NPORT-P false 0000810893 XXXXXXXX S000028928 C000200462 C000088654 C000088651 C000088650 C000088655 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 2022-03-31 N 5747592900.200000 1621282912.030000 4126309988.170000 0.000000 1129197851.520000 14446592.010000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 USD GBP EUR JPY NZD ILS N ATLAS SENIOR LOAN FUND XIII N/A 04942VAW4 1000000.000000 PA USD 993498.100000 0.0240772 Long ABS-CBDO CORP KY N 2 2031-04-22 Floating 1.33886 N N N N N N ATRIUM HOTEL PORTFOLIO TRUST 2017-ATRM N/A 04965JAA1 2025000.000000 PA USD 1996574.060000 0.0483864 Long ABS-MBS CORP US N 2 2036-12-15 Floating 1.327 N N N N N N N/A N/A 000000000 1.000000 NC 985.200000 0.0000239 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4893385.000000 ILS 1553061.130000 USD 2023-01-04 985.200000 N N N ATRIUM HOTEL PORTFOLIO TRUST 2018-ATRM N/A 04965KAA8 1000000.000000 PA USD 986755.800000 0.0239138 Long ABS-MBS CORP US N 2 2035-06-15 Floating 1.347 N N N N N N ATRIUM XII 12A N/A 04965CAJ7 2545181.250000 PA USD 2530970.920000 0.0613374 Long ABS-CBDO CORP KY N 2 2027-04-22 Floating 1.08886 N N N N N N N/A N/A 000000000 1.000000 NC USD 406.310000 0.0000098 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 -3342.380000 USD 107614.940000 USD 3748.690000 N N N N/A N/A 000000000 1.000000 NC USD 332.440000 0.0000081 N/A DCR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 CMBX.NA.AAA.7 N/A N/A Y Single Leg Swap 2047-01-18 0.000000 USD -2734.680000 USD 88048.580000 USD 3067.120000 N N N N/A N/A 000000000 1.000000 NC USD 17238.480000 0.0004178 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 155944.420000 N N N N/A N/A 000000000 108.000000 NC USD 112845.780000 0.0027348 N/A DCO US N 1 New York Futures Exchange N/A Long N/A Cocoa 2022-07-14 2901960.000000 USD 112845.780000 N N N N/A N/A 000000000 -19.000000 NC USD -6545.860000 -0.0001586 N/A DCO US N 1 New York Futures Exchange N/A Short N/A Cocoa 2022-09-15 -511860.000000 USD -6545.860000 N N N N/A N/A 000000000 -44.000000 NC USD -87506.620000 -0.0021207 N/A DCO US N 1 New York Futures Exchange N/A Short N/A Coffee 2022-07-19 -3736425.000000 USD -87506.620000 N N N N/A N/A 000000000 13.000000 NC USD -83681.050000 -0.0020280 N/A DCO US N 1 New York Futures Exchange N/A Long N/A Coffee 2022-09-20 1100287.500000 USD -83681.050000 N N N N/A N/A 000000000 39.000000 NC USD 91271.060000 0.0022119 N/A DCO US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long N/A Copper 2022-07-27 4636612.500000 USD 91271.060000 N N N N/A N/A 000000000 -683.000000 NC USD -1042505.720000 -0.0252648 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A Corn 2022-07-14 -25031950.000000 USD -1042505.720000 N N N N/A N/A 000000000 55.000000 NC USD 131304.600000 0.0031821 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A Corn 2022-09-14 1914687.500000 USD 131304.600000 N N N N/A N/A 000000000 30.000000 NC USD 103946.500000 0.0025191 N/A DCO US N 1 New York Futures Exchange N/A Long N/A Cotton 2022-12-07 1669200.000000 USD 103946.500000 N N N N/A N/A 000000000 -96.000000 NC USD -484800.000000 -0.0117490 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 04/20/22 2022-04-21 N/A USD N/A 100.000000 USD 2022-04-14 XXXX -275352.000000 N N N N/A N/A 000000000 -96.000000 NC USD -399360.000000 -0.0096784 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 04/20/22 2022-04-21 N/A USD N/A 102.000000 USD 2022-04-14 XXXX -205409.280000 N N N N/A N/A 000000000 14.000000 NC USD -2062.480000 -0.0000500 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Spread 2023-03-24 22120.000000 USD -2062.480000 N N N N/A N/A 000000000 14.000000 NC USD -1782.480000 -0.0000432 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Spread 2023-07-25 22400.000000 USD -1782.480000 N N N N/A N/A 000000000 14.000000 NC USD -1782.480000 -0.0000432 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Spread 2023-11-24 22400.000000 USD -1782.480000 N N N N/A N/A 000000000 14.000000 NC USD -2762.480000 -0.0000669 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Spread 2023-01-25 21420.000000 USD -2762.480000 N N N N/A N/A 000000000 14.000000 NC USD -2762.480000 -0.0000669 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Spread 2022-12-23 21420.000000 USD -2762.480000 N N N N/A N/A 000000000 14.000000 NC USD -1782.480000 -0.0000432 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Spread 2023-06-23 22400.000000 USD -1782.480000 N N N N/A N/A 000000000 14.000000 NC USD -2062.480000 -0.0000500 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Spread 2023-05-25 22120.000000 USD -2062.480000 N N N N/A N/A 000000000 14.000000 NC USD -2762.480000 -0.0000669 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Spread 2023-02-24 21420.000000 USD -2762.480000 N N N N/A N/A 000000000 14.000000 NC USD -2062.480000 -0.0000500 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Spread 2023-04-25 22120.000000 USD -2062.480000 N N N N/A N/A 000000000 14.000000 NC USD -1782.480000 -0.0000432 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Spread 2023-10-25 22400.000000 USD -1782.480000 N N N N/A N/A 000000000 14.000000 NC USD -1782.480000 -0.0000432 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Spread 2023-09-25 22400.000000 USD -1782.480000 N N N N/A N/A 000000000 14.000000 NC USD -1782.480000 -0.0000432 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Spread 2023-08-25 22400.000000 USD -1782.480000 N N N N/A N/A 000000000 1560.000000 NC USD 18367410.440000 0.4451292 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A WTI Crude 2022-11-18 139776000.000000 USD 18367410.440000 N N N N/A N/A 000000000 298.000000 NC USD 744120.320000 0.0180336 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A WTI Crude 2022-11-21 26700800.000000 USD 744120.320000 N N N N/A N/A 000000000 -80.000000 NC USD 322684.380000 0.0078202 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A WTI Crude 2023-11-17 -6488000.000000 USD 322684.380000 N N N N/A N/A 000000000 -116.000000 NC USD -174289.920000 -0.0042239 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A WTI Crude 2023-11-20 -9407600.000000 USD -174289.920000 N N N N/A N/A 000000000 -859.000000 NC USD -29756863.730000 -0.7211495 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A WTI Crude 2022-05-19 -84628680.000000 USD -29756863.730000 N N N N/A N/A 000000000 237.000000 NC USD -434346.360000 -0.0105263 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A WTI Crude 2022-05-20 23349240.000000 USD -434346.360000 N N N N/A N/A 000000000 908.000000 NC USD 2391741.950000 0.0579632 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A WTI Crude 2023-05-22 76825880.000000 USD 2391741.950000 N N N N/A N/A 000000000 -563.000000 NC USD -17249.730000 -0.0004180 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A WTI Crude 2024-05-21 -43925260.000000 USD -17249.730000 N N N N/A N/A 000000000 123.000000 NC USD -837008.980000 -0.0202847 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A WTI Crude 2022-04-20 12334440.000000 USD -837008.980000 N N N N/A N/A 000000000 74.000000 NC USD -75711.930000 -0.0018349 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A WTI Crude 2022-08-22 6905680.000000 USD -75711.930000 N N N N/A N/A 000000000 1.000000 NC 3562.940000 0.0000863 N/A DFE N/A N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 453776.490000 USD 410301.000000 EUR 2022-09-09 3562.940000 N N N N/A N/A 000000000 2402.000000 NC USD 3589202.040000 0.0869833 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Emission 2022-12-23 74678180.000000 USD 3589202.040000 N N N N/A N/A 000000000 1.000000 NC 208446.220000 0.0050516 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 208446.220000 N N N N/A N/A 000000000 1.000000 NC 148972.570000 0.0036103 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 148972.570000 N N N N/A N/A 000000000 1.000000 NC USD 326624.500000 0.0079157 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 326624.500000 N N N N/A N/A 000000000 1.000000 NC USD 199542.400000 0.0048359 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 40000000.000000 USD 199542.400000 N N N N/A N/A 000000000 39.000000 NC -279924.270000 -0.0067839 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Long N/A EUA 2022-12-19 3299633.280000 EUR -279924.270000 N N N N/A N/A 000000000 866900.000000 NC USD 122542.500000 0.0029698 N/A DIR US N 2 BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 Call Purchased BOFA SECURITIES, INC. 549300HN4UKV1E2R3U73 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 16347.250000 N N N N/A N/A 000000000 1300400.000000 NC USD 183820.920000 0.0044548 N/A DIR US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Purchased MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 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 23741.680000 N N N N/A N/A 000000000 116.000000 NC USD 122560.240000 0.0029702 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Gasoil 2022-12-12 9987600.000000 USD 122560.240000 N N N N/A N/A 000000000 160.000000 NC USD -78427.100000 -0.0019007 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Gasoil 2023-12-12 12492000.000000 USD -78427.100000 N N N N/A N/A 000000000 11.000000 NC USD 194665.060000 0.0047177 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Gasoil 2022-09-12 986700.000000 USD 194665.060000 N N N N/A N/A 000000000 -10.000000 NC USD -22945.870000 -0.0005561 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Spread 2023-04-28 -73599.840000 USD -22945.870000 N N N N/A N/A 000000000 -10.000000 NC USD -18960.650000 -0.0004595 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Spread 2023-08-31 -69614.620000 USD -18960.650000 N N N N/A N/A 000000000 -94.000000 NC USD -512317.360000 -0.0124159 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Spread 2022-12-30 -683385.190000 USD -512317.360000 N N N N/A N/A 000000000 -10.000000 NC USD -12894.890000 -0.0003125 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Spread 2023-12-29 -63548.860000 USD -12894.890000 N N N N/A N/A 000000000 -10.000000 NC USD -24038.490000 -0.0005826 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Spread 2023-02-28 -74692.460000 USD -24038.490000 N N N N/A N/A 000000000 -10.000000 NC USD -23547.210000 -0.0005707 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Spread 2023-01-31 -74201.180000 USD -23547.210000 N N N N/A N/A 000000000 -10.000000 NC USD -21226.410000 -0.0005144 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Spread 2023-07-31 -71880.380000 USD -21226.410000 N N N N/A N/A 000000000 -10.000000 NC USD -23308.290000 -0.0005649 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Spread 2023-06-30 -73962.260000 USD -23308.290000 N N N N/A N/A 000000000 -10.000000 NC USD -23021.040000 -0.0005579 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Spread 2023-03-31 -73675.010000 USD -23021.040000 N N N N/A N/A 000000000 -10.000000 NC USD -22884.130000 -0.0005546 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Spread 2023-05-31 -73538.100000 USD -22884.130000 N N N N/A N/A 000000000 -94.000000 NC USD -502248.650000 -0.0121719 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Spread 2022-11-30 -673316.480000 USD -502248.650000 N N N N/A N/A 000000000 -10.000000 NC USD -14041.190000 -0.0003403 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Spread 2023-11-30 -64695.160000 USD -14041.190000 N N N N/A N/A 000000000 -94.000000 NC USD -523496.400000 -0.0126868 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Spread 2022-10-31 -694564.230000 USD -523496.400000 N N N N/A N/A 000000000 -10.000000 NC USD -17168.700000 -0.0004161 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Spread 2023-10-31 -67822.670000 USD -17168.700000 N N N N/A N/A 000000000 -10.000000 NC USD -18309.640000 -0.0004437 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Spread 2023-09-29 -68963.610000 USD -18309.640000 N N N N/A N/A 000000000 12.000000 NC USD 170005.280000 0.0041200 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Gasoline 2022-08-31 1447740.000000 USD 170005.280000 N N N N/A N/A 000000000 -64.000000 NC 359241.950000 0.0087061 N/A DIR DE N 1 Eurex N/A Short N/A GERMANY GOVT 2022-06-08 -11233125.540000 EUR 359241.950000 N N N N/A N/A 000000000 -1330.000000 NC USD -3542069.010000 -0.0858411 N/A DCO US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short N/A Gold 2022-06-28 -259882000.000000 USD -3542069.010000 N N N N/A N/A 000000000 -225.000000 NC USD -499500.000000 -0.0121052 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 10/27/22 2022-10-28 N/A USD N/A 2400.000000 USD 2022-08-25 XXXX 105183.000000 N N N N/A N/A 000000000 1.000000 NC -75287.620000 -0.0018246 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 800141.260000 USD 648000.000000 EUR 2022-11-01 -75287.620000 N N N N/A N/A 000000000 1.000000 NC -97721.010000 -0.0023682 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 996925.970000 USD 810000.000000 EUR 2022-07-01 -97721.010000 N N N N/A N/A 000000000 1.000000 NC -153465.060000 -0.0037192 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1659910.900000 USD 1357000.000000 EUR 2022-07-01 -153465.060000 N N N N/A N/A 000000000 1.000000 NC -56049.400000 -0.0013583 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 614444.580000 USD 503000.000000 EUR 2022-07-01 -56049.400000 N N N N/A N/A 000000000 1.000000 NC -93096.730000 -0.0022562 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 997852.340000 USD 815000.000000 EUR 2022-07-01 -93096.730000 N N N N/A N/A 000000000 1.000000 NC -97837.370000 -0.0023711 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 998041.450000 USD 810900.000000 EUR 2022-07-01 -97837.370000 N N N N/A N/A 000000000 1.000000 NC -37847.860000 -0.0009172 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 454146.450000 USD 375000.000000 EUR 2022-07-01 -37847.860000 N N N N/A N/A 000000000 1.000000 NC -42563.090000 -0.0010315 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 551002.440000 USD 458000.000000 EUR 2022-07-01 -42563.090000 N N N N/A N/A 000000000 1.000000 NC -14635.500000 -0.0003547 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 190035.970000 USD 158000.000000 EUR 2022-07-01 -14635.500000 N N N N/A N/A 000000000 1.000000 NC -16019.840000 -0.0003882 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 194750.700000 USD 161000.000000 EUR 2022-07-01 -16019.840000 N N N N/A N/A 000000000 1.000000 NC -32389.770000 -0.0007850 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 392071.750000 USD 324000.000000 EUR 2022-07-01 -32389.770000 N N N N/A N/A 000000000 1.000000 NC -34792.980000 -0.0008432 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 404466.130000 USD 333000.000000 EUR 2022-07-01 -34792.980000 N N N N/A N/A 000000000 1.000000 NC -34686.250000 -0.0008406 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 399918.880000 USD 329000.000000 EUR 2022-07-01 -34686.250000 N N N N/A N/A 000000000 1.000000 NC -102055.020000 -0.0024733 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1124484.360000 USD 921000.000000 EUR 2022-07-01 -102055.020000 N N N N/A N/A 000000000 1.000000 NC -91086.130000 -0.0022074 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1005832.900000 USD 824000.000000 EUR 2022-07-01 -91086.130000 N N N N/A N/A 000000000 1.000000 NC -62087.390000 -0.0015047 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 665997.880000 USD 544000.000000 EUR 2022-07-01 -62087.390000 N N N N/A N/A 000000000 1.000000 NC 4000.120000 0.0000969 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 166083.000000 EUR 189384.010000 USD 2022-10-03 4000.120000 N N N N/A N/A 000000000 1.000000 NC 147870.500000 0.0035836 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1192000.000000 EUR 1484223.570000 USD 2022-12-01 147870.500000 N N N N/A N/A 000000000 1.000000 NC 529814.860000 0.0128399 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 4091000.000000 EUR 5071354.970000 USD 2022-07-01 529814.860000 N N N N/A N/A 000000000 1.000000 NC 2078.990000 0.0000504 N/A DFE N/A N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 569000.000000 EUR 632455.560000 USD 2022-05-18 2078.990000 N N N AVOLON HOLDINGS FUNDING LIMITED 635400ZRKEX9L1BKCH30 05401AAR2 201000.000000 PA USD 177911.010000 0.0043116 Long DBT CORP KY N 2 2027-11-18 Fixed 2.528 N N N N N N N/A N/A 000000000 10.000000 NC USD 198118.130000 0.0048013 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Heating Oil 2022-08-31 1255842.000000 USD 198118.130000 N N N N/A N/A 000000000 1.000000 NC -91981.020000 -0.0022291 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 4527303.340000 USD 3953860.000000 EUR 2022-12-09 -91981.020000 N N N N/A N/A 000000000 1.000000 NC -56549.320000 -0.0013705 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 4371643.680000 USD 3846683.000000 EUR 2022-12-09 -56549.320000 N N N N/A N/A 000000000 1.000000 NC 127921.940000 0.0031002 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 32246477.230000 USD 29265000.000000 EUR 2022-04-04 127921.940000 N N N N/A N/A 000000000 1.000000 NC 4213.760000 0.0001021 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 789019.330000 USD 716000.000000 EUR 2022-05-18 4213.760000 N N N N/A N/A 000000000 1.000000 NC 3139.000000 0.0000761 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1359115.640000 USD 1037000.000000 GBP 2022-04-04 3139.000000 N N N N/A N/A 000000000 1.000000 NC 6331.170000 0.0001534 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1051156.760000 USD 805000.000000 GBP 2022-04-04 6331.170000 N N N N/A N/A 000000000 1.000000 NC 15425.630000 0.0003738 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 648000.000000 GBP 866670.580000 USD 2022-04-04 15425.630000 N N N N/A N/A 000000000 1.000000 NC 58726.920000 0.0014232 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2467000.000000 GBP 3299500.500000 USD 2022-04-04 58726.920000 N N N N/A N/A 000000000 1.000000 NC 26655.260000 0.0006460 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1486000.000000 GBP 1978738.580000 USD 2022-04-04 26655.260000 N N N N/A N/A 000000000 1.000000 NC 7049.470000 0.0001708 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 393000.000000 GBP 523313.770000 USD 2022-04-04 7049.470000 N N N N/A N/A 000000000 1.000000 NC 10364.170000 0.0002512 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 455000.000000 GBP 608074.740000 USD 2022-04-04 10364.170000 N N N N/A N/A 000000000 1.000000 NC -1391.970000 -0.0000337 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1557000.000000 GBP 2043960.470000 USD 2022-04-04 -1391.970000 N N N N/A N/A 000000000 1.000000 NC -332.570000 -0.0000081 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 372000.000000 GBP 488345.080000 USD 2022-04-04 -332.570000 N N N N/A N/A 000000000 1.000000 NC -69058.150000 -0.0016736 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 22814000.000000 GBP 29900544.000000 USD 2022-04-04 -69058.150000 N N N N/A N/A 000000000 1.000000 NC -438329.390000 -0.0106228 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 4825513.510000 USD 3951956.780000 EUR 2022-07-01 -438329.390000 N N N N/A N/A 000000000 1.000000 NC -159262.750000 -0.0038597 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1862258.140000 USD 1534051.000000 EUR 2022-07-01 -159262.750000 N N N N/A N/A 000000000 1.000000 NC 158146.080000 0.0038326 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 1198000.000000 EUR 1488081.320000 USD 2022-07-01 158146.080000 N N N N/A N/A 000000000 -18600000.000000 NC USD -1.860000 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 2024-04-22 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 -205056.690000 -0.0049695 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 290827.810000 N N N N/A N/A 000000000 508.000000 NC USD 453042.080000 0.0109794 N/A DCO SG N 1 Singapore International Monetary Exchange N/A Long N/A Iron Ore 2022-07-29 8122412.000000 USD 453042.080000 N N N N/A N/A 000000000 15.000000 NC USD 35272.650000 0.0008548 N/A DCO SG N 1 Singapore International Monetary Exchange N/A Long N/A Iron Ore 2022-05-31 239460.000000 USD 35272.650000 N N N N/A N/A 000000000 29.000000 NC -89382.590000 -0.0021662 N/A DIR DE N 1 Eurex N/A Long N/A ITALY GOVT 2022-06-08 4437156.720000 EUR -89382.590000 N N N N/A N/A 000000000 1.000000 NC -56996.590000 -0.0013813 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 620942.420000 USD 508000.000000 EUR 2022-07-01 -56996.590000 N N N N/A N/A 000000000 1.000000 NC -55316.990000 -0.0013406 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 577077.890000 USD 470000.000000 EUR 2022-07-01 -55316.990000 N N N N/A N/A 000000000 1.000000 NC -15187.310000 -0.0003681 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 189477.650000 USD 157000.000000 EUR 2022-07-01 -15187.310000 N N N N/A N/A 000000000 1.000000 NC -66165.590000 -0.0016035 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1511952.840000 USD 1302359.000000 EUR 2022-07-01 -66165.590000 N N N N/A N/A 000000000 1.000000 NC -44192.580000 -0.0010710 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1295167.260000 USD 1122309.000000 EUR 2022-09-09 -44192.580000 N N N N/A N/A 000000000 1.000000 NC 4880.480000 0.0001183 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 417886.050000 USD 379284.000000 EUR 2022-09-09 4880.480000 N N N N/A N/A 000000000 1.000000 NC 3779.630000 0.0000916 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 153277.000000 EUR 174239.620000 USD 2022-08-01 3779.630000 N N N N/A N/A 000000000 1.000000 NC 3778.650000 0.0000916 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 153519.000000 EUR 173748.890000 USD 2022-05-02 3778.650000 N N N N/A N/A 000000000 1.000000 NC 3656.920000 0.0000886 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 150064.000000 EUR 170846.500000 USD 2022-09-01 3656.920000 N N N N/A N/A 000000000 1.000000 NC 3971.350000 0.0000962 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 175997.000000 EUR 201281.860000 USD 2022-12-01 3971.350000 N N N N/A N/A 000000000 1.000000 NC 3757.330000 0.0000911 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 150811.000000 EUR 171177.080000 USD 2022-07-01 3757.330000 N N N N/A N/A 000000000 1.000000 NC 3716.950000 0.0000901 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 156008.000000 EUR 176300.760000 USD 2022-04-01 3716.950000 N N N N/A N/A 000000000 1.000000 NC 3872.120000 0.0000938 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 165920.000000 EUR 189470.450000 USD 2022-11-01 3872.120000 N N N N/A N/A 000000000 1.000000 NC 3643.260000 0.0000883 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 146367.000000 EUR 165892.230000 USD 2022-06-01 3643.260000 N N N N/A N/A 000000000 1.000000 NC 44257.590000 0.0010726 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1687500.000000 EUR 1917601.260000 USD 2022-07-01 44257.590000 N N N N/A N/A 000000000 1.000000 NC 82022.660000 0.0019878 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1900000.000000 EUR 2191268.860000 USD 2022-07-01 82022.660000 N N N N/A N/A 000000000 1.000000 NC 118071.740000 0.0028614 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 1312500.000000 EUR 1575116.810000 USD 2022-07-01 118071.740000 N N N N/A N/A 000000000 1.000000 NC 56665.590000 0.0013733 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 553000.000000 EUR 670567.250000 USD 2022-07-01 56665.590000 N N N N/A N/A 000000000 1.000000 NC 48809.490000 0.0011829 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 395000.000000 EUR 487310.670000 USD 2022-07-01 48809.490000 N N N N/A N/A 000000000 1.000000 NC 219314.770000 0.0053150 N/A DFE N/A N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 2814000.000000 EUR 3343219.410000 USD 2022-07-01 219314.770000 N N N N/A N/A 000000000 -170.000000 NC USD -522171.500000 -0.0126547 N/A DCO US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short N/A Lean Hogs 2022-06-14 -8202500.000000 USD -522171.500000 N N N N/A N/A 000000000 189.000000 NC USD -237386.540000 -0.0057530 N/A DCO US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long N/A Live Cattle 2022-06-30 10366650.000000 USD -237386.540000 N N N N/A N/A 000000000 -11200.000000 NC USD -587740.960000 -0.0142437 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Written LONDON GOLD MARKET FIXING PRICES INDEX GOLDLNPM INDEX N/A 2500.000000 USD 2023-03-28 XXXX 39459.040000 N N N N/A N/A 000000000 1.000000 NC USD 85416.760000 0.0020701 N/A DIR US N 2 UBS AG 254900R882POXXVAK772 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 85416.760000 N N N N/A N/A 000000000 1.000000 NC USD 50503.540000 0.0012239 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 50503.540000 N N N N/A N/A 000000000 499.000000 NC 1288395.720000 0.0312239 N/A DCO FR N 1 MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED 8NAV47T0Y26Q87Y0QP81 Long N/A Matif Wheat 2022-12-12 8956502.260000 EUR 1288395.720000 N N N N/A N/A 000000000 465.000000 NC 918531.620000 0.0222604 N/A DCO FR N 1 MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED 8NAV47T0Y26Q87Y0QP81 Long N/A Matif Wheat 2022-09-12 8558432.110000 EUR 918531.620000 N N N N/A N/A 000000000 1.000000 NC -3150.640000 -0.0000764 N/A DFE N/A N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 217748.540000 USD 192526.000000 EUR 2022-09-09 -3150.640000 N N N N/A N/A 000000000 1.000000 NC -244508.950000 -0.0059256 N/A DFE N/A N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 37205977.760000 USD 33383000.000000 EUR 2022-05-03 -244508.950000 N N N N/A N/A 000000000 1.000000 NC 3716.120000 0.0000901 N/A DFE N/A N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 1206000.000000 EUR 1339804.250000 USD 2022-05-18 3716.120000 N N N N/A N/A 000000000 1.000000 NC 243670.600000 0.0059053 N/A DFE N/A N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 33383000.000000 EUR 37173606.270000 USD 2022-04-04 243670.600000 N N N N/A N/A 000000000 56.000000 NC USD 116155.910000 0.0028150 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Henry 2023-03-29 555800.000000 USD 116155.910000 N N N N/A N/A 000000000 57.000000 NC USD 114457.390000 0.0027738 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Henry 2023-07-27 561877.500000 USD 114457.390000 N N N N/A N/A 000000000 57.000000 NC USD 113032.390000 0.0027393 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Henry 2023-06-28 560452.500000 USD 113032.390000 N N N N/A N/A 000000000 57.000000 NC USD 102202.390000 0.0024768 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Henry 2023-04-26 549622.500000 USD 102202.390000 N N N N/A N/A 000000000 57.000000 NC USD 116594.890000 0.0028256 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Henry 2023-09-27 564015.000000 USD 116594.890000 N N N N/A N/A 000000000 56.000000 NC USD 110135.910000 0.0026691 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Henry 2023-08-29 549780.000000 USD 110135.910000 N N N N/A N/A 000000000 56.000000 NC USD 105095.910000 0.0025470 N/A DCO US N 1 ICE Futures Europe Exchange 549300UF4R84F48NCH34 Long N/A Henry 2023-05-26 544740.000000 USD 105095.910000 N N N N/A N/A 000000000 -15.000000 NC -206646.610000 -0.0050080 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A NBP 2022-05-30 -1796067.720000 GBP -206646.610000 N N N N/A N/A 000000000 -52.000000 NC USD -332488.000000 -0.0080578 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Put Written New York Mercantile Exchange 5493008GFNDTXFPHWI47 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT NATURAL GAS NYM 12/28/22 2022-12-29 N/A USD N/A 5.000000 USD 2022-12-27 XXXX 140528.960000 N N N N/A N/A 000000000 -52.000000 NC USD -327600.000000 -0.0079393 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Put Written New York Mercantile Exchange 5493008GFNDTXFPHWI47 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT NATURAL GAS NYM 02/24/23 2023-02-25 N/A USD N/A 4.250000 USD 2023-02-23 XXXX 116816.960000 N N N N/A N/A 000000000 -48.000000 NC USD -127488.000000 -0.0030896 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Call Written New York Mercantile Exchange 5493008GFNDTXFPHWI47 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT NATURAL GAS NYM 10/27/22 2022-10-28 N/A USD N/A 10.000000 USD 2022-10-26 XXXX -19656.960000 N N N N/A N/A 000000000 -48.000000 NC USD -75984.000000 -0.0018415 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Put Written New York Mercantile Exchange 5493008GFNDTXFPHWI47 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCO US N/A N/A FIN FUT NATURAL GAS NYM 10/27/22 2022-10-28 N/A USD N/A 4.000000 USD 2022-10-26 XXXX 58247.040000 N N N N/A N/A 000000000 -190.000000 NC USD -645170.260000 -0.0156355 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Henry 2022-12-28 -11483600.000000 USD -645170.260000 N N N N/A N/A 000000000 -76.000000 NC USD -546498.560000 -0.0132442 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Henry 2022-06-28 -4374560.000000 USD -546498.560000 N N N N/A N/A 000000000 334.000000 NC USD 1378427.670000 0.0334058 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Henry 2023-02-24 17568400.000000 USD 1378427.670000 N N N N/A N/A 000000000 -179.000000 NC USD -1269615.830000 -0.0307688 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Henry 2022-09-28 -10274600.000000 USD -1269615.830000 N N N N/A N/A 000000000 23.000000 NC USD 197082.130000 0.0047762 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Henry 2022-08-29 1318130.000000 USD 197082.130000 N N N N/A N/A 000000000 -208.000000 NC USD -26790472.800000 -0.6492598 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A TTF 2023-01-30 -77935520.000000 USD -26790472.800000 N N N N/A N/A 000000000 -208.000000 NC USD -28772712.800000 -0.6972989 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A TTF 2022-12-29 -79834560.000000 USD -28772712.800000 N N N N/A N/A 000000000 -208.000000 NC USD -26904872.800000 -0.6520323 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A TTF 2023-02-27 -75387520.000000 USD -26904872.800000 N N N N/A N/A 000000000 4.000000 NC 23461.120000 0.0005686 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Long N/A TTF 2023-03-30 214475.100000 EUR 23461.120000 N N N N/A N/A 000000000 4.000000 NC -7826.110000 -0.0001897 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Long N/A TTF 2023-07-28 189554.960000 EUR -7826.110000 N N N N/A N/A 000000000 4.000000 NC -7727.340000 -0.0001873 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Long N/A TTF 2023-06-29 189653.720000 EUR -7727.340000 N N N N/A N/A 000000000 -30.000000 NC -425218.420000 -0.0103051 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Short N/A TTF 2022-05-30 -2995476.540000 EUR -425218.420000 N N N N/A N/A 000000000 4.000000 NC -9851.690000 -0.0002388 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Long N/A TTF 2023-05-30 181162.290000 EUR -9851.690000 N N N N/A N/A 000000000 4.000000 NC -3440.900000 -0.0000834 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Long N/A TTF 2023-04-27 193940.160000 EUR -3440.900000 N N N N/A N/A 000000000 4.000000 NC -4945.250000 -0.0001198 N/A DCO NL N 1 EUROPEAN ENERGY DERIVATIVES EXCHANGE N.V. N/A Long N/A TTF 2023-08-30 186068.730000 EUR -4945.250000 N N N N/A N/A 000000000 -79.000000 NC USD -9224108.730000 -0.2235438 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A NBP 2022-07-28 -31746940.000000 USD -9224108.730000 N N N N/A N/A 000000000 -79.000000 NC USD -7951418.730000 -0.1927005 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A NBP 2022-11-29 -31754050.000000 USD -7951418.730000 N N N N/A N/A 000000000 -79.000000 NC USD -7401578.730000 -0.1793752 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A NBP 2023-01-30 -31449110.000000 USD -7401578.730000 N N N N/A N/A 000000000 -79.000000 NC USD -7763398.730000 -0.1881439 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A NBP 2022-12-29 -31747730.000000 USD -7763398.730000 N N N N/A N/A 000000000 -79.000000 NC USD -9250968.730000 -0.2241947 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A NBP 2022-06-29 -31742200.000000 USD -9250968.730000 N N N N/A N/A 000000000 -79.000000 NC USD -9051098.730000 -0.2193509 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A NBP 2022-05-30 -31566030.000000 USD -9051098.730000 N N N N/A N/A 000000000 -79.000000 NC USD -6552328.730000 -0.1587939 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A NBP 2023-02-27 -29169960.000000 USD -6552328.730000 N N N N/A N/A 000000000 -79.000000 NC USD -8539968.730000 -0.2069638 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A NBP 2022-04-28 -31133900.000000 USD -8539968.730000 N N N N/A N/A 000000000 -79.000000 NC USD -7865308.730000 -0.1906136 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A NBP 2022-10-28 -31344040.000000 USD -7865308.730000 N N N N/A N/A 000000000 -79.000000 NC USD -8132328.730000 -0.1970848 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A NBP 2022-09-29 -30915860.000000 USD -8132328.730000 N N N N/A N/A 000000000 -79.000000 NC USD -9186188.730000 -0.2226248 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A NBP 2022-08-30 -31835420.000000 USD -9186188.730000 N N N N/A N/A 000000000 3.000000 NC USD -73621.710000 -0.0017842 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Palladium 2022-06-28 676680.000000 USD -73621.710000 N N N BANC OF AMERICA FUNDING CORP 2007-C N/A 059522BE1 228191.490000 PA USD 227298.140000 0.0055085 Long ABS-MBS CORP US N 2 2036-05-20 Floating 2.81758 Y N N N N N N/A N/A 000000000 -125.000000 NC USD -397913.250000 -0.0096433 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Platinum 2022-04-27 -6203125.000000 USD -397913.250000 N N N N/A N/A 000000000 6.000000 NC USD -12898.180000 -0.0003126 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long N/A Platinum 2022-07-27 298740.000000 USD -12898.180000 N N N N/A N/A 000000000 -53.000000 NC USD -94175.000000 -0.0022823 N/A DCO GB N 1 London Metals Exchange 213800NB8G5VRT1DXC91 Short N/A Aluminum 2022-07-18 -4628225.000000 USD -94175.000000 N N N N/A N/A 000000000 1.000000 NC -23396.920000 -0.0005670 N/A DFE N/A N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 298709.060000 USD 248000.000000 EUR 2022-07-01 -23396.920000 N N N N/A N/A 000000000 1.000000 NC -503532.550000 -0.0122030 N/A DFE N/A N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 8604148.100000 USD 7297000.000000 EUR 2022-07-01 -503532.550000 N N N N/A N/A 000000000 1.000000 NC 7645.780000 0.0001853 N/A DFE N/A N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 834420.740000 USD 755458.000000 EUR 2022-09-09 7645.780000 N N N N/A N/A 000000000 -12.000000 NC USD -7212.940000 -0.0001748 N/A DCO US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short N/A Silver 2022-07-27 -1512120.000000 USD -7212.940000 N N N N/A N/A 000000000 -189.000000 NC USD 9953.760000 0.0002412 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A Soybeans 2022-07-14 -15101100.000000 USD 9953.760000 N N N N/A N/A 000000000 368.000000 NC USD -314244.850000 -0.0076156 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A Soybeans 2022-11-14 26137200.000000 USD -314244.850000 N N N N/A N/A 000000000 41.000000 NC USD -2060.660000 -0.0000499 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A Soybean Meal 2022-12-14 1687150.000000 USD -2060.660000 N N N N/A N/A 000000000 498.000000 NC USD -111845.590000 -0.0027105 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A Soybean Meal 2022-07-14 22878120.000000 USD -111845.590000 N N N N/A N/A 000000000 26.000000 NC USD -23333.200000 -0.0005655 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A Soybean Oil 2022-12-14 991224.000000 USD -23333.200000 N N N N/A N/A 000000000 -51.000000 NC USD 79261.870000 0.0019209 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A Soybean Oil 2022-07-14 -2100384.000000 USD 79261.870000 N N N N/A N/A 000000000 1.000000 NC -131381.970000 -0.0031840 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 8027792.740000 USD 7138000.000000 EUR 2022-04-04 -131381.970000 N N N N/A N/A 000000000 1.000000 NC 1374604.280000 0.0333132 N/A DFE GB N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 48295000.000000 GBP 64817312.080000 USD 2022-04-04 1374604.280000 N N N BANCA MONTE DEI PASCHI DI SIENA SPA J4CP7MHCXR8DAQMKIL78 ACI0ZY1X9 500000.000000 PA 366012.690000 0.0088702 Long DBT CORP IT N 2 2028-01-18 Floating 5.375 N N N N N N N/A N/A 000000000 -57.000000 NC USD -100891.220000 -0.0024451 N/A DCO US N 1 New York Futures Exchange N/A Short N/A Raw Sugar 2022-09-30 -1234665.600000 USD -100891.220000 N N N N/A N/A 000000000 1.000000 NC USD 384569.970000 0.0093199 N/A DCO US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A Petroleum Y Single Leg Swap 2022-06-30 0.000000 USD 0.000000 USD 27200.000000 USD 384569.970000 N N N N/A N/A 000000000 1.000000 NC USD 993857.200000 0.0240859 N/A DCO US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A Petroleum Y Single Leg Swap 2022-03-31 45237.500000 USD 0.000000 USD 48500.000000 USD 948619.700000 N N N N/A N/A 000000000 1.000000 NC USD -347852.320000 -0.0084301 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 17000.000000 USD -347852.320000 N N N N/A N/A 000000000 1.000000 NC USD 150318.640000 0.0036429 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 7700.000000 USD 150318.640000 N N N N/A N/A 000000000 1.000000 NC USD 100158.710000 0.0024273 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A Petroleum Y Single Leg Swap 2023-12-31 0.000000 USD 0.000000 USD 50400.000000 USD 100158.710000 N N N N/A N/A 000000000 1.000000 NC USD 90274.810000 0.0021878 N/A DCO US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A Petroleum Y Single Leg Swap 2023-12-31 0.000000 USD 0.000000 USD 46800.000000 USD 90274.810000 N N N N/A N/A 000000000 1.000000 NC USD 127665.550000 0.0030939 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A Petroleum Y Single Leg Swap 2023-12-31 4420.280000 USD 0.000000 USD 67200.000000 USD 123245.270000 N N N N/A N/A 000000000 1.000000 NC USD 384841.650000 0.0093265 N/A DCO US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A Petroleum Y Single Leg Swap 2022-06-30 0.000000 USD 0.000000 USD 27200.000000 USD 384841.650000 N N N N/A N/A 000000000 1.000000 NC USD -300475.170000 -0.0072819 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 18500.000000 USD -300475.170000 N N N N/A N/A 000000000 1.000000 NC USD -300290.170000 -0.0072775 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A Petroleum Y Single Leg Swap 2022-03-31 0.000000 USD 0.000000 USD 18500.000000 USD -300290.170000 N N N N/A N/A 000000000 1.000000 NC USD -237098.710000 -0.0057460 N/A DCO US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A Petroleum Y Single Leg Swap 2022-03-31 0.000000 USD 0.000000 USD 15100.000000 USD -237098.710000 N N N N/A N/A 000000000 1.000000 NC 12900240.970000 0.3126338 N/A DCO GB N 3 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A Natural Gas Y Single Leg Swap 2022-03-31 0.000000 GBP 0.000000 GBP 8370000.000000 GBP 12900240.970000 N N N N/A N/A 000000000 1.000000 NC USD -1496783.600000 -0.0362741 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 N/A GOLD 100 OZ FUTR JUN 12 Y Single Leg Swap 2022-05-25 0.000000 USD 0.000000 USD 47400.000000 USD -1496783.600000 N N N N/A N/A 000000000 1.000000 NC USD 436581.910000 0.0105804 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 436581.910000 N N N N/A N/A 000000000 1.000000 NC USD 144655.370000 0.0035057 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 2022-05-27 0.000000 USD 0.000000 USD 4100.000000 USD 144655.370000 N N N N/A N/A 000000000 1.000000 NC USD 263973.430000 0.0063973 N/A DCO US N 2 MERRILL LYNCH INTERNATIONAL GGDZP1UYGU9STUHRDP48 LONDON GOLD MKT FIX LTD PM N/A N/A Y Single Leg Swap 2022-05-27 0.000000 USD 0.000000 USD 7700.000000 USD 263973.430000 N N N N/A N/A 000000000 1.000000 NC USD 26394.940000 0.0006397 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 2022-05-30 0.000000 USD 0.000000 USD 1000.000000 USD 26394.940000 N N N N/A N/A 000000000 1.000000 NC USD 16210.800000 0.0003929 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 LONDON GOLD MKT FIX LTD PM N/A N/A Y Single Leg Swap 2023-03-28 0.000000 USD 0.000000 USD 2464.000000 USD 16210.800000 N N N N/A N/A 000000000 1.000000 NC USD 7689696.050000 0.1863577 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A Natural Gas Y Single Leg Swap 2023-01-31 0.000000 USD 0.000000 USD 790000.000000 USD 7689696.050000 N N N N/A N/A 000000000 1.000000 NC USD 7318199.580000 0.1773546 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A Natural Gas Y Single Leg Swap 2023-02-28 0.000000 USD 0.000000 USD 790000.000000 USD 7318199.580000 N N N N/A N/A 000000000 1.000000 NC USD 6466788.150000 0.1567209 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A Natural Gas Y Single Leg Swap 2023-03-31 0.000000 USD 0.000000 USD 790000.000000 USD 6466788.150000 N N N N/A N/A 000000000 1.000000 NC USD 8557119.280000 0.2073795 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A Natural Gas Y Single Leg Swap 2022-05-31 0.000000 USD 0.000000 USD 790000.000000 USD 8557119.280000 N N N N/A N/A 000000000 1.000000 NC USD 9060539.580000 0.2195797 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A Natural Gas Y Single Leg Swap 2022-06-30 0.000000 USD 0.000000 USD 790000.000000 USD 9060539.580000 N N N N/A N/A 000000000 1.000000 NC USD 9250548.330000 0.2241845 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A Natural Gas Y Single Leg Swap 2022-07-31 0.000000 USD 0.000000 USD 790000.000000 USD 9250548.330000 N N N N/A N/A 000000000 1.000000 NC USD 9212243.310000 0.2232562 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A Natural Gas Y Single Leg Swap 2022-08-31 0.000000 USD 0.000000 USD 790000.000000 USD 9212243.310000 N N N N/A N/A 000000000 1.000000 NC USD 9161619.530000 0.2220294 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A Natural Gas Y Single Leg Swap 2022-09-30 0.000000 USD 0.000000 USD 790000.000000 USD 9161619.530000 N N N N/A N/A 000000000 1.000000 NC USD 8100148.200000 0.1963049 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A Natural Gas Y Single Leg Swap 2022-10-31 0.000000 USD 0.000000 USD 790000.000000 USD 8100148.200000 N N N N/A N/A 000000000 1.000000 NC USD 7821409.050000 0.1895497 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A Natural Gas Y Single Leg Swap 2022-11-30 0.000000 USD 0.000000 USD 790000.000000 USD 7821409.050000 N N N N/A N/A 000000000 1.000000 NC USD 7891520.420000 0.1912489 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A Natural Gas Y Single Leg Swap 2022-12-31 0.000000 USD 0.000000 USD 790000.000000 USD 7891520.420000 N N N N/A N/A 000000000 1.000000 NC USD -38339.030000 -0.0009291 N/A DCO US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A Petroleum Y Single Leg Swap 2022-12-31 0.000000 USD 0.000000 USD 63000.000000 USD -38339.030000 N N N N/A N/A 000000000 1.000000 NC USD -38947.580000 -0.0009439 N/A DCO US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A Petroleum Y Single Leg Swap 2022-12-31 0.000000 USD 0.000000 USD 64000.000000 USD -38947.580000 N N N N/A N/A 000000000 1.000000 NC USD -9687.230000 -0.0002348 N/A DCO US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A Petroleum Y Single Leg Swap 2022-12-31 0.000000 USD 0.000000 USD 46000.000000 USD -9687.230000 N N N N/A N/A 000000000 1.000000 NC USD 4042.570000 0.0000980 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 N/A Petroleum Y Single Leg Swap 2022-12-31 13340.000000 USD 0.000000 USD 46000.000000 USD -9297.430000 N N N N/A N/A 000000000 1.000000 NC USD 20650.900000 0.0005005 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 53600.000000 USD 20650.900000 N N N N/A N/A 000000000 1.000000 NC USD 6963.500000 0.0001688 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 16000.000000 USD 6963.500000 N N N N/A N/A 000000000 1.000000 NC USD 15103.580000 0.0003660 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 15103.580000 N N N N/A N/A 000000000 1.000000 NC USD 15181.480000 0.0003679 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 40000.000000 USD 15181.480000 N N N N/A N/A 000000000 1.000000 NC USD -307069.630000 -0.0074417 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 N/A LME NICKEL FUTURE May22 Y Single Leg Swap 2022-05-16 0.000000 USD 0.000000 USD 93.240000 USD -307069.630000 N N N N/A N/A 000000000 1.000000 NC USD -9835.040000 -0.0002383 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 N/A LME NICKEL FUTURE May22 Y Single Leg Swap 2022-05-16 0.000000 USD 0.000000 USD 31.640000 USD -9835.040000 N N N N/A N/A 000000000 1.000000 NC USD 11334.240000 0.0002747 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 N/A LME NICKEL FUTURE May22 Y Single Leg Swap 2022-05-16 0.000000 USD 0.000000 USD 84.000000 USD 11334.240000 N N N N/A N/A 000000000 1.000000 NC USD -3322374.710000 -0.0805168 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 N/A LME NICKEL FUTURE May22 Y Single Leg Swap 2022-05-16 0.000000 USD 0.000000 USD 207.780000 USD -3322374.710000 N N N N/A N/A 000000000 1.000000 NC USD -142173.990000 -0.0034455 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 N/A LME NICKEL FUTURE Jun22 Y Single Leg Swap 2022-06-13 0.000000 USD 0.000000 USD 44.950000 USD -142173.990000 N N N N/A N/A 000000000 1.000000 NC USD -1444.420000 -0.0000350 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 N/A LME NICKEL FUTURE Jun22 Y Single Leg Swap 2022-06-13 0.000000 USD 0.000000 USD 4.680000 USD -1444.420000 N N N N/A N/A 000000000 1.000000 NC USD -824304.680000 -0.0199768 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 N/A LME NICKEL FUTURE Jun22 Y Single Leg Swap 2022-06-13 0.000000 USD 0.000000 USD 51.950000 USD -824304.680000 N N N N/A N/A 000000000 1.000000 NC USD -11597.150000 -0.0002811 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 N/A LME NICKEL FUTURE Aug22 Y Single Leg Swap 2022-08-15 0.000000 USD 0.000000 USD 3.330000 USD -11597.150000 N N N N/A N/A 000000000 1.000000 NC USD -3496.040000 -0.0000847 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 N/A LME NICKEL FUTURE Aug22 Y Single Leg Swap 2022-08-15 0.000000 USD 0.000000 USD 11.770000 USD -3496.040000 N N N N/A N/A 000000000 1.000000 NC USD 13166.010000 0.0003191 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 N/A LME NICKEL FUTURE Aug22 Y Single Leg Swap 2022-08-15 0.000000 USD 0.000000 USD 119.000000 USD 13166.010000 N N N N/A N/A 000000000 1.000000 NC USD -2120766.010000 -0.0513962 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 N/A LME NICKEL FUTURE Aug22 Y Single Leg Swap 2022-08-15 0.000000 USD 0.000000 USD 137.120000 USD -2120766.010000 N N N N/A N/A 000000000 1.000000 NC USD -682.920000 -0.0000166 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 N/A LME NICKEL FUTURE Sep22 Y Single Leg Swap 2022-09-19 0.000000 USD 0.000000 USD 2.350000 USD -682.920000 N N N N/A N/A 000000000 1.000000 NC USD 2836.360000 0.0000687 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 N/A LME NICKEL FUTURE Sep22 Y Single Leg Swap 2022-09-19 0.000000 USD 0.000000 USD 30.000000 USD 2836.360000 N N N N/A N/A 000000000 1.000000 NC USD -524907.480000 -0.0127210 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 N/A LME NICKEL FUTURE Sep22 Y Single Leg Swap 2022-09-19 0.000000 USD 0.000000 USD 34.280000 USD -524907.480000 N N N N/A N/A 000000000 1.000000 NC USD -27006.230000 -0.0006545 N/A DCO US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A Petroleum Y Single Leg Swap 2022-12-31 0.000000 USD 0.000000 USD 23000.000000 USD -27006.230000 N N N N/A N/A 000000000 1.000000 NC USD -14617.690000 -0.0003543 N/A DCO US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A Petroleum Y Single Leg Swap 2022-12-31 0.000000 USD 0.000000 USD 13000.000000 USD -14617.690000 N N N N/A N/A 000000000 1.000000 NC USD -34857.580000 -0.0008448 N/A DCO US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A Petroleum Y Single Leg Swap 2022-12-31 0.000000 USD 0.000000 USD 31000.000000 USD -34857.580000 N N N N/A N/A 000000000 1.000000 NC USD -46122.620000 -0.0011178 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 45000.000000 USD -46122.620000 N N N N/A N/A 000000000 1.000000 NC USD -32798.300000 -0.0007949 N/A DCO US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A Petroleum Y Single Leg Swap 2022-12-31 0.000000 USD 0.000000 USD 32000.000000 USD -32798.300000 N N N N/A N/A 000000000 1.000000 NC USD -27862.800000 -0.0006752 N/A DCO US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A Petroleum Y Single Leg Swap 2022-12-31 0.000000 USD 0.000000 USD 28000.000000 USD -27862.800000 N N N N/A N/A 000000000 1.000000 NC USD -27305.660000 -0.0006617 N/A DCO US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A Petroleum Y Single Leg Swap 2022-12-31 0.000000 USD 0.000000 USD 28000.000000 USD -27305.660000 N N N N/A N/A 000000000 1.000000 NC USD -24131.330000 -0.0005848 N/A DCO US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A Petroleum Y Single Leg Swap 2022-12-31 0.000000 USD 0.000000 USD 25000.000000 USD -24131.330000 N N N N/A N/A 000000000 1.000000 NC USD -14231.380000 -0.0003449 N/A DCO US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A Petroleum Y Single Leg Swap 2022-12-31 0.000000 USD 0.000000 USD 22000.000000 USD -14231.380000 N N N N/A N/A 000000000 1.000000 NC USD -63956.840000 -0.0015500 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 -1182.650000 USD 126000.000000 USD -62774.190000 N N N N/A N/A 000000000 1.000000 NC USD 28736667.320000 0.6964253 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A Natural Gas Y Single Leg Swap 2023-01-31 0.000000 USD 0.000000 USD 2080000.000000 USD 28736667.320000 N N N N/A N/A 000000000 1.000000 NC USD 26706914.940000 0.6472348 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A Natural Gas Y Single Leg Swap 2023-02-28 0.000000 USD 0.000000 USD 2080000.000000 USD 26706914.940000 N N N N/A N/A 000000000 1.000000 NC USD 26778102.730000 0.6489600 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A Natural Gas Y Single Leg Swap 2023-03-31 0.000000 USD 0.000000 USD 2080000.000000 USD 26778102.730000 N N N N/A N/A 000000000 1.000000 NC 552610.010000 0.0133924 N/A DCO GB N 3 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A Natural Gas Y Single Leg Swap 2022-03-31 0.000000 GBP 0.000000 GBP 2728000.000000 GBP 552610.010000 N N N N/A N/A 000000000 1.000000 NC 301185.030000 0.0072991 N/A DCO GB N 3 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A Natural Gas Y Single Leg Swap 2022-03-31 0.000000 GBP 0.000000 GBP 1472500.000000 GBP 301185.030000 N N N N/A N/A 000000000 1.000000 NC 414492.930000 0.0100451 N/A DCO GB N 3 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A Natural Gas Y Single Leg Swap 2022-03-31 0.000000 GBP 0.000000 GBP 1999500.000000 GBP 414492.930000 N N N N/A N/A 000000000 1.000000 NC 164521.580000 0.0039871 N/A DCO GB N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A Natural Gas Y Single Leg Swap 2022-09-30 0.000000 GBP 0.000000 GBP 1647000.000000 GBP 164521.580000 N N N N/A N/A 000000000 1.000000 NC 11648.210000 0.0002823 N/A DCO GB N 3 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A Natural Gas Y Single Leg Swap 2022-03-31 0.000000 GBP 0.000000 GBP 62000.000000 GBP 11648.210000 N N N N/A N/A 000000000 1.000000 NC 58724.710000 0.0014232 N/A DCO GB N 3 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A Natural Gas Y Single Leg Swap 2022-03-31 0.000000 GBP 0.000000 GBP 310000.000000 GBP 58724.710000 N N N N/A N/A 000000000 1.000000 NC 58928.300000 0.0014281 N/A DCO GB N 3 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A Natural Gas Y Single Leg Swap 2022-03-31 0.000000 GBP 0.000000 GBP 310000.000000 GBP 58928.300000 N N N N/A N/A 000000000 1.000000 NC 47142.640000 0.0011425 N/A DCO GB N 3 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A Natural Gas Y Single Leg Swap 2022-03-31 0.000000 GBP 0.000000 GBP 248000.000000 GBP 47142.640000 N N N N/A N/A 000000000 1.000000 NC 15474.230000 0.0003750 N/A DCO GB N 3 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 N/A Natural Gas Y Single Leg Swap 2022-03-31 0.000000 GBP 0.000000 GBP 62000.000000 GBP 15474.230000 N N N N/A N/A 000000000 1.000000 NC 59213.330000 0.0014350 N/A DCO GB N 3 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A Natural Gas Y Single Leg Swap 2022-03-31 0.000000 GBP 0.000000 GBP 310000.000000 GBP 59213.330000 N N N N/A N/A 000000000 1.000000 NC 59254.050000 0.0014360 N/A DCO GB N 3 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A Natural Gas Y Single Leg Swap 2022-03-31 0.000000 GBP 0.000000 GBP 310000.000000 GBP 59254.050000 N N N N/A N/A 000000000 1.000000 NC 59742.680000 0.0014478 N/A DCO GB N 3 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A Natural Gas Y Single Leg Swap 2022-03-31 0.000000 GBP 0.000000 GBP 310000.000000 GBP 59742.680000 N N N N/A N/A 000000000 1.000000 NC 53951.650000 0.0013075 N/A DCO GB N 3 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A Natural Gas Y Single Leg Swap 2022-03-31 0.000000 GBP 0.000000 GBP 279000.000000 GBP 53951.650000 N N N N/A N/A 000000000 1.000000 NC 66164.850000 0.0016035 N/A DCO GB N 3 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A Natural Gas Y Single Leg Swap 2022-03-31 0.000000 GBP 0.000000 GBP 341000.000000 GBP 66164.850000 N N N N/A N/A 000000000 1.000000 NC -13694957.170000 -0.3318936 N/A DCO N/A N 3 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A Natural Gas Y Single Leg Swap 2022-03-31 0.000000 EUR 0.000000 EUR 238824.000000 EUR -13694957.170000 N N N N/A N/A 000000000 1.000000 NC USD 125718.330000 0.0030467 N/A DCO US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A BCOM Y Single Leg Swap 2023-01-26 115577.130000 USD 0.000000 USD 753804.530000 USD 10141.200000 N N N N/A N/A 000000000 1.000000 NC USD 655663.250000 0.0158898 N/A DCO US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A BCOM Y Single Leg Swap 2023-02-08 745986.730000 USD 0.000000 USD 4606420.170000 USD -90323.480000 N N N N/A N/A 000000000 1.000000 NC USD 3802188.740000 0.0921450 N/A DCO US N 2 UBS AG 254900R882POXXVAK772 N/A BCOM Y Single Leg Swap 2023-01-20 1199668.870000 USD 0.000000 USD 27141725.750000 USD 2602519.870000 N N N N/A N/A 000000000 1.000000 NC USD 112424.790000 0.0027246 N/A DCO US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 COMM SWAP BCOMF1NTC BPS BCOMF1NTC Y Single Leg Swap 2023-02-15 0.000000 USD 0.000000 USD 34626402.490000 USD 112424.790000 N N N N/A N/A 000000000 1.000000 NC USD 2285199.870000 0.0553812 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 COMM SWAP CMDSKEWLS GST ABGS1042 Y Single Leg Swap 2023-02-15 0.000000 USD 0.000000 USD 24753803.200000 USD 2285199.870000 N N N N/A N/A 000000000 1.000000 NC USD 104911.890000 0.0025425 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 COMM SWAP JMABFNJ2 JPM JMABFNJ2 Y Single Leg Swap 2022-12-30 0.000000 USD 0.000000 USD 8705892.270000 USD 104911.890000 N N N N/A N/A 000000000 1.000000 NC USD 428.170000 0.0000104 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 COMM SWAP JMABNIC5 JPM JMABNIC5 Y Single Leg Swap 2022-05-16 0.000000 USD 0.000000 USD 371613.010000 USD 428.170000 N N N N/A N/A 000000000 1.000000 NC USD -341196.720000 -0.0082688 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 COMM SWAP JMABNIC5 JPM JMABNIC5 Y Single Leg Swap 2022-05-16 0.000000 USD 0.000000 USD 8420110.640000 USD -341196.720000 N N N N/A N/A 000000000 1.000000 NC USD -16687.170000 -0.0004044 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 COMM SWAP PIMCODBU MAC PIMCODBU1 Y Single Leg Swap 2022-06-15 0.000000 USD 0.000000 USD 722815.200000 USD -16687.170000 N N N N/A N/A 000000000 1.000000 NC USD 958840.130000 0.0232372 N/A DCO US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 COMM SWAP TBL/BCOMF1TC BPS BCOMF1TCD Y 2023-02-15 0.000000 USD 0.000000 USD 40931092.110000 USD 958840.130000 N N N N/A N/A 000000000 1.000000 NC USD 431449.890000 0.0104561 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 COMM SWAP TBL/BCOMF1TC GST BCOMF1TCA Y 2023-02-15 0.000000 USD 0.000000 USD 18408746.510000 USD 431449.890000 N N N N/A N/A 000000000 1.000000 NC USD 18431308.640000 0.4466778 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 COMM SWAP TBL/BCOMF1TC JPM BCOMF1TCB Y 2023-02-15 0.000000 USD 0.000000 USD 786549227.260000 USD 18431308.640000 N N N N/A N/A 000000000 1.000000 NC USD 729141.850000 0.0176706 N/A DCO US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A US Treasury H15 Treasury Bill 3 Month Auction Avg Discount Y 2022-05-16 0.000000 USD 0.000000 USD 27054847.130000 USD 729141.850000 N N N N/A N/A 000000000 1.000000 NC USD 434997.870000 0.0105421 N/A DCO US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A US Treasury H15 Treasury Bill 3 Month Auction Avg Discount Y 2023-02-15 0.000000 USD 0.000000 USD 21159723.250000 USD 434997.870000 N N N N/A N/A 000000000 1.000000 NC USD 414942.220000 0.0100560 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 2023-02-15 0.000000 USD 0.000000 USD 20184149.920000 USD 414942.220000 N N N N/A N/A 000000000 1.000000 NC USD 899894.360000 0.0218087 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A US Treasury H15 Treasury Bill 3 Month Auction Avg Discount Y 2023-02-15 0.000000 USD 0.000000 USD 43783293.590000 USD 899894.360000 N N N N/A N/A 000000000 1.000000 NC USD -17602353.770000 -0.4265883 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 2023-01-17 0.000000 USD 0.000000 USD 856421670.930000 USD -17602353.770000 N N N N/A N/A 000000000 1.000000 NC USD 155917.100000 0.0037786 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 N/A US Treasury H15 Treasury Bill 3 Month Auction Avg Discount Y 2023-02-15 0.000000 USD 0.000000 USD 7585961.870000 USD 155917.100000 N N N N/A N/A 000000000 1.000000 NC USD -384985.460000 -0.0093300 N/A DCO US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 COMM SWAP TBL/CSIXTR BPS CSIXTR Y 2022-05-16 0.000000 USD 0.000000 USD 6550539.410000 USD -384985.460000 N N N N/A N/A 000000000 1.000000 NC USD -839312.600000 -0.0203405 N/A DCO US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 COMM SWAP TBL/CSIXTR BPS CSIXTR Y 2022-05-16 0.000000 USD 0.000000 USD 14360800.000000 USD -839312.600000 N N N N/A N/A 000000000 1.000000 NC USD 5696850.590000 0.1380616 N/A DCO US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 COMM SWAP TBL/CSIXTR BPS CSIXTR Y 2023-02-15 0.000000 USD 0.000000 USD 147506400.130000 USD 5696850.590000 N N N N/A N/A 000000000 1.000000 NC USD 572379.430000 0.0138715 N/A DCO US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 COMM SWAP TBL/CSIXTR BPS CSIXTR Y 2022-05-16 0.000000 USD 0.000000 USD 10445840.330000 USD 572379.430000 N N N N/A N/A 000000000 1.000000 NC USD 559651.600000 0.0135630 N/A DCO US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 COMM SWAP TBL/CSIXTR CBK CSIXTR Y 2022-05-16 0.000000 USD 0.000000 USD 74908790.000000 USD 559651.600000 N N N N/A N/A 000000000 1.000000 NC USD 4169540.780000 0.1010477 N/A DCO US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 COMM SWAP TBL/CSIXTR CBK CSIXTR Y 2023-02-15 0.000000 USD 0.000000 USD 107960344.010000 USD 4169540.780000 N N N N/A N/A 000000000 1.000000 NC USD 7460850.640000 0.1808117 N/A DCO US N 2 Canadian Imperial Bank of Commerce 2IGI19DL77OX0HC3ZE78 COMM SWAP TBL/CSIXTR CIB CSIXTR Y 2023-02-15 0.000000 USD 0.000000 USD 193180986.580000 USD 7460850.640000 N N N N/A N/A 000000000 1.000000 NC USD 23288231.990000 0.5643840 N/A DCO US N 2 CREDIT SUISSE INTERNATIONAL E58DKGMJYYYJLN8C3868 COMM SWAP TBL/CSIXTR FBF CSIXTR Y 2023-02-15 0.000000 USD 0.000000 USD 602645953.880000 USD 23288231.990000 N N N N/A N/A 000000000 1.000000 NC USD -900362.340000 -0.0218200 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 COMM SWAP TBL/CSIXTR GST CSIXTR Y 2022-05-16 0.000000 USD 0.000000 USD 35350981.410000 USD -900362.340000 N N N N/A N/A 000000000 1.000000 NC USD 31710878.190000 0.7685045 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 COMM SWAP TBL/CSIXTR GST CSIXTR Y 2023-02-15 0.000000 USD 0.000000 USD 820888474.000000 USD 31710878.190000 N N N N/A N/A 000000000 1.000000 NC USD -684601.210000 -0.0165911 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 COMM SWAP TBL/CSIXTR JPM CSIXTR Y 2022-05-16 0.000000 USD 0.000000 USD 10462322.900000 USD -684601.210000 N N N N/A N/A 000000000 1.000000 NC USD -126285.820000 -0.0030605 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 COMM SWAP TBL/CSIXTR JPM CSIXTR Y 2022-05-16 0.000000 USD 0.000000 USD 7471778.760000 USD -126285.820000 N N N N/A N/A 000000000 1.000000 NC USD 23395592.380000 0.5669858 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 COMM SWAP TBL/CSIXTR JPM CSIXTR Y 2023-02-15 0.000000 USD 0.000000 USD 605952359.940000 USD 23395592.380000 N N N N/A N/A 000000000 1.000000 NC USD 14772932.300000 0.3580180 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 COMM SWAP TBL/CSIXTR MAC CSIXTR Y 2023-02-15 0.000000 USD 0.000000 USD 382465851.040000 USD 14772932.300000 N N N N/A N/A 000000000 1.000000 NC USD 2970937.910000 0.0719999 N/A DCO US N 2 MERRILL LYNCH INTERNATIONAL GGDZP1UYGU9STUHRDP48 COMM SWAP TBL/CSIXTR MEI CSIXTR Y 2023-02-15 0.000000 USD 0.000000 USD 76925372.660000 USD 2970937.910000 N N N N/A N/A 000000000 1.000000 NC USD 9521851.500000 0.2307595 N/A DCO US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 COMM SWAP TBL/CSIXTR RBC CSIXTR Y 2023-02-15 0.000000 USD 0.000000 USD 246545702.240000 USD 9521851.500000 N N N N/A N/A 000000000 1.000000 NC USD 22225130.330000 0.5386200 N/A DCO US N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 COMM SWAP TBL/CSIXTR SOG CSIXTR Y 2023-02-15 0.000000 USD 0.000000 USD 575201605.580000 USD 22225130.330000 N N N N/A N/A 000000000 1.000000 NC -2802171.900000 -0.0679099 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 -3562366.700000 N N N N/A N/A 000000000 1.000000 NC -8644510.580000 -0.2094974 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 -9015954.150000 N N N N/A N/A 000000000 1.000000 NC -3278651.630000 -0.0794572 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 -5607253.090000 N N N N/A N/A 000000000 1.000000 NC USD 261291.320000 0.0063323 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 328598.210000 N N N N/A N/A 000000000 1.000000 NC USD -4263590.400000 -0.1033270 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 -6428926.700000 N N N BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 06051GKN8 19800000.000000 PA USD 19984952.000000 0.4843299 Long DBT CORP US N 2 2026-04-02 Floating 1.61627 N N N N N N N/A N/A 000000000 1.000000 NC USD 210757.060000 0.0051076 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 -160675.180000 N N N N/A N/A 000000000 1.000000 NC USD 265246.090000 0.0064282 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 -189333.210000 N N N N/A N/A 000000000 1.000000 NC 491.670000 0.0000119 N/A DIR JP N 2 London Clearing house N/A N/A BOJ Overnight Call Rate TONAR Y 2045-12-15 1.410000 JPY 0.000000 JPY 990000.000000 JPY 490.260000 N N N N/A N/A 000000000 -18.000000 NC USD -91494.000000 -0.0022173 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 142506.000000 N N N N/A N/A 000000000 -45.000000 NC USD -248962.500000 -0.0060335 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 333765.000000 N N N N/A N/A 000000000 -10.000000 NC USD -57667.500000 -0.0013976 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 79982.500000 N N N N/A N/A 000000000 -1.000000 NC USD -8918.750000 -0.0002161 N/A DCO GB N 1 London Metals Exchange 213800NB8G5VRT1DXC91 Short N/A Copper 2022-12-19 -258793.750000 USD -8918.750000 N N N N/A N/A 000000000 -7.000000 NC USD -21000.000000 -0.0005089 N/A DCO GB N 1 London Metals Exchange 213800NB8G5VRT1DXC91 Short N/A Lead 2022-07-18 -423018.750000 USD -21000.000000 N N N N/A N/A 000000000 6.000000 NC USD 163968.000000 0.0039737 N/A DCO GB N 1 London Metals Exchange 213800NB8G5VRT1DXC91 Long N/A Nickel 2022-07-18 1156032.000000 USD 163968.000000 N N N N/A N/A 000000000 14.000000 NC USD 107150.000000 0.0025968 N/A DCO GB N 1 London Metals Exchange 213800NB8G5VRT1DXC91 Long N/A Zinc 2022-07-18 1460025.000000 USD 107150.000000 N N N N/A N/A 000000000 -339.000000 NC 501624.210000 0.0121567 N/A DIR GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A UNITED KINGDOM GOVT 2022-06-28 -53987018.510000 GBP 501624.210000 N N N N/A N/A 000000000 -718.000000 NC USD 1949578.460000 0.0472475 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2022-06-21 -88128890.980000 USD 1949578.460000 N N N N/A N/A 000000000 345.000000 NC USD -1106887.990000 -0.0268251 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2022-06-30 39520019.450000 USD -1106887.990000 N N N N/A N/A 000000000 126.000000 NC USD -524821.750000 -0.0127189 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2022-06-21 18917718.750000 USD -524821.750000 N N N N/A N/A 000000000 -306.000000 NC USD 2197934.630000 0.0532663 N/A DIR US N 2 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2022-06-21 -54157218.750000 USD 2197934.630000 N N N N/A N/A 000000000 146.000000 NC USD -808612.740000 -0.0195965 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A Kansas Wheat 2022-07-14 7517175.000000 USD -808612.740000 N N N N/A N/A 000000000 16.000000 NC USD 8471.220000 0.0002053 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long N/A Kansas Wheat 2022-09-14 820200.000000 USD 8471.220000 N N N N/A N/A 000000000 -181.000000 NC USD -967576.260000 -0.0234489 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A Wheat 2022-12-14 -8803387.500000 USD -967576.260000 N N N N/A N/A 000000000 -321.000000 NC USD 1902471.580000 0.0461059 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A Wheat 2022-07-14 -16082100.000000 USD 1902471.580000 N N N N/A N/A 000000000 -156.000000 NC USD -237780.460000 -0.0057625 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short N/A Wheat 2022-09-14 -7714200.000000 USD -237780.460000 N N N BBCMS MORTGAGE TRUST 2018-BXH N/A 05491RAA3 14290587.410000 PA USD 14119820.610000 0.3421900 Long ABS-MBS CORP US N 2 2037-10-15 Floating 1.39657 N N N N N N BEAR STEARNS STRUC PROD INC 2007-R6 N/A 07402FAA3 59969.390000 PA USD 51659.980000 0.0012520 Long ABS-MBS CORP US N 2 2036-01-26 Floating 2.72768 Y N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10 N/A 07384M3X8 110565.730000 PA USD 115624.630000 0.0028021 Long ABS-MBS CORP US N 2 2035-01-25 Floating 2.63228 N N N N N N BEAR STEARNS ALT-A TRUST 2005-5 N/A 07386HUM1 561546.110000 PA USD 461366.850000 0.0111811 Long ABS-MBS CORP US N 2 2035-07-25 Floating 4.32694 Y N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-EC2 N/A 07387UDT5 7641000.000000 PA USD 7351173.810000 0.1781537 Long ABS-MBS CORP US N 2 2036-02-25 Floating 1.11657 Y N N N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD2 N/A 07386UAN2 295268.010000 PA USD 275608.240000 0.0066793 Long ABS-MBS CORP US N 2 2046-09-25 Floating 1.45657 Y N N N N N BENEFIT STREET PARTNERS CLO VIII LTD 2015 N/A 08180XAN2 700000.000000 PA USD 696508.890000 0.0168797 Long ABS-CBDO CORP KY N 2 2031-01-20 Floating 1.354 N N N N N N BRANDYWINE OPERATING PARTNERSHIP LP IXBXSCONLDQ1ZI73YU71 105340AM5 5200000.000000 PA USD 5235493.430000 0.1268808 Long DBT CORP US N 2 2023-02-15 Fixed 3.95 N N N N N N BRISTOL-MYERS SQUIBB COMPANY HLYYNH7UQUORYSJQCN42 110122CW6 178000.000000 PA USD 179276.120000 0.0043447 Long DBT CORP US N 2 2022-08-15 Fixed 3.25 N N N N N N BSST 2021-1818 MORTGAGE TRUST N/A 07403PAA0 600000.000000 PA USD 591396.060000 0.0143323 Long ABS-MBS CORP US N 2 2036-03-15 Floating 1.447 N N N N N N CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2015-4A N/A 14311NAL8 500000.000000 PA USD 498517.600000 0.0120814 Long ABS-CBDO CORP KY N 2 2032-07-20 Floating 1.594 N N N N N N CARVANA AUTO RECEIVABLES TRUST 2022-N1 N/A 14686GAA4 30298000.000000 PA USD 30148149.120000 0.7306322 Long ABS-O CORP US N 2 2028-12-11 Fixed 2.31 N N N N N N CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL N/A 161175BB9 15486000.000000 PA USD 15543890.070000 0.3767019 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 83283.230000 PA USD 83895.870000 0.0020332 Long ABS-MBS CORP US N 2 2037-02-25 Floating 2.32557 N N N N N N CHASE MORTGAGE FINANCE CORP 2007-A1 N/A 161630AL2 75841.210000 PA USD 77444.920000 0.0018769 Long ABS-MBS CORP US N 2 2037-02-25 Floating 2.68569 N N N N N N CHASE MORTGAGE FINANCE CORPORATION 2007-S6 N/A 161636AE5 330947.050000 PA USD 178462.070000 0.0043250 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 51046.330000 PA USD 48178.490000 0.0011676 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 2509.560000 PA USD 2507.670000 0.0000608 Long ABS-MBS CORP US N 2 2035-01-25 Floating 0.73657 N N N N N N CIFC FUNDING LTD 2017-5A N/A 12551MAA7 700000.000000 PA USD 698572.350000 0.0169297 Long ABS-CBDO CORP KY N 2 2030-11-16 Floating 1.42129 N N N N N N CIFC-2012-2RA N/A 12551PAA0 682666.010000 PA USD 682539.330000 0.0165412 Long ABS-CBDO CORP KY N 2 2028-01-20 Floating 1.054 N N N N N N CITIGROUP COMMERCIAL MORTGAGE TRUST 2012-GC8 N/A 17318UAD6 695809.180000 PA USD 695825.740000 0.0168631 Long ABS-MBS CORP US N 2 2045-09-10 Fixed 3.024 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW95 35888.030000 PA USD 35649.730000 0.0008640 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.48 N N N N N N COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR N/A 12564NAA0 6300000.000000 PA USD 6215795.460000 0.1506381 Long ABS-MBS CORP US N 2 2038-11-15 Floating 1.526 N N N N N N COMMODITY WAREHOUSE RECEIPT N/A 966RBXII1 2653.000000 NS USD 5168934.380000 0.1252677 Long COMM US N 2 N N N COMMODITY WAREHOUSE RECEIPT N/A 936QAV904 16693.560000 NS USD 32524657.440000 0.7882262 Long COMM US N 2 N N N COMMODITY WAREHOUSE RECEIPT N/A 965SRC908 33944.970000 NS USD 66136201.690000 1.6027929 Long COMM US N 2 N N N COMMODITY WAREHOUSE RECEIPT N/A 967FDJ904 1060.000000 NS USD 2065235.750000 0.0500504 Long COMM US N 2 N N N COMMODITY WAREHOUSE RECEIPT N/A 966RBW902 3560.980000 NS USD 6937984.150000 0.1681402 Long COMM US N 2 N N N COMMODITY WAREHOUSE RECEIPT N/A 966QTXII4 964.540000 NS USD 1879247.630000 0.0455431 Long COMM US N 2 N N N COMMODITY WAREHOUSE RECEIPT N/A 965RNAII9 23429.920000 NS USD 45649349.470000 1.1062996 Long COMM US N 2 N N N COMMODITY WAREHOUSE RECEIPT N/A 935UQP902 20443.550000 NS USD 39830900.400000 0.9652910 Long COMM US N 2 N N N COMMODITY WAREHOUSE RECEIPT N/A 966QVDII5 15045.260000 NS USD 29313215.850000 0.7103978 Long COMM US N 2 N N N COMMODITY WAREHOUSE RECEIPT N/A 966NPXII5 6086.000000 NS USD 11857570.530000 0.2873650 Long COMM US N 2 N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-1T1 N/A 23246KAA9 5696009.690000 PA USD 3023289.290000 0.0732686 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 1409890.310000 PA USD 754384.090000 0.0182823 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 38694.710000 PA USD 38471.050000 0.0009323 Long ABS-MBS CORP US N 2 2034-08-25 Floating 1.31157 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-6 N/A 126673BR2 150433.790000 PA USD 149411.590000 0.0036209 Long ABS-MBS CORP US N 2 2034-11-25 Floating 1.23657 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2004-7 N/A 126673EG3 2519031.550000 PA USD 2498932.700000 0.0605610 Long ABS-MBS CORP US N 2 2034-11-25 Floating 2.18157 Y N N N N N COUNTRYWIDE ASSET-BACKED CERTIFICATES 2005-8 N/A 1266735Z1 2314000.000000 PA USD 2281989.980000 0.0553034 Long ABS-MBS CORP US N 2 2035-12-25 Floating 1.49157 Y N N N N N COUNTRYWIDE HOME LOANS 2004-HYB7 N/A 12669GBZ3 200633.510000 PA USD 200957.330000 0.0048701 Long ABS-MBS CORP US N 2 2034-11-20 Floating 2.77624 N N N N N N COUNTRYWIDE HOME LOANS 2005-HYB4 N/A 12669GM24 1172077.150000 PA USD 1144670.470000 0.0277408 Long ABS-MBS CORP US N 2 2035-08-20 Floating 2.67182 Y N N N N N CREDIT ACCEPTANCE AUTO LOAN TRUST 2020-2 N/A 22535MAA7 12900000.000000 PA USD 12779579.790000 0.3097096 Long ABS-O CORP US N 2 2029-07-16 Fixed 1.37 N N N N N N DRYDEN 48 EURO CLO 2016 DAC 16-48A N/A ACI2410M6 3000000.000000 PA 3322881.420000 0.0805291 Long ABS-CBDO CORP IE N 2 2032-10-15 Fixed 1.47 N N N N N N DRYDEN CLO LTD 2019-72A N/A 26252NAN9 500000.000000 PA USD 495498.900000 0.0120083 Long ABS-CBDO CORP KY N 2 2032-05-15 Floating 1.58643 N N N N N N EUROSAIL PLC 2007-3A N/A 29880YAJ8 304973.400000 PA 399871.640000 0.0096908 Long ABS-MBS CORP GB N 2 2045-06-13 Floating 1.9721 N N N N N N EUROSAIL PLC 2007-3X N/A ACI01JMT5 894022.570000 PA 1170794.010000 0.0283739 Long ABS-MBS CORP GB N 2 2045-06-13 Floating 1.9721 N N N N N N FANNIE MAE 2006-98 N/A 31396K5N8 15315.070000 PA USD 15381.700000 0.0003728 Long ABS-MBS USGSE US N 2 2036-10-25 Floating 0.88657 N N N N N N FANNIE MAE 2007-75 N/A 31396W3K0 491398.630000 PA USD 493679.900000 0.0119642 Long ABS-MBS USGSE US N 2 2037-08-25 Floating 0.90657 N N N N N N FEDERAL NATIONAL MORTGAGE ASSOCIATION (FANNIE MAE) B1V7KEBTPIMZEU4LTD58 3135G0K36 5695000.000000 PA USD 5613434.670000 0.1360401 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 211903.140000 PA USD 222494.060000 0.0053921 Long ABS-MBS CORP US N 2 2035-04-25 Floating 2.73361 N N N N N N PIMCO FUNDS 549300F9QJIJF2GM8419 000000000 27301702.840000 PA USD 269140186.630000 6.5225392 Long STIV RF US N 1 N N N FNMA PASS THRU POOLS N/A 3138ENEW5 2505108.700000 PA USD 2614821.410000 0.0633695 Long ABS-MBS USGSE US N 2 2038-05-01 Floating 2.055 N N N N N N FNMA PASS THRU POOLS N/A 3138WD2N0 42609.400000 PA USD 43332.520000 0.0010502 Long ABS-MBS USGSE US N 2 2045-02-01 Fixed 3.5 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 1481188.500000 PA USD 14382340.320000 0.3485521 Long STIV RF US N 1 N N N COMMODITY WAREHOUSE RECEIPT N/A 966URE908 200.140000 NS USD 198550.860000 0.0048118 Long COMM US N 2 N N N COMMODITY WAREHOUSE RECEIPT N/A 966TUV909 848.860000 NS USD 842120.930000 0.0204086 Long COMM US N 2 N N N COMMODITY WAREHOUSE RECEIPT N/A 966TXP909 1130.960000 NS USD 1121984.000000 0.0271910 Long COMM US N 2 N N N COMMODITY WAREHOUSE RECEIPT N/A 966TUW907 2474.540000 NS USD 2454887.860000 0.0594935 Long COMM US N 2 N N N COMMODITY WAREHOUSE RECEIPT N/A 935QQQ909 705.410000 NS USD 699808.950000 0.0169597 Long COMM US N 2 N N N FNMA PASS THRU POOLS N/A 3140HGRA7 492749.590000 PA USD 497851.830000 0.0120653 Long ABS-MBS USGSE US N 2 2048-03-01 Fixed 3.5 N N N N N N COMMODITY WAREHOUSE RECEIPT N/A 966TUU901 907.520000 NS USD 900319.130000 0.0218190 Long COMM US N 2 N N N FNMA PASS THRU POOLS N/A 3140J6GJ0 22921.690000 PA USD 23333.900000 0.0005655 Long ABS-MBS USGSE US N 2 2047-05-01 Fixed 3.5 N N N N N N FNMA PASS THRU POOLS N/A 3140Q8V51 46809.360000 PA USD 47314.100000 0.0011466 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 146268.220000 PA USD 147993.860000 0.0035866 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 238792.780000 PA USD 241517.030000 0.0058531 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 578768.890000 PA USD 583962.500000 0.0141522 Long ABS-MBS USGSE US N 2 2047-12-01 Fixed 3.5 N N N N N N FORT CRE 2022-FL3 N/A 34706CAA7 4000000.000000 PA USD 4002280.800000 0.0969942 Long ABS-CBDO CORP US N 2 2026-12-17 Floating 1.93334 N N N N N N FREDDIE MAC 3096 N/A 31396GWQ0 1373436.810000 PA USD 1378918.200000 0.0334177 Long ABS-MBS USGSE US N 2 2032-05-15 Floating 0.84657 N N N N N N FREDDIE MAC 3381 N/A 31397KWR8 338304.260000 PA USD 342970.360000 0.0083118 Long ABS-MBS USGSE US N 2 2037-10-15 Floating 1.01657 N N N N N N FREDDIE MAC 3397 N/A 31397PLU2 144119.230000 PA USD 145942.060000 0.0035369 Long ABS-MBS USGSE US N 2 2037-12-15 Floating 0.99657 N N N N N N FREDDIE MAC STRIPS 278 N/A 3132HTBH8 12402.850000 PA USD 12355.400000 0.0002994 Long ABS-MBS USGSE US N 2 2042-09-15 Floating 0.84657 N N N N N N FREDDIE MAC-3179 N/A 31396UF47 175226.570000 PA USD 175596.250000 0.0042555 Long ABS-MBS USGSE US N 2 2036-07-15 Floating 0.77657 N N N N N N FREMONT HOME LOAN TRUST 2006-C N/A 35729TAE2 5675404.460000 PA USD 3006681.150000 0.0728661 Long ABS-MBS CORP US N 2 2036-10-25 Floating 0.69657 N N N N N N FREMONT HOME LOAN TRUST 2006-E N/A 35729NAA3 1683866.800000 PA USD 1071281.280000 0.0259622 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.59657 N N N N N N FS RIALTO 2022-FL4 N/A 30326MAA3 7400000.000000 PA USD 7407400.000000 0.1795163 Long ABS-CBDO CORP US N 2 2039-01-19 Floating 2.2 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GZP2 4900000.000000 PA USD 4896254.340000 0.1186594 Long DBT CORP US N 2 2024-03-15 Fixed 3 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWM2 3700000.000000 PA USD 3704664.890000 0.0897815 Long DBT CORP US N 2 2023-07-24 Floating 2.905 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-22 N/A 38378BDY2 1089694.040000 PA USD 2549.780000 0.0000618 Long ABS-MBS USGSE US N 2 2053-10-16 Variable 0.22376 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-38 N/A 38380V2S9 2878992.980000 PA USD 2873106.880000 0.0696290 Long ABS-MBS USGSE US N 2 2043-10-20 Floating 0.53057 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H15 N/A 38380LJY0 3086405.220000 PA USD 3020030.840000 0.0731896 Long ABS-MBS USGSE US N 2 2068-08-20 Floating 0.38238 N N N N N N GS MORTGAGE SECURITIES CORP TRUST 2018-HULA N/A 36259AAA7 14178975.110000 PA USD 14016528.010000 0.3396867 Long ABS-MBS CORP US N 2 2025-07-15 Floating 1.317 N N N N N N GSAMP TRUST 2006-FM3 N/A 36245TAD7 781771.940000 PA USD 449966.980000 0.0109048 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.65657 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR6 N/A 362341RX9 6217.430000 PA USD 6288.640000 0.0001524 Long ABS-MBS CORP US N 2 2035-09-25 Floating 2.91023 N N N N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341WZ8 69232.940000 PA USD 70219.590000 0.0017018 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.79786 N N N N N N HALSEYPOINT CLO 3 LTD 2020-3A N/A 40638UAA7 1000000.000000 PA USD 994700.700000 0.0241063 Long ABS-CBDO CORP KY N 2 2032-11-30 Floating 1.749 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-10 N/A 41161PTN3 488947.170000 PA USD 419626.000000 0.0101695 Long ABS-MBS CORP US N 2 2035-11-19 Floating 1.06857 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2005-9 N/A 41161PSK0 339016.420000 PA USD 331555.690000 0.0080352 Long ABS-MBS CORP US N 2 2035-06-20 Floating 1.12857 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2006-12 N/A 41162DAA7 7245582.450000 PA USD 6724557.690000 0.1629678 Long ABS-MBS CORP US N 2 2036-12-19 Floating 0.65357 N N N N N N HARBORVIEW MORTGAGE LOAN TR 2007-1 N/A 41164MAC1 631515.630000 PA USD 592875.780000 0.0143682 Long ABS-MBS CORP US N 2 2037-03-19 Floating 0.70857 N N N N N N HERTZ VEHICLE FINANCING LLC 2022-3A N/A 42806MAS8 20900000.000000 PA USD 20904989.880000 0.5066267 Long ABS-O CORP US N 2 2025-03-25 Fixed 3.37 N N N N N N HGI CRE CLO 2022-FL3 LTD N/A 403950AA6 3100000.000000 PA USD 3103875.000000 0.0752216 Long ABS-CBDO CORP US N 2 2037-04-21 Floating 1.85934 N N N N N N HHT-2019-MAUI N/A 41975AAA0 15550000.000000 PA USD 15440209.230000 0.3741893 Long ABS-MBS CORP US N 2 2038-05-15 Floating 1.54657 N N N N N N HOMEBANC MORTGAGE TRUST 2005-4 N/A 43739EBT3 30814.520000 PA USD 30845.510000 0.0007475 Long ABS-MBS CORP US N 2 2035-10-25 Floating 1.11657 N N N N N N HOSPITALITY MORTGAGE TRUST 2019-HIT N/A 40443RAA9 2527899.980000 PA USD 2492245.210000 0.0603989 Long ABS-MBS CORP US N 2 2036-11-15 Floating 1.39657 N N N N N N IHPT-2018-STAY N/A 46117MAA2 2500000.000000 PA USD 2490456.250000 0.0603555 Long ABS-MBS CORP US N 2 2033-01-15 Floating 1.497 N N N N N N IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC) 2138008L3B3MCG1DFS50 453140AE5 200000.000000 PA USD 200484.670000 0.0048587 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 171732.690000 0.0041619 Long ABS-MBS CORP US N 2 2034-11-25 Floating 1.50657 N N N N N N INDYMAC INDA MORTGAGE LOAN TR 2005-AR1 N/A 45660LZM4 125651.550000 PA USD 106865.000000 0.0025898 Long ABS-MBS CORP US N 2 2035-11-25 Floating 2.74039 Y N N N N N INDYMAC INDX MTGE LOAN TRUST 2006-AR15 N/A 456610AB0 767709.670000 PA USD 752243.540000 0.0182304 Long ABS-MBS CORP US N 2 2036-07-25 Floating 0.87657 N N N N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837BD4 9900000.000000 PA USD 9959913.710000 0.2413758 Long DBT CORP NL N 2 2026-03-28 Floating 1.94011 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI22SVD5 4900000.000000 PA 1530299.900000 0.0370864 Long DBT MUN IL N 2 2023-01-04 None 0 N N N N N N ISRAEL GOVT 213800T8ZHTFZIBYPE21 ACI21KLL6 7900000.000000 PA 2472293.250000 0.0599154 Long DBT MUN IL N 2 2022-11-02 None 0 N N N N N N JP MORGAN ALTERNATIVE LN TRUST 2006-S3 N/A 46628VAG1 1477295.560000 PA USD 1430830.180000 0.0346758 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 39968.720000 PA USD 41229.550000 0.0009992 Long ABS-MBS CORP US N 2 2035-07-25 Floating 2.3145 N N N N N N JP MORGAN MORTGAGE TRUST-2005-A2 N/A 466247NZ2 3272.020000 PA USD 3297.070000 0.0000799 Long ABS-MBS CORP US N 2 2035-04-25 Floating 2.58476 N N N N N N JPMCC-2019-BKWD N/A 46591JAA4 1333972.230000 PA USD 1328477.870000 0.0321953 Long ABS-MBS CORP US N 2 2029-09-15 Floating 1.397 N N N N N N JUBILEE CLO 2015-XVI BV 15-16A N/A ACI0YWRZ1 1610799.830000 PA 1775300.120000 0.0430239 Long ABS-CBDO CORP IE N 2 2029-12-15 Floating 0.298 N N N N N N KOMATSU FINANCE AMERICA INC 549300SRAAFEEQ8Z4D68 ACI0XK426 1780000.000000 PA USD 1780738.700000 0.0431557 Long DBT CORP US N 2 2022-09-11 Fixed 2.437 N N N N N N KREF 2022-FL3 LTD N/A 48275EAA4 1000000.000000 PA USD 994618.900000 0.0241043 Long ABS-CBDO CORP KY N 2 2039-02-15 Floating 1.77979 N N N N N N KVK CLO LTD 2013-1A N/A 482739AF6 57907.660000 PA USD 57987.260000 0.0014053 Long ABS-CBDO CORP KY N 2 2028-01-14 Floating 1.13843 N N N N N N LENDINGPOINT PASS-THROUGH TRUST SERIES 2022-ST2 N/A 52607QAA8 11600000.000000 PA USD 11502559.770000 0.2787614 Long ABS-O CORP US N 3 2028-04-15 Fixed 3.25 N N N N N N LENDINGPOINT PASS-THROUGH TRUST SERIES 2022-ST3 N/A 52607TAA2 19400000.000000 PA USD 19405442.090000 0.4702856 Long ABS-O CORP US N 3 2028-05-15 Fixed 4 N N N N N N LOANCORE ISSUER LTD 2021-CRE5 N/A 53947XAA0 500000.000000 PA USD 495335.930000 0.0120043 Long ABS-CBDO CORP KY N 2 2036-07-15 Floating 1.69657 N N N N N N MADISON PARK FUNDING XXX LTD 2018-30A N/A 55821TAA5 1295168.940000 PA USD 1289452.030000 0.0312495 Long ABS-CBDO CORP KY N 2 2029-04-15 Floating 0.99129 N N N N N N MASSACHUSETTS EDUC FINANCING AUTH 2008-1 N/A 57563NAA6 473539.450000 PA USD 474051.440000 0.0114885 Long ABS-O CORP US N 2 2038-04-25 Floating 1.20771 N N N N N N MASTR ADJUSTABLE RATE MTGES TRU 2004-13 N/A 576433UM6 105297.470000 PA USD 105116.410000 0.0025475 Long ABS-MBS CORP US N 2 2034-11-21 Floating 2.75866 N N N N N N ACE SECURITIES CORP 2004-HE4 N/A 004421JH7 419165.660000 PA USD 406110.370000 0.0098420 Long ABS-MBS CORP US N 2 2034-12-25 Floating 1.35657 N N N N N N MBRT 2019-MBR N/A 55282DAA2 3600000.000000 PA USD 3568170.600000 0.0864736 Long ABS-MBS CORP US N 2 2036-11-15 Floating 1.497 N N N N N N ACE SECURITIES CORP 2005-WF1 N/A 004421QS5 745029.820000 PA USD 739700.850000 0.0179264 Long ABS-MBS CORP US N 2 2035-05-25 Floating 1.32657 N N N N N N MELLON RESIDENTIAL FUND CORP 2000-TBC2 N/A 585525ED6 4254.430000 PA USD 4156.240000 0.0001007 Long ABS-MBS CORP US N 2 2030-06-15 Floating 0.87657 N N N N N N MELLON RESIDENTIAL FUND CORP 2002-TBC1 N/A 585525FN3 68606.580000 PA USD 69025.530000 0.0016728 Long ABS-MBS CORP US N 2 2030-09-15 Floating 1.13657 N N N N N N MERRILL LYNCH MORTGAGE INVS 2005-A5 N/A 59020UYU3 141338.550000 PA USD 142644.150000 0.0034569 Long ABS-MBS CORP US N 2 2035-06-25 Floating 3.03745 N N N N N N MFA 2022-NQM1 TRUST N/A 55284PAC9 5200000.000000 PA USD 5192837.520000 0.1258470 Long ABS-MBS CORP US N 2 2066-12-25 Variable 4.112 N N N N N N MIZUHO FINANCIAL GROUP INC 353800CI5L6DDAN5XZ33 60687YAV1 3100000.000000 PA USD 3103231.190000 0.0752060 Long DBT CORP JP N 2 2023-07-16 Floating 2.721 N N N N N N MLCC MORTGAGE INVESTORS INC 2004-1 N/A 59020UNP6 48853.100000 PA USD 48771.820000 0.0011820 Long ABS-MBS CORP US N 2 2034-12-25 Floating 2.05443 N N N N N N MLCC MORTGAGE INVESTORS INC 2006-2 N/A 590219AG6 2757.760000 PA USD 2597.720000 0.0000630 Long ABS-MBS CORP US N 2 2036-05-25 Floating 1.95479 N N N N N N MORGAN STANLEY ABS CAPITAL I 2005-HE3 N/A 61744CSK3 5889353.930000 PA USD 5837171.900000 0.1414623 Long ABS-MBS CORP US N 2 2035-07-25 Floating 1.49157 N N N N N N ADJUSTABLE RATE MORTAGE TRUST 2005-3 N/A 007036HW9 99522.380000 PA USD 101612.460000 0.0024626 Long ABS-MBS CORP US N 2 2035-07-25 Floating 3.02149 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BH3 3203000.000000 PA USD 3232733.350000 0.0783444 Long DBT CORP GB N 2 2024-06-25 Floating 2.51571 N N N N N N NATWEST GROUP PLC 2138005O9XJIJN4JPN90 780097BJ9 2047000.000000 PA USD 2078491.210000 0.0503717 Long DBT CORP GB N 2 2024-06-25 Floating 4.519 N N N N N N NAVSL-2021-BA N/A 63942LAA0 11445491.400000 PA USD 10813391.250000 0.2620596 Long ABS-O CORP US N 2 2069-07-15 Fixed 0.94 N N N N N N NEW ZEALAND GOVT 549300237GPHG2AI7C34 ACI02MK69 3245411.700000 PA 2359122.800000 0.0571727 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 3020013.790000 PA USD 3006285.710000 0.0728565 Long ABS-O MUN US N 2 2039-07-25 Floating 1.25657 N N N N N N ONE NEW YORK PLAZA TRUST 2020-1NYP N/A 68249DAA7 14400000.000000 PA USD 14200986.240000 0.3441570 Long ABS-MBS CORP US N 2 2036-01-15 Floating 1.347 N N N N N N OPTEUM MORTGAGE ACCEPTANCE CORP 2005-5 N/A 68383NCY7 4179064.290000 PA USD 4165876.420000 0.1009589 Long ABS-MBS CORP US N 2 2035-12-25 Floating 1.21657 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-1 N/A 68400DAA2 1880591.670000 PA USD 1445203.670000 0.0350241 Long ABS-MBS CORP US N 2 2037-01-25 Floating 0.59657 N N N N N N OPTION ONE MORTGAGE LOAN TRUST 2007-2 N/A 68401TAA6 1561452.640000 PA USD 1164867.090000 0.0282302 Long ABS-MBS CORP US N 2 2037-03-25 Floating 0.59657 N N N N N N OZLM XI LTD 2015-11A N/A 67109UAS1 1187024.260000 PA USD 1187791.200000 0.0287858 Long ABS-CBDO CORP KY N 2 2030-10-30 Floating 1.549 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JE8 16900000.000000 PA USD 16882584.380000 0.4091448 Long DBT CORP US N 2 2022-06-16 Fixed 1.75 N N N N N N PAGAYA AI DEBT SELECTION TRUST 2021-3 N/A 69546RAA4 13944110.820000 PA USD 13664228.810000 0.3311489 Long ABS-O CORP US N 2 2029-05-15 Fixed 1.15 N N N N N N PAGAYA AI DEBT SELECTION TRUST 2022-1 N/A 69546MAA5 6150000.000000 PA USD 6040152.390000 0.1463814 Long ABS-O CORP US N 2 2029-10-15 Fixed 2.03 N N N N N N PALMER SQUARE LOAN FUNDING 2020-1 LTD N/A 69701EAC0 3411058.000000 PA USD 3404446.310000 0.0825058 Long ABS-CBDO CORP KY N 2 2028-02-20 Floating 1.82957 N N N N N N ALLY FINANCIAL INC 549300JBN1OSM8YNAI90 36186CBY8 1424000.000000 PA USD 1789468.960000 0.0433673 Long DBT CORP US N 2 2031-11-01 Fixed 8 N N N N N N RAD CLO LTD 2019-5A N/A 74923EAA6 1700000.000000 PA USD 1685972.110000 0.0408591 Long ABS-CBDO CORP KY N 2 2032-07-24 Floating 1.37886 N N N N N N READY CAPITAL MORTGAGE FINANCING 2022-FL8 LLC N/A 75574PAA0 1700000.000000 PA USD 1702377.280000 0.0412567 Long ABS-MBS CORP US N 2 2037-01-25 Floating 1.75634 N N N N N N REGATTA VIII FUNDING LTD 2017-1A N/A 75888KAA2 1450000.000000 PA USD 1444303.240000 0.0350023 Long ABS-CBDO CORP KY N 2 2030-10-17 Floating 1.49129 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QO6 N/A 75114NAA2 100323.460000 PA USD 27376.560000 0.0006635 Long ABS-MBS CORP US N 2 2046-06-25 Floating 0.81657 N N N N N N RESIDENTIAL ACCREDIT LOANS 2006-QS13 N/A 75115DAE5 162573.250000 PA USD 147496.840000 0.0035745 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 424722.510000 PA USD 385335.400000 0.0093385 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 7290247.800000 PA USD 3716625.190000 0.0900714 Long ABS-MBS CORP US N 2 2036-09-25 Fixed 6.5 Y N N N N N SABINE PASS LIQUEFACTION LLC 549300KJYBG7C6WJYZ11 785592AJ5 100000.000000 PA USD 104711.080000 0.0025376 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 675438.630000 PA USD 659367.650000 0.0159796 Long ABS-MBS CORP US N 2 2037-09-25 Floating 0.76657 N N N N N N AMERICAN HOME MTGE INV TRUST 2005-2 N/A 02660TEQ2 163.160000 PA USD 163.260000 0.0000040 Long ABS-MBS CORP US N 2 2045-09-25 Floating 2.32871 N N N N N N SLM STUDENT LOAN TRUST 2008-9 N/A 78445JAA5 1610775.040000 PA USD 1615023.140000 0.0391396 Long ABS-O CORP US N 2 2023-04-25 Floating 1.75771 N N N N N N SMALL BUSINESS ADMIN PART CERT 2004-20I N/A 83162CPA5 24422.620000 PA USD 24530.910000 0.0005945 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 29767.250000 PA USD 30065.480000 0.0007286 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 29737.470000 PA USD 30198.540000 0.0007319 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 43223.640000 PA USD 44381.910000 0.0010756 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 22182.390000 PA USD 22912.710000 0.0005553 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 24182.280000 PA USD 24544.800000 0.0005948 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 14237.120000 PA USD 14770.100000 0.0003579 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 8750.020000 PA USD 9143.620000 0.0002216 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 39338.660000 PA USD 41401.610000 0.0010034 Long ABS-O CORP US N 2 2028-11-01 Fixed 6.77 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2018-A N/A 78449PAC3 4342847.510000 PA USD 4328674.630000 0.1049043 Long ABS-O CORP US N 2 2036-02-15 Floating 1.19657 N N N N N N SMB PRIVATE EDUCATION LOAN TRUST 2020-PTA N/A 78449VAC0 400083.070000 PA USD 398969.600000 0.0096689 Long ABS-O CORP US N 2 2054-09-15 Floating 1.30657 N N N N N N SOUNDS POINT CLO IV-R LTD 2013-3RA N/A 83609YAC0 1400000.000000 PA USD 1395396.910000 0.0338171 Long ABS-CBDO CORP KY N 2 2031-04-18 Floating 1.39129 N N N N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT5 N/A 83613FAC5 870670.430000 PA USD 785555.080000 0.0190377 Long ABS-MBS CORP US N 2 2037-10-25 Floating 1.40657 N N N N N N STRUCTURED ADJUSTABLE RATE MORTGAGE LOAN TRUST 2004-17 N/A 863579DS4 528964.530000 PA USD 511226.020000 0.0123894 Long ABS-MBS CORP US N 2 2034-11-25 Floating 1.18057 N N N N N N STRUCTURED ASSET MTG INV INC 2004-AR8 N/A 86359LGE3 36770.220000 PA USD 35400.920000 0.0008579 Long ABS-MBS CORP US N 2 2035-05-19 Floating 1.12857 N N N N N N STRUCTURED ASSET MTGE INVEST 2006-AR5 N/A 86360JAA9 55536.540000 PA USD 53493.220000 0.0012964 Long ABS-MBS CORP US N 2 2036-05-25 Floating 0.87657 N N N N N N STRUCTURED ASSET SEC CORP 2005-7XS N/A 86359B7K1 55009.010000 PA USD 55181.280000 0.0013373 Long ABS-MBS CORP US N 2 2035-04-25 Floating 1.73057 N N N N N N AMMC CLO 16 LTD 2015-16A N/A 00176JAT3 920618.330000 PA USD 918325.480000 0.0222554 Long ABS-CBDO CORP KY N 2 2029-04-14 Floating 1.21843 N N N N N N SYMPHONY CLO XVII LTD 2016-17A N/A 87165UAQ4 7400000.000000 PA USD 7356516.860000 0.1782832 Long ABS-CBDO CORP KY N 2 2028-04-15 Floating 1.44129 N N N N N N THARALDSON HOTEL PORTFOLIO TRUST 2018 N/A 88327HAA1 2134561.490000 PA USD 2107271.760000 0.0510692 Long ABS-MBS CORP US N 2 2034-11-11 Floating 1.34 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2007-1 N/A 88522EAC7 1878289.240000 PA USD 1730639.740000 0.0419416 Long ABS-MBS CORP US N 2 2037-03-25 Floating 3.31086 Y N N N N N TICP CLO II LTD 2018-IIA N/A 87249TAC8 9160678.230000 PA USD 9136101.870000 0.2214109 Long ABS-CBDO CORP KY N 2 2028-04-20 Floating 1.094 N N N N N N TOWD POINT MORTGAGE FUNDING 2019 - GRANITE4 PLC N/A ACI19VH23 5191997.210000 PA 6848224.390000 0.1659649 Long ABS-MBS CORP GB N 2 2051-10-20 Floating 1.23625 N N N N N N TPG REAL ESTATE FINANCE ISSUER LTD 2022-FL5 N/A 87277JAA9 3200000.000000 PA USD 3180276.480000 0.0770731 Long ABS-CBDO CORP KY N 2 2039-02-15 Floating 1.7 N N N N N N TRANSCANADA PIPELINES LIMITED 5BV01I6231JPDAPMGH09 89352HAK5 89000.000000 PA USD 90302.620000 0.0021885 Long DBT CORP CA N 2 2023-10-16 Fixed 3.75 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 90352JAE3 5800000.000000 PA USD 5809820.680000 0.1407994 Long DBT CORP CH N 2 2023-08-15 Floating 2.859 N N N N N N UMBS PASS THRU POOLS N/A 01F032666 -14500000.000000 PA USD -14446592.010000 -0.3501092 Short ABS-MBS USGSE US N 2 2052-06-13 Fixed 3.5 N N N N N N UMBS PASS THRU POOLS N/A 01F040651 260500000.000000 PA USD 265005977.910000 6.4223478 Long ABS-MBS USGSE US N 2 2052-05-12 Fixed 4 N N N N N N UNITED KINGDOM GOVT ECTRVYYCEF89VWYS6K36 B128DHII8 34378961.120000 PA 57867956.660000 1.4024142 Long DBT NUSS GB N 2 2027-11-22 Fixed 1.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796V97 78800000.000000 PA USD 78736019.130000 1.9081460 Long DBT UST US N 2 2022-06-14 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796X20 1900000.000000 PA USD 1896145.640000 0.0459526 Long DBT UST US N 2 2022-07-19 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796X38 268300000.000000 PA USD 267668899.380000 6.4868830 Long DBT UST US N 2 2022-07-26 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796G45 80700000.000000 PA USD 80694731.900000 1.9556149 Long DBT UST US N 2 2022-04-21 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796N47 3900000.000000 PA USD 3899909.010000 0.0945132 Long DBT UST US N 2 2022-04-07 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796P29 108245000.000000 PA USD 108239674.350000 2.6231591 Long DBT UST US N 2 2022-04-14 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796P37 94743000.000000 PA USD 94735805.220000 2.2958965 Long DBT UST US N 2 2022-04-28 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796T90 130000000.000000 PA USD 129991305.600000 3.1503039 Long DBT UST US N 2 2022-04-19 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796H44 158800000.000000 PA USD 158748301.070000 3.8472219 Long DBT UST US N 2 2022-05-19 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796P45 42000000.000000 PA USD 41994347.640000 1.0177216 Long DBT UST US N 2 2022-05-05 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796Q28 226400000.000000 PA USD 226351912.640000 5.4855770 Long DBT UST US N 2 2022-05-12 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796Q36 100000000.000000 PA USD 99956840.000000 2.4224268 Long DBT UST US N 2 2022-05-26 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796U80 10900000.000000 PA USD 10897889.220000 0.2641074 Long DBT UST US N 2 2022-05-10 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796V30 75400000.000000 PA USD 75358215.580000 1.8262859 Long DBT UST US N 2 2022-05-31 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796J42 14800000.000000 PA USD 14787189.710000 0.3583635 Long DBT UST US N 2 2022-06-16 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796Q44 3500000.000000 PA USD 3498062.090000 0.0847746 Long DBT UST US N 2 2022-06-02 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796R43 226700000.000000 PA USD 226458918.150000 5.4881703 Long DBT UST US N 2 2022-06-23 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912796R50 377900000.000000 PA USD 377421718.420000 9.1467127 Long DBT UST US N 2 2022-06-30 None 0 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828V49 174537.000000 PA USD 185070.300000 0.0044851 Long DBT UST US N 2 2027-01-15 Fixed 0.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128283R9 6945191.550000 PA USD 7433177.930000 0.1801410 Long DBT UST US N 2 2028-01-15 Fixed 0.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810PZ5 34495839.000000 PA USD 42044989.470000 1.0189489 Long DBT UST US N 2 2029-01-15 Fixed 2.5 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CDX6 137594372.000000 PA USD 146468669.620000 3.5496284 Long DBT UST US N 2 2032-01-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QF8 1353737.220000 PA USD 1916029.060000 0.0464344 Long DBT UST US N 2 2040-02-15 Fixed 2.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QP6 120648.060000 PA USD 170671.790000 0.0041362 Long DBT UST US N 2 2041-02-15 Fixed 2.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810QV3 2138264.100000 PA USD 2446057.940000 0.0592795 Long DBT UST US N 2 2042-02-15 Fixed 0.75 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RF7 12780087.970000 PA USD 16400275.880000 0.3974562 Long DBT UST US N 2 2044-02-15 Fixed 1.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810RW0 1937528.320000 PA USD 2322275.450000 0.0562797 Long DBT UST US N 2 2047-02-15 Fixed 0.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810SG4 934912.260000 PA USD 1170670.940000 0.0283709 Long DBT UST US N 2 2049-02-15 Fixed 1 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828X39 102861.750000 PA USD 103255.920000 0.0025024 Long DBT UST US N 2 2022-04-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810FH6 2409051.840000 PA USD 3186873.010000 0.0772330 Long DBT UST US N 2 2029-04-15 Fixed 3.875 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810FQ6 1151211.770000 PA USD 1624923.950000 0.0393796 Long DBT UST US N 2 2032-04-15 Fixed 3.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828VM9 326100.600000 PA USD 342335.840000 0.0082964 Long DBT UST US N 2 2023-07-15 Fixed 0.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828XL9 24652992.000000 PA USD 26079615.540000 0.6320324 Long DBT UST US N 2 2025-07-15 Fixed 0.375 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828S50 4833415.980000 PA USD 5082371.370000 0.1231699 Long DBT UST US N 2 2026-07-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 9128287D6 1097721.180000 PA USD 1172625.240000 0.0284183 Long DBT UST US N 2 2029-07-15 Fixed 0.25 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CCM1 19925300.000000 PA USD 21210133.760000 0.5140218 Long DBT UST US N 2 2031-07-15 Fixed 0.125 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912828B66 42010000.000000 PA USD 42342305.820000 1.0261543 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 33238595.280000 0.8055283 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 24684802.370000 0.5982295 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 2137470.120000 0.0518010 Long DBT UST US N 2 2045-05-15 Fixed 3 N N N N N N UPSTART PASS-THROUGH TRUST SERIES 2022-ST2 N/A 91680UAA7 1300000.000000 PA USD 1290716.140000 0.0312802 Long ABS-O CORP US N 3 2030-04-20 Fixed 3.8 N N N N N N VENTURE XXI CLO LTD 2015-21A N/A 92330MAL3 452454.150000 PA USD 452876.170000 0.0109753 Long ABS-CBDO CORP KY N 2 2027-07-15 Floating 1.12129 N N N N N N VERIZON COMMUNICATIONS INC 2S72QS2UO2OESLG6Y829 92343VEU4 2302000.000000 PA USD 2392048.120000 0.0579706 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 342956.970000 0.0083115 Long DBT CORP US N 2 2032-03-15 Fixed 2.355 N N N N N N VMC FINANCE 2022-FL5 LLC N/A 91835BAA3 1900000.000000 PA USD 1918997.910000 0.0465064 Long ABS-CBDO CORP US N 2 2039-02-18 Floating 1.95 N N N N N N VOYA CLO 2017-2A N/A 92915UAG9 1300000.000000 PA USD 1295179.810000 0.0313883 Long ABS-CBDO CORP KY N 2 2030-06-07 Floating 1.22129 N N N N N N WASHINGTON MUTUAL 2004-AR11 N/A 92922FYA0 24524.620000 PA USD 24109.450000 0.0005843 Long ABS-MBS CORP US N 2 2034-10-25 Floating 2.40164 N N N N N N WASHINGTON MUTUAL 2004-AR13 N/A 92922FB72 163193.160000 PA USD 156773.470000 0.0037994 Long ABS-MBS CORP US N 2 2034-11-25 Floating 1.19657 N N N N N N WASHINGTON MUTUAL 2004-AR14 N/A 939336V91 33231.850000 PA USD 33221.050000 0.0008051 Long ABS-MBS CORP US N 2 2035-01-25 Floating 2.74834 N N N N N N WASHINGTON MUTUAL 2004-AR3 N/A 92922FNH7 27537.600000 PA USD 27434.650000 0.0006649 Long ABS-MBS CORP US N 2 2034-06-25 Floating 2.60954 N N N N N N WASHINGTON MUTUAL 2005-AR1 N/A 939336X81 198153.960000 PA USD 196416.230000 0.0047601 Long ABS-MBS CORP US N 2 2045-01-25 Floating 1.25657 N N N N N N WASHINGTON MUTUAL 2005-AR2 N/A 92922FD39 260989.870000 PA USD 258554.680000 0.0062660 Long ABS-MBS CORP US N 2 2045-01-25 Floating 1.19657 N N N N N N WELLS FARGO MTGE BK SEC TR 2006-AR4 N/A 94983PAF5 170743.290000 PA USD 166311.820000 0.0040305 Long ABS-MBS CORP US N 2 2036-04-25 Floating 2.88479 Y N N N N N N/A N/A 000000000 63923000.000000 PA USD 63923000.000000 1.5491565 Long RA US N 2 Repurchase N 0.0100000 2022-04-01 65382100.000000 USD 65201580.020000 USD UST N N N N/A N/A 000000000 450000000.000000 PA USD 450000000.000000 10.9056276 Long RA US N 2 Repurchase N 0.2700000 2022-04-05 585219000.000000 USD 465703843.730000 USD UST N N N N/A N/A 000000000 262400000.000000 PA USD 262400000.000000 6.3591926 Long RA US N 2 Repurchase N 0.2800000 2022-04-01 266283000.000000 USD 266217044.260000 USD UST N N N N/A N/A 000000000 1.000000 NC -18129.080000 -0.0004394 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 240155.000000 USD 200000.000000 EUR 2022-07-01 -18129.080000 N N N N/A N/A 000000000 1.000000 NC -36221.600000 -0.0008778 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 402564.360000 USD 330000.000000 EUR 2022-07-01 -36221.600000 N N N N/A N/A 000000000 1.000000 NC -21357.560000 -0.0005176 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1158294.150000 USD 1020000.000000 EUR 2022-09-09 -21357.560000 N N N N/A N/A 000000000 1.000000 NC 800.290000 0.0000194 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 2760736.220000 USD 2477506.000000 EUR 2022-09-09 800.290000 N N N N/A N/A 000000000 1.000000 NC -121.330000 -0.0000029 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 215198.520000 USD 192956.000000 EUR 2022-09-09 -121.330000 N N N N/A N/A 000000000 1.000000 NC 3369.290000 0.0000817 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 814236.880000 USD 738000.000000 EUR 2022-05-18 3369.290000 N N N N/A N/A 000000000 1.000000 NC 4337.560000 0.0001051 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 401469.660000 USD 364069.000000 EUR 2022-09-09 4337.560000 N N N N/A N/A 000000000 1.000000 NC 4992.310000 0.0001210 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1018677.200000 USD 924000.000000 EUR 2022-05-18 4992.310000 N N N N/A N/A 000000000 1.000000 NC 8944.700000 0.0002168 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 1659677.000000 EUR 1851401.230000 USD 2022-07-01 8944.700000 N N N N/A N/A 000000000 1.000000 NC -719.360000 -0.0000174 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 450000.000000 EUR 498838.950000 USD 2022-07-01 -719.360000 N N N N/A N/A 000000000 1.000000 NC 5318.800000 0.0001289 N/A DFE N/A N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 861000.000000 EUR 959192.660000 USD 2022-05-18 5318.800000 N N N N/A N/A 000000000 1.000000 NC 514.360000 0.0000125 N/A DFE GB N 2 Bank of America, National Association B4TYDEB6GKMZO031MB27 266000.000000 GBP 349945.160000 USD 2022-04-04 514.360000 N N N ASHFORD HOSPITALITY TRUST 2018-ASHF N/A 04410RAA4 530521.590000 PA USD 521172.000000 0.0126305 Long ABS-MBS CORP US N 2 2035-04-15 Floating 1.297 N N N N N N N/A N/A 000000000 1.000000 NC -8269.970000 -0.0002004 N/A DFE N/A N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 650833.080000 USD 580000.000000 EUR 2022-05-18 -8269.970000 N N N N/A N/A 000000000 1.000000 NC -23017.190000 -0.0005578 N/A DFE IL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 7899210.000000 ILS 2474069.780000 USD 2022-11-02 -23017.190000 N N N N/A N/A 000000000 -486479.000000 NC USD -5557258.320000 -0.1346786 N/A DCO US N 2 UBS Securities LLC T6FIZBDPKLYJKFCRVK44 Call Written BCOM COMMODITY INDEX BCOM INDEX N/A 119.900000 USD 2023-01-20 XXXX -3728097.280000 N N N N/A N/A 000000000 -101213.320000 NC USD -101705.820000 -0.0024648 N/A DCO US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written BCOM COMMODITY INDEX BCOM INDEX N/A 109.220000 USD 2022-06-23 XXXX 29653.890000 N N N N/A N/A 000000000 -8065.000000 NC USD -55739.580000 -0.0013508 N/A DCO US N 2 MORGAN STANLEY & CO. LLC 9R7GPTSO7KV3UQJZQ078 Call Written BCOM COMMODITY INDEX BCOM INDEX N/A 130.560000 USD 2023-02-08 XXXX -41436.780000 N N N N/A N/A 000000000 1.000000 NC -12448.680000 -0.0003017 N/A DFE N/A N 2 BNP Paribas S.A. N/A 153324.120000 USD 126900.000000 EUR 2022-07-01 -12448.680000 N N N N/A N/A 000000000 1.000000 NC -15421.070000 -0.0003737 N/A DFE N/A N 2 BNP Paribas S.A. N/A 179720.250000 USD 148000.000000 EUR 2022-07-01 -15421.070000 N N N N/A N/A 000000000 1.000000 NC -175616.120000 -0.0042560 N/A DFE N/A N 2 BNP Paribas S.A. N/A 4007384.890000 USD 3451641.000000 EUR 2022-07-01 -175616.120000 N N N N/A N/A 000000000 1.000000 NC -51168.550000 -0.0012401 N/A DFE N/A N 2 BNP Paribas S.A. N/A 4514766.460000 USD 4029000.000000 EUR 2022-05-18 -51168.550000 N N N N/A N/A 000000000 1.000000 NC 1933.510000 0.0000469 N/A DFE N/A N 2 BNP Paribas S.A. N/A 857771.620000 USD 776000.000000 EUR 2022-05-18 1933.510000 N N N N/A N/A 000000000 1.000000 NC -6522.060000 -0.0001581 N/A DFE GB N 2 BNP Paribas S.A. N/A 1094223.940000 USD 828000.000000 GBP 2022-04-04 -6522.060000 N N N N/A N/A 000000000 1.000000 NC -5126.740000 -0.0001242 N/A DFE CA N 2 BNP Paribas S.A. N/A 439000.000000 CAD 345978.380000 USD 2022-05-18 -5126.740000 N N N N/A N/A 000000000 1.000000 NC 2264.230000 0.0000549 N/A DFE N/A N 2 BNP Paribas S.A. N/A 370000.000000 EUR 413012.170000 USD 2022-07-01 2264.230000 N N N N/A N/A 000000000 1.000000 NC 66247.090000 0.0016055 N/A DFE N/A N 2 BNP Paribas S.A. N/A 1670265.000000 EUR 1920457.670000 USD 2022-07-01 66247.090000 N N N N/A N/A 000000000 1.000000 NC 611844.330000 0.0148279 N/A DFE N/A N 2 BNP Paribas S.A. N/A 22908000.000000 EUR 25990871.590000 USD 2022-05-18 611844.330000 N N N N/A N/A 000000000 1.000000 NC 5585.800000 0.0001354 N/A DFE N/A N 2 BNP Paribas S.A. N/A 186000.000000 EUR 211649.140000 USD 2022-05-18 5585.800000 N N N N/A N/A 000000000 1.000000 NC 14145.870000 0.0003428 N/A DFE N/A N 2 BNP Paribas S.A. N/A 1149000.000000 EUR 1287085.560000 USD 2022-05-18 14145.870000 N N N N/A N/A 000000000 1.000000 NC -66593.590000 -0.0016139 N/A DFE N/A N 2 BNP Paribas S.A. N/A 3020000.000000 EUR 3274280.680000 USD 2022-04-04 -66593.590000 N N N N/A N/A 000000000 1.000000 NC 151863.640000 0.0036804 N/A DFE GB N 2 BNP Paribas S.A. N/A 5621000.000000 GBP 7535888.080000 USD 2022-04-04 151863.640000 N N N ASSET BACKED SEC HOME EQTY LN 2006-HE6 N/A 04544NAR5 5873000.000000 PA USD 5693771.310000 0.1379870 Long ABS-MBS CORP US N 2 2036-11-25 Floating 0.68657 N N N N N N N/A N/A 000000000 1.000000 NC -849.500000 -0.0000206 N/A DFE MX N 2 BNP Paribas S.A. N/A 503000.000000 MXN 24046.970000 USD 2022-07-01 -849.500000 N N N N/A N/A 000000000 1.000000 NC -54723.120000 -0.0013262 N/A DFE NZ N 2 BNP Paribas S.A. N/A 3374000.000000 NZD 2283628.130000 USD 2022-04-04 -54723.120000 N N N N/A N/A 000000000 -1840.000000 NC USD -384919.100000 -0.0093284 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Brent Oil 2022-10-31 -175738400.000000 USD -384919.100000 N N N N/A N/A 000000000 360.000000 NC USD 5738.920000 0.0001391 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Brent Oil 2023-10-31 31255200.000000 USD 5738.920000 N N N N/A N/A 000000000 -362.000000 NC USD -528332.090000 -0.0128040 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Brent Oil 2024-10-31 -29470420.000000 USD -528332.090000 N N N N/A N/A 000000000 104.000000 NC USD -744754.470000 -0.0180489 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Brent Oil 2022-04-29 10889840.000000 USD -744754.470000 N N N N/A N/A 000000000 268.000000 NC USD 552835.310000 0.0133978 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Brent Oil 2023-04-28 24245960.000000 USD 552835.310000 N N N N/A N/A 000000000 8.000000 NC USD 11516.700000 0.0002791 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Brent Oil 2024-04-30 669360.000000 USD 11516.700000 N N N N/A N/A 000000000 -79.000000 NC USD 50426.210000 0.0012221 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Brent Oil 2022-07-29 -7854970.000000 USD 50426.210000 N N N N/A N/A 000000000 -96.000000 NC USD -524022.720000 -0.0126995 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 04/29/22 2022-04-30 N/A USD N/A 102.000000 USD 2022-04-26 XXXX -524022.720000 N N N N/A N/A 000000000 -48.000000 NC USD -243916.320000 -0.0059112 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 04/29/22 2022-04-30 N/A USD N/A 103.000000 USD 2022-04-26 XXXX -243916.320000 N N N N/A N/A 000000000 -48.000000 NC USD -226362.720000 -0.0054858 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 04/29/22 2022-04-30 N/A USD N/A 104.000000 USD 2022-04-26 XXXX -226362.720000 N N N N/A N/A 000000000 -209.000000 NC USD -37973.210000 -0.0009203 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 04/28/23 2023-04-29 N/A USD N/A 75.000000 USD 2023-04-25 XXXX -37973.210000 N N N N/A N/A 000000000 4.000000 NC USD -4677.570000 -0.0001134 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Other Crude 2022-04-29 12400.000000 USD -4677.570000 N N N N/A N/A 000000000 -22.000000 NC USD -31347.480000 -0.0007597 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Other Crude 2022-08-31 -86900.000000 USD -31347.480000 N N N N/A N/A 000000000 -22.000000 NC USD -21447.480000 -0.0005198 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Other Crude 2022-12-30 -77000.000000 USD -21447.480000 N N N N/A N/A 000000000 34.000000 NC USD 52834.830000 0.0012804 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Other Crude 2023-12-29 95540.000000 USD 52834.830000 N N N N/A N/A 000000000 34.000000 NC USD 65414.830000 0.0015853 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Other Crude 2023-02-28 108120.000000 USD 65414.830000 N N N N/A N/A 000000000 34.000000 NC USD 71194.830000 0.0017254 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Other Crude 2023-01-31 113900.000000 USD 71194.830000 N N N N/A N/A 000000000 -22.000000 NC USD -40807.480000 -0.0009890 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Other Crude 2022-07-29 -96360.000000 USD -40807.480000 N N N N/A N/A 000000000 34.000000 NC USD 53854.830000 0.0013052 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Other Crude 2023-07-31 96560.000000 USD 53854.830000 N N N N/A N/A 000000000 -42.000000 NC USD -90556.680000 -0.0021946 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Other Crude 2022-06-30 -201600.000000 USD -90556.680000 N N N N/A N/A 000000000 34.000000 NC USD 53854.830000 0.0013052 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Other Crude 2023-06-30 96560.000000 USD 53854.830000 N N N N/A N/A 000000000 4.000000 NC USD -1195.840000 -0.0000290 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Other Crude 2022-03-31 6416.000000 USD -1195.840000 N N N N/A N/A 000000000 34.000000 NC USD 63034.830000 0.0015276 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Other Crude 2023-03-31 105740.000000 USD 63034.830000 N N N N/A N/A 000000000 -149.000000 NC USD 930.040000 0.0000225 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Other Crude 2022-05-31 -706260.000000 USD 930.040000 N N N N/A N/A 000000000 34.000000 NC USD 55554.830000 0.0013464 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Other Crude 2023-05-31 98260.000000 USD 55554.830000 N N N N/A N/A 000000000 34.000000 NC USD 53854.830000 0.0013052 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Other Crude 2023-11-30 96560.000000 USD 53854.830000 N N N N/A N/A 000000000 34.000000 NC USD 53854.830000 0.0013052 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Other Crude 2023-10-31 96560.000000 USD 53854.830000 N N N N/A N/A 000000000 -22.000000 NC USD -25187.480000 -0.0006104 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Other Crude 2022-09-30 -80740.000000 USD -25187.480000 N N N N/A N/A 000000000 34.000000 NC USD 53854.830000 0.0013052 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Other Crude 2023-09-29 96560.000000 USD 53854.830000 N N N N/A N/A 000000000 34.000000 NC USD 59294.830000 0.0014370 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Other Crude 2023-04-28 102000.000000 USD 59294.830000 N N N N/A N/A 000000000 34.000000 NC USD 53854.830000 0.0013052 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Long N/A Other Crude 2023-08-31 96560.000000 USD 53854.830000 N N N N/A N/A 000000000 -22.000000 NC USD -22107.480000 -0.0005358 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Other Crude 2022-11-30 -77660.000000 USD -22107.480000 N N N N/A N/A 000000000 -22.000000 NC USD -22327.480000 -0.0005411 N/A DCO GB N 1 Intercontinental Exchange 5493000F4ZO33MV32P92 Short N/A Other Crude 2022-10-31 -77880.000000 USD -22327.480000 N N N N/A N/A 000000000 -14.000000 NC USD -2702.480000 -0.0000655 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2023-04-28 -74620.000000 USD -2702.480000 N N N N/A N/A 000000000 -14.000000 NC USD -4382.480000 -0.0001062 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2023-08-31 -76300.000000 USD -4382.480000 N N N N/A N/A 000000000 -14.000000 NC USD -1162.480000 -0.0000282 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2023-12-29 -73080.000000 USD -1162.480000 N N N N/A N/A 000000000 -14.000000 NC USD 237.520000 0.0000058 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2023-02-28 -71680.000000 USD 237.520000 N N N N/A N/A 000000000 -14.000000 NC USD 657.520000 0.0000159 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2023-01-31 -71260.000000 USD 657.520000 N N N N/A N/A 000000000 -14.000000 NC USD -4662.480000 -0.0001130 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2023-07-31 -76580.000000 USD -4662.480000 N N N N/A N/A 000000000 -14.000000 NC USD -4662.480000 -0.0001130 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2023-06-30 -76580.000000 USD -4662.480000 N N N N/A N/A 000000000 -14.000000 NC USD -2282.480000 -0.0000553 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2023-03-31 -74200.000000 USD -2282.480000 N N N N/A N/A 000000000 -14.000000 NC USD -2982.480000 -0.0000723 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2023-05-31 -74900.000000 USD -2982.480000 N N N N/A N/A 000000000 -14.000000 NC USD -1862.480000 -0.0000451 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2023-11-30 -73780.000000 USD -1862.480000 N N N N/A N/A 000000000 -14.000000 NC USD -3122.480000 -0.0000757 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2023-10-31 -75040.000000 USD -3122.480000 N N N N/A N/A 000000000 -14.000000 NC USD -4382.480000 -0.0001062 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short N/A Spread 2023-09-29 -76300.000000 USD -4382.480000 N N N AT&T INC 549300Z40J86GGSTL398 00206RMM1 378000.000000 PA USD 336586.330000 0.0081571 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 USD -197694.850000 -0.0047911 N/A DCO US N 2 JPMorgan Chase Bank, National Association 7H6GLXDRUGQFU57RNE97 COMM SWAP JMABNIC5 JPM JMABNIC5 Internal ID COMM SWAP JMABNIC5 JPM 3901334.661620 USD -10224.548100 USD COMM SWAP JMABNIC5 JPM 15237830.290216 USD -39935.033071 USD COMM SWAP JMABNIC5 JPM 1216239.796356 USD -3187.499504 USD COMM SWAP JMABNIC5 JPM 11205352.435277 USD -29366.787237 USD COMM SWAP JMABNIC5 JPM -11226.485841 USD 29.422173 USD COMM SWAP JMABNIC5 JPM 4840171.103974 USD -12685.033855 USD COMM SWAP JMABNIC5 JPM 4273794.195346 USD -11200.683383 USD COMM SWAP JMABNIC5 JPM 3720197.802857 USD -9749.827860 USD COMM SWAP JMABNIC5 JPM 2715320.130671 USD -7116.262431 USD COMM SWAP JMABNIC5 JPM 10332936.390035 USD -27080.374870 USD COMM SWAP JMABNIC5 JPM 2047975.617025 USD -5367.297866 USD COMM SWAP JMABNIC5 JPM 3677604.328931 USD -9638.199645 USD COMM SWAP JMABNIC5 JPM 8475201.287584 USD -22211.655942 USD COMM SWAP JMABNIC5 JPM 3800799.905948 USD -9961.068410 USD Y Single Leg Swap 2023-02-15 0.000000 USD 0.000000 USD 75433531.460000 USD -197694.850000 N N N N/A N/A 000000000 1.000000 NC USD 5931315.750000 0.1437438 N/A DCO US N 2 MACQUARIE BANK LIMITED 4ZHCHI4KYZG2WVRT8631 COMM SWAP PIMCODB MAC PIMCODB1 Internal ID COMM SWAP PIMCODB MAC 4459117.128924 USD 280614.882001 USD COMM SWAP PIMCODB MAC 4609066.616890 USD 290051.292092 USD COMM SWAP PIMCODB MAC 1140582.496261 USD 71777.532042 USD COMM SWAP PIMCODB MAC 3954614.379783 USD 248866.225187 USD COMM SWAP PIMCODB MAC 8438398.893053 USD 531033.440296 USD COMM SWAP PIMCODB MAC -12576191.067333 USD -791427.152585 USD COMM SWAP PIMCODB MAC 5766421.573513 USD 362884.324999 USD COMM SWAP PIMCODB MAC 2748057.168410 USD 172936.865247 USD COMM SWAP PIMCODB MAC 6342064.273163 USD 399109.861034 USD COMM SWAP PIMCODB MAC 15201337.171462 USD 956629.151758 USD COMM SWAP PIMCODB MAC 401621.841534 USD 25274.300363 USD COMM SWAP PIMCODB MAC 3990069.360771 USD 251097.428141 USD COMM SWAP PIMCODB MAC 4181946.461267 USD 263172.367721 USD COMM SWAP PIMCODB MAC 2772331.940509 USD 174464.491033 USD COMM SWAP PIMCODB MAC 5574425.307528 USD 350801.886264 USD COMM SWAP PIMCODB MAC 4583272.997749 USD 288428.084363 USD COMM SWAP PIMCODB MAC 10440999.229354 USD 657058.265574 USD COMM SWAP PIMCODB MAC 6212028.491344 USD 390926.632266 USD COMM SWAP PIMCODB MAC 2335595.658553 USD 146980.418136 USD COMM SWAP PIMCODB MAC 4191861.177901 USD 263796.306711 USD COMM SWAP PIMCODB MAC 6049120.610517 USD 380674.742837 USD COMM SWAP PIMCODB MAC 886476.858925 USD 55786.513781 USD COMM SWAP PIMCODB MAC 646445.065056 USD 40681.170825 USD COMM SWAP PIMCODB MAC 1902043.434866 USD 119696.719912 USD Y Single Leg Swap 2023-02-15 0.000000 USD 0.000000 USD 94251707.070000 USD 5931315.750000 N N N 2022-05-12 PIMCO Funds /s/ Jason Nagler Jason Nagler Assistant Treasurer