000 N N N N/A N/A 000000000 1.000000 NC -3456.750000 -0.0001204 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 90524.000000 EUR 101401.720000 USD 2021-10-01 -3456.750000 N N N N/A N/A 000000000 1.000000 NC -3463.400000 -0.0001207 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 93557.000000 EUR 104965.140000 USD 2021-11-01 -3463.400000 N N N N/A N/A 000000000 1.000000 NC -4458.930000 -0.0001554 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 153277.000000 EUR 174239.620000 USD 2022-08-01 -4458.930000 N N N N/A N/A 000000000 1.000000 NC -4886.010000 -0.0001702 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 153519.000000 EUR 173748.890000 USD 2022-05-02 -4886.010000 N N N N/A N/A 000000000 1.000000 NC -4227.910000 -0.0001473 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 150064.000000 EUR 170846.500000 USD 2022-09-01 -4227.910000 N N N N/A N/A 000000000 1.000000 NC -4556.770000 -0.0001588 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 175997.000000 EUR 201281.860000 USD 2022-12-01 -4556.770000 N N N N/A N/A 000000000 1.000000 NC -5987.900000 -0.0002086 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 169690.000000 EUR 190982.960000 USD 2022-01-03 -5987.900000 N N N N/A N/A 000000000 1.000000 NC -4525.440000 -0.0001577 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 150811.000000 EUR 171177.080000 USD 2022-07-01 -4525.440000 N N N N/A N/A 000000000 1.000000 NC -5533.820000 -0.0001928 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 163984.000000 EUR 185035.940000 USD 2022-03-01 -5533.820000 N N N N/A N/A 000000000 1.000000 NC -5113.940000 -0.0001782 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 156008.000000 EUR 176300.760000 USD 2022-04-01 -5113.940000 N N N N/A N/A 000000000 1.000000 NC -3634.170000 -0.0001266 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 101097.000000 EUR 113599.960000 USD 2021-12-01 -3634.170000 N N N N/A N/A 000000000 1.000000 NC -5282.270000 -0.0001840 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 154055.000000 EUR 173647.160000 USD 2022-02-01 -5282.270000 N N N N/A N/A 000000000 1.000000 NC -4408.390000 -0.0001536 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 165920.000000 EUR 189470.450000 USD 2022-11-01 -4408.390000 N N N N/A N/A 000000000 1.000000 NC -4526.640000 -0.0001577 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 146367.000000 EUR 165892.230000 USD 2022-06-01 -4526.640000 N N N N/A N/A 000000000 1.000000 NC -48422.510000 -0.0016871 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1687500.000000 EUR 1917601.260000 USD 2022-07-01 -48422.510000 N N N N/A N/A 000000000 1.000000 NC -22328.270000 -0.0007779 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1900000.000000 EUR 2191268.860000 USD 2022-07-01 -22328.270000 N N N N/A N/A 000000000 1.000000 NC 45987.210000 0.0016022 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1312500.000000 EUR 1575116.810000 USD 2022-07-01 45987.210000 N N N N/A N/A 000000000 1.000000 NC 26293.980000 0.0009161 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 553000.000000 EUR 670567.250000 USD 2022-07-01 26293.980000 N N N N/A N/A 000000000 1.000000 NC 27115.480000 0.0009447 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 64765.550000 0.0022565 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2814000.000000 EUR 3343219.410000 USD 2022-07-01 64765.550000 N N N N/A N/A 000000000 1.000000 NC 1399.340000 0.0000488 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 129000.000000 EUR 150950.390000 USD 2021-11-17 1399.340000 N N N N/A N/A 000000000 -187.000000 NC USD -495750.010000 -0.0172722 N/A DCO US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short N/A Lean Hogs 2021-12-14 -6387920.000000 USD -495750.010000 N N N N/A N/A 000000000 144.000000 NC USD -450756.560000 -0.0157046 N/A DCO US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long N/A Live Cattle 2021-12-31 7241760.000000 USD -450756.560000 N N N N/A N/A 000000000 1.000000 NC USD 676667.330000 0.0235755 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 32149128.900000 USD 676667.330000 N N N N/A N/A 000000000 1.000000 NC USD 143723.860000 0.0050074 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 7731126.000000 USD 143723.860000 N N N N/A N/A 000000000 1.000000 NC USD 109332.980000 0.0038092 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 4104700.000000 USD 109332.980000 N N N N/A N/A 000000000 1.000000 NC -11935.190000 -0.0004158 N/A DFE NZ N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 2362576.280000 USD 3405000.000000 NZD 2021-10-04 -11935.190000 N N N N/A N/A 000000000 1.000000 NC 11924.680000 0.0004155 N/A DFE NZ N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 3405000.000000 NZD 2362188.110000 USD 2021-11-02 11924.680000 N N N N/A N/A 000000000 55.000000 NC USD 5706.110000 0.0001988 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Henry 2023-03-29 431337.500000 USD 5706.110000 N N N N/A N/A 000000000 55.000000 NC USD 9418.610000 0.0003281 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Henry 2023-07-27 435050.000000 USD 9418.610000 N N N N/A N/A 000000000 35.000000 NC USD 43084.110000 0.0015011 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Henry 2023-01-27 354200.000000 USD 43084.110000 N N N N/A N/A 000000000 40.000000 NC USD 57283.990000 0.0019958 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Henry 2022-12-28 413200.000000 USD 57283.990000 N N N N/A N/A 000000000 55.000000 NC USD 7356.110000 0.0002563 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Henry 2023-06-28 432987.500000 USD 7356.110000 N N N N/A N/A 000000000 40.000000 NC USD 17283.990000 0.0006022 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Henry 2023-02-24 373200.000000 USD 17283.990000 N N N N/A N/A 000000000 55.000000 NC USD -5293.890000 -0.0001844 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Henry 2023-04-26 420337.500000 USD -5293.890000 N N N N/A N/A 000000000 39.000000 NC USD 32795.020000 0.0011426 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Henry 2022-10-27 380055.000000 USD 32795.020000 N N N N/A N/A 000000000 55.000000 NC USD 13406.110000 0.0004671 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Henry 2023-09-27 439037.500000 USD 13406.110000 N N N N/A N/A 000000000 55.000000 NC USD 8593.610000 0.0002994 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Henry 2023-08-29 434225.000000 USD 8593.610000 N N N N/A N/A 000000000 40.000000 NC USD 48783.990000 0.0016997 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Henry 2022-11-28 404700.000000 USD 48783.990000 N N N N/A N/A 000000000 55.000000 NC USD 756.110000 0.0000263 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Henry 2023-05-26 426387.500000 USD 756.110000 N N N N/A N/A 000000000 -5.000000 NC -138381.990000 -0.0048213 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A NBP 2021-11-29 -536402.710000 GBP -138381.990000 N N N N/A N/A 000000000 -347.000000 NC USD -3487028.380000 -0.1214901 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Henry 2022-03-29 -13866120.000000 USD -3487028.380000 N N N N/A N/A 000000000 17.000000 NC USD 64068.750000 0.0022322 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Henry 2022-01-27 1011670.000000 USD 64068.750000 N N N N/A N/A 000000000 -68.000000 NC USD -466553.440000 -0.0162550 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Henry 2021-12-29 -4129640.000000 USD -466553.440000 N N N N/A N/A 000000000 15.000000 NC USD 211228.010000 0.0073593 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Henry 2022-02-24 827550.000000 USD 211228.010000 N N N N/A N/A 000000000 501.000000 NC USD 3511893.220000 0.1223564 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Henry 2022-04-27 19158240.000000 USD 3511893.220000 N N N N/A N/A 000000000 -154.000000 NC USD -148801.420000 -0.0051843 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Henry 2022-09-28 -6026020.000000 USD -148801.420000 N N N N/A N/A 000000000 95.000000 NC 2361141.160000 0.0822635 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Long N/A TTF 2022-03-30 4143867.520000 EUR 2361141.160000 N N N N/A N/A 000000000 2.000000 NC 19497.230000 0.0006793 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Long N/A TTF 2023-03-30 52903.040000 EUR 19497.230000 N N N N/A N/A 000000000 95.000000 NC 1684330.610000 0.0586831 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Long N/A TTF 2022-07-28 3526480.040000 EUR 1684330.610000 N N N N/A N/A 000000000 2.000000 NC 11458.360000 0.0003992 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Long N/A TTF 2023-07-28 45977.690000 EUR 11458.360000 N N N N/A N/A 000000000 13.000000 NC 210778.800000 0.0073437 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Long N/A TTF 2021-11-29 1099472.590000 EUR 210778.800000 N N N N/A N/A 000000000 23.000000 NC 491244.380000 0.0171152 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Long N/A TTF 2022-11-29 896514.930000 EUR 491244.380000 N N N N/A N/A 000000000 2.000000 NC 15276.190000 0.0005322 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Long N/A TTF 2023-11-29 49795.520000 EUR 15276.190000 N N N N/A N/A 000000000 -123.000000 NC -4386556.970000 -0.1528302 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Short N/A TTF 2022-01-28 -9360084.910000 EUR -4386556.970000 N N N N/A N/A 000000000 2.000000 NC 38929.360000 0.0013563 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Long N/A TTF 2023-01-30 70108.380000 EUR 38929.360000 N N N N/A N/A 000000000 -123.000000 NC -4880694.950000 -0.1700463 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Short N/A TTF 2021-12-30 -10387119.810000 EUR -4880694.950000 N N N N/A N/A 000000000 2.000000 NC 43676.360000 0.0015217 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Long N/A TTF 2022-12-29 78195.680000 EUR 43676.360000 N N N N/A N/A 000000000 95.000000 NC 1696202.070000 0.0590967 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Long N/A TTF 2022-06-29 3538351.510000 EUR 1696202.070000 N N N N/A N/A 000000000 2.000000 NC 10293.190000 0.0003586 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Long N/A TTF 2023-06-29 44812.520000 EUR 10293.190000 N N N N/A N/A 000000000 95.000000 NC 1657568.690000 0.0577507 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Long N/A TTF 2022-05-30 3440295.050000 EUR 1657568.690000 N N N N/A N/A 000000000 2.000000 NC 9060.400000 0.0003157 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Long N/A TTF 2023-05-30 42466.220000 EUR 9060.400000 N N N N/A N/A 000000000 -123.000000 NC -4288303.810000 -0.1494070 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Short N/A TTF 2022-02-25 -9787326.960000 EUR -4288303.810000 N N N N/A N/A 000000000 2.000000 NC 39830.770000 0.0013877 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Long N/A TTF 2023-02-27 74303.700000 EUR 39830.770000 N N N N/A N/A 000000000 95.000000 NC 1760307.980000 0.0613302 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Long N/A TTF 2022-04-28 3602457.420000 EUR 1760307.980000 N N N N/A N/A 000000000 2.000000 NC 10810.280000 0.0003766 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Long N/A TTF 2023-04-27 45329.600000 EUR 10810.280000 N N N N/A N/A 000000000 24.000000 NC 289812.070000 0.0100972 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Long N/A TTF 2021-10-28 1957072.390000 EUR 289812.070000 N N N N/A N/A 000000000 23.000000 NC 471215.780000 0.0164174 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Long N/A TTF 2022-10-28 863413.360000 EUR 471215.780000 N N N N/A N/A 000000000 2.000000 NC 14116.180000 0.0004918 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Long N/A TTF 2023-10-30 47522.000000 EUR 14116.180000 N N N N/A N/A 000000000 23.000000 NC 474970.780000 0.0165483 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Long N/A TTF 2022-09-29 880241.330000 EUR 474970.780000 N N N N/A N/A 000000000 2.000000 NC 13570.800000 0.0004728 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Long N/A TTF 2023-09-28 48136.500000 EUR 13570.800000 N N N N/A N/A 000000000 95.000000 NC 1657331.000000 0.0577424 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Long N/A TTF 2022-08-30 3440057.360000 EUR 1657331.000000 N N N N/A N/A 000000000 2.000000 NC 12044.500000 0.0004196 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Long N/A TTF 2023-08-30 45450.310000 EUR 12044.500000 N N N N/A N/A 000000000 -5.000000 NC USD 204826.660000 0.0071363 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Palladium 2021-12-29 -949900.000000 USD 204826.660000 N N N N/A N/A 000000000 -193.000000 NC USD 87955.960000 0.0030644 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Platinum 2022-01-27 -9287160.000000 USD 87955.960000 N N N N/A N/A 000000000 -35.000000 NC USD -25993.000000 -0.0009056 N/A DCO GB N 1 London Metals Exchange 213800NB8G5VRT1DXC91 Short N/A Aluminum 2022-01-17 -2495281.250000 USD -25993.000000 N N N N/A N/A 000000000 -2.000000 NC USD -90269.360000 -0.0031450 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Propane 2021-12-31 -120084.720000 USD -90269.360000 N N N N/A N/A 000000000 -2.000000 NC USD -91284.920000 -0.0031804 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Propane 2021-11-30 -121100.280000 USD -91284.920000 N N N N/A N/A 000000000 -2.000000 NC USD -91389.920000 -0.0031841 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Propane 2021-10-29 -121205.280000 USD -91389.920000 N N N N/A N/A 000000000 -2.000000 NC USD -78644.600000 -0.0027400 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Propane 2021-09-30 -108459.960000 USD -78644.600000 N N N N/A N/A 000000000 1.000000 NC -9776.380000 -0.0003406 N/A DFE N/A N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 298709.060000 USD 248000.000000 EUR 2022-07-01 -9776.380000 N N N N/A N/A 000000000 1.000000 NC -102770.060000 -0.0035806 N/A DFE N/A N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 8604148.100000 USD 7297000.000000 EUR 2022-07-01 -102770.060000 N N N N/A N/A 000000000 -147.000000 NC USD 996557.410000 0.0347206 N/A DCO US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short N/A Silver 2021-12-29 -16204545.000000 USD 996557.410000 N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 05401AAR2 201000.000000 PA USD 197850.900000 0.0068932 Long DBT CORP KY N 2 2027-11-18 Fixed 2.528 N N N N N N N/A N/A 000000000 141.000000 NC USD -162761.100000 -0.0056707 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A Soybeans 2022-01-14 8921775.000000 USD -162761.100000 N N N N/A N/A 000000000 -14.000000 NC USD 13052.220000 0.0004547 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A Soybeans 2022-03-14 -890400.000000 USD 13052.220000 N N N N/A N/A 000000000 489.000000 NC USD -580798.210000 -0.0202353 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A Soybean Meal 2022-01-14 16185900.000000 USD -580798.210000 N N N N/A N/A 000000000 -37.000000 NC USD 56345.200000 0.0019631 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A Soybean Meal 2022-03-14 -1233580.000000 USD 56345.200000 N N N N/A N/A 000000000 -44.000000 NC USD -41558.660000 -0.0014479 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A Soybean Oil 2022-01-14 -1545720.000000 USD -41558.660000 N N N N/A N/A 000000000 -13.000000 NC USD -4129.800000 -0.0001439 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A Soybean Oil 2022-03-14 -454506.000000 USD -4129.800000 N N N N/A N/A 000000000 1.000000 NC 1246214.870000 0.0434189 N/A DFE GB N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 54216000.000000 GBP 74296863.640000 USD 2021-10-04 1246214.870000 N N N N/A N/A 000000000 1.000000 NC 879.800000 0.0000307 N/A DFE GB N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 53000.000000 GBP 72292.010000 USD 2021-10-04 879.800000 N N N N/A N/A 000000000 -492.000000 NC USD 19279.030000 0.0006717 N/A DCO US N 1 New York Futures Exchange N/A Short N/A Raw Sugar 2022-02-28 -11208153.600000 USD 19279.030000 N N N N/A N/A 000000000 -18.000000 NC USD -0.020000 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 16019.980000 N N N N/A N/A 000000000 -18.000000 NC USD -44275.820000 -0.0015426 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 -28255.820000 N N N BABSON EURO CLO 2015-1A BV N/A ACI0Y8ZQ5 222311.820000 PA 257480.880000 0.0089708 Long ABS-CBDO CORP IE N 2 2029-10-25 Floating 0.271 N N N N N N N/A N/A 000000000 1.000000 NC USD 21217.300000 0.0007392 N/A DCO US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A Petroleum Y Single Leg Swap 2021-12-31 4500.000000 USD 0.000000 USD 6000.000000 USD 16717.300000 N N N N/A N/A 000000000 1.000000 NC USD 78917.640000 0.0027495 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 40800.000000 USD 78917.640000 N N N N/A N/A 000000000 1.000000 NC USD 278119.220000 0.0096898 N/A DCO US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A Petroleum Y Single Leg Swap 2022-03-31 177207.000000 USD 0.000000 USD 200700.000000 USD 100912.220000 N N N N/A N/A 000000000 1.000000 NC USD -69144.020000 -0.0024090 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 51000.000000 USD -69144.020000 N N N N/A N/A 000000000 1.000000 NC USD 19484.620000 0.0006789 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 46800.000000 USD 19484.620000 N N N N/A N/A 000000000 1.000000 NC USD 110746.100000 0.0038585 N/A DCO US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD -19440.000000 USD 57000.000000 USD 130186.100000 N N N N/A N/A 000000000 1.000000 NC USD 137558.310000 0.0047926 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD -11843.420000 USD 70800.000000 USD 149401.730000 N N N N/A N/A 000000000 1.000000 NC USD 34480.090000 0.0012013 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD 0.000000 USD 7200.000000 USD 34480.090000 N N N N/A N/A 000000000 1.000000 NC USD 47826.950000 0.0016663 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 10200.000000 USD 47826.950000 N N N N/A N/A 000000000 1.000000 NC USD 21477.930000 0.0007483 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 4950.000000 USD 21477.930000 N N N N/A N/A 000000000 1.000000 NC USD 31096.640000 0.0010834 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD 0.000000 USD 7200.000000 USD 31096.640000 N N N N/A N/A 000000000 1.000000 NC USD 25733.900000 0.0008966 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 25733.900000 N N N N/A N/A 000000000 1.000000 NC USD 9265.260000 0.0003228 N/A DCO US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD -15651.000000 USD 5550.000000 USD 24916.260000 N N N N/A N/A 000000000 1.000000 NC USD 24960.150000 0.0008696 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 -48183.460000 USD 17340.000000 USD 73143.610000 N N N N/A N/A 000000000 1.000000 NC USD 79325.320000 0.0027637 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 40800.000000 USD 79325.320000 N N N N/A N/A 000000000 1.000000 NC USD 58605.950000 0.0020419 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD 0.000000 USD 6000.000000 USD 58605.950000 N N N N/A N/A 000000000 1.000000 NC USD 25911.350000 0.0009028 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD 0.000000 USD 6000.000000 USD 25911.350000 N N N N/A N/A 000000000 1.000000 NC USD 115584.080000 0.0040270 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD -239229.420000 USD 39600.000000 USD 354813.500000 N N N N/A N/A 000000000 1.000000 NC USD 16523.130000 0.0005757 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 5700.000000 USD 16523.130000 N N N N/A N/A 000000000 1.000000 NC USD 16912.840000 0.0005893 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 16912.840000 N N N N/A N/A 000000000 1.000000 NC USD 20426.950000 0.0007117 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 7800.000000 USD 20426.950000 N N N N/A N/A 000000000 1.000000 NC USD 15113.140000 0.0005266 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD 0.000000 USD 6000.000000 USD 15113.140000 N N N N/A N/A 000000000 1.000000 NC USD 6806.690000 0.0002371 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 6806.690000 N N N N/A N/A 000000000 1.000000 NC USD 18434.630000 0.0006423 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 8700.000000 USD 18434.630000 N N N N/A N/A 000000000 1.000000 NC USD 4344.760000 0.0001514 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 28943.540000 0.0010084 N/A DCO US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD -117600.000000 USD 14700.000000 USD 146543.540000 N N N N/A N/A 000000000 1.000000 NC USD 1775.820000 0.0000619 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 8100.000000 USD 1775.820000 N N N N/A N/A 000000000 1.000000 NC USD 7374.850000 0.0002569 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 -357012.870000 USD 43575.000000 USD 364387.720000 N N N N/A N/A 000000000 1.000000 NC USD 2033137.780000 0.0708357 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 47400.000000 USD 2033137.780000 N N N N/A N/A 000000000 1.000000 NC USD -139607.970000 -0.0048640 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 7700.000000 USD -139607.970000 N N N N/A N/A 000000000 1.000000 NC USD -19122.700000 -0.0006662 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 1000.000000 USD -19122.700000 N N N N/A N/A 000000000 1.000000 NC USD -82748.160000 -0.0028830 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 4100.000000 USD -82748.160000 N N N N/A N/A 000000000 1.000000 NC USD -721426.470000 -0.0251349 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 5600.000000 USD -721426.470000 N N N N/A N/A 000000000 1.000000 NC USD -52408.380000 -0.0018259 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 6300.000000 USD -52408.380000 N N N N/A N/A 000000000 1.000000 NC USD 39266.240000 0.0013681 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 6300.000000 USD 39266.240000 N N N N/A N/A 000000000 1.000000 NC USD 33554.440000 0.0011691 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 6900.000000 USD 33554.440000 N N N N/A N/A 000000000 1.000000 NC USD 41295.290000 0.0014388 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 -1713.220000 USD 8580.000000 USD 43008.510000 N N N N/A N/A 000000000 1.000000 NC USD 181634.120000 0.0063282 N/A DCO US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD -17944.500000 USD 39120.000000 USD 199578.620000 N N N N/A N/A 000000000 1.000000 NC USD 56070.710000 0.0019535 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 13800.000000 USD 56070.710000 N N N N/A N/A 000000000 1.000000 NC USD -123921.460000 -0.0043175 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 41400.000000 USD -123921.460000 N N N N/A N/A 000000000 1.000000 NC USD -76769.020000 -0.0026747 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 27000.000000 USD -76769.020000 N N N N/A N/A 000000000 1.000000 NC USD 10562.190000 0.0003680 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 18900.000000 USD 10562.190000 N N N N/A N/A 000000000 1.000000 NC USD 10729.840000 0.0003738 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 19200.000000 USD 10729.840000 N N N N/A N/A 000000000 1.000000 NC USD -3431.010000 -0.0001195 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 31500.000000 USD -3431.010000 N N N N/A N/A 000000000 1.000000 NC USD 7.000000 0.0000002 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 6600.000000 USD 7.000000 N N N N/A N/A 000000000 1.000000 NC USD 44587.520000 0.0015535 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 75600.000000 USD 44587.520000 N N N N/A N/A 000000000 1.000000 NC USD 45295.260000 0.0015781 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 76800.000000 USD 45295.260000 N N N N/A N/A 000000000 1.000000 NC USD 54606.380000 0.0019025 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 55200.000000 USD 54606.380000 N N N N/A N/A 000000000 1.000000 NC USD 71144.190000 0.0024787 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 N/A Petroleum Y Single Leg Swap 2022-12-31 16008.000000 USD 0.000000 USD 55200.000000 USD 55136.190000 N N N N/A N/A 000000000 1.000000 NC USD 47436.400000 0.0016527 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 80400.000000 USD 47436.400000 N N N N/A N/A 000000000 1.000000 NC USD 15359.140000 0.0005351 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 24000.000000 USD 15359.140000 N N N N/A N/A 000000000 1.000000 NC USD 23605.640000 0.0008224 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 40200.000000 USD 23605.640000 N N N N/A N/A 000000000 1.000000 NC USD 28253.040000 0.0009844 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 48000.000000 USD 28253.040000 N N N N/A N/A 000000000 1.000000 NC USD 3956.120000 0.0001378 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 6900.000000 USD 3956.120000 N N N N/A N/A 000000000 1.000000 NC USD 759.200000 0.0000265 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD 0.000000 USD 6000.000000 USD 759.200000 N N N N/A N/A 000000000 1.000000 NC USD 28334.840000 0.0009872 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 22200.000000 USD 28334.840000 N N N N/A N/A 000000000 1.000000 NC USD 6338.590000 0.0002208 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 27600.000000 USD 6338.590000 N N N N/A N/A 000000000 1.000000 NC USD 4361.640000 0.0001520 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 15600.000000 USD 4361.640000 N N N N/A N/A 000000000 1.000000 NC USD 10400.820000 0.0003624 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 37200.000000 USD 10400.820000 N N N N/A N/A 000000000 1.000000 NC USD 20490.730000 0.0007139 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 54000.000000 USD 20490.730000 N N N N/A N/A 000000000 1.000000 NC USD 14571.190000 0.0005077 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 38400.000000 USD 14571.190000 N N N N/A N/A 000000000 1.000000 NC USD 13756.440000 0.0004793 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 33600.000000 USD 13756.440000 N N N N/A N/A 000000000 1.000000 NC USD 14427.540000 0.0005027 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 33600.000000 USD 14427.540000 N N N N/A N/A 000000000 1.000000 NC USD 13181.340000 0.0004592 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 30000.000000 USD 13181.340000 N N N N/A N/A 000000000 1.000000 NC USD 20036.250000 0.0006981 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 26400.000000 USD 20036.250000 N N N N/A N/A 000000000 1.000000 NC USD 135892.810000 0.0047346 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 -680.940000 USD 151200.000000 USD 136573.750000 N N N N/A N/A 000000000 1.000000 NC USD -45242.010000 -0.0015763 N/A DCO US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD -1336.000000 USD 33400.000000 USD -43906.010000 N N N N/A N/A 000000000 1.000000 NC USD -7254.600000 -0.0002528 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 11800.000000 USD -7254.600000 N N N N/A N/A 000000000 1.000000 NC -314027.030000 -0.0109409 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 7920000.000000 GBP -314027.030000 N N N N/A N/A 000000000 1.000000 NC -160869.890000 -0.0056048 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 4275000.000000 GBP -160869.890000 N N N N/A N/A 000000000 1.000000 NC -202031.960000 -0.0070389 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 5805000.000000 GBP -202031.960000 N N N N/A N/A 000000000 1.000000 NC -19706.510000 -0.0006866 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 1647000.000000 GBP -19706.510000 N N N N/A N/A 000000000 1.000000 NC -45599.950000 -0.0015887 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 920000.000000 GBP -45599.950000 N N N N/A N/A 000000000 1.000000 NC -18676.040000 -0.0006507 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 364000.000000 GBP -18676.040000 N N N N/A N/A 000000000 1.000000 NC -88479.540000 -0.0030827 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 1820000.000000 GBP -88479.540000 N N N N/A N/A 000000000 1.000000 NC -87254.380000 -0.0030400 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 1820000.000000 GBP -87254.380000 N N N N/A N/A 000000000 1.000000 NC -69803.500000 -0.0024320 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 1456000.000000 GBP -69803.500000 N N N N/A N/A 000000000 1.000000 NC -17205.840000 -0.0005995 N/A DCO GB N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 N/A Natural Gas Y Single Leg Swap 2022-03-31 0.000000 GBP 0.000000 GBP 364000.000000 GBP -17205.840000 N N N N/A N/A 000000000 1.000000 NC -85539.160000 -0.0029802 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 1820000.000000 GBP -85539.160000 N N N N/A N/A 000000000 1.000000 NC -85294.130000 -0.0029717 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 1820000.000000 GBP -85294.130000 N N N N/A N/A 000000000 1.000000 NC -82353.740000 -0.0028693 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 1820000.000000 GBP -82353.740000 N N N N/A N/A 000000000 1.000000 NC -73015.730000 -0.0025439 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 1638000.000000 GBP -73015.730000 N N N N/A N/A 000000000 1.000000 NC -87893.770000 -0.0030623 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 2002000.000000 GBP -87893.770000 N N N N/A N/A 000000000 1.000000 NC 38495.140000 0.0013412 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 620000.000000 GBP 38495.140000 N N N N/A N/A 000000000 1.000000 NC 32390.240000 0.0011285 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 558000.000000 GBP 32390.240000 N N N N/A N/A 000000000 1.000000 NC 21342.890000 0.0007436 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 372000.000000 GBP 21342.890000 N N N N/A N/A 000000000 1.000000 NC 32602.570000 0.0011359 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 589000.000000 GBP 32602.570000 N N N N/A N/A 000000000 1.000000 NC 34471.560000 0.0012010 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 496000.000000 GBP 34471.560000 N N N N/A N/A 000000000 1.000000 NC 24291.550000 0.0008463 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 297600.000000 GBP 24291.550000 N N N N/A N/A 000000000 1.000000 NC 6824.680000 0.0002378 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 74400.000000 GBP 6824.680000 N N N N/A N/A 000000000 1.000000 NC USD 25773.950000 0.0008980 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 4200.000000 USD 25773.950000 N N N N/A N/A 000000000 1.000000 NC USD 32166.090000 0.0011207 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 5400.000000 USD 32166.090000 N N N N/A N/A 000000000 1.000000 NC USD 69740.500000 0.0024298 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD 0.000000 USD 12000.000000 USD 69740.500000 N N N N/A N/A 000000000 1.000000 NC USD 24543.850000 0.0008551 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 6900.000000 USD 24543.850000 N N N N/A N/A 000000000 1.000000 NC USD 79960.230000 0.0027859 N/A DCO US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A Petroleum Y Single Leg Swap 2021-12-31 0.000000 USD -66114.000000 USD 23400.000000 USD 146074.230000 N N N N/A N/A 000000000 1.000000 NC USD 1916135.420000 0.0667593 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A BCOM Y Single Leg Swap 2022-01-14 495416.770000 USD 0.000000 USD 7980230.450000 USD 1420718.650000 N N N N/A N/A 000000000 1.000000 NC USD -95562.450000 -0.0033295 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 3333336.450000 USD -95562.450000 N N N N/A N/A 000000000 1.000000 NC USD 3151222.160000 0.1097904 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A BCOM Y Single Leg Swap 2022-01-18 2010891.290000 USD 0.000000 USD 12489413.370000 USD 1140330.870000 N N N N/A N/A 000000000 1.000000 NC USD 696029.870000 0.0242501 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 N/A BCOM Y Single Leg Swap 2022-03-02 116439.490000 USD 0.000000 USD 3808413.390000 USD 579590.380000 N N N N/A N/A 000000000 1.000000 NC USD 556939.520000 0.0194041 N/A DCO US N 2 UBS AG BFM8T61CT2L1QCEMIK50 N/A BCOM Y Single Leg Swap 2022-03-02 129062.750000 USD 0.000000 USD 3095471.070000 USD 427876.770000 N N N N/A N/A 000000000 1.000000 NC USD 37898.880000 0.0013204 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 34444926.330000 USD 37898.880000 N N N N/A N/A 000000000 1.000000 NC USD -392937.030000 -0.0136902 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 20611699.020000 USD -392937.030000 N N N N/A N/A 000000000 1.000000 NC USD 205864.340000 0.0071724 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 COMM SWAP JMABFNJ2 JPM JMABFNJ2 Y Single Leg Swap 2021-12-31 0.000000 USD 0.000000 USD 8517101.370000 USD 205864.340000 N N N N/A N/A 000000000 1.000000 NC USD -80839.460000 -0.0028165 N/A DCO US N 2 Canadian Imperial Bank of Commerce 2IGI19DL77OX0HC3ZE78 COMM SWAP PIMCODB CIB PIMCODB2 Y Single Leg Swap 2022-02-15 0.000000 USD 0.000000 USD 12221925.490000 USD -80839.460000 N N N N/A N/A 000000000 1.000000 NC USD 3395.400000 0.0001183 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 COMM SWAP PIMCODBU MAC PIMCODBU1 Y Single Leg Swap 2022-03-15 0.000000 USD 0.000000 USD 521275.050000 USD 3395.400000 N N N N/A N/A 000000000 1.000000 NC USD 428392.340000 0.0149254 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 33240691.590000 USD 428392.340000 N N N N/A N/A 000000000 1.000000 NC USD 192673.770000 0.0067129 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 14949990.350000 USD 192673.770000 N N N N/A N/A 000000000 1.000000 NC USD 8229830.770000 0.2867321 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 COMM SWAP TBL/BCOMF1TC JPM BCOMF1TCB Y 2022-02-15 0.000000 USD 0.000000 USD 638765282.070000 USD 8229830.770000 N N N N/A N/A 000000000 1.000000 NC USD 202900.500000 0.0070692 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 0.000000 USD 17274265.320000 USD 202900.500000 N N N N/A N/A 000000000 1.000000 NC USD 193545.740000 0.0067432 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 16477831.820000 USD 193545.740000 N N N N/A N/A 000000000 1.000000 NC USD 419688.740000 0.0146222 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 0.000000 USD 35743578.560000 USD 419688.740000 N N N N/A N/A 000000000 1.000000 NC USD -8209308.110000 -0.2860171 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 2022-01-14 0.000000 USD 0.000000 USD 699161090.080000 USD -8209308.110000 N N N N/A N/A 000000000 1.000000 NC USD 72715.950000 0.0025335 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 6192988.280000 USD 72715.950000 N N N N/A N/A 000000000 1.000000 NC USD 2749901.100000 0.0958082 N/A DCO US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 COMM SWAP TBL/CSIXTR BPS CSIXTR Y 2022-02-15 0.000000 USD -24717.400000 USD 130218478.060000 USD 2774618.500000 N N N N/A N/A 000000000 1.000000 NC USD 1737516.690000 0.0605361 N/A DCO US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 COMM SWAP TBL/CSIXTR CBK CSIXTR Y 2022-02-15 0.000000 USD 0.000000 USD 82278176.490000 USD 1737516.690000 N N N N/A N/A 000000000 1.000000 NC USD 3109059.990000 0.1083215 N/A DCO US N 2 Canadian Imperial Bank of Commerce 2IGI19DL77OX0HC3ZE78 COMM SWAP TBL/CSIXTR CIB CSIXTR Y 2022-02-15 0.000000 USD 0.000000 USD 147226089.860000 USD 3109059.990000 N N N N/A N/A 000000000 1.000000 NC USD 9708611.340000 0.3382537 N/A DCO US N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 COMM SWAP TBL/CSIXTR FBF CSIXTR Y 2022-02-15 0.000000 USD 0.000000 USD 459285366.390000 USD 9708611.340000 N N N N/A N/A 000000000 1.000000 NC USD 13646816.390000 0.4754630 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 COMM SWAP TBL/CSIXTR GST CSIXTR Y 2022-02-15 0.000000 USD 0.000000 USD 645972267.190000 USD 13646816.390000 N N N N/A N/A 000000000 1.000000 NC USD 4633544.520000 0.1614354 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 COMM SWAP TBL/CSIXTR JPM CSIXTR Y 2022-02-15 74469.680000 USD 0.000000 USD 219372227.950000 USD 4559074.840000 N N N N/A N/A 000000000 1.000000 NC USD 6156654.510000 0.2145014 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 COMM SWAP TBL/CSIXTR MAC CSIXTR Y 2022-02-15 0.000000 USD 0.000000 USD 291482863.860000 USD 6156654.510000 N N N N/A N/A 000000000 1.000000 NC USD 1238039.020000 0.0431340 N/A DCO US N 2 MERRILL LYNCH INTERNATIONAL GGDZP1UYGU9STUHRDP48 COMM SWAP TBL/CSIXTR MEI CSIXTR Y 2022-02-15 0.000000 USD 0.000000 USD 58625965.360000 USD 1238039.020000 N N N N/A N/A 000000000 1.000000 NC USD 3967913.160000 0.1382444 N/A DCO US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 COMM SWAP TBL/CSIXTR RBC CSIXTR Y 2022-02-15 0.000000 USD 0.000000 USD 187896129.710000 USD 3967913.160000 N N N N/A N/A 000000000 1.000000 NC USD 8926062.620000 0.3109892 N/A DCO US N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 COMM SWAP TBL/CSIXTR SOG CSIXTR Y 2022-02-15 0.000000 USD 0.000000 USD 422348620.440000 USD 8926062.620000 N N N N/A N/A 000000000 1.000000 NC 37268.710000 0.0012985 N/A DIR N/A N 2 London Clearing house N/A Eurostat Eurozone HICP Ex Tob N/A N/A Y 2021-12-15 0.000000 EUR -26644.360000 EUR 2290000.000000 EUR 63913.070000 N N N N/A N/A 000000000 1.000000 NC -680753.050000 -0.0237178 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2030-05-15 760194.800000 GBP 0.000000 GBP 13500000.000000 GBP -1440947.850000 N N N N/A N/A 000000000 1.000000 NC -3846564.690000 -0.1340166 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2030-08-15 371443.570000 GBP 0.000000 GBP 35700000.000000 GBP -4218008.260000 N N N N/A N/A 000000000 1.000000 NC 199738.090000 0.0069590 N/A DIR GB N 2 London Clearing house N/A UK RPI All Items NSA N/A N/A Y 2024-09-15 2328601.460000 GBP 0.000000 GBP 38100000.000000 GBP -2128863.370000 N N N N/A N/A 000000000 1.000000 NC USD 126607.840000 0.0044111 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 -67306.890000 USD 3500000.000000 USD 193914.730000 N N N N/A N/A 000000000 1.000000 NC USD -1859243.790000 -0.0647771 N/A DIR US N 2 London Clearing house N/A US CPI Urban Consumers NSA N/A N/A Y 2026-11-21 2165336.300000 USD 0.000000 USD 39000000.000000 USD -4024580.090000 N N N N/A N/A 000000000 1.000000 NC -2237.740000 -0.0000780 N/A DIR JP N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 JPY-LIBOR-BBA-Bloomberg 6M N/A N/A Y 2045-12-21 0.000000 JPY -2849.890000 JPY 990000.000000 JPY 612.150000 N N N N/A N/A 000000000 1.000000 NC USD -260403.930000 -0.0090726 N/A DIR US N 2 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2026-12-21 371432.240000 USD 0.000000 USD 6900000.000000 USD -631836.170000 N N N N/A N/A 000000000 1.000000 NC USD -336750.480000 -0.0117326 N/A DIR US N 2 London Clearing house N/A USD-LIBOR-BBA-Bloomberg 3M N/A N/A Y 2026-12-21 454579.300000 USD 0.000000 USD 8800000.000000 USD -791329.780000 N N N BANC OF AMERICA FUNDING CORP 2007-C N/A 059522BE1 271926.000000 PA USD 277961.320000 0.0096843 Long ABS-MBS CORP US N 2 2036-05-20 Floating 2.93833 Y N N N N N N/A N/A 000000000 1.000000 NC 24378.900000 0.0008494 N/A DFE N/A N 2 THE TORONTO-DOMINION BANK PT3QB789TSUIDF371261 421627.510000 USD 385036.000000 EUR 2021-10-01 24378.900000 N N N BANCA MONTE DEI PASCHI DI SIENA SPA J4CP7MHCXR8DAQMKIL78 ACI0ZY1X9 500000.000000 PA 440135.320000 0.0153346 Long DBT CORP IT N 2 2028-01-18 Floating 5.375 N N N N N N N/A N/A 000000000 1.000000 NC 262232.880000 0.0091363 N/A DFE N/A N 2 UBS AG BFM8T61CT2L1QCEMIK50 15962000.000000 EUR 18767145.920000 USD 2021-11-17 262232.880000 N N N N/A N/A 000000000 -20.000000 NC USD -306770.000000 -0.0106880 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 7900.000000 USD 2022-12-07 XXXX -46770.000000 N N N N/A N/A 000000000 -20.000000 NC USD -114855.000000 -0.0040016 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 12250.000000 USD 2022-12-07 XXXX 80145.000000 N N N N/A N/A 000000000 -60.000000 NC USD -975840.000000 -0.0339988 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 -198870.000000 N N N N/A N/A 000000000 -60.000000 NC USD -248085.000000 -0.0086434 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 243945.000000 N N N N/A N/A 000000000 -10.000000 NC USD -53780.000000 -0.0018737 N/A DCO GB N 1 London Metals Exchange 213800NB8G5VRT1DXC91 Call Written London Metals Exchange 213800NB8G5VRT1DXC91 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 12400.000000 USD 2022-12-07 XXXX 42695.000000 N N N N/A N/A 000000000 -10.000000 NC USD -167402.500000 -0.0058324 N/A DCO GB N 1 London Metals Exchange 213800NB8G5VRT1DXC91 Put Written London Metals Exchange 213800NB8G5VRT1DXC91 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 8050.000000 USD 2022-12-07 XXXX -29752.500000 N N N N/A N/A 000000000 19.000000 NC USD -68281.250000 -0.0023790 N/A DCO GB N 1 London Metals Exchange 213800NB8G5VRT1DXC91 Long N/A Lead 2022-01-17 993700.000000 USD -68281.250000 N N N N/A N/A 000000000 15.000000 NC USD -106012.500000 -0.0036935 N/A DCO GB N 1 London Metals Exchange 213800NB8G5VRT1DXC91 Long N/A Nickel 2022-01-17 1613655.000000 USD -106012.500000 N N N N/A N/A 000000000 7.000000 NC USD -8831.250000 -0.0003077 N/A DCO GB N 1 London Metals Exchange 213800NB8G5VRT1DXC91 Long N/A Zinc 2022-01-17 522900.000000 USD -8831.250000 N N N N/A N/A 000000000 -377.000000 NC 1974378.350000 0.0687885 N/A DIR GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A UNITED KINGDOM GOVT 2021-12-29 -63572429.500000 GBP 1974378.350000 N N N N/A N/A 000000000 -1113.000000 NC USD 1697156.160000 0.0591299 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2021-12-21 -146611663.510000 USD 1697156.160000 N N N N/A N/A 000000000 345.000000 NC USD -223083.030000 -0.0077723 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2021-12-31 42363574.310000 USD -223083.030000 N N N N/A N/A 000000000 126.000000 NC USD -500232.600000 -0.0174284 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2021-12-21 20098968.750000 USD -500232.600000 N N N N/A N/A 000000000 -306.000000 NC USD 2384974.710000 0.0830939 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2021-12-21 -58632468.750000 USD 2384974.710000 N N N N/A N/A 000000000 -91.000000 NC USD -84459.370000 -0.0029426 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A Kansas Wheat 2021-12-14 -3329462.500000 USD -84459.370000 N N N N/A N/A 000000000 310.000000 NC USD 244187.060000 0.0085076 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A Kansas Wheat 2022-03-14 11458375.000000 USD 244187.060000 N N N N/A N/A 000000000 -91.000000 NC USD -20813.520000 -0.0007252 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A Wheat 2021-12-14 -3301025.000000 USD -20813.520000 N N N N/A N/A 000000000 27.000000 NC USD 26046.300000 0.0009075 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A Wheat 2022-07-14 974025.000000 USD 26046.300000 N N N N/A N/A 000000000 -303.000000 NC USD 11599.720000 0.0004041 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A Wheat 2022-03-14 -11157975.000000 USD 11599.720000 N N N N/A N/A 000000000 524.000000 NC USD 241782.670000 0.0084238 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Refined Sugar 2022-02-11 13513960.000000 USD 241782.670000 N N N BAYER US FINANCE LLC 54930093Q75GSEM74I71 07274EAF0 1300000.000000 PA USD 1300374.430000 0.0453058 Long DBT CORP US N 2 2021-10-08 Fixed 3 N N N N N N BEAR STEARNS STRUC PROD INC 2007-R6 N/A 07402FAA3 64175.360000 PA USD 54526.590000 0.0018997 Long ABS-MBS CORP US N 2 2036-01-26 Floating 2.70756 Y N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10 N/A 07384M3X8 127811.080000 PA USD 135448.930000 0.0047191 Long ABS-MBS CORP US N 2 2035-01-25 Floating 2.69147 N N N N N N BEAR STEARNS ALT-A TRUST 2005-5 N/A 07386HUM1 617224.600000 PA USD 526121.140000 0.0183304 Long ABS-MBS CORP US N 2 2035-07-25 Floating 4.35283 Y N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-EC2 N/A 07387UDT5 7641000.000000 PA USD 7312701.380000 0.2547788 Long ABS-MBS CORP US N 2 2036-02-25 Floating 0.746 Y N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD2 N/A 07386UAN2 332732.180000 PA USD 314149.650000 0.0109452 Long ABS-MBS CORP US N 2 2046-09-25 Floating 1.086 Y N N N N N BRISTOL-MYERS SQUIBB COMPANY HLYYNH7UQUORYSJQCN42 110122CW6 178000.000000 PA USD 182605.530000 0.0063621 Long DBT CORP US N 2 2022-08-15 Fixed 3.25 N N N N N N BRITISH TRANSCO INTERNATIONAL FINANCE 549300GGLD5FF6EQTM03 N1614RAX9 530000.000000 PA USD 530073.350000 0.0184681 Long DBT CORP NL N 2 2021-11-04 None 0 N N N N N N CATAMARAN CLO LTD 2013-1A N/A 14889EAL0 1310534.960000 PA USD 1311410.800000 0.0456903 Long ABS-CBDO CORP KY N 2 2028-01-27 Floating 0.97888 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175BB9 2661000.000000 PA USD 2728926.970000 0.0950774 Long DBT CORP US N 2 2022-07-23 Fixed 4.464 N N N N N N CHASE MORTGAGE FINANCE CORP 2007-A1 N/A 161630AA6 100935.170000 PA USD 103367.550000 0.0036014 Long ABS-MBS CORP US N 2 2037-02-25 Floating 2.3679 N N N N N N CHASE MORTGAGE FINANCE CORP 2007-A1 N/A 161630AL2 80177.180000 PA USD 83877.200000 0.0029223 Long ABS-MBS CORP US N 2 2037-02-25 Floating 2.78139 N N N N N N CHASE MORTGAGE FINANCE CORPORATION 2007-S6 N/A 161636AE5 349731.660000 PA USD 200052.520000 0.0069699 Long ABS-MBS CORP US N 2 2022-12-25 Fixed 5.5 Y N N N N N CHASEFLEX TRUST 2006-1 N/A 16165LAF7 55554.800000 PA USD 54898.440000 0.0019127 Long ABS-MBS CORP US N 2 2036-06-25 Variable 6.3 Y N N N N N CHEVY CHASE MTGE FUNDING CORP 2004-1A N/A 16678RAS6 3004.920000 PA USD 3087.620000 0.0001076 Long ABS-MBS CORP US N 2 2035-01-25 Floating 0.366 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW95 47161.310000 PA USD 47773.160000 0.0016644 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.52 N N N N N N COMMODITY WAREHOUSE RECEIPT N/A 936QAV904 16117.560000 NS USD 28289558.040000 0.9856247 Long COMM US N 2 N N N COMMODITY WAREHOUSE RECEIPT N/A 965SRC908 33560.970000 NS USD 58906256.400000 2.0523283 Long COMM US N 2 N N N COMMODITY WAREHOUSE RECEIPT N/A 967FDJ904 1060.000000 NS USD 1860513.100000 0.0648214 Long COMM US N 2 N N N COMMODITY WAREHOUSE RECEIPT N/A 966RBW902 3560.980000 NS USD 6250235.790000 0.2177619 Long COMM US N 2 N N N COMMODITY WAREHOUSE RECEIPT N/A 966QTXII4 964.540000 NS USD 1692961.610000 0.0589838 Long COMM US N 2 N N N COMMODITY WAREHOUSE RECEIPT N/A 965RNAII9 23429.920000 NS USD 41124221.660000 1.4327918 Long COMM US N 2 N N N COMMODITY WAREHOUSE RECEIPT N/A 935UQP902 20443.550000 NS USD 35882543.690000 1.2501687 Long COMM US N 2 N N N COMMODITY WAREHOUSE RECEIPT N/A 966QVDII5 15045.260000 NS USD 26407455.970000 0.9200511 Long COMM US N 2 N N N COMMODITY WAREHOUSE RECEIPT N/A 966NPXII5 1264.000000 NS USD 2218574.110000 0.0772964 Long COMM US N 2 N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-1T1 N/A 23246KAA9 5813575.110000 PA USD 3309172.990000 0.1152935 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 6 Y N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-22 N/A 02151BBG2 1438383.000000 PA USD 828522.850000 0.0288662 Long ABS-MBS CORP US N 2 2037-09-25 Fixed 6.5 Y N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-5 N/A 1266716K7 40790.080000 PA USD 40821.390000 0.0014222 Long ABS-MBS CORP US N 2 2034-08-25 Floating 0.941 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-6 N/A 126673BR2 150433.790000 PA USD 149728.530000 0.0052166 Long ABS-MBS CORP US N 2 2034-11-25 Floating 0.866 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-7 N/A 126673EG3 2519031.550000 PA USD 2561067.640000 0.0892291 Long ABS-MBS CORP US N 2 2034-11-25 Floating 1.811 Y N N N N N COUNTRYWIDE ASSET-BACKED CERTIFICATES 2005-8 N/A 1266735Z1 2314000.000000 PA USD 2321994.410000 0.0808996 Long ABS-MBS CORP US N 2 2035-12-25 Floating 1.121 Y N N N N N COUNTRYWIDE HOME LOANS 2004-HYB7 N/A 12669GBZ3 241683.230000 PA USD 246881.720000 0.0086015 Long ABS-MBS CORP US N 2 2034-11-20 Floating 2.7734 N N N N N N COUNTRYWIDE HOME LOANS 2005-HYB4 N/A 12669GM24 1338888.070000 PA USD 1333488.070000 0.0464595 Long ABS-MBS CORP US N 2 2035-08-20 Floating 2.6466 Y N N N N N DANONE SA 969500KMUQ2B6CBAF162 23636TAC4 4449000.000000 PA USD 4449000.000000 0.1550057 Long DBT CORP FR N 2 2021-11-02 Fixed 2.077 N N N N N N DELTA AIR LINES INC Q2CCMS6R0AS67HJMBN42 247361ZJ0 4894000.000000 PA USD 4937660.350000 0.1720310 Long DBT CORP US N 2 2022-03-15 Fixed 3.625 N N N N N N DEUTSCHE BANK AG/NEW YORK BRANCH 7LTWFZYICNSX8D621K86 251526BX6 4805000.000000 PA USD 4810200.210000 0.1675902 Long DBT CORP DE N 2 2021-10-14 Fixed 4.25 N N N N N N DRYDEN XXV SENIOR LOAN FUND 2012-25A N/A 26250JAS9 3312555.520000 PA USD 3312555.520000 0.1154114 Long ABS-CBDO CORP KY N 2 2027-10-15 Floating 1.02613 N N N N N N ERAC USA FINANCE LLC LTKX5ODQW6Z7BQ2K1V47 26884TAQ5 712000.000000 PA USD 713271.520000 0.0248508 Long DBT CORP US N 2 2021-12-01 Fixed 2.6 N N N N N N EUROSAIL PLC 2007-3A N/A 29880YAJ8 342596.350000 PA 461691.390000 0.0160856 Long ABS-MBS CORP GB N 2 2045-06-13 Floating 1.01713 N N N N N N EUROSAIL PLC 2007-3X N/A ACI01JMT5 1004326.150000 PA 1352039.220000 0.0471058 Long ABS-MBS CORP GB N 2 2045-06-13 Floating 1.01713 N N N N N N FANNIE MAE 2006-98 N/A 31396K5N8 16234.500000 PA USD 16496.730000 0.0005748 Long ABS-MBS USGSE US N 2 2036-10-25 Floating 0.516 N N N N N N FANNIE MAE 2007-75 N/A 31396W3K0 552900.970000 PA USD 559630.880000 0.0194979 Long ABS-MBS USGSE US N 2 2037-08-25 Floating 0.536 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION (FANNIE MAE) B1V7KEBTPIMZEU4LTD58 3135G0K36 5695000.000000 PA USD 5999494.390000 0.2090259 Long DBT USGSE US N 2 2026-04-24 Fixed 2.125 N N N N N N FIRST HORIZON ALT MTGE SEC 2005-AA2 N/A 32051GHL2 226701.620000 PA USD 243400.480000 0.0084802 Long ABS-MBS CORP US N 2 2035-04-25 Floating 2.56641 N N N N N N FNMA PASS THRU POOLS N/A 3138ENEW5 2860912.140000 PA USD 3025112.680000 0.1053967 Long ABS-MBS USGSE US N 2 2038-05-01 Floating 2.045 N N N N N N FNMA PASS THRU POOLS N/A 3138WD2N0 52419.840000 PA USD 56425.060000 0.0019659 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 3.5 N N N N N N PIMCO FUNDS 549300F9QJIJF2GM8419 000000000 38368760.260000 PA USD 384301502.740000 13.3892880 Long STIV RF US N 1 N N N FNMA PASS THRU POOLS N/A 3140HGRA7 628677.790000 PA USD 669598.140000 0.0233292 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140J6GJ0 28472.410000 PA USD 30371.720000 0.0010582 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 3.5 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 50256642.550000 PA USD 495631008.870000 17.2680728 Long STIV RF US N 1 N N N FNMA PASS THRU POOLS N/A 3140Q8V51 60200.150000 PA USD 64053.970000 0.0022317 Long ABS-MBS USGSE US N 2 2048-02-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CPE8 181511.630000 PA USD 193404.200000 0.0067383 Long ABS-MBS USGSE US N 2 2047-09-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CRC0 302004.310000 PA USD 321566.890000 0.0112036 Long ABS-MBS USGSE US N 2 2047-11-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 31418CR89 732808.960000 PA USD 780599.400000 0.0271965 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.5 N N N N N N COMMODITY WAREHOUSE RECEIPT N/A 966URE908 200.140000 NS USD 192303.680000 0.0067000 Long COMM US N 2 N N N COMMODITY WAREHOUSE RECEIPT N/A 966TUV909 848.860000 NS USD 815624.550000 0.0284168 Long COMM US N 2 N N N COMMODITY WAREHOUSE RECEIPT N/A 966TXP909 2538.460000 NS USD 2439072.540000 0.0849787 Long COMM US N 2 N N N COMMODITY WAREHOUSE RECEIPT N/A 966TUW907 4448.040000 NS USD 4273876.820000 0.1489044 Long COMM US N 2 N N N COMMODITY WAREHOUSE RECEIPT N/A 935QQQ909 705.410000 NS USD 677790.250000 0.0236146 Long COMM US N 2 N N N COMMODITY WAREHOUSE RECEIPT N/A 966TUU901 907.520000 NS USD 871991.610000 0.0303807 Long COMM US N 2 N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397ZG1 4894000.000000 PA USD 4894034.940000 0.1705110 Long DBT CORP US N 2 2021-10-12 Floating 0.999 N N N N N N FREDDIE MAC 3096 N/A 31396GWQ0 1547424.880000 PA USD 1563336.740000 0.0544676 Long ABS-MBS USGSE US N 2 2032-05-15 Floating 0.53375 N N N N N N FREDDIE MAC 3381 N/A 31397KWR8 455146.930000 PA USD 462868.540000 0.0161266 Long ABS-MBS USGSE US N 2 2037-10-15 Floating 0.70375 N N N N N N FREDDIE MAC 3397 N/A 31397PLU2 170734.460000 PA USD 173710.070000 0.0060522 Long ABS-MBS USGSE US N 2 2037-12-15 Floating 0.68375 N N N N N N FREDDIE MAC STRIPS 278 N/A 3132HTBH8 16044.820000 PA USD 15994.000000 0.0005572 Long ABS-MBS USGSE US N 2 2042-09-15 Floating 0.53375 N N N N N N FREDDIE MAC-3179 N/A 31396UF47 201727.800000 PA USD 203590.230000 0.0070932 Long ABS-MBS USGSE US N 2 2036-07-15 Floating 0.46375 N N N N N N FREMONT HOME LOAN TRUST 2006-C N/A 35729TAE2 5931219.050000 PA USD 3520558.700000 0.1226583 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.326 N N N N N N FREMONT HOME LOAN TRUST 2006-E N/A 35729NAA3 1786854.710000 PA USD 1191494.550000 0.0415124 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.226 N N N N N N GATX CORPORATION 549300IHYHCQP2PIR591 361448BB8 6407000.000000 PA USD 6411729.780000 0.2233884 Long DBT CORP US N 2 2021-11-05 Floating 0.84138 N N N N N N COMMODITY WAREHOUSE RECEIPT N/A 935QHD908 104550.000000 NS USD 2302165.700000 0.0802088 Long COMM US N 2 N N N COMMODITY WAREHOUSE RECEIPT N/A 936QAJ901 353700.000000 NS USD 7788388.400000 0.2713520 Long COMM US N 2 N N N COMMODITY WAREHOUSE RECEIPT N/A 935QHE906 269500.850000 NS USD 5934343.500000 0.2067560 Long COMM US N 2 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-22 N/A 38378BDY2 1251824.100000 PA USD 5018.690000 0.0001749 Long ABS-MBS USGSE US N 2 2053-10-16 Variable 0.29003 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-38 N/A 38380V2S9 3257772.810000 PA USD 3252368.160000 0.1133144 Long ABS-MBS USGSE US N 2 2043-10-20 Floating 0.386 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H15 N/A 38380LJY0 3462974.650000 PA USD 3427172.340000 0.1194047 Long ABS-MBS USGSE US N 2 2068-08-20 Floating 0.38238 N N N N N N GSAMP TRUST 2006-FM3 N/A 36245TAD7 823287.220000 PA USD 513142.000000 0.0178782 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.286 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR6 N/A 362341RX9 7395.190000 PA USD 7623.990000 0.0002656 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.85921 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341WZ8 87091.450000 PA USD 88860.470000 0.0030960 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.80479 N N N N N N HALCYON LOAN ADVISORS FUNDING LTD 2015-1A N/A 40538HAN9 73454.880000 PA USD 73508.010000 0.0025611 Long ABS-CBDO CORP KY N 2 2027-04-20 Floating 1.05425 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-10 N/A 41161PTN3 551495.300000 PA USD 495739.680000 0.0172719 Long ABS-MBS CORP US N 2 2035-11-19 Floating 0.70738 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-9 N/A 41161PSK0 385477.570000 PA USD 381910.940000 0.0133060 Long ABS-MBS CORP US N 2 2035-06-20 Floating 0.76738 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-12 N/A 41162DAA7 7684273.650000 PA USD 7294232.210000 0.2541353 Long ABS-MBS CORP US N 2 2036-12-19 Floating 0.29238 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2007-1 N/A 41164MAC1 693937.910000 PA USD 653236.300000 0.0227591 Long ABS-MBS CORP US N 2 2037-03-19 Floating 0.21738 N N N N N N HOMEBANC MORTGAGE TRUST 2005-4 N/A 43739EBT3 58949.060000 PA USD 59183.220000 0.0020620 Long ABS-MBS CORP US N 2 2035-10-25 Floating 0.746 N N N N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 453140AE5 200000.000000 PA USD 203950.260000 0.0071057 Long DBT CORP GB N 2 2022-07-21 Fixed 3.75 N N N N N N INDYMAC HOME EQUITY LOAN ABS TR 2004-B N/A 456606FA5 174874.790000 PA USD 174623.410000 0.0060840 Long ABS-MBS CORP US N 2 2034-11-25 Floating 1.136 N N N N N N INDYMAC INDA MORTGAGE LOAN TR 2005-AR1 N/A 45660LZM4 168798.500000 PA USD 156084.010000 0.0054381 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.72815 Y N N N N N INDYMAC INDX MTGE LOAN TRUST 2006-AR15 N/A 456610AB0 861734.640000 PA USD 840905.910000 0.0292977 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.506 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2006-S3 N/A 46628VAG1 1899866.780000 PA USD 1862899.170000 0.0649045 Long ABS-MBS CORP US N 2 2036-08-25 Variable 6.81 Y N N N N N JP MORGAN MORTGAGE TRUST 2005-A4 N/A 466247RN5 52436.040000 PA USD 54775.660000 0.0019084 Long ABS-MBS CORP US N 2 2035-07-25 Floating 2.29944 N N N N N N JP MORGAN MORTGAGE TRUST-2005-A2 N/A 466247NZ2 6023.670000 PA USD 6120.890000 0.0002133 Long ABS-MBS CORP US N 2 2035-04-25 Floating 2.69553 N N N N N N JT INTERNATIONAL FINANCIAL SERVICES BV 549300U2F0PG10VZUN93 ACI155428 200000.000000 PA USD 211843.600000 0.0073808 Long DBT CORP NL N 2 2023-09-28 Fixed 3.5 N N N N N N JUBILEE CLO 2015-XVI BV 15-16A N/A ACI0YWRZ1 1899373.890000 PA 2193590.720000 0.0764260 Long ABS-CBDO CORP NL N 2 2029-12-15 Floating 0.256 N N N N N N KOMATSU FINANCE AMERICA INC 549300SRAAFEEQ8Z4D68 ACI0XK426 1780000.000000 PA USD 1813440.970000 0.0631813 Long DBT CORP US N 2 2022-09-11 Fixed 2.437 N N N N N N KVK CLO LTD 2013-1A N/A 482739AF6 148753.200000 PA USD 148827.570000 0.0051852 Long ABS-CBDO CORP KY N 2 2028-01-14 Floating 1.03288 N N N N N N LOBAL MARKET STRATEGIES EURO CLO 2015-2 LTD 15-2A N/A ACI0X0KY2 182027.860000 PA 211140.820000 0.0073563 Long ABS-CBDO CORP IE N 2 2029-09-21 Fixed 1.2 N N N N N N MASSACHUSETTS EDUC FINANCING AUTH 2008-1 N/A 57563NAA6 515884.280000 PA USD 518047.640000 0.0180491 Long ABS-O CORP US N 2 2038-04-25 Floating 1.07525 N N N N N N MASTR ADJUSTABLE RATE MTGES TRU 2004-13 N/A 576433UM6 116559.950000 PA USD 118652.850000 0.0041339 Long ABS-MBS CORP US N 2 2034-11-21 Floating 2.73106 N N N N N N MCDONALDS CORPORATION UE2136O97NLB5BYP9H04 58013MFG4 8098000.000000 PA USD 8100266.790000 0.2822180 Long DBT CORP US N 2 2021-10-28 Floating 0.56163 N N N N N N MELLON RESIDENTIAL FUND CORP 2000-TBC2 N/A 585525ED6 5819.910000 PA USD 5875.060000 0.0002047 Long ABS-MBS CORP US N 2 2030-06-15 Floating 0.56375 N N N N N N MELLON RESIDENTIAL FUND CORP 2002-TBC1 N/A 585525FN3 80339.430000 PA USD 81451.180000 0.0028378 Long ABS-MBS CORP US N 2 2030-09-15 Floating 0.82375 N N N N N N MERRILL LYNCH MORTGAGE INVS 2005-A5 N/A 59020UYU3 149161.800000 PA USD 153214.050000 0.0053381 Long ABS-MBS CORP US N 2 2035-06-25 Floating 2.15844 N N N N N N MLCC MORTGAGE INVESTORS INC 2004-1 N/A 59020UNP6 61076.660000 PA USD 62811.730000 0.0021884 Long ABS-MBS CORP US N 2 2034-12-25 Floating 2.06685 N N N N N N MLCC MORTGAGE INVESTORS INC 2006-2 N/A 590219AG6 2908.490000 PA USD 2778.250000 0.0000968 Long ABS-MBS CORP US N 2 2036-05-25 Floating 1.73982 N N N N N N MORGAN STANLEY ABS CAPITAL I 2005-HE3 N/A 61744CSK3 6616000.000000 PA USD 6625234.610000 0.2308270 Long ABS-MBS CORP US N 2 2035-07-25 Floating 1.121 N N N N N N NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2018-RIVA N/A 63874JAA7 3583860.560000 PA USD 3584859.020000 0.1248986 Long ABS-MBS CORP US N 2 2033-02-15 Floating 0.83375 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BH3 3203000.000000 PA USD 3270669.240000 0.1139520 Long DBT CORP GB N 2 2024-06-25 Floating 1.68225 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BJ9 2047000.000000 PA USD 2179385.430000 0.0759311 Long DBT CORP GB N 2 2024-06-25 Floating 4.519 N N N N N N ACE SECURITIES CORP 2004-HE4 N/A 004421JH7 439160.230000 PA USD 435500.270000 0.0151731 Long ABS-MBS CORP US N 2 2034-12-25 Floating 0.986 N N N N N N ACE SECURITIES CORP 2005-WF1 N/A 004421QS5 745029.820000 PA USD 742608.400000 0.0258729 Long ABS-MBS CORP US N 2 2035-05-25 Floating 0.956 N N N N N N NEW ZEALAND GOVT 549300237GPHG2AI7C34 ACI02MK69 3130637.300000 PA 2353900.370000 0.0820113 Long DBT NUSS NZ N 2 2025-09-20 Fixed 2 N N N N N N NORTH CAROLINA STATE EDUCATION ASSISTANCE AUTHORITY 2012-1 N/A 658262GE4 3263637.870000 PA USD 3274586.070000 0.1140885 Long ABS-O MUN US N 2 2039-07-25 Floating 0.886 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2005-3 N/A 007036HW9 103366.400000 PA USD 107431.240000 0.0037430 Long ABS-MBS CORP US N 2 2035-07-25 Floating 2.90762 N N N N N N OCP CLO 2015-9 N/A 67091YAJ3 250535.080000 PA USD 250624.070000 0.0087319 Long ABS-CBDO CORP KY N 2 2027-07-15 Floating 0.92613 N N N N N N OCP CLO LTD 2015-10A N/A 67092DAL3 1194488.440000 PA USD 1195246.940000 0.0416431 Long ABS-CBDO CORP KY N 2 2027-10-26 Floating 0.94525 N N N N N N OPTEUM MORTGAGE ACCEPTANCE CORP 2005-5 N/A 68383NCY7 4591798.940000 PA USD 4652701.810000 0.1621028 Long ABS-MBS CORP US N 2 2035-12-25 Floating 0.846 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-1 N/A 68400DAA2 2000410.770000 PA USD 1542108.260000 0.0537279 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.226 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-2 N/A 68401TAA6 1638037.730000 PA USD 1259884.760000 0.0438951 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.226 N N N N N N PARK PLACE SECURITIES INC 2004-WCW2 N/A 70069FAY3 2287.330000 PA USD 2383.000000 0.0000830 Long ABS-MBS CORP US N 2 2034-10-25 Floating 1.061 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QO6 N/A 75114NAA2 103609.240000 PA USD 32762.650000 0.0011415 Long ABS-MBS CORP US N 2 2046-06-25 Floating 0.446 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QS13 N/A 75115DAE5 185126.180000 PA USD 177199.760000 0.0061737 Long ABS-MBS CORP US N 2 2036-09-25 Fixed 6 Y N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QS13 N/A 75115DAF2 483642.030000 PA USD 462934.270000 0.0161289 Long ABS-MBS CORP US N 2 2036-09-25 Fixed 6 Y N N N N N RESIDENTIAL ASSET SEC TRUST 2006-A10 N/A 76113LAE7 7326413.210000 PA USD 3978598.440000 0.1386167 Long ABS-MBS CORP US N 2 2036-09-25 Fixed 6.5 Y N N N N N ALLY FINANCIAL INC 549300JBN1OSM8YNAI90 36186CBY8 1424000.000000 PA USD 2055643.540000 0.0716198 Long DBT CORP US N 2 2031-11-01 Fixed 8 N N N N N N SABINE PASS LIQUEFACTION LLC 549300KJYBG7C6WJYZ11 785592AJ5 100000.000000 PA USD 111403.090000 0.0038813 Long DBT CORP US N 2 2024-05-15 Fixed 5.75 N N N N N N SAXON ASSET SECURITIES TRUST 2007-3 N/A 80557BAA2 781445.630000 PA USD 772402.270000 0.0269109 Long ABS-MBS CORP US N 2 2037-09-25 Floating 0.396 N N N N N N SLM STUDENT LOAN TRUST 2008-9 N/A 78445JAA5 1719152.230000 PA USD 1733896.370000 0.0604100 Long ABS-O CORP US N 2 2023-04-25 Floating 1.62525 N N N N N N SMALL BUSINESS ADMIN PART CERT 2004-20I N/A 83162CPA5 31763.710000 PA USD 32943.770000 0.0011478 Long ABS-O CORP US N 2 2024-09-01 Fixed 4.99 N N N N N N SMALL BUSINESS ADMIN PART CERT 2005-20E N/A 83162CPN7 37028.120000 PA USD 38790.130000 0.0013515 Long ABS-O CORP US N 2 2025-05-01 Fixed 4.84 N N N N N N SMALL BUSINESS ADMIN PART CERT 2006-20F N/A 83162CQH9 36536.020000 PA USD 38921.120000 0.0013560 Long ABS-O CORP US N 2 2026-06-01 Fixed 5.82 N N N N N N SMALL BUSINESS ADMIN PART CERT 2007-20E N/A 83162CRA3 56095.330000 PA USD 60810.870000 0.0021187 Long ABS-O CORP US N 2 2027-05-01 Fixed 5.31 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2007-20K N/A 83162CRK1 25825.030000 PA USD 28250.820000 0.0009843 Long ABS-O CORP US N 2 2027-11-01 Fixed 5.51 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2008-20B N/A 83162CRP0 27517.260000 PA USD 30181.960000 0.0010516 Long ABS-O CORP US N 2 2028-02-01 Fixed 5.16 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2008-20G N/A 83162CRX3 19021.330000 PA USD 20985.730000 0.0007312 Long ABS-O CORP US N 2 2028-07-01 Fixed 5.87 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2008-20H N/A 83162CRY1 11212.870000 PA USD 12474.270000 0.0004346 Long ABS-O CORP US N 2 2028-08-01 Fixed 6.02 N N N N N N SMALL BUSINESS ADMIN PART CERTS 2008-20K N/A 83162CSD6 51411.280000 PA USD 57580.790000 0.0020061 Long ABS-O CORP US N 2 2028-11-01 Fixed 6.77 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT5 N/A 83613FAC5 932300.230000 PA USD 861408.210000 0.0300120 Long ABS-MBS CORP US N 2 2037-10-25 Floating 1.036 N N N N N N STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN TRUST 2004-17 N/A 863579DS4 543966.100000 PA USD 539428.500000 0.0187940 Long ABS-MBS CORP US N 2 2034-11-25 Floating 1.036 N N N N N N STRUCTURED ASSET MTG INV INC 2004-AR8 N/A 86359LGE3 39748.680000 PA USD 38978.430000 0.0013580 Long ABS-MBS CORP US N 2 2035-05-19 Floating 0.76738 N N N N N N STRUCTURED ASSET MTGE INVEST 2006-AR5 N/A 86360JAA9 84393.780000 PA USD 74625.190000 0.0026000 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.506 N N N N N N STRUCTURED ASSET SEC CORP 2005-7XS N/A 86359B7K1 67371.920000 PA USD 68119.250000 0.0023733 Long ABS-MBS CORP US N 2 2035-04-25 Floating 1.586 N N N N N N AMERICAN HOME MTGE INV TRUST 2005-2 N/A 02660TEQ2 459.860000 PA USD 461.900000 0.0000161 Long ABS-MBS CORP US N 2 2045-09-25 Floating 1.65475 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2007-1 N/A 88522EAC7 2169372.010000 PA USD 2048955.590000 0.0713868 Long ABS-MBS CORP US N 2 2037-03-25 Floating 1.529 Y N N N N N TICP CLO II LTD 2018-IIA N/A 87249TAC8 11753265.780000 PA USD 11762668.390000 0.4098182 Long ABS-CBDO CORP KY N 2 2028-04-20 Floating 0.97425 N N N N N N TOWD POINT MORTGAGE FUNDING 2019 - GRANITE4 PLC N/A ACI19VH23 5966131.020000 PA 8105889.770000 0.2824139 Long ABS-MBS CORP GB N 2 2051-10-20 Floating 1.09713 N N N N N N TOYOTA INDUSTRIES CORPORATION 35380000WKGEAHEMW830 892330AD3 200000.000000 PA USD 202076.940000 0.0070405 Long DBT CORP JP N 2 2022-03-12 Fixed 3.11 N N N N N N TRANSCANADA PIPELINES LIMITED 5BV01I6231JPDAPMGH09 89352HAK5 89000.000000 PA USD 93942.610000 0.0032730 Long DBT CORP CA N 2 2023-10-16 Fixed 3.75 N N N N N N UMBS PASS THRU POOLS N/A 01F0326A7 -14500000.000000 PA USD -15343095.830000 -0.5345624 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 01F0406B8 260500000.000000 PA USD 279411687.830000 9.7348658 Long ABS-MBS USGSE US N 2 2051-11-10 Fixed 4 N N N N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 B128DHII8 33053212.180000 PA 58031352.320000 2.0218461 Long DBT NUSS GB N 2 2027-11-22 Fixed 1.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796Q51 3300000.000000 PA USD 3299782.300000 0.1149663 Long DBT UST US N 2 2022-01-04 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796Q69 18600000.000000 PA USD 18598682.560000 0.6479889 Long DBT UST US N 2 2022-01-11 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796Q77 36300000.000000 PA USD 36296153.290000 1.2645791 Long DBT UST US N 2 2022-01-18 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796Q85 78700000.000000 PA USD 78689856.360000 2.7416004 Long DBT UST US N 2 2022-01-25 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796Q93 136900000.000000 PA USD 136919248.140000 4.7703463 Long DBT UST US N 2 2022-02-01 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796C31 57500000.000000 PA USD 57492414.030000 2.0030692 Long DBT UST US N 2 2022-01-27 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796K65 44700000.000000 PA USD 44696390.920000 1.5572483 Long DBT UST US N 2 2022-01-06 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796K73 11400000.000000 PA USD 11398921.450000 0.3971451 Long DBT UST US N 2 2022-01-13 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796K81 84500000.000000 PA USD 84491532.260000 2.9437342 Long DBT UST US N 2 2022-01-20 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796D30 69300000.000000 PA USD 69287352.750000 2.4140117 Long DBT UST US N 2 2022-02-24 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796K99 192100000.000000 PA USD 192071651.800000 6.6918881 Long DBT UST US N 2 2022-02-03 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796L72 4200000.000000 PA USD 4199383.990000 0.1463090 Long DBT UST US N 2 2022-02-10 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796L80 158800000.000000 PA USD 158773940.920000 5.5317765 Long DBT UST US N 2 2022-02-17 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796F38 73000000.000000 PA USD 72985004.340000 2.5428400 Long DBT UST US N 2 2022-03-24 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796L98 3500000.000000 PA USD 3499423.590000 0.1219220 Long DBT UST US N 2 2022-03-03 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796N21 17400000.000000 PA USD 17396569.590000 0.6061066 Long DBT UST US N 2 2022-03-17 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796N39 149000000.000000 PA USD 148962542.890000 5.1899417 Long DBT UST US N 2 2022-03-31 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9127965G0 29500000.000000 PA USD 29498382.810000 1.0277408 Long DBT UST US N 2 2021-12-02 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796J59 18800000.000000 PA USD 18799159.260000 0.6549736 Long DBT UST US N 2 2021-12-09 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796J67 5900000.000000 PA USD 5899613.900000 0.2055460 Long DBT UST US N 2 2021-12-16 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828V49 169498.500000 PA USD 187224.830000 0.0065230 Long DBT UST US N 2 2027-01-15 Fixed 0.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128283R9 6744727.000000 PA USD 7555563.920000 0.2632402 Long DBT UST US N 2 2028-01-15 Fixed 0.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810PZ5 33500072.500000 PA USD 42934722.710000 1.4958707 Long DBT UST US N 2 2029-01-15 Fixed 2.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QF8 1314668.490000 PA USD 1958960.620000 0.0682513 Long DBT UST US N 2 2040-02-15 Fixed 2.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QP6 117165.360000 PA USD 176628.370000 0.0061538 Long DBT UST US N 2 2041-02-15 Fixed 2.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QV3 2076552.000000 PA USD 2532749.770000 0.0882425 Long DBT UST US N 2 2042-02-15 Fixed 0.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RF7 12411206.400000 PA USD 17066571.110000 0.5946093 Long DBT UST US N 2 2044-02-15 Fixed 1.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RW0 1881601.280000 PA USD 2415377.830000 0.0841532 Long DBT UST US N 2 2047-02-15 Fixed 0.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SG4 907927.380000 PA USD 1218699.000000 0.0424602 Long DBT UST US N 2 2049-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828X39 99892.710000 PA USD 101292.570000 0.0035291 Long DBT UST US N 2 2022-04-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810FH6 2339503.600000 PA USD 3265315.870000 0.1137655 Long DBT UST US N 2 2029-04-15 Fixed 3.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810FQ6 1117980.600000 PA USD 1637242.160000 0.0570425 Long DBT UST US N 2 2032-04-15 Fixed 3.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828VM9 316688.400000 PA USD 333696.470000 0.0116262 Long DBT UST US N 2 2023-07-15 Fixed 0.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828XL9 23941424.000000 PA USD 26133835.720000 0.9105180 Long DBT UST US N 2 2025-07-15 Fixed 0.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828S50 4693927.500000 PA USD 5122821.280000 0.1784821 Long DBT UST US N 2 2026-07-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128287D6 1066042.890000 PA USD 1186852.840000 0.0413506 Long DBT UST US N 2 2029-07-15 Fixed 0.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828B66 42010000.000000 PA USD 44386190.630000 1.5464407 Long DBT UST US N 2 2024-02-15 Fixed 2.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828J27 33704000.000000 PA USD 35260835.280000 1.2285080 Long DBT UST US N 2 2025-02-15 Fixed 2 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828R36 25577000.000000 PA USD 26386272.140000 0.9193131 Long DBT UST US N 2 2026-05-15 Fixed 1.625 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RM2 2010000.000000 PA USD 2365518.750000 0.0824160 Long DBT UST US N 2 2045-05-15 Fixed 3 N N N N N N VENTURE XXI CLO LTD 2015-21A N/A 92330MAL3 935148.880000 PA USD 935309.080000 0.0325867 Long ABS-CBDO CORP KY N 2 2027-07-15 Floating 1.00613 N N N N N N VERIZON COMMUNICATIONS INC 2S72QS2UO2OESLG6Y829 92343VEU4 2302000.000000 PA USD 2609573.700000 0.0909191 Long DBT CORP US N 2 2029-12-03 Fixed 4.016 N N N N N N VERIZON COMMUNICATIONS INC 2S72QS2UO2OESLG6Y829 92343VGM0 379000.000000 PA USD 375034.100000 0.0130664 Long DBT CORP US N 2 2032-03-15 Fixed 2.355 N N N N N N WASHINGTON MUTUAL 2004-AR11 N/A 92922FYA0 27687.900000 PA USD 27660.680000 0.0009637 Long ABS-MBS CORP US N 2 2034-10-25 Floating 2.46987 N N N N N N WASHINGTON MUTUAL 2004-AR13 N/A 92922FB72 190237.440000 PA USD 185090.430000 0.0064487 Long ABS-MBS CORP US N 2 2034-11-25 Floating 0.826 N N N N N N WASHINGTON MUTUAL 2004-AR14 N/A 939336V91 35201.930000 PA USD 35946.230000 0.0012524 Long ABS-MBS CORP US N 2 2035-01-25 Floating 2.74924 N N N N N N WASHINGTON MUTUAL 2004-AR3 N/A 92922FNH7 30181.090000 PA USD 31370.380000 0.0010930 Long ABS-MBS CORP US N 2 2034-06-25 Floating 2.57663 N N N N N N WASHINGTON MUTUAL 2005-AR1 N/A 939336X81 224660.960000 PA USD 226627.370000 0.0078958 Long ABS-MBS CORP US N 2 2045-01-25 Floating 0.886 N N N N N N WASHINGTON MUTUAL 2005-AR2 N/A 92922FD39 320021.900000 PA USD 321655.870000 0.0112067 Long ABS-MBS CORP US N 2 2045-01-25 Floating 0.826 N N N N N N WELLS FARGO MTGE BK SEC TR 2006-AR4 N/A 94983PAF5 205883.740000 PA USD 202578.460000 0.0070580 Long ABS-MBS CORP US N 2 2036-04-25 Floating 2.79988 Y N N N N N WIND RIVER CLO LTD 2015-2A N/A 88432GAL1 29091.710000 PA USD 29119.790000 0.0010146 Long ABS-CBDO CORP KY N 2 2027-10-15 Floating 0.99613 N N N N N N N/A N/A 000000000 8058000.000000 PA USD 8058000.000000 0.2807454 Long RA US N 2 Repurchase N 0.0000001 2021-10-01 7697600.000000 USD 8219334.880000 USD UST N N N N/A N/A 000000000 183900000.000000 PA USD 183900000.000000 6.4071830 Long RA US N 2 Repurchase N 0.0400000 2021-10-01 189898100.000000 USD 189567429.230000 USD UST N N N N/A N/A 000000000 38200000.000000 PA USD 38200000.000000 1.3309102 Long RA US N 2 Repurchase N 0.0500000 2021-10-05 38999000.000000 USD 38978861.310000 USD UST N N N N/A N/A 000000000 1.000000 NC -7144.780000 -0.0002489 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 240155.000000 USD 200000.000000 EUR 2022-07-01 -7144.780000 N N N N/A N/A 000000000 1.000000 NC -18097.490000 -0.0006305 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 402564.360000 USD 330000.000000 EUR 2022-07-01 -18097.490000 N N N N/A N/A 000000000 1.000000 NC -105393.460000 -0.0036720 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 8133618.170000 USD 6925000.000000 EUR 2021-11-17 -105393.460000 N N N N/A N/A 000000000 1.000000 NC -15843.530000 -0.0005520 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1463822.250000 USD 1249000.000000 EUR 2021-11-17 -15843.530000 N N N N/A N/A 000000000 1.000000 NC -268665.740000 -0.0093605 N/A DFE GB N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 76586759.980000 USD 56641000.000000 GBP 2021-10-04 -268665.740000 N N N N/A N/A 000000000 1.000000 NC 2926.870000 0.0001020 N/A DFE CA N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 439000.000000 CAD 349500.980000 USD 2021-11-17 2926.870000 N N N N/A N/A 000000000 1.000000 NC -82207.320000 -0.0028642 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1659677.000000 EUR 1851401.230000 USD 2022-07-01 -82207.320000 N N N N/A N/A 000000000 1.000000 NC -25434.050000 -0.0008861 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 450000.000000 EUR 498838.950000 USD 2022-07-01 -25434.050000 N N N N/A N/A 000000000 1.000000 NC 21859.350000 0.0007616 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 862000.000000 EUR 1021184.940000 USD 2021-11-17 21859.350000 N N N N/A N/A 000000000 1.000000 NC 14888.140000 0.0005187 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 508000.000000 EUR 603817.840000 USD 2021-11-17 14888.140000 N N N N/A N/A 000000000 1.000000 NC 40236.810000 0.0014019 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1730000.000000 EUR 2045843.850000 USD 2021-11-17 40236.810000 N N N N/A N/A 000000000 1.000000 NC 62261.990000 0.0021692 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 2510000.000000 EUR 2972131.160000 USD 2021-11-17 62261.990000 N N N N/A N/A 000000000 1.000000 NC 269208.750000 0.0093794 N/A DFE GB N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 56641000.000000 GBP 76590130.120000 USD 2021-11-02 269208.750000 N N N N/A N/A 000000000 -23065.000000 NC USD -73708.640000 -0.0025681 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 -1386.030000 N N N N/A N/A 000000000 -212694.000000 NC USD -94408.910000 -0.0032893 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 72258.110000 N N N N/A N/A 000000000 -23065.000000 NC USD -67756.760000 -0.0023607 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 4565.850000 N N N N/A N/A 000000000 -98127.000000 NC USD -1131105.120000 -0.0394084 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 -877855.010000 N N N N/A N/A 000000000 -121671.000000 NC USD -494012.730000 -0.0172117 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 -341334.170000 N N N N/A N/A 000000000 -191890.200000 NC USD -2209082.380000 -0.0769657 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 -1616256.800000 N N N N/A N/A 000000000 -57216.000000 NC USD -81846.290000 -0.0028516 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 -40112.540000 N N N N/A N/A 000000000 -91972.410000 NC USD -817882.670000 -0.0284955 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 -554758.800000 N N N N/A N/A 000000000 1.000000 NC -5479.130000 -0.0001909 N/A DFE N/A N 2 BNP Paribas S.A. N/A 153324.120000 USD 126900.000000 EUR 2022-07-01 -5479.130000 N N N N/A N/A 000000000 1.000000 NC -7292.680000 -0.0002541 N/A DFE N/A N 2 BNP Paribas S.A. N/A 179720.250000 USD 148000.000000 EUR 2022-07-01 -7292.680000 N N N N/A N/A 000000000 1.000000 NC -18664.300000 -0.0006503 N/A DFE GB N 2 BNP Paribas S.A. N/A 1180123.260000 USD 862000.000000 GBP 2021-10-04 -18664.300000 N N N N/A N/A 000000000 1.000000 NC -542.540000 -0.0000189 N/A DFE MX N 2 BNP Paribas S.A. N/A 24906.790000 USD 503000.000000 MXN 2021-10-05 -542.540000 N N N N/A N/A 000000000 1.000000 NC -18056.750000 -0.0006291 N/A DFE N/A N 2 BNP Paribas S.A. N/A 370000.000000 EUR 413012.170000 USD 2022-07-01 -18056.750000 N N N N/A N/A 000000000 1.000000 NC -25486.440000 -0.0008880 N/A DFE N/A N 2 BNP Paribas S.A. N/A 1670265.000000 EUR 1920457.670000 USD 2022-07-01 -25486.440000 N N N N/A N/A 000000000 1.000000 NC 29753.390000 0.0010366 N/A DFE N/A N 2 BNP Paribas S.A. N/A 1696000.000000 EUR 1995943.880000 USD 2021-11-17 29753.390000 N N N N/A N/A 000000000 1.000000 NC 26077.030000 0.0009085 N/A DFE GB N 2 BNP Paribas S.A. N/A 794000.000000 GBP 1095912.780000 USD 2021-10-04 26077.030000 N N N N/A N/A 000000000 1.000000 NC 32422.270000 0.0011296 N/A DFE GB N 2 BNP Paribas S.A. N/A 937000.000000 GBP 1294936.250000 USD 2021-10-04 32422.270000 N N N N/A N/A 000000000 1.000000 NC 412.170000 0.0000144 N/A DFE MX N 2 BNP Paribas S.A. N/A 503000.000000 MXN 24776.420000 USD 2021-10-05 412.170000 N N N N/A N/A 000000000 1.000000 NC 538.550000 0.0000188 N/A DFE MX N 2 BNP Paribas S.A. N/A 503000.000000 MXN 24563.190000 USD 2022-01-12 538.550000 N N N N/A N/A 000000000 -764.000000 NC USD -4172047.410000 -0.1453566 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Brent Oil 2021-10-29 -59828840.000000 USD -4172047.410000 N N N N/A N/A 000000000 122.000000 NC USD -25835.690000 -0.0009001 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Brent Oil 2022-10-31 8699820.000000 USD -25835.690000 N N N N/A N/A 000000000 48.000000 NC USD 231738.510000 0.0080739 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Brent Oil 2023-10-31 3205440.000000 USD 231738.510000 N N N N/A N/A 000000000 231.000000 NC USD 2019118.460000 0.0703473 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Brent Oil 2024-10-31 14633850.000000 USD 2019118.460000 N N N N/A N/A 000000000 129.000000 NC USD -52348.010000 -0.0018238 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Brent Oil 2021-11-30 10001370.000000 USD -52348.010000 N N N N/A N/A 000000000 1623.000000 NC USD 11109707.470000 0.3870687 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Brent Oil 2022-04-29 120572670.000000 USD 11109707.470000 N N N N/A N/A 000000000 -2308.000000 NC USD -19056703.400000 -0.6639466 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Brent Oil 2023-04-28 -158975040.000000 USD -19056703.400000 N N N N/A N/A 000000000 -34.000000 NC USD -120711.500000 -0.0042057 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Brent Oil 2024-04-30 -2211360.000000 USD -120711.500000 N N N N/A N/A 000000000 692.000000 NC USD 11862584.530000 0.4132993 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Brent Oil 2022-01-31 52633520.000000 USD 11862584.530000 N N N N/A N/A 000000000 -72.000000 NC USD -275051.580000 -0.0095830 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Brent Oil 2022-07-29 -5236560.000000 USD -275051.580000 N N N N/A N/A 000000000 -36.000000 NC USD 48902.760000 0.0017038 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 -108.000000 NC USD -622262.520000 -0.0216800 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 -622262.520000 N N N N/A N/A 000000000 -48.000000 NC USD -258909.260000 -0.0090205 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 -258909.260000 N N N N/A N/A 000000000 -120.000000 NC USD -500924.760000 -0.0174525 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 -500924.760000 N N N N/A N/A 000000000 -108.000000 NC USD -313371.720000 -0.0109181 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 -313371.720000 N N N N/A N/A 000000000 -120.000000 NC USD -5002.800000 -0.0001743 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 -5002.800000 N N N N/A N/A 000000000 -108.000000 NC USD -12062.520000 -0.0004203 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 -12062.520000 N N N N/A N/A 000000000 -120.000000 NC USD 997.200000 0.0000347 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 997.200000 N N N N/A N/A 000000000 -120.000000 NC USD 20197.200000 0.0007037 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 20197.200000 N N N N/A N/A 000000000 -20.000000 NC USD 1000.800000 0.0000349 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Other Crude 2022-04-29 -50400.000000 USD 1000.800000 N N N N/A N/A 000000000 -20.000000 NC USD 3800.800000 0.0001324 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Other Crude 2022-08-31 -47600.000000 USD 3800.800000 N N N N/A N/A 000000000 -20.000000 NC USD 5400.800000 0.0001882 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Other Crude 2022-12-30 -46000.000000 USD 5400.800000 N N N N/A N/A 000000000 34.000000 NC USD 28354.830000 0.0009879 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Other Crude 2023-12-29 71060.000000 USD 28354.830000 N N N N/A N/A 000000000 -20.000000 NC USD -799.200000 -0.0000278 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Other Crude 2022-02-28 -52200.000000 USD -799.200000 N N N N/A N/A 000000000 34.000000 NC USD 36514.830000 0.0012722 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Other Crude 2023-02-28 79220.000000 USD 36514.830000 N N N N/A N/A 000000000 34.000000 NC USD 37194.830000 0.0012959 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Other Crude 2023-01-31 79900.000000 USD 37194.830000 N N N N/A N/A 000000000 -20.000000 NC USD 3400.800000 0.0001185 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Other Crude 2022-07-29 -48000.000000 USD 3400.800000 N N N N/A N/A 000000000 34.000000 NC USD 32434.830000 0.0011300 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Other Crude 2023-07-31 75140.000000 USD 32434.830000 N N N N/A N/A 000000000 -20.000000 NC USD 2600.800000 0.0000906 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Other Crude 2022-06-30 -48800.000000 USD 2600.800000 N N N N/A N/A 000000000 34.000000 NC USD 33114.830000 0.0011537 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Other Crude 2023-06-30 75820.000000 USD 33114.830000 N N N N/A N/A 000000000 -20.000000 NC USD 200.800000 0.0000070 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Other Crude 2022-03-31 -51200.000000 USD 200.800000 N N N N/A N/A 000000000 34.000000 NC USD 36174.830000 0.0012604 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Other Crude 2023-03-31 78880.000000 USD 36174.830000 N N N N/A N/A 000000000 -20.000000 NC USD 2000.800000 0.0000697 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Other Crude 2022-05-31 -49400.000000 USD 2000.800000 N N N N/A N/A 000000000 34.000000 NC USD 34134.830000 0.0011893 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Other Crude 2023-05-31 76840.000000 USD 34134.830000 N N N N/A N/A 000000000 34.000000 NC USD 29374.830000 0.0010234 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Other Crude 2023-11-30 72080.000000 USD 29374.830000 N N N N/A N/A 000000000 34.000000 NC USD 29714.830000 0.0010353 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Other Crude 2023-10-31 72420.000000 USD 29714.830000 N N N N/A N/A 000000000 -20.000000 NC USD 4200.800000 0.0001464 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Other Crude 2022-09-30 -47200.000000 USD 4200.800000 N N N N/A N/A 000000000 34.000000 NC USD 30734.830000 0.0010708 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Other Crude 2023-09-29 73440.000000 USD 30734.830000 N N N N/A N/A 000000000 34.000000 NC USD 34814.830000 0.0012130 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Other Crude 2023-04-28 77520.000000 USD 34814.830000 N N N N/A N/A 000000000 34.000000 NC USD 31414.830000 0.0010945 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Other Crude 2023-08-31 74120.000000 USD 31414.830000 N N N N/A N/A 000000000 -20.000000 NC USD -1099.200000 -0.0000383 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Other Crude 2022-01-31 -52500.000000 USD -1099.200000 N N N N/A N/A 000000000 -20.000000 NC USD 5000.800000 0.0001742 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Other Crude 2022-11-30 -46400.000000 USD 5000.800000 N N N N/A N/A 000000000 -20.000000 NC USD 4600.800000 0.0001603 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Other Crude 2022-10-31 -46800.000000 USD 4600.800000 N N N N/A N/A 000000000 2.000000 NC USD 99780.640000 0.0034764 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Butane 2021-12-31 130445.280000 USD 99780.640000 N N N N/A N/A 000000000 2.000000 NC USD 100725.640000 0.0035093 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Butane 2021-11-30 131390.280000 USD 100725.640000 N N N N/A N/A 000000000 2.000000 NC USD 100515.640000 0.0035020 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Butane 2021-10-29 131180.280000 USD 100515.640000 N N N N/A N/A 000000000 2.000000 NC USD 93182.440000 0.0032465 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Butane 2021-09-30 123847.080000 USD 93182.440000 N N N N/A N/A 000000000 1.000000 NC USD -137415.220000 -0.0047876 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 COMM SWAP JMABNIC5 JPM JMABNIC5 Internal ID COMM SWAP JMABNIC5 JPM 4066927.102566 USD -9750.183897 USD COMM SWAP JMABNIC5 JPM 13828122.794189 USD -33151.993332 USD COMM SWAP JMABNIC5 JPM 1055637.541551 USD -2530.819928 USD COMM SWAP JMABNIC5 JPM 7082067.745604 USD -16978.780575 USD COMM SWAP JMABNIC5 JPM -2214.347256 USD 5.308748 USD COMM SWAP JMABNIC5 JPM 3270324.089855 USD -7840.381810 USD COMM SWAP JMABNIC5 JPM 1990075.372756 USD -4771.071712 USD COMM SWAP JMABNIC5 JPM 2121688.669495 USD -5086.605729 USD COMM SWAP JMABNIC5 JPM 4077812.762788 USD -9776.281534 USD COMM SWAP JMABNIC5 JPM 2051142.202027 USD -4917.475323 USD COMM SWAP JMABNIC5 JPM 1854425.904493 USD -4445.861245 USD COMM SWAP JMABNIC5 JPM 5381837.912352 USD -12902.594028 USD COMM SWAP JMABNIC5 JPM 6815530.226397 USD -16339.774819 USD COMM SWAP JMABNIC5 JPM 3724277.613184 USD -8928.704817 USD Y Single Leg Swap 2022-02-15 0.000000 USD -103473.320000 USD 57317655.590000 USD -33941.900000 N N N N/A N/A 000000000 1.000000 NC USD 409542.450000 0.0142687 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 COMM SWAP PIMCODB MAC PIMCODB1 Internal ID COMM SWAP PIMCODB MAC 240244.013133 USD 1448.134380 USD COMM SWAP PIMCODB MAC 207637.779934 USD 1251.591679 USD COMM SWAP PIMCODB MAC 5344572.936949 USD 32215.828041 USD COMM SWAP PIMCODB MAC 1187071.316448 USD 7155.386568 USD COMM SWAP PIMCODB MAC 2719879.331602 USD 16394.792600 USD COMM SWAP PIMCODB MAC 199778.621066 USD 1204.218518 USD COMM SWAP PIMCODB MAC 3779372.520918 USD 22781.168238 USD COMM SWAP PIMCODB MAC 4153579.782993 USD 25036.801559 USD COMM SWAP PIMCODB MAC 2580944.152663 USD 15557.324034 USD COMM SWAP PIMCODB MAC 376523.064464 USD 2269.592434 USD COMM SWAP PIMCODB MAC 2937123.335218 USD 17704.288335 USD COMM SWAP PIMCODB MAC 623873.266311 USD 3760.561247 USD COMM SWAP PIMCODB MAC 192327.594871 USD 1159.305486 USD COMM SWAP PIMCODB MAC 2628299.618486 USD 15842.771639 USD COMM SWAP PIMCODB MAC 4004831.185063 USD 24140.180013 USD COMM SWAP PIMCODB MAC 3902210.067030 USD 23521.604061 USD COMM SWAP PIMCODB MAC 1846529.681348 USD 11130.446415 USD COMM SWAP PIMCODB MAC 4382716.927409 USD 26417.986348 USD COMM SWAP PIMCODB MAC 826515.642958 USD 4982.041810 USD COMM SWAP PIMCODB MAC 1619083.500264 USD 9759.454356 USD COMM SWAP PIMCODB MAC 9898749.830776 USD 59667.334720 USD COMM SWAP PIMCODB MAC 5775341.970463 USD 34812.402411 USD COMM SWAP PIMCODB MAC 4028522.235740 USD 24282.984092 USD COMM SWAP PIMCODB MAC 6192785.451499 USD 37328.653487 USD COMM SWAP PIMCODB MAC 3317177.356588 USD 19995.164546 USD COMM SWAP PIMCODB MAC 3425065.383869 USD 20645.488187 USD COMM SWAP PIMCODB MAC 628258.898990 USD 3786.996808 USD COMM SWAP PIMCODB MAC -12747116.655172 USD -76836.619693 USD COMM SWAP PIMCODB MAC 1541939.395198 USD 9294.447843 USD COMM SWAP PIMCODB MAC 2128835.562918 USD 12832.119840 USD Y Single Leg Swap 2022-02-15 0.000000 USD 0.000000 USD 67942673.770000 USD 409542.450000 N N N 2021-11-05 PIMCO Funds /s/ Jason Nagler Jason Nagler Assistant Treasurer