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Put Purchased FNMA FN30 TBA UMBS 03.0000 11/01/2049 FNMA TBA 1 101.2421875 USD 2019-11-06 XXXX -413306.26 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 282000000 NC USD 516624 0.012083401464 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Put Written FNMA FN30 TBA UMBS 03.0000 11/01/2049 FNMA TBA 1 100.7421875 USD 2019-11-06 XXXX 254469.76 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 188000000 NC USD 121072 0.002831772395 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Call Written FNMA FN30 TBA UMBS 04.0000 11/01/2049 FNMA TBA 1 104.1875 USD 2019-11-06 XXXX 11115.51 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 266000000 NC USD 172634 0.00403776427 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Call Purchased FNMA FN30 TBA UMBS 03.0000 10/01/2049 FNMA TBA 1 101.71875 USD 2019-10-03 XXXX -991116 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 266000000 NC USD 712880 0.016673664474 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Put Written FNMA FN30 TBA UMBS 03.0000 10/01/2049 FNMA TBA 1 101.71875 USD 2019-10-03 XXXX 450870 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 69000000 NC USD 242673 0.005675917657 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Put Written FNMA FN30 TBA UMBS 03.5000 10/01/2049 FNMA TBA 1 102.9375 USD 2019-10-03 XXXX -113298 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 69000000 NC USD 5451 0.000127494312 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Call Purchased FNMA FN30 TBA UMBS 03.5000 10/01/2049 FNMA TBA 1 102.9375 USD 2019-10-03 XXXX -123924 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 188000000 NC USD 243272 0.005689927763 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Call Written FNMA FN30 TBA UMBS 04.0000 11/01/2049 FNMA TBA 1 104 USD 2019-11-06 XXXX -111084.49 N N N JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 N/A 188000000 NC USD 95316 0.002229361187 N/A DIR CORP US N 2 JP MORGANCHASE BANK 7H6GLXDRUGQFU57RNE97 Call Written FNMA FN30 TBA UMBS 04.0000 11/01/2049 FNMA TBA 1 104.09375 USD 2019-11-06 XXXX 36871.5 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 191485800 NC 1550506.2 0.036265037795 N/A DFE CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Put Purchased EUR/USD PUT 1.097 20191017 BANKAM OTC CURRENCY OPTION 1 1.097 USD 2019-10-17 XXXX 1049147.66 N N N CITIBANK N.A. E57ODZWZ7FF32TWEFA76 N/A 310660050 NC 842494.24 0.019705232688 N/A DFE CORP US N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 Put Written AUD/JPY PUT 66.00 20200214 CITI OTC CURRENCY OPTION 1 66 JPY 2020-02-14 XXXX 1542097.2 N N N CITIBANK N.A. E57ODZWZ7FF32TWEFA76 N/A 207106700 NC 1625858.73 0.038027470186 N/A DFE CORP US N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 Put Purchased AUD/JPY PUT 70.00 20200214 CITI OTC CURRENCY OPTION 1 70 JPY 2020-02-14 XXXX -2077213.79 N N N GOLDMAN SACHS INTL FX N/A N/A 310660050 NC 842494.24 0.019705232688 N/A DFE CORP US N 2 GOLDMAN SACHS INTL FX N/A Put Written AUD/JPY PUT 66.00 20200214 GSFX OTC CURRENCY OPTION 1 66 JPY 2020-02-14 XXXX 854964.26 N N N GOLDMAN SACHS INTL FX N/A N/A 207106700 NC 1625858.73 0.038027470186 N/A DFE CORP US N 2 GOLDMAN SACHS INTL FX N/A Put Purchased AUD/JPY PUT 70.00 20200214 GSFX OTC CURRENCY OPTION 1 70 JPY 2020-02-14 XXXX -1102196.87 N N N LLOYDS BANK PLC H7FNTJ4851HG0EXQ1Z70 G47188CY4 100000 PA 216579 0.005065600912 Long DBT CORP GB N 2 2049-01-29 Variable 13 N N N N N N CREDIT SUISSE GROUP AG 549300506SI9CRFV9Z86 225436AA2 1285000 PA USD 1360493.75 0.031820806175 Long DBT CORP CH N 2 2024-12-18 Variable 6.25 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 060505EL4 1685000 PA USD 1874562.5 0.043844442487 Long DBT CORP US N 2 2049-10-29 Variable 6.5 N N N N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780099CJ4 3515000 PA USD 3589693.75 0.083959921939 Long DBT CORP GB N 2 2049-12-29 Variable 7.5 N N N N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780097AH4 2445000 PA USD 3371043.75 0.078845882076 Long DBT CORP GB N 2 2049-08-29 Variable 7.648 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 H4209UAN6 1400000 PA USD 1500537.78 0.035096318418 Long DBT CORP CH N 2 2049-12-29 Variable 6.875 N N N N N N INTESA SANPAOLO SPA 2W8N8UU78PMDQKZENC08 46115HAU1 1370000 PA USD 1423087.5 0.033284821417 Long DBT CORP IT N 2 2049-12-31 Variable 7.7 N N N N N N ENERGY TRANSFER OPERATING LP 5493008K8W3OKZE54J59 29278NAB9 4200000 PA USD 3969000 0.092831576558 Long DBT CORP US N 2 2028-02-15 Variable 6.625 N N N N N N ROYAL BANK OF SCOTLAND GROUP PLC 2138005O9XJIJN4JPN90 780099CK1 1370000 PA USD 1511110 0.035343593765 Long DBT CORP GB N 2 2049-12-29 Variable 8 N N N N N N BANK OF NEW YORK N/A N/A 24972000 PA USD 24972000 0.584074106781 Long RA CORP US N 2 Repurchase Y 2.35 2019-10-01 23425900 USD 23442382.79 USD UST 1889342 USD 2029127.6 USD AMBS N N N J.P. MORGAN SECURITIES, LLC. ZBUT11V806EZRVTWT807 N/A 3717 NC USD 913731525 21.371412954588 N/A DIR CORP US N 1 J.P. MORGAN SECURITIES, LLC. ZBUT11V806EZRVTWT807 Long 90 DAYS EURO DOLLAR 90 DAYS EURO DOLLAR 2020-01-15 914797911.25 USD -1066386.25 N N N J.P. MORGAN SECURITIES, LLC. ZBUT11V806EZRVTWT807 N/A 3717 NC USD 916286962.5 21.431182491479 N/A DIR CORP US N 1 J.P. MORGAN SECURITIES, LLC. ZBUT11V806EZRVTWT807 Short 90 DAYS EURO DOLLAR 90 DAYS EURO DOLLAR 2021-01-15 913710899 USD -2576063.5 N N N PUTNAM SHORT TERM INVESTMENT FUND 5493003MK0Q7JP8CPP42 74676P664 257136538.95 NS USD 257136538.95 6.014207684927 Long STIV PF US N 1 N N N State Street Institutional U.S. Government Money Market Fund, Premier Class N/A N/A 49646000 NS USD 49646000 1.161178243843 Long STIV RF US N 1 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 83940300 NC USD 226638.81 0.005300891419 N/A DIR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Put Purchased MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 2031-03-02 -2529655.39 USD 0 USD 83940300 USD 1 2.7725 USD 2021-02-26 XXXX -2303016.58 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 22892700 NC USD 445034.09 0.010408973595 N/A DIR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Put Written MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 2036-03-03 0 USD 1175158.59 USD 22892700 USD 1 3.01 USD 2026-02-27 XXXX 730124.5 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 22892700 NC USD 2844646.9 0.066533901859 N/A DIR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Call Written MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 2036-03-03 0 USD 1175158.59 USD 22892700 USD 1 3.01 USD 2026-02-27 XXXX -1669488.31 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 357636500 NC USD 3326019.45 0.077792801513 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Call Purchased BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2024-05-18 0 USD 0 USD 357636500 USD 1 2.2275 USD 2022-05-16 XXXX 3326019.45 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 357636500 NC USD -2195888.11 -0.051359978634 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Put Purchased BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2024-05-18 0 USD 0 USD 357636500 USD 1 2.2275 USD 2022-05-16 XXXX -2195888.11 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A 311113500 NC USD 989340.93 0.023139853436 N/A DIR CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 2027-05-25 0 USD 3333358.95 USD 311113500 USD 1 2.823 USD 2022-05-23 XXXX 2344018.02 N N N GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A 77778300 NC USD 1148007.71 0.02685093616 N/A DIR CORP US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Purchased GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 2052-05-25 -3277799.77 USD 0 USD 77778300 USD 1 2.983 USD 2022-05-23 XXXX -2129792.06 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 44214400 NC USD 9774035.26 0.228606475818 N/A DIR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Call Written MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 2049-05-27 0 USD 4156153.6 USD 44214400 USD 1 2.75 USD 2025-05-22 XXXX -5617881.66 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 44214400 NC USD 10611898.14 0.248203384886 N/A DIR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Call Purchased MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 2049-05-24 -4952012.8 USD 0 USD 44214400 USD 1 2.75 USD 2048-05-26 XXXX 5659885.34 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 133334500 NC USD 226668.65 0.005301589351 N/A DIR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Put Written MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 2026-05-26 0 USD 1025564.53 USD 133334500 USD 1 2.664 USD 2021-05-24 XXXX 798895.88 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 33333500 NC USD 277334.72 0.006486626176 N/A DIR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Put Purchased MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 2051-05-26 -1032227.39 USD 0 USD 33333500 USD 1 2.904 USD 2021-05-24 XXXX -754892.67 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 327206800 NC USD 327.21 0.000007653167 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Put Purchased BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2029-10-02 -1865078.76 USD 0 USD 327206800 USD 1 2.401 USD 2019-09-30 XXXX -1864751.55 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 327206800 NC USD 327.21 0.000007653167 N/A DIR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Put Purchased MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 2029-10-07 -1955060.6 USD 0 USD 327206800 USD 1 2.265 USD 2019-10-03 XXXX -1954733.39 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 116296100 NC USD -4119207.86 -0.096344812249 N/A DIR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Call Written MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 2034-06-06 0 USD 0 USD 116296100 USD 1 2.39 USD 2024-06-04 XXXX -4119207.86 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 15990750 NC 3049398.48 0.071322869351 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Call Purchased BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2054-06-06 0 USD 0 USD 15990750 EUR 1 1.053 EUR 2024-06-04 XXXX 3049398.48 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 15990750 NC -913634.36 -0.021369140347 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Put Purchased BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2054-06-06 0 USD 0 USD 15990750 EUR 1 1.053 EUR 2024-06-04 XXXX -913634.36 N N N MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 N/A 116296100 NC USD 2720165.78 0.06362239301 N/A DIR CORP US N 2 MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Put Written MORGAN STANLEY AND CO. INTERNATIONAL 4PQUHN3JPFGFNF3BB653 2034-06-06 0 USD 0 USD 116296100 USD 1 2.39 USD 2024-06-04 XXXX 2720165.78 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 30236900 NC 6311539.37 0.147621604995 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Call Purchased BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2054-06-07 0 USD 0 USD 30236900 EUR 1 1.304 EUR 2024-06-05 XXXX 6311539.37 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 30236900 NC -1222364.34 -0.028590075286 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Put Purchased BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2054-06-07 0 USD 0 USD 30236900 EUR 1 1.304 EUR 2024-06-05 XXXX -1222364.34 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 18018000 NC USD 3215492.28 0.075207663836 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Call Purchased BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2052-06-22 -1513230.46 USD 0 USD 18018000 USD 1 2.3075 USD 2022-06-20 XXXX 1702261.82 N N N BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 N/A 18018000 NC USD 793512.72 0.018559596074 N/A DIR CORP US N 2 BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 Put Purchased BANK OF AMERICA N.A. B4TYDEB6GKMZO031MB27 2052-06-22 -1513230.46 USD 0 USD 18018000 USD 1 2.3075 USD 2022-06-20 XXXX -719717.74 N N N CITIBANK N.A. E57ODZWZ7FF32TWEFA76 N/A 335284100 NC USD -2692331.32 -0.062971368368 N/A DIR CORP US N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 Put Purchased CITIBANK N.A. E57ODZWZ7FF32TWEFA76 2025-06-30 0 USD 0 USD 335284100 USD 1 1.765 USD 2020-06-26 XXXX -2692331.32 N N N CITIBANK N.A. E57ODZWZ7FF32TWEFA76 N/A 335284100 NC USD 2474396.66 0.057874059707 N/A DIR CORP US N 2 CITIBANK N.A. E57ODZWZ7FF32TWEFA76 Call Purchased CITIBANK N.A. 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INTERNATIONAL 4PQUHN3JPFGFNF3BB653 Put Written MORGAN STANLEY AND CO. 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