Form NPORT-P COLUMBIA FUNDS SERIES For: Aug 31

October 27, 2021 8:50 AM EDT

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    NPORT-P
    false
    
      
      
        
          0000773757
          XXXXXXXX
        
      
      
      
      
        S000048058
        C000151805
        C000151801
        C000151802
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      Columbia Funds Series Trust I
      811-04367
      0000773757
      549300W5GIE6ZOZOTD82
      290 Congress Street
      Boston
      
      02110
      800-345-6611
      Columbia Multi Strategy Alternatives Fund
      S000048058
      549300OOVBIZEI3EBX59
      2022-05-31
      2021-08-31
      N
    
    
      997882125.590000000000
      149467172.160000000000
      848414953.430000000000
      0.000000000000
      71816397.040000000000
      0.000000000000
      0.000000000000
      0.000000000000
      0.000000000000
      0.000000000000
      0.000000000000
      0.000000000000
      0.000000000000
      95842924.600000000000
      0.000000000000
      0.000000000000
      6933902.530000000000
      
        
          MYR
          
          
        
        
          NOK
          
          
        
        
          NZD
          
          
        
        
          PHP
          
          
        
        
          MXN
          
          
        
        
          PLN
          
          
        
        
          ZAR
          
          
        
        
          SGD
          
          
        
        
          SEK
          
          
        
        
          THB
          
          
        
        
          TRY
          
          
        
        
          TWD
          
          
        
        
          USD
          
          
        
        
          KRW
          
          
        
        
          RUB
          
          
        
        
          JPY
          
          
        
        
          COP
          
          
        
        
          ILS
          
          
        
        
          INR
          
          
        
        
          AUD
          
          
        
        
          BRL
          
          
        
        
          CAD
          
          
        
        
          CLP
          
          
        
        
          CHF
          
          
        
        
          CZK
          
          
        
        
          CNY
          
          
        
        
          HUF
          
          
        
        
          HKD
          
          
        
        
          IDR
          
          
        
        
          EUR
          
          
        
        
          GBP
          
          
        
      
      
      
      N
      
        
          
          
          
          
          
          
          
        
        
          
            
            
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
    
    
      
        Credit Suisse
        1V8Y6QCX6YMJ2OELII46
        FSWP: USD 1.750000 15-DEC-2031
        000000000
        
          
        
        9800000.000000000000
        OU
        Notional Amount
        USD
        352857.720000000000
        0.0415902288
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Credit Suisse
              1V8Y6QCX6YMJ2OELII46
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
            
              
                
              
            
            2031-12-15
            35538.610000000000
            USD
            0.000000000000
            USD
            9800000.000000000000
            USD
            317319.110000000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse
        1V8Y6QCX6YMJ2OELII46
        FSWP: AUD 2.000000 11-DEC-2031
        000000000
        
          
        
        5500000.000000000000
        OU
        Notional Amount
        
        227299.350000000000
        0.0267910589
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Credit Suisse
              1V8Y6QCX6YMJ2OELII46
            
            
              
                BBA LIBOR AUD 6 Month **Discon
                AUDLIB6M6
              
            
            Y
            
            
              
                
              
            
            2031-12-11
            80456.910000000000
            USD
            0.000000000000
            USD
            5500000.000000000000
            AUD
            146842.440000000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse
        1V8Y6QCX6YMJ2OELII46
        FSWP: JPY 0.000000 17-DEC-2031
        000000000
        
          
        
        1452000000.000000000000
        OU
        Notional Amount
        
        -86663.210000000000
        -0.0102147198
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Credit Suisse
              1V8Y6QCX6YMJ2OELII46
            
            
              
                JAPANESE YEN 6 MNTH
                JY0006M09
              
            
            Y
            
            
              
                
              
            
            2031-12-17
            0.000000000000
            USD
            -86031.240000000000
            USD
            1452000000.000000000000
            JPY
            -631.970000000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse
        1V8Y6QCX6YMJ2OELII46
        FSWP: NOK 1.000000 20-DEC-2023
        000000000
        
          
        
        661500000.000000000000
        OU
        Notional Amount
        
        -405036.510000000000
        -0.0477403785
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Credit Suisse
              1V8Y6QCX6YMJ2OELII46
            
            
              
                Norway Interbank Offered Rate
                NIBOR6MO4
              
            
            Y
            
            
              
                
              
            
            2023-12-20
            0.000000000000
            USD
            -290156.200000000000
            USD
            661500000.000000000000
            NOK
            -114880.310000000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse
        1V8Y6QCX6YMJ2OELII46
        FSWP: EUR -0.500000 15-DEC-2023
        000000000
        
          
        
        50000000.000000000000
        OU
        Notional Amount
        
        46243.490000000000
        0.0054505746
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Credit Suisse
              1V8Y6QCX6YMJ2OELII46
            
            
              
                Euribor 6 Month ACT/360
                EURIBOR65
              
            
            Y
            
              
                
              
            
            
            2023-12-15
            29319.700000000000
            USD
            0.000000000000
            USD
            50000000.000000000000
            EUR
            16923.790000000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse
        1V8Y6QCX6YMJ2OELII46
        FSWP: EUR -0.500000 15-DEC-2023
        000000000
        
          
        
        272600000.000000000000
        OU
        Notional Amount
        
        252119.460000000000
        0.0297165272
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Credit Suisse
              1V8Y6QCX6YMJ2OELII46
            
            
              
                Euribor 6 Month ACT/360
                EURIBOR65
              
            
            Y
            
              
                
              
            
            
            2023-12-15
            471776.160000000000
            USD
            0.000000000000
            USD
            272600000.000000000000
            EUR
            -219656.700000000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse
        1V8Y6QCX6YMJ2OELII46
        FSWP: CAD 2.000000 13-DEC-2031
        000000000
        
          
        
        15800000.000000000000
        OU
        Notional Amount
        
        -258211.180000000000
        -0.0304345390
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Credit Suisse
              1V8Y6QCX6YMJ2OELII46
            
            
              
                Canada Bankers Acceptances 3 M
                CADBA3MO4
              
            
            Y
            
              
                
              
            
            
            2031-12-13
            534.949999999997
            USD
            0.000000000000
            USD
            15800000.000000000000
            CAD
            -258746.130000000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse
        1V8Y6QCX6YMJ2OELII46
        FSWP: EUR 0.000000 15-DEC-2031
        000000000
        
          
        
        45700000.000000000000
        OU
        Notional Amount
        
        4321.680000000000
        0.0005093828
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Credit Suisse
              1V8Y6QCX6YMJ2OELII46
            
            
              
                Euribor 6 Month ACT/360
                EURIBOR65
              
            
            Y
            
            
              
                
              
            
            2031-12-15
            0.000000000000
            USD
            -845634.810000000000
            USD
            45700000.000000000000
            EUR
            849956.490000000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse
        1V8Y6QCX6YMJ2OELII46
        FSWP: EUR 0.000000 15-DEC-2031
        000000000
        
          
        
        10500000.000000000000
        OU
        Notional Amount
        
        992.950000000000
        0.0001170359
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Credit Suisse
              1V8Y6QCX6YMJ2OELII46
            
            
              
                Euribor 6 Month ACT/360
                EURIBOR65
              
            
            Y
            
            
              
                
              
            
            2031-12-15
            55373.350000000000
            USD
            0.000000000000
            USD
            10500000.000000000000
            EUR
            -54380.400000000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse
        1V8Y6QCX6YMJ2OELII46
        FSWP: CAD 1.000000 13-DEC-2023
        000000000
        
          
        
        210400000.000000000000
        OU
        Notional Amount
        
        182206.590000000000
        0.0214761172
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Credit Suisse
              1V8Y6QCX6YMJ2OELII46
            
            
              
                Canada Bankers Acceptances 3 M
                CADBA3MO4
              
            
            Y
            
            
              
                
              
            
            2023-12-13
            12246.430000000000
            USD
            0.000000000000
            USD
            210400000.000000000000
            CAD
            169960.160000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        SWP: USD 1.627400 03-JUN-2031
        000000000
        
          
        
        9376000.000000000000
        OU
        Notional Amount
        USD
        263467.390000000000
        0.0310540719
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
            
              
                
              
            
            2031-06-03
            70.090000000000
            USD
            0.000000000000
            USD
            9376000.000000000000
            USD
            297683.860000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        SWP: NZD 1.960000 03-JUN-2031
        000000000
        
          
        
        8430000.000000000000
        OU
        Notional Amount
        
        -10321.040000000000
        -0.0012165085
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            
              
                NZD - 3M NEW ZEALAND BANK BILL RATE
                NDBB3MIN1
              
            
            Y
            
            
              
                
              
            
            2031-06-03
            0.000000000000
            USD
            0.000000000000
            USD
            8430000.000000000000
            NZD
            13621.730000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        TRSWAP:MSCI BRAZIL INDEX09/15/2021
        000000000
        
          
        
        6222124.560000000000
        OU
        Notional Amount
        
        -11095.810000000000
        -0.0013078282
        N/A
        DE
        CORP
        US
        
        N
        
        2
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            
              
                MSCI BRAZIL NET BRL
                CT1628428
              
            
            Y
            
              
                
              
            
            MSCI BRAZIL NET BRL
            2021-09-15
            0.000000000000
            USD
            0.000000000000
            USD
            6222124.560000000000
            BRL
            -8854.290000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        TRSWAP: MSCI SPAIN 09/15/2021
        000000000
        
          
        
        1463469.990000000000
        OU
        Notional Amount
        
        21663.810000000000
        0.0025534451
        N/A
        DE
        CORP
        US
        
        N
        
        2
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            
              
                MSCI Spain Net Return EUR Index
                CT1585851
              
            
            Y
            
              
                
              
            
            MSCI SPAIN NR
            2021-09-15
            0.000000000000
            USD
            0.000000000000
            USD
            1463469.990000000000
            EUR
            20750.900000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        TRSWAP: MSCI SINGAPORE INDEX
        000000000
        
          
        
        893538.150000000000
        OU
        Notional Amount
        
        15971.510000000000
        0.0018825116
        N/A
        DE
        CORP
        US
        
        N
        
        2
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            
              
                MSCI Singapore Net Return SGD Index
                CT1578265
              
            
            Y
            
              
                
              
            
            MSCI SINGAPORE NR
            2021-09-15
            0.000000000000
            USD
            0.000000000000
            USD
            893538.150000000000
            SGD
            16034.240000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        TRSWAP: MSCI NETHERLANDS INDEX
        000000000
        
          
        
        -2337383.850000000000
        OU
        Notional Amount
        
        107636.930000000000
        0.0126868261
        N/A
        DE
        CORP
        US
        
        N
        
        2
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            
              
                MSCI Netherlands Net Return EUR Index
                CT1629808
              
            
            Y
            MSCI NETHERLANDS NR
            
              
                
              
            
            2021-09-15
            0.000000000000
            USD
            0.000000000000
            USD
            -2337383.850000000000
            EUR
            108146.200000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        TRSWAP: MSCI HONG KONG INDEX
        000000000
        
          
        
        -1294755.800000000000
        OU
        Notional Amount
        
        -1913.750000000000
        -0.0002255677
        N/A
        DE
        CORP
        US
        
        N
        
        2
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            
              
                MSCI Hong Kong Net Return HKD Index
                CT1663068
              
            
            Y
            MSCI Hong Kong Net Return HKD Index
            
              
                
              
            
            2021-09-15
            0.000000000000
            USD
            0.000000000000
            USD
            -1294755.800000000000
            HKD
            -1929.820000000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse
        1V8Y6QCX6YMJ2OELII46
        FSWP: NOK 1.500000 20-DEC-2023
        000000000
        
          
        
        244800000.000000000000
        OU
        Notional Amount
        
        128466.750000000000
        0.0151419714
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Credit Suisse
              1V8Y6QCX6YMJ2OELII46
            
            
              
                Norway Interbank Offered Rate
                NIBOR6MO4
              
            
            Y
            
            
              
                
              
            
            2023-12-20
            95112.970000000000
            USD
            0.000000000000
            USD
            244800000.000000000000
            NOK
            33353.780000000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse
        1V8Y6QCX6YMJ2OELII46
        FSWP: NOK 1.500000 20-DEC-2023
        000000000
        
          
        
        74100000.000000000000
        OU
        Notional Amount
        
        38886.380000000000
        0.0045834152
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Credit Suisse
              1V8Y6QCX6YMJ2OELII46
            
            
              
                Norway Interbank Offered Rate
                NIBOR6MO4
              
            
            Y
            
            
              
                
              
            
            2023-12-20
            41446.360000000000
            USD
            0.000000000000
            USD
            74100000.000000000000
            NOK
            -2559.980000000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse
        1V8Y6QCX6YMJ2OELII46
        FSWP: CHF -0.500000 20-DEC-2023
        000000000
        
          
        
        113700000.000000000000
        OU
        Notional Amount
        
        -354775.040000000000
        -0.0418162172
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Credit Suisse
              1V8Y6QCX6YMJ2OELII46
            
            
              
                ICE LIBOR CHF 6 Month
                CT1587604
              
            
            Y
            
              
                
              
            
            
            2023-12-20
            0.000000000000
            USD
            -234593.470000000000
            USD
            113700000.000000000000
            CHF
            -120181.570000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        SWP: SEK 0.755000 05-JUL-2031
        000000000
        
          
        
        283245000.000000000000
        OU
        Notional Amount
        
        -430756.450000000000
        -0.0507719069
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            
              
                Stockholm Interbank Offered Ra
                STIB3MIN4
              
            
            Y
            
              
                
              
            
            
            2031-07-05
            0.000000000000
            USD
            0.000000000000
            USD
            283245000.000000000000
            SEK
            -471579.140000000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse
        1V8Y6QCX6YMJ2OELII46
        FSWP: CHF 0.000000 17-DEC-2031
        000000000
        
          
        
        3900000.000000000000
        OU
        Notional Amount
        
        29404.870000000000
        0.0034658595
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Credit Suisse
              1V8Y6QCX6YMJ2OELII46
            
            
              
                ICE LIBOR CHF 6 Month
                CT1587604
              
            
            Y
            
            
              
                
              
            
            2031-12-17
            0.000000000000
            USD
            -35131.150000000000
            USD
            3900000.000000000000
            CHF
            64536.020000000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse
        1V8Y6QCX6YMJ2OELII46
        FSWP: CHF 0.000000 17-DEC-2031
        000000000
        
          
        
        5500000.000000000000
        OU
        Notional Amount
        
        41468.410000000000
        0.0048877510
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Credit Suisse
              1V8Y6QCX6YMJ2OELII46
            
            
              
                ICE LIBOR CHF 6 Month
                CT1587604
              
            
            Y
            
            
              
                
              
            
            2031-12-17
            85009.690000000000
            USD
            0.000000000000
            USD
            5500000.000000000000
            CHF
            -43541.280000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        OTC (GENERIC) 1 YEAR
        000000000
        
          
        
        17500000.000000000000
        OU
        Notional Amount
        USD
        137870.250000000000
        0.0162503324
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            Call
            Purchased
            
              
                
                  
                    Citi
                    MBNUM2BPBDO7JBLYG310
                  
                  
                    CITIBANK NA
                    MBNUM2BPBDO7JBLYG310
                    FSWP: USD 1.000000 12-JUL-2032
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-07-12
                  N/A
                  N/A
                  N/A
                  N/A
                  17500000.000000000000
                  USD
                
              
            
            17500000.000000000000000
            USD
            1.000000000000
            USD
            2022-07-08
            XXXX
            -40629.750000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        JAPANESE YEN
        000000000
        
          
        
        3978509999.000000000000
        OU
        Notional Amount
        N/A
        -88950.730000000000
        -0.0104843426
        N/A
        DFE
        CORP
        JP
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            36256610.390000000596046
            USD
            3978509999.000000000000000
            JPY
            2021-09-15
            -88950.730000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        JAPANESE YEN
        000000000
        
          
        
        251272000.000000000000
        OU
        Notional Amount
        N/A
        1848.270000000000
        0.0002178498
        N/A
        DFE
        CORP
        JP
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            2284264.339999999850988
            USD
            251272000.000000000000000
            JPY
            2021-12-15
            1848.270000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        TRSWAP: MSCI SPAIN 09/15/2021
        000000000
        
          
        
        640504.920000000000
        OU
        Notional Amount
        
        9481.420000000000
        0.0011175451
        N/A
        DE
        CORP
        US
        
        N
        
        2
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            
              
                MSCI Spain Net Return EUR Index
                CT1585851
              
            
            Y
            
              
                
              
            
            MSCI SPAIN NR
            2021-09-15
            0.000000000000
            USD
            0.000000000000
            USD
            640504.920000000000
            EUR
            9081.880000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        TRSWAP: MSCI SPAIN 09/15/2021
        000000000
        
          
        
        624950.940000000000
        OU
        Notional Amount
        
        9251.170000000000
        0.0010904063
        N/A
        DE
        CORP
        US
        
        N
        
        2
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            
              
                MSCI Spain Net Return EUR Index
                CT1585851
              
            
            Y
            
              
                
              
            
            MSCI SPAIN NR
            2021-09-15
            0.000000000000
            USD
            0.000000000000
            USD
            624950.940000000000
            EUR
            8861.320000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        JAPANESE YEN
        000000000
        
          
        
        943912000.000000000000
        OU
        Notional Amount
        N/A
        -15917.010000000000
        -0.0018760879
        N/A
        DFE
        CORP
        JP
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            8603778.470000000670552
            USD
            943912000.000000000000000
            JPY
            2021-12-15
            -15917.010000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        KOREAN WON
        000000000
        
          
        
        589087000.000000000000
        OU
        Notional Amount
        N/A
        4664.960000000000
        0.0005498442
        N/A
        DFE
        CORP
        KW
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            503447.910000000032596
            USD
            589087000.000000000000000
            KRW
            2021-09-15
            4664.960000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        TRSWAP: MSCI SPAIN 09/15/2021
        000000000
        
          
        
        612986.340000000000
        OU
        Notional Amount
        
        9074.060000000000
        0.0010695309
        N/A
        DE
        CORP
        US
        
        N
        
        2
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            
              
                MSCI Spain Net Return EUR Index
                CT1585851
              
            
            Y
            
              
                
              
            
            MSCI SPAIN NR
            2021-09-15
            0.000000000000
            USD
            0.000000000000
            USD
            612986.340000000000
            EUR
            8691.690000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        OTC (GENERIC) 1 YEAR
        000000000
        
          
        
        15000000.000000000000
        OU
        Notional Amount
        USD
        227857.500000000000
        0.0268568463
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            Put
            Purchased
            
              
                
                  
                    Citi
                    MBNUM2BPBDO7JBLYG310
                  
                  
                    CITIBANK NA
                    MBNUM2BPBDO7JBLYG310
                    FSWP: USD 1.750000 19-JUL-2032
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-07-19
                  N/A
                  N/A
                  N/A
                  N/A
                  15000000.000000000000
                  USD
                
              
            
            15000000.000000000000000
            USD
            1.750000000000
            USD
            2022-07-15
            XXXX
            -31642.500000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        TRSWAP: MSCI SPAIN 09/15/2021
        000000000
        
          
        
        625349.760000000000
        OU
        Notional Amount
        
        9257.080000000000
        0.0010911029
        N/A
        DE
        CORP
        US
        
        N
        
        2
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            
              
                MSCI Spain Net Return EUR Index
                CT1585851
              
            
            Y
            
              
                
              
            
            MSCI SPAIN NR
            2021-09-15
            0.000000000000
            USD
            0.000000000000
            USD
            625349.760000000000
            EUR
            8866.980000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        TRSWAP: MSCI SPAIN 09/15/2021
        000000000
        
          
        
        627742.680000000000
        OU
        Notional Amount
        
        9292.500000000000
        0.0010952777
        N/A
        DE
        CORP
        US
        
        N
        
        2
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            
              
                MSCI Spain Net Return EUR Index
                CT1585851
              
            
            Y
            
              
                
              
            
            MSCI SPAIN NR
            2021-09-15
            0.000000000000
            USD
            0.000000000000
            USD
            627742.680000000000
            EUR
            8900.920000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        OTC (GENERIC) 1 YEAR
        000000000
        
          
        
        42000000.000000000000
        OU
        Notional Amount
        USD
        181473.600000000000
        0.0213897220
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Purchased
            
              
                
                  
                    Morgan Stanley
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    MORGAN STANLEY CAPITAL SERVICES
                    9R7GPTSO7KV3UQJZQ078
                    FSWP: USD 1.000000 24-JAN-2032
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-01-24
                  N/A
                  N/A
                  N/A
                  N/A
                  42000000.000000000000
                  USD
                
              
            
            42000000.000000000000000
            USD
            1.000000000000
            USD
            2022-01-20
            XXXX
            -215426.400000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        OTC (GENERIC) 1 YEAR
        000000000
        
          
        
        17200000.000000000000
        OU
        Notional Amount
        USD
        75146.800000000000
        0.0088573168
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            Call
            Purchased
            
              
                
                  
                    Citi
                    MBNUM2BPBDO7JBLYG310
                  
                  
                    CITIBANK NA
                    MBNUM2BPBDO7JBLYG310
                    FSWP: USD 1.000000 25-JAN-2032
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-01-25
                  N/A
                  N/A
                  N/A
                  N/A
                  17200000.000000000000
                  USD
                
              
            
            17200000.000000000000000
            USD
            1.000000000000
            USD
            2022-01-21
            XXXX
            -71053.200000000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse
        1V8Y6QCX6YMJ2OELII46
        FSWP: AUD 0.500000 07-DEC-2023
        000000000
        
          
        
        28700000.000000000000
        OU
        Notional Amount
        
        -79755.340000000000
        -0.0094005109
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Credit Suisse
              1V8Y6QCX6YMJ2OELII46
            
            
              
                ASX Australian Bank Bill Short Term Rates 3 Month Mid
                CT1622425
              
            
            Y
            
              
                
              
            
            
            2023-12-07
            0.000000000000
            USD
            -63331.550000000000
            USD
            28700000.000000000000
            AUD
            -16423.790000000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse
        1V8Y6QCX6YMJ2OELII46
        FSWP: SEK 1.000000 17-DEC-2031
        000000000
        
          
        
        39800000.000000000000
        OU
        Notional Amount
        
        -152866.130000000000
        -0.0180178496
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Credit Suisse
              1V8Y6QCX6YMJ2OELII46
            
            
              
                Stockholm Interbank Offered Ra
                STIB3MIN4
              
            
            Y
            
              
                
              
            
            
            2031-12-17
            0.000000000000
            USD
            -186152.490000000000
            USD
            39800000.000000000000
            SEK
            33286.360000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        OTC (GENERIC) 1 YEAR
        000000000
        
          
        
        14500000.000000000000
        OU
        Notional Amount
        USD
        93488.750000000000
        0.0110192247
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            Call
            Purchased
            
              
                
                  
                    Citi
                    MBNUM2BPBDO7JBLYG310
                  
                  
                    CITIBANK NA
                    MBNUM2BPBDO7JBLYG310
                    FSWP: USD 1.100000 26-JAN-2032
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                  
                    
                      
                    
                  
                  2032-01-26
                  N/A
                  N/A
                  N/A
                  N/A
                  14500000.000000000000
                  USD
                
              
            
            14500000.000000000000000
            USD
            1.100000000000
            USD
            2022-01-24
            XXXX
            -39911.250000000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse
        1V8Y6QCX6YMJ2OELII46
        FSWP: GBP 0.750000 15-DEC-2031
        000000000
        
          
        
        53700000.000000000000
        OU
        Notional Amount
        
        -604492.610000000000
        -0.0712496412
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Credit Suisse
              1V8Y6QCX6YMJ2OELII46
            
            
              
                GBP SONIA OVERNIGHT RATE
                CT1240964
              
            
            Y
            
              
                
              
            
            
            2031-12-15
            0.000000000000
            USD
            -1076626.620000000000
            USD
            53700000.000000000000
            GBP
            472134.010000000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse
        1V8Y6QCX6YMJ2OELII46
        FSWP: GBP 0.250000 15-DEC-2023
        000000000
        
          
        
        377400000.000000000000
        OU
        Notional Amount
        
        -886948.450000000000
        -0.1045418219
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Credit Suisse
              1V8Y6QCX6YMJ2OELII46
            
            
              
                GBP SONIA OVERNIGHT RATE
                CT1240964
              
            
            Y
            
              
                
              
            
            
            2023-12-15
            0.000000000000
            USD
            -671204.830000000000
            USD
            377400000.000000000000
            GBP
            -215743.620000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        SWP: USD 1.258700 04-AUG-2031
        000000000
        
          
        
        13739000.000000000000
        OU
        Notional Amount
        USD
        -103552.080000000000
        -0.0122053577
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
            
              
                
              
            
            2031-08-04
            588.640000000000
            USD
            0.000000000000
            USD
            13739000.000000000000
            USD
            -92493.140000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        KOREAN WON
        000000000
        
          
        
        21047534000.000000000000
        OU
        Notional Amount
        N/A
        -556731.790000000000
        -0.0656202237
        N/A
        DFE
        CORP
        KW
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            18711134.920000001788139
            USD
            21047534000.000000000000000
            KRW
            2021-09-15
            -556731.790000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        KOREAN WON
        000000000
        
          
        
        4073476000.000000000000
        OU
        Notional Amount
        N/A
        41523.610000000000
        0.0048942572
        N/A
        DFE
        CORP
        KW
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            3469751.589999999850988
            USD
            4073476000.000000000000000
            KRW
            2021-12-15
            41523.610000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        MEXICAN PESO
        000000000
        
          
        
        324433000.000000000000
        OU
        Notional Amount
        N/A
        98943.550000000000
        0.0116621648
        N/A
        DFE
        CORP
        MX
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            16025273.389999998733401
            USD
            324433000.000000000000000
            MXN
            2021-09-15
            98943.550000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        MEXICAN PESO
        000000000
        
          
        
        493784000.000000000000
        OU
        Notional Amount
        N/A
        -148707.640000000000
        -0.0175277014
        N/A
        DFE
        CORP
        MX
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            24689615.419999998062849
            USD
            493784000.000000000000000
            MXN
            2021-09-15
            -148707.640000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        MEXICAN PESO
        000000000
        
          
        
        526455375.000000000000
        OU
        Notional Amount
        N/A
        289700.520000000000
        0.0341460884
        N/A
        DFE
        CORP
        MX
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            25557972.240000002086163
            USD
            526455375.000000000000000
            MXN
            2021-12-15
            289700.520000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        NORWAY KRONA
        000000000
        
          
        
        1080120999.000000000000
        OU
        Notional Amount
        N/A
        2025063.530000000000
        0.2386878640
        N/A
        DFE
        CORP
        NO
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            122210927.939999982714653
            USD
            1080120999.000000000000000
            NOK
            2021-09-15
            2025063.530000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        SWP: GBP 0.543090 02-AUG-2031
        000000000
        
          
        
        4490000.000000000000
        OU
        Notional Amount
        
        -57099.670000000000
        -0.0067301584
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            
              
                GBP SONIA OVERNIGHT RATE
                CT1240964
              
            
            Y
            
            
              
                
              
            
            2031-08-02
            0.000000000000
            USD
            0.000000000000
            USD
            4490000.000000000000
            GBP
            -54600.160000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        SWP: AUD 1.250000 04-AUG-2031
        000000000
        
          
        
        18274000.000000000000
        OU
        Notional Amount
        
        120443.310000000000
        0.0141962738
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            
              
                BBA LIBOR AUD 6 Month **Discon
                AUDLIB6M6
              
            
            Y
            
              
                
              
            
            
            2031-08-04
            0.000000000000
            USD
            0.000000000000
            USD
            18274000.000000000000
            AUD
            108139.060000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        NORWAY KRONA
        000000000
        
          
        
        378699000.000000000000
        OU
        Notional Amount
        N/A
        -530258.550000000000
        -0.0624999062
        N/A
        DFE
        CORP
        NO
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            44088383.789999999105930
            USD
            378699000.000000000000000
            NOK
            2021-09-15
            -530258.550000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        NORWAY KRONA
        000000000
        
          
        
        176645000.000000000000
        OU
        Notional Amount
        N/A
        631961.270000000000
        0.0744872857
        N/A
        DFE
        CORP
        NO
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            19675019.000000003725290
            USD
            176645000.000000000000000
            NOK
            2021-12-15
            631961.270000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        SWP: CAD 1.578000 03-AUG-2031
        000000000
        
          
        
        21590000.000000000000
        OU
        Notional Amount
        
        -223170.940000000000
        -0.0263044562
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            
              
                Canada Bankers Acceptances 3 M
                CADBA3MO4
              
            
            Y
            
            
              
                
              
            
            2031-08-03
            0.000000000000
            USD
            0.000000000000
            USD
            21590000.000000000000
            CAD
            -207873.320000000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse
        1V8Y6QCX6YMJ2OELII46
        FSWP: NOK 0.015000 17-DEC-2031
        000000000
        
          
        
        47000000.000000000000
        OU
        Notional Amount
        
        -46901.290000000000
        -0.0055281074
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Credit Suisse
              1V8Y6QCX6YMJ2OELII46
            
            
              
                Norway Interbank Offered Rate
                NIBOR6MO4
              
            
            Y
            
            
              
                
              
            
            2031-12-17
            0.000000000000
            USD
            -18255.370000000000
            USD
            47000000.000000000000
            NOK
            -28645.920000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        NEW ZEALAND DOLLAR
        000000000
        
          
        
        220222000.000000000000
        OU
        Notional Amount
        N/A
        1125519.290000000000
        0.1326614159
        N/A
        DFE
        CORP
        NZ
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            154053913.020000010728836
            USD
            220222000.000000000000000
            NZD
            2021-09-15
            1125519.290000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        NEW ZEALAND DOLLAR
        000000000
        
          
        
        27413000.000000000000
        OU
        Notional Amount
        N/A
        -515291.570000000000
        -0.0607357954
        N/A
        DFE
        CORP
        NZ
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            19831862.019999999552965
            USD
            27413000.000000000000000
            NZD
            2021-09-15
            -515291.570000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        NEW ZEALAND DOLLAR
        000000000
        
          
        
        1872000.000000000000
        OU
        Notional Amount
        N/A
        38703.220000000000
        0.0045618267
        N/A
        DFE
        CORP
        NZ
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            1279458.090000000083819
            USD
            1872000.000000000000000
            NZD
            2021-12-15
            38703.220000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        PHILIPPINE PESO
        000000000
        
          
        
        178125000.000000000000
        OU
        Notional Amount
        N/A
        35632.370000000000
        0.0041998753
        N/A
        DFE
        CORP
        PH
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            3545549.730000000447035
            USD
            178125000.000000000000000
            PHP
            2021-09-15
            35632.370000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        OTC (GENERIC) 1 YEAR
        000000000
        
          
        
        -70000000.000000000000
        OU
        Notional Amount
        USD
        -875427.000000000000
        -0.1031838249
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            Put
            Written
            
              
                
                  
                    Morgan Stanley
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    MORGAN STANLEY CAPITAL SERVICES
                    9R7GPTSO7KV3UQJZQ078
                    FSWP: USD 1.550000 15-FEB-2032
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-02-15
                  N/A
                  N/A
                  N/A
                  N/A
                  -70000000.000000000000
                  USD
                
              
            
            -70000000.000000000000000
            USD
            1.550000000000
            USD
            2022-02-11
            XXXX
            265573.000000000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse
        1V8Y6QCX6YMJ2OELII46
        FSWP: NZD 2.000000 10-DEC-2031
        000000000
        
          
        
        4200000.000000000000
        OU
        Notional Amount
        
        -15618.000000000000
        -0.0018408445
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Credit Suisse
              1V8Y6QCX6YMJ2OELII46
            
            
              
                NZD - 3M NEW ZEALAND BANK BILL RATE
                NDBB3MIN1
              
            
            Y
            
            
              
                
              
            
            2031-12-10
            0.000000000000
            USD
            -3632.040000000000
            USD
            4200000.000000000000
            NZD
            -11985.960000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        POLISH ZLOTY
        000000000
        
          
        
        125380000.000000000000
        OU
        Notional Amount
        N/A
        401717.270000000000
        0.0473491501
        N/A
        DFE
        CORP
        PL
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            32334293.099999997764826
            USD
            125380000.000000000000000
            PLN
            2021-09-15
            401717.270000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        POLISH ZLOTY
        000000000
        
          
        
        92586000.000000000000
        OU
        Notional Amount
        N/A
        -998383.380000000000
        -0.1176763064
        N/A
        DFE
        CORP
        PL
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            25172065.420000001788139
            USD
            92586000.000000000000000
            PLN
            2021-09-15
            -998383.380000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        POLISH ZLOTY
        000000000
        
          
        
        4656500.000000000000
        OU
        Notional Amount
        N/A
        22264.510000000000
        0.0026242477
        N/A
        DFE
        CORP
        PL
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            1193518.080000000074506
            USD
            4656500.000000000000000
            PLN
            2021-12-15
            22264.510000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        RUSSIAN RUBLE-OLD
        000000000
        
          
        
        878492000.000000000000
        OU
        Notional Amount
        N/A
        176789.050000000000
        0.0208375688
        N/A
        DFE
        CORP
        RU
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            11796233.770000001415610
            USD
            878492000.000000000000000
            RUB
            2021-09-15
            176789.050000000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse
        1V8Y6QCX6YMJ2OELII46
        FSWP: SEK 0.000000 20-DEC-2023
        000000000
        
          
        
        83100000.000000000000
        OU
        Notional Amount
        
        -20187.840000000000
        -0.0023794772
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Credit Suisse
              1V8Y6QCX6YMJ2OELII46
            
            
              
                Stockholm Interbank Offered Ra
                STIB3MIN4
              
            
            Y
            
            
              
                
              
            
            2023-12-20
            0.000000000000
            USD
            -14256.450000000000
            USD
            83100000.000000000000
            SEK
            -5931.390000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        TRSWAP:MSCI ITALY INDEX 09/15/2021
        000000000
        
          
        
        -303111.200000000000
        OU
        Notional Amount
        
        -6221.370000000000
        -0.0007332933
        N/A
        DE
        CORP
        US
        
        N
        
        2
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            
              
                MSCI Italy Net Return EUR Index
                CT1578294
              
            
            Y
            MSCI Italy Net Return EUR Index
            
              
                
              
            
            2021-09-15
            0.000000000000
            USD
            0.000000000000
            USD
            -303111.200000000000
            EUR
            -6148.720000000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse
        1V8Y6QCX6YMJ2OELII46
        FSWP: NZD 0.010000 13-DEC-2023
        000000000
        
          
        
        19700000.000000000000
        OU
        Notional Amount
        
        130273.170000000000
        0.0153548885
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Credit Suisse
              1V8Y6QCX6YMJ2OELII46
            
            
              
                NZD - 3M NEW ZEALAND BANK BILL RATE
                NDBB3MIN1
              
            
            Y
            
              
                
              
            
            
            2023-12-13
            102497.580000000000
            USD
            0.000000000000
            USD
            19700000.000000000000
            NZD
            27775.590000000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse
        1V8Y6QCX6YMJ2OELII46
        FSWP: NZD 0.015000 13-MAR-2024
        000000000
        
          
        
        22900000.000000000000
        OU
        Notional Amount
        
        30952.850000000000
        0.0036483150
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Credit Suisse
              1V8Y6QCX6YMJ2OELII46
            
            
              
                NZD - 3M NEW ZEALAND BANK BILL RATE
                NDBB3MIN1
              
            
            Y
            
              
                
              
            
            
            2024-03-13
            0.000000000000
            USD
            -1122.400000000000
            USD
            22900000.000000000000
            NZD
            32075.250000000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse
        1V8Y6QCX6YMJ2OELII46
        FSWP: CHF 0.000000 17-MAR-2032
        000000000
        
          
        
        1300000.000000000000
        OU
        Notional Amount
        
        5555.170000000000
        0.0006547704
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Credit Suisse
              1V8Y6QCX6YMJ2OELII46
            
            
              
                ICE LIBOR CHF 6 Month
                CT1587604
              
            
            Y
            
            
              
                
              
            
            2032-03-17
            6191.690000000000
            USD
            0.000000000000
            USD
            1300000.000000000000
            CHF
            -636.520000000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse
        1V8Y6QCX6YMJ2OELII46
        FSWP: CHF -0.500000 20-MAR-2024
        000000000
        
          
        
        17100000.000000000000
        OU
        Notional Amount
        
        -42178.880000000000
        -0.0049714918
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Credit Suisse
              1V8Y6QCX6YMJ2OELII46
            
            
              
                ICE LIBOR CHF 6 Month
                CT1587604
              
            
            Y
            
              
                
              
            
            
            2024-03-20
            0.000000000000
            USD
            -41290.770000000000
            USD
            17100000.000000000000
            CHF
            -888.110000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        RUSSIAN RUBLE-OLD
        000000000
        
          
        
        295000000.000000000000
        OU
        Notional Amount
        N/A
        -21183.490000000000
        -0.0024968313
        N/A
        DFE
        CORP
        RU
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            4041757.080000000540167
            USD
            295000000.000000000000000
            RUB
            2021-09-15
            -21183.490000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        RUSSIAN RUBLE-OLD
        000000000
        
          
        
        927529000.000000000000
        OU
        Notional Amount
        N/A
        142837.930000000000
        0.0168358572
        N/A
        DFE
        CORP
        RU
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            12329963.599999997764826
            USD
            927529000.000000000000000
            RUB
            2021-12-15
            142837.930000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        SWEDISH KRONA
        000000000
        
          
        
        5878000.000000000000
        OU
        Notional Amount
        N/A
        2861.190000000000
        0.0003372395
        N/A
        DFE
        CORP
        SE
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            678363.380000000004657
            USD
            5878000.000000000000000
            SEK
            2021-09-15
            2861.190000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        SWEDISH KRONA
        000000000
        
          
        
        487243000.000000000000
        OU
        Notional Amount
        N/A
        -1551246.740000000000
        -0.1828405704
        N/A
        DFE
        CORP
        SE
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            58019757.230000004172325
            USD
            487243000.000000000000000
            SEK
            2021-09-15
            -1551246.740000000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse
        1V8Y6QCX6YMJ2OELII46
        FSWP: NOK 1.500000 20-MAR-2024
        000000000
        
          
        
        800700000.000000000000
        OU
        Notional Amount
        
        229132.310000000000
        0.0270071041
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Credit Suisse
              1V8Y6QCX6YMJ2OELII46
            
            
              
                Norway Interbank Offered Rate
                NIBOR6MO4
              
            
            Y
            
            
              
                
              
            
            2024-03-20
            255971.360000000000
            USD
            0.000000000000
            USD
            800700000.000000000000
            NOK
            -26839.050000000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse
        1V8Y6QCX6YMJ2OELII46
        FSWP: EUR -0.500000 16-MAR-2024
        000000000
        
          
        
        302000000.000000000000
        OU
        Notional Amount
        
        434532.740000000000
        0.0512170063
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Credit Suisse
              1V8Y6QCX6YMJ2OELII46
            
            
              
                Euribor 6 Month ACT/360
                EURIBOR65
              
            
            Y
            
              
                
              
            
            
            2024-03-16
            385113.840000000000
            USD
            0.000000000000
            USD
            302000000.000000000000
            EUR
            49418.900000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        SWEDISH KRONA
        000000000
        
          
        
        369840750.000000000000
        OU
        Notional Amount
        N/A
        656540.940000000000
        0.0773844140
        N/A
        DFE
        CORP
        SE
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            42235958.250000000000000
            USD
            369840750.000000000000000
            SEK
            2021-12-15
            656540.940000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        SINGAPORE DOLLAR
        000000000
        
          
        
        38450500.000000000000
        OU
        Notional Amount
        N/A
        252352.260000000000
        0.0297439666
        N/A
        DFE
        CORP
        SG
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            28346429.809999998658895
            USD
            38450500.000000000000000
            SGD
            2021-09-15
            252352.260000000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse
        1V8Y6QCX6YMJ2OELII46
        FSWP: EUR 0.250000 16-MAR-2032
        000000000
        
          
        
        26100000.000000000000
        OU
        Notional Amount
        
        701195.060000000000
        0.0826476546
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Credit Suisse
              1V8Y6QCX6YMJ2OELII46
            
            
              
                Euribor 6 Month ACT/360
                EURIBOR65
              
            
            Y
            
            
              
                
              
            
            2032-03-16
            762184.120000000000
            USD
            0.000000000000
            USD
            26100000.000000000000
            EUR
            -60989.060000000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse
        1V8Y6QCX6YMJ2OELII46
        FSWP: USD 0.500000 16-MAR-2024
        000000000
        
          
        
        87500000.000000000000
        OU
        Notional Amount
        USD
        -3787.870000000000
        -0.0004464643
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Credit Suisse
              1V8Y6QCX6YMJ2OELII46
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2024-03-16
            46260.720000000000
            USD
            0.000000000000
            USD
            87500000.000000000000
            USD
            -50048.590000000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse
        1V8Y6QCX6YMJ2OELII46
        FSWP: CAD 2.000000 14-MAR-2032
        000000000
        
          
        
        13800000.000000000000
        OU
        Notional Amount
        
        -172093.810000000000
        -0.0202841557
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Credit Suisse
              1V8Y6QCX6YMJ2OELII46
            
            
              
                Canada Bankers Acceptances 3 M
                CADBA3MO4
              
            
            Y
            
              
                
              
            
            
            2032-03-14
            0.000000000000
            USD
            -200223.610000000000
            USD
            13800000.000000000000
            CAD
            28129.800000000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse
        1V8Y6QCX6YMJ2OELII46
        FSWP: CAD 2.000000 14-MAR-2032
        000000000
        
          
        
        6800000.000000000000
        OU
        Notional Amount
        
        -84799.850000000000
        -0.0099950914
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Credit Suisse
              1V8Y6QCX6YMJ2OELII46
            
            
              
                Canada Bankers Acceptances 3 M
                CADBA3MO4
              
            
            Y
            
              
                
              
            
            
            2032-03-14
            0.000000000000
            USD
            -78457.580000000000
            USD
            6800000.000000000000
            CAD
            -6342.270000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        SINGAPORE DOLLAR
        000000000
        
          
        
        7220000.000000000000
        OU
        Notional Amount
        N/A
        73482.560000000000
        0.0086611580
        N/A
        DFE
        CORP
        SG
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            5295734.140000000596046
            USD
            7220000.000000000000000
            SGD
            2021-12-15
            73482.560000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        TAIWAN NEW DOLLAR
        000000000
        
          
        
        11250000.000000000000
        OU
        Notional Amount
        N/A
        3981.070000000000
        0.0004692362
        N/A
        DFE
        CORP
        TW
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            402841.799999999988358
            USD
            11250000.000000000000000
            TWD
            2021-09-15
            3981.070000000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse
        1V8Y6QCX6YMJ2OELII46
        FSWP: CAD 1.000000 14-MAR-2024
        000000000
        
          
        
        22200000.000000000000
        OU
        Notional Amount
        
        -25186.750000000000
        -0.0029686829
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Credit Suisse
              1V8Y6QCX6YMJ2OELII46
            
            
              
                Canada Bankers Acceptances 3 M
                CADBA3MO4
              
            
            Y
            
            
              
                
              
            
            2024-03-14
            0.000000000000
            USD
            -41196.420000000000
            USD
            22200000.000000000000
            CAD
            16009.670000000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse
        1V8Y6QCX6YMJ2OELII46
        FSWP: JPY 0.000000 20-MAR-2024
        000000000
        
          
        
        22945300000.000000000000
        OU
        Notional Amount
        
        -30928.130000000000
        -0.0036454013
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Credit Suisse
              1V8Y6QCX6YMJ2OELII46
            
            
              
                JAPANESE YEN 6 MNTH
                JY0006M09
              
            
            Y
            
              
                
              
            
            
            2024-03-20
            0.000000000000
            USD
            -25416.190000000000
            USD
            22945300000.000000000000
            JPY
            -5511.940000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        TAIWAN NEW DOLLAR
        000000000
        
          
        
        47400000.000000000000
        OU
        Notional Amount
        N/A
        -11586.300000000000
        -0.0013656407
        N/A
        DFE
        CORP
        TW
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            1725666.659999999916181
            USD
            47400000.000000000000000
            TWD
            2021-09-15
            -11586.300000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        SOUTH AFRICA COMM. RD
        000000000
        
          
        
        38070999.000000000000
        OU
        Notional Amount
        N/A
        65068.420000000000
        0.0076694098
        N/A
        DFE
        CORP
        ZA
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            2550920.770000000484288
            USD
            38070999.000000000000000
            ZAR
            2021-09-15
            65068.420000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        SOUTH AFRICA COMM. RD
        000000000
        
          
        
        122046000.000000000000
        OU
        Notional Amount
        N/A
        -281575.720000000000
        -0.0331884438
        N/A
        DFE
        CORP
        ZA
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            8667775.840000001713634
            USD
            122046000.000000000000000
            ZAR
            2021-09-15
            -281575.720000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        SOUTH AFRICA COMM. RD
        000000000
        
          
        
        39426499.000000000000
        OU
        Notional Amount
        N/A
        97669.510000000000
        0.0115119977
        N/A
        DFE
        CORP
        ZA
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            2579752.880000000353903
            USD
            39426499.000000000000000
            ZAR
            2021-12-15
            97669.510000000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse
        1V8Y6QCX6YMJ2OELII46
        FSWP: JPY 0.000000 17-MAR-2032
        000000000
        
          
        
        953200000.000000000000
        OU
        Notional Amount
        
        -64250.690000000000
        -0.0075730266
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Credit Suisse
              1V8Y6QCX6YMJ2OELII46
            
            
              
                JAPANESE YEN 6 MNTH
                JY0006M09
              
            
            Y
            
            
              
                
              
            
            2032-03-17
            0.000000000000
            USD
            -63166.350000000000
            USD
            953200000.000000000000
            JPY
            -1084.340000000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse
        1V8Y6QCX6YMJ2OELII46
        FSWP: AUD 1.500000 11-MAR-2032
        000000000
        
          
        
        400000.000000000000
        OU
        Notional Amount
        
        1038.920000000000
        0.0001224542
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Credit Suisse
              1V8Y6QCX6YMJ2OELII46
            
            
              
                BBA LIBOR AUD 6 Month **Discon
                AUDLIB6M6
              
            
            Y
            
            
              
                
              
            
            2032-03-11
            1152.300000000000
            USD
            0.000000000000
            USD
            400000.000000000000
            AUD
            -113.380000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -89058000.000000000000
        OU
        Notional Amount
        N/A
        95840.370000000000
        0.0112964027
        N/A
        DFE
        CORP
        ZA
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            89058000.000000000000000
            ZAR
            6215321.639999998733401
            USD
            2021-09-15
            95840.370000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -68601499.000000000000
        OU
        Notional Amount
        N/A
        -95442.720000000000
        -0.0112495330
        N/A
        DFE
        CORP
        ZA
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            68601499.000000000000000
            ZAR
            4618402.049999999813735
            USD
            2021-09-15
            -95442.720000000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse
        1V8Y6QCX6YMJ2OELII46
        FSWP: SEK 0.000000 20-MAR-2024
        000000000
        
          
        
        772000000.000000000000
        OU
        Notional Amount
        
        266002.710000000000
        0.0313529021
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Credit Suisse
              1V8Y6QCX6YMJ2OELII46
            
            
              
                Stockholm Interbank Offered Ra
                STIB3MIN4
              
            
            Y
            
              
                
              
            
            
            2024-03-20
            234290.350000000000
            USD
            0.000000000000
            USD
            772000000.000000000000
            SEK
            31712.360000000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse
        1V8Y6QCX6YMJ2OELII46
        FSWP: AUD 0.500000 07-MAR-2024
        000000000
        
          
        
        4000000.000000000000
        OU
        Notional Amount
        
        -5332.090000000000
        -0.0006284767
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Credit Suisse
              1V8Y6QCX6YMJ2OELII46
            
            
              
                ASX Australian Bank Bill Short Term Rates 3 Month Mid
                CT1622425
              
            
            Y
            
              
                
              
            
            
            2024-03-07
            0.000000000000
            USD
            -5518.850000000000
            USD
            4000000.000000000000
            AUD
            186.760000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -19240999.000000000000
        OU
        Notional Amount
        N/A
        -59041.380000000000
        -0.0069590216
        N/A
        DFE
        CORP
        ZA
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            19240999.000000000000000
            ZAR
            1247599.659999999916181
            USD
            2021-12-15
            -59041.380000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        DJIA MINI e-CBOT SEP 21
        000000000
        
          
          
        
        -12.000000000000
        NC
        USD
        -39635.900000000000
        -0.0046717588
        N/A
        DE
        CORP
        US
        
        N
        
        1
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            Short
            
              
                DJIA MINI e-CBOT SEP 21
                DJIA MINI e-CBOT SEP 21
                
                  
                  
                
              
            
            2021-09-17
            -2080764.100000000000
            USD
            -39635.900000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        EURO-SCHATZ SEP 21
        000000000
        
          
          
          
        
        -222.000000000000
        NC
        
        -30717.550000000000
        -0.0036205809
        N/A
        DIR
        CORP
        DE
        
        N
        
        1
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            Short
            
              
                EURO-SCHATZ SEP 21
                EURO-SCHATZ SEP 21
                
                  
                  
                
              
            
            2021-09-08
            -24900255.340000000000
            EUR
            -30717.550000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        AMSTERDAM INDEX SEP 21
        000000000
        
          
          
          
        
        5.000000000000
        NC
        
        20241.190000000000
        0.0023857654
        N/A
        DE
        CORP
        NL
        
        N
        
        1
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            Long
            
              
                AMSTERDAM INDEX SEP 21
                AMSTERDAM INDEX SEP 21
                
                  
                  
                
              
            
            2021-09-17
            770207.420000000000
            EUR
            20241.190000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        SET50 FUTURES SEP 21
        000000000
        
          
          
        
        -688.000000000000
        NC
        
        -194861.430000000000
        -0.0229677034
        N/A
        DE
        CORP
        TH
        
        N
        
        1
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            Short
            
              
                SET50 FUTURES SEP 21
                SET50 FUTURES SEP 21
                
                  
                  
                
              
            
            2021-09-29
            -129059618.510000000000
            THB
            -194861.430000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        10YR MINI JGB SEP 21
        000000000
        
          
          
          
        
        -1.000000000000
        NC
        
        -611.610000000000
        -0.0000720885
        N/A
        DIR
        CORP
        SG
        
        N
        
        1
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            Short
            
              
                10YR MINI JGB SEP 21
                10YR MINI JGB SEP 21
                
                  
                  
                
              
            
            2021-09-10
            -15148793.000000000000
            JPY
            -611.610000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        S&P500 EMINI SEP 21
        000000000
        
          
          
        
        76.000000000000
        NC
        USD
        680691.700000000000
        0.0802309881
        N/A
        DE
        CORP
        US
        
        N
        
        1
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            Long
            
              
                S&P500 EMINI SEP 21
                S&P500 EMINI SEP 21
                
                  
                  
                
              
            
            2021-09-17
            16497208.300000000000
            USD
            680691.700000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        S&P500 EMINI SEP 21
        000000000
        
          
          
        
        -105.000000000000
        NC
        USD
        -438606.060000000000
        -0.0516971157
        N/A
        DE
        CORP
        US
        
        N
        
        1
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            Short
            
              
                S&P500 EMINI SEP 21
                S&P500 EMINI SEP 21
                
                  
                  
                
              
            
            2021-09-17
            -23294018.940000000000
            USD
            -438606.060000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        SOYBEAN OIL OCT 21
        000000000
        
          
          
        
        238.000000000000
        NC
        USD
        -246306.200000000000
        -0.0290313365
        N/A
        DCO
        CORP
        US
        
        N
        
        1
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            Long
            
              
                SOYBEAN OIL OCT 21
                SOYBEAN OIL OCT 21
                
                  
                  
                
              
            
            2021-10-14
            8655798.200000000000
            USD
            -246306.200000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        CORN DEC 21
        000000000
        
          
          
        
        106.000000000000
        NC
        USD
        -170897.820000000000
        -0.0201431881
        N/A
        DCO
        CORP
        US
        
        N
        
        1
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            Long
            
              
                CORN DEC 21
                CORN DEC 21
                
                  
                  
                
              
            
            2021-12-14
            3002422.820000000000
            USD
            -170897.820000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        CORN DEC 21
        000000000
        
          
          
        
        198.000000000000
        NC
        USD
        -106999.200000000000
        -0.0126116589
        N/A
        DCO
        CORP
        US
        
        N
        
        1
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            Long
            
              
                CORN DEC 21
                CORN DEC 21
                
                  
                  
                
              
            
            2021-12-14
            5396074.200000000000
            USD
            -106999.200000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -77672000.000000000000
        OU
        Notional Amount
        N/A
        2566596.510000000000
        0.3025166517
        N/A
        DFE
        CORP
        AU
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            77672000.000000000000000
            AUD
            59392260.259999997913837
            USD
            2021-09-15
            2566596.510000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        S&P MID 400 EMINI SEP 21
        000000000
        
          
          
        
        3.000000000000
        NC
        USD
        6834.310000000000
        0.0008055386
        N/A
        DE
        CORP
        US
        
        N
        
        1
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            Long
            
              
                S&P MID 400 EMINI SEP 21
                S&P MID 400 EMINI SEP 21
                
                  
                  
                
              
            
            2021-09-17
            818765.690000000000
            USD
            6834.310000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        US 5YR NOTE DEC 21
        000000000
        
          
          
        
        -1214.000000000000
        NC
        USD
        -335962.940000000000
        -0.0395988942
        N/A
        DIR
        CORP
        US
        
        N
        
        1
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            Short
            
              
                US 5YR NOTE DEC 21
                US 5YR NOTE DEC 21
                
                  
                  
                
              
            
            2021-12-31
            -149858599.560000000000
            USD
            -335962.940000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -33525999.000000000000
        OU
        Notional Amount
        N/A
        -493732.540000000000
        -0.0581947004
        N/A
        DFE
        CORP
        AU
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            33525999.000000000000000
            AUD
            24034245.949999999254942
            USD
            2021-09-15
            -493732.540000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -43382499.000000000000
        OU
        Notional Amount
        N/A
        -527915.740000000000
        -0.0622237666
        N/A
        DFE
        CORP
        AU
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            43382499.000000000000000
            AUD
            31225200.649999998509884
            USD
            2021-12-15
            -527915.740000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        LONG GILT DEC 21
        000000000
        
          
          
          
        
        -78.000000000000
        NC
        
        64323.250000000000
        0.0075815790
        N/A
        DIR
        CORP
        GB
        
        N
        
        1
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            Short
            
              
                LONG GILT DEC 21
                LONG GILT DEC 21
                
                  
                  
                
              
            
            2021-12-29
            -10049605.330000000000
            GBP
            64323.250000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        LONG GILT DEC 21
        000000000
        
          
          
          
        
        -224.000000000000
        NC
        
        206161.140000000000
        0.0242995646
        N/A
        DIR
        CORP
        GB
        
        N
        
        1
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            Short
            
              
                LONG GILT DEC 21
                LONG GILT DEC 21
                
                  
                  
                
              
            
            2021-12-29
            -28875627.200000000000
            GBP
            206161.140000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        GOLD 100 OZ DEC 21
        000000000
        
          
          
        
        15.000000000000
        NC
        USD
        -11736.000000000000
        -0.0013832854
        N/A
        DCO
        CORP
        US
        
        N
        
        1
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            Long
            
              
                GOLD 100 OZ DEC 21
                GOLD 100 OZ DEC 21
                
                  
                  
                
              
            
            2021-12-29
            2738886.000000000000
            USD
            -11736.000000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        GOLD 100 OZ DEC 21
        000000000
        
          
          
        
        -2.000000000000
        NC
        USD
        -1233.890000000000
        -0.0001454347
        N/A
        DCO
        CORP
        US
        
        N
        
        1
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            Short
            
              
                GOLD 100 OZ DEC 21
                GOLD 100 OZ DEC 21
                
                  
                  
                
              
            
            2021-12-29
            -362386.110000000000
            USD
            -1233.890000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        US DOLLARS
        000000000
        
          
        
        -66646000.000000000000
        OU
        Notional Amount
        N/A
        -174540.820000000000
        -0.0205725771
        N/A
        DFE
        CORP
        XX
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            66646000.000000000000000
            EUR
            78539383.590000003576279
            USD
            2021-09-15
            -174540.820000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        US DOLLARS
        000000000
        
          
        
        -8626798000.000000000000
        OU
        Notional Amount
        N/A
        556137.580000000000
        0.0655501860
        N/A
        DFE
        CORP
        JP
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            8626798000.000000000000000
            JPY
            78980244.640000000596046
            USD
            2021-09-15
            556137.580000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -10972000.000000000000
        OU
        Notional Amount
        N/A
        37743.940000000000
        0.0044487594
        N/A
        DFE
        CORP
        BR
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            10972000.000000000000000
            BRL
            2155807.809999999590218
            USD
            2021-09-15
            37743.940000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -150484247.000000000000
        OU
        Notional Amount
        N/A
        -704748.580000000000
        -0.0830664968
        N/A
        DFE
        CORP
        BR
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            150484247.000000000000000
            BRL
            28345128.219999995082617
            USD
            2021-09-15
            -704748.580000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -22242000.000000000000
        OU
        Notional Amount
        N/A
        -112255.420000000000
        -0.0132311930
        N/A
        DFE
        CORP
        BR
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            22242000.000000000000000
            BRL
            4117319.589999999850988
            USD
            2021-12-15
            -112255.420000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -131390750.000000000000
        OU
        Notional Amount
        N/A
        1546596.990000000000
        0.1822925190
        N/A
        DFE
        CORP
        CA
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            131390750.000000000000000
            CAD
            105686447.560000002384186
            USD
            2021-09-15
            1546596.990000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        EURO COUNTRIES
        000000000
        
          
        
        5724000.000000000000
        OU
        Notional Amount
        N/A
        43392.500000000000
        0.0051145374
        N/A
        DFE
        CORP
        XX
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            6717080.799999999813735
            USD
            5724000.000000000000000
            EUR
            2021-09-15
            43392.500000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs International
        W22LROWP2IHZNBB6K528
        JAPANESE YEN
        000000000
        
          
        
        730160000.000000000000
        OU
        Notional Amount
        N/A
        -10032.750000000000
        -0.0011825287
        N/A
        DFE
        CORP
        JP
        N
        
        2
        
          
            
              Goldman Sachs International
              W22LROWP2IHZNBB6K528
            
            6647738.419999999925494
            USD
            730160000.000000000000000
            JPY
            2021-09-15
            -10032.750000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -12870500.000000000000
        OU
        Notional Amount
        N/A
        -120612.830000000000
        -0.0142162546
        N/A
        DFE
        CORP
        CA
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            12870500.000000000000000
            CAD
            10080500.609999999403954
            USD
            2021-09-15
            -120612.830000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -1358250.000000000000
        OU
        Notional Amount
        N/A
        1654.870000000000
        0.0001950543
        N/A
        DFE
        CORP
        CA
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            1358250.000000000000000
            CAD
            1078078.310000000055879
            USD
            2021-12-15
            1654.870000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        DAX INDEX SEP 21
        000000000
        
          
          
          
        
        32.000000000000
        NC
        
        68819.340000000000
        0.0081115190
        N/A
        DE
        CORP
        DE
        
        N
        
        1
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            Long
            
              
                DAX INDEX SEP 21
                DAX INDEX SEP 21
                
                  
                  
                
              
            
            2021-09-17
            12582492.800000000000
            EUR
            68819.340000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        DAX INDEX SEP 21
        000000000
        
          
          
          
        
        -29.000000000000
        NC
        
        -281202.760000000000
        -0.0331444842
        N/A
        DE
        CORP
        DE
        
        N
        
        1
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            Short
            
              
                DAX INDEX SEP 21
                DAX INDEX SEP 21
                
                  
                  
                
              
            
            2021-09-17
            -11217052.550000000000
            EUR
            -281202.760000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -13682500.000000000000
        OU
        Notional Amount
        N/A
        -136713.950000000000
        -0.0161140430
        N/A
        DFE
        CORP
        CA
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            13682500.000000000000000
            CAD
            10706771.259999999776483
            USD
            2021-12-15
            -136713.950000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -109120000.000000000000
        OU
        Notional Amount
        N/A
        1287076.890000000000
        0.1517037017
        N/A
        DFE
        CORP
        CH
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            109120000.000000000000000
            CHF
            120487995.659999996423721
            USD
            2021-09-15
            1287076.890000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        H-SHARES INDEX SEP 21
        000000000
        
          
          
        
        -26.000000000000
        NC
        
        -32514.480000000000
        -0.0038323794
        N/A
        DE
        CORP
        HK
        
        N
        
        1
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            Short
            
              
                H-SHARES INDEX SEP 21
                H-SHARES INDEX SEP 21
                
                  
                  
                
              
            
            2021-09-29
            -11635603.800000000000
            HKD
            -32514.480000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        COPPER DEC 21
        000000000
        
          
          
        
        60.000000000000
        NC
        USD
        184453.000000000000
        0.0217408945
        N/A
        DCO
        CORP
        US
        
        N
        
        1
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            Long
            
              
                COPPER DEC 21
                COPPER DEC 21
                
                  
                  
                
              
            
            2021-12-29
            6378047.000000000000
            USD
            184453.000000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -14930000.000000000000
        OU
        Notional Amount
        N/A
        -6179.950000000000
        -0.0007284113
        N/A
        DFE
        CORP
        CH
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            14930000.000000000000000
            CHF
            16303109.970000000670552
            USD
            2021-09-15
            -6179.950000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -27496500.000000000000
        OU
        Notional Amount
        N/A
        -12688.180000000000
        -0.0014955158
        N/A
        DFE
        CORP
        CH
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            27496500.000000000000000
            CHF
            30094112.119999997317791
            USD
            2021-12-15
            -12688.180000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -11546630000.000000000000
        OU
        Notional Amount
        N/A
        568757.970000000000
        0.0670377116
        N/A
        DFE
        CORP
        CL
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            11546630000.000000000000000
            CLP
            15481946.500000000000000
            USD
            2021-09-15
            568757.970000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -3365869500.000000000000
        OU
        Notional Amount
        N/A
        -40663.210000000000
        -0.0047928446
        N/A
        DFE
        CORP
        CL
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            3365869500.000000000000000
            CLP
            4306565.939999999478459
            USD
            2021-09-15
            -40663.210000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        HANG SENG INDEX SEP 21
        000000000
        
          
          
        
        76.000000000000
        NC
        
        184232.680000000000
        0.0217149261
        N/A
        DE
        CORP
        HK
        
        N
        
        1
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            Long
            
              
                HANG SENG INDEX SEP 21
                HANG SENG INDEX SEP 21
                
                  
                  
                
              
            
            2021-09-29
            96432176.900000000000
            HKD
            184232.680000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        HANG SENG INDEX SEP 21
        000000000
        
          
          
        
        -9.000000000000
        NC
        
        -11347.370000000000
        -0.0013374788
        N/A
        DE
        CORP
        HK
        
        N
        
        1
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            Short
            
              
                HANG SENG INDEX SEP 21
                HANG SENG INDEX SEP 21
                
                  
                  
                
              
            
            2021-09-29
            -11501125.000000000000
            HKD
            -11347.370000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        NY HARBOR ULSD (HEAT OIL) OCT 21
        000000000
        
          
          
        
        4.000000000000
        NC
        USD
        9977.720000000000
        0.0011760424
        N/A
        DCO
        CORP
        US
        
        N
        
        1
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            Long
            
              
                NY HARBOR ULSD (HEAT OIL) OCT 21
                NY HARBOR ULSD (HEAT OIL) OCT 21
                
                  
                  
                
              
            
            2021-09-30
            347895.880000000000
            USD
            9977.720000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        NY HARBOR ULSD (HEAT OIL) OCT 21
        000000000
        
          
          
        
        32.000000000000
        NC
        USD
        82683.200000000000
        0.0097456085
        N/A
        DCO
        CORP
        US
        
        N
        
        1
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            Long
            
              
                NY HARBOR ULSD (HEAT OIL) OCT 21
                NY HARBOR ULSD (HEAT OIL) OCT 21
                
                  
                  
                
              
            
            2021-09-30
            2780305.600000000000
            USD
            82683.200000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -1706724000.000000000000
        OU
        Notional Amount
        N/A
        -28871.060000000000
        -0.0034029410
        N/A
        DFE
        CORP
        CL
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            1706724000.000000000000000
            CLP
            2166167.160000000149012
            USD
            2021-12-15
            -28871.060000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -15081000.000000000000
        OU
        Notional Amount
        N/A
        11722.380000000000
        0.0013816800
        N/A
        DFE
        CORP
        CN
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            15081000.000000000000000
            CNY
            2345375.810000000055879
            USD
            2021-09-15
            11722.380000000000
          
        
        
          N
          N
          N
        
      
      
        HSBC
        CYYGQCGNHMHPSMRL3R97
        US DOLLARS
        000000000
        
          
        
        -343404000.000000000000
        OU
        Notional Amount
        N/A
        9860.650000000000
        0.0011622438
        N/A
        DFE
        CORP
        SE
        N
        
        2
        
          
            
              HSBC
              CYYGQCGNHMHPSMRL3R97
            
            343404000.000000000000000
            SEK
            39808302.880000002682209
            USD
            2021-09-15
            9860.650000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        IBEX 35 INDEX SEP 21
        000000000
        
          
          
          
        
        106.000000000000
        NC
        
        -48743.610000000000
        -0.0057452559
        N/A
        DE
        CORP
        ES
        
        N
        
        1
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            Long
            
              
                IBEX 35 INDEX SEP 21
                IBEX 35 INDEX SEP 21
                
                  
                  
                
              
            
            2021-09-17
            9397742.700000000000
            EUR
            -48743.610000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        IBEX 35 INDEX SEP 21
        000000000
        
          
          
          
        
        -206.000000000000
        NC
        
        124476.270000000000
        0.0146716261
        N/A
        DE
        CORP
        ES
        
        N
        
        1
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            Short
            
              
                IBEX 35 INDEX SEP 21
                IBEX 35 INDEX SEP 21
                
                  
                  
                
              
            
            2021-09-17
            -18288531.380000000000
            EUR
            124476.270000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SGX CNX NIFTY ETS SEP 21
        000000000
        
          
          
          
        
        1.000000000000
        NC
        USD
        786.250000000000
        0.0000926728
        N/A
        DE
        CORP
        SG
        
        N
        
        1
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            Long
            
              
                SGX CNX NIFTY ETS SEP 21
                SGX CNX NIFTY ETS SEP 21
                
                  
                  
                
              
            
            2021-09-30
            33464.750000000000
            USD
            786.250000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        SGX CNX NIFTY ETS SEP 21
        000000000
        
          
          
          
        
        109.000000000000
        NC
        USD
        113967.530000000000
        0.0134329940
        N/A
        DE
        CORP
        SG
        
        N
        
        1
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            Long
            
              
                SGX CNX NIFTY ETS SEP 21
                SGX CNX NIFTY ETS SEP 21
                
                  
                  
                
              
            
            2021-09-30
            3619391.470000000000
            USD
            113967.530000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        SGX CNX NIFTY ETS SEP 21
        000000000
        
          
          
          
        
        -268.000000000000
        NC
        USD
        -224086.640000000000
        -0.0264123869
        N/A
        DE
        CORP
        SG
        
        N
        
        1
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            Short
            
              
                SGX CNX NIFTY ETS SEP 21
                SGX CNX NIFTY ETS SEP 21
                
                  
                  
                
              
            
            2021-09-30
            -8955181.360000000000
            USD
            -224086.640000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -128778624.000000000000
        OU
        Notional Amount
        N/A
        -196878.350000000000
        -0.0232054314
        N/A
        DFE
        CORP
        CN
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            128778624.000000000000000
            CNY
            19730492.330000001937151
            USD
            2021-09-15
            -196878.350000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -24822812.000000000000
        OU
        Notional Amount
        N/A
        -27679.070000000000
        -0.0032624449
        N/A
        DFE
        CORP
        CN
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            24822812.000000000000000
            CNY
            3787024.680000000167638
            USD
            2021-12-15
            -27679.070000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        EURO-BTP (ITALY GOVT) SEP 21
        000000000
        
          
          
          
        
        -16.000000000000
        NC
        
        -63693.150000000000
        -0.0075073111
        N/A
        DIR
        CORP
        DE
        
        N
        
        1
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            Short
            
              
                EURO-BTP (ITALY GOVT) SEP 21
                EURO-BTP (ITALY GOVT) SEP 21
                
                  
                  
                
              
            
            2021-09-08
            -2399672.720000000000
            EUR
            -63693.150000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        KL COMPOSITE INDX SEP 21
        000000000
        
          
          
        
        10.000000000000
        NC
        
        3955.250000000000
        0.0004661929
        N/A
        DE
        CORP
        MY
        
        N
        
        1
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            Long
            
              
                KL COMPOSITE INDX SEP 21
                KL COMPOSITE INDX SEP 21
                
                  
                  
                
              
            
            2021-09-30
            777699.570000000000
            MYR
            3955.250000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -39801773750.000000000000
        OU
        Notional Amount
        N/A
        139469.950000000000
        0.0164388840
        N/A
        DFE
        CORP
        CO
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            39801773750.000000000000000
            COP
            10692074.430000001564622
            USD
            2021-09-15
            139469.950000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -24572571250.000000000000
        OU
        Notional Amount
        N/A
        -128176.210000000000
        -0.0151077264
        N/A
        DFE
        CORP
        CO
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            24572571250.000000000000000
            COP
            6386725.030000000260770
            USD
            2021-09-15
            -128176.210000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        MEXICAN BOLSA INDEX FUTURE SEP 21
        000000000
        
          
          
        
        9.000000000000
        NC
        
        13285.770000000000
        0.0015659519
        N/A
        DE
        CORP
        MX
        
        N
        
        1
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            Long
            
              
                MEXICAN BOLSA INDEX FUTURE SEP 21
                MEXICAN BOLSA INDEX FUTURE SEP 21
                
                  
                  
                
              
            
            2021-09-17
            4524821.840000000000
            MXN
            13285.770000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        MEXICAN BOLSA INDEX FUTURE SEP 21
        000000000
        
          
          
        
        -346.000000000000
        NC
        
        -197555.640000000000
        -0.0232852614
        N/A
        DE
        CORP
        MX
        
        N
        
        1
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            Short
            
              
                MEXICAN BOLSA INDEX FUTURE SEP 21
                MEXICAN BOLSA INDEX FUTURE SEP 21
                
                  
                  
                
              
            
            2021-09-17
            -180235681.400000000000
            MXN
            -197555.640000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -38812155000.000000000000
        OU
        Notional Amount
        N/A
        -248653.790000000000
        -0.0293080395
        N/A
        DFE
        CORP
        CO
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            38812155000.000000000000000
            COP
            9985995.049999998882413
            USD
            2021-12-15
            -248653.790000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -361477000.000000000000
        OU
        Notional Amount
        N/A
        525448.280000000000
        0.0619329348
        N/A
        DFE
        CORP
        CZ
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            361477000.000000000000000
            CZK
            17313422.629999998956919
            USD
            2021-09-15
            525448.280000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        JPN 10YR BOND (OSE) SEP 21
        000000000
        
          
          
        
        -58.000000000000
        NC
        
        -179054.790000000000
        -0.0211046245
        N/A
        DIR
        CORP
        JP
        
        N
        
        1
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            Short
            
              
                JPN 10YR BOND (OSE) SEP 21
                JPN 10YR BOND (OSE) SEP 21
                
                  
                  
                
              
            
            2021-09-13
            -8805570175.000000000000
            JPY
            -179054.790000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        JPN 10YR BOND (OSE) SEP 21
        000000000
        
          
          
        
        -4.000000000000
        NC
        
        -24774.540000000000
        -0.0029200970
        N/A
        DIR
        CORP
        JP
        
        N
        
        1
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            Short
            
              
                JPN 10YR BOND (OSE) SEP 21
                JPN 10YR BOND (OSE) SEP 21
                
                  
                  
                
              
            
            2021-09-13
            -605918680.000000000000
            JPY
            -24774.540000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        COFFEE DEC 21
        000000000
        
          
          
        
        -109.000000000000
        NC
        USD
        -547788.790000000000
        -0.0645661404
        N/A
        DCO
        CORP
        US
        
        N
        
        1
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            Short
            
              
                COFFEE DEC 21
                COFFEE DEC 21
                
                  
                  
                
              
            
            2021-12-20
            -7459623.710000000000
            USD
            -547788.790000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        KOSPI2 INDEX SEP 21
        000000000
        
          
          
          
        
        147.000000000000
        NC
        
        -2592.380000000000
        -0.0003055557
        N/A
        DE
        CORP
        KR
        
        N
        
        1
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            Long
            
              
                KOSPI2 INDEX SEP 21
                KOSPI2 INDEX SEP 21
                
                  
                  
                
              
            
            2021-09-09
            15424820094.500000000000
            KRW
            -2592.380000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        WIG20(PLN20) INDEX SEP 21
        000000000
        
          
          
          
        
        374.000000000000
        NC
        
        161285.250000000000
        0.0190101847
        N/A
        DE
        CORP
        PL
        
        N
        
        1
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            Long
            
              
                WIG20(PLN20) INDEX SEP 21
                WIG20(PLN20) INDEX SEP 21
                
                  
                  
                
              
            
            2021-09-17
            16903306.560000000000
            PLN
            161285.250000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        LME PRI ALUM SEP 21
        000000000
        
          
          
          
        
        62.000000000000
        NC
        USD
        349023.100000000000
        0.0411382542
        N/A
        DCO
        CORP
        GB
        
        N
        
        1
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            Long
            
              
                LME PRI ALUM SEP 21
                LME PRI ALUM SEP 21
                
                  
                  
                
              
            
            2021-09-14
            3856126.900000000000
            USD
            349023.100000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -587128000.000000000000
        OU
        Notional Amount
        N/A
        -171515.950000000000
        -0.0202160451
        N/A
        DFE
        CORP
        CZ
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            587128000.000000000000000
            CZK
            27096304.179999999701977
            USD
            2021-09-15
            -171515.950000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -47550000.000000000000
        OU
        Notional Amount
        N/A
        -26911.830000000000
        -0.0031720127
        N/A
        DFE
        CORP
        CZ
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            47550000.000000000000000
            CZK
            2176902.089999999850988
            USD
            2021-12-15
            -26911.830000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        LME PRI ALUM SEP 21
        000000000
        
          
          
          
        
        -30.000000000000
        NC
        USD
        -116507.100000000000
        -0.0137323251
        N/A
        DCO
        CORP
        GB
        
        N
        
        1
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            Short
            
              
                LME PRI ALUM SEP 21
                LME PRI ALUM SEP 21
                
                  
                  
                
              
            
            2021-09-14
            -1918242.900000000000
            USD
            -116507.100000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        LME PRI ALUM DEC 21
        000000000
        
          
          
          
        
        25.000000000000
        NC
        USD
        64457.500000000000
        0.0075974026
        N/A
        DCO
        CORP
        GB
        
        N
        
        1
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            Long
            
              
                LME PRI ALUM DEC 21
                LME PRI ALUM DEC 21
                
                  
                  
                
              
            
            2021-12-14
            1633511.250000000000
            USD
            64457.500000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        LIVE CATTLE OCT 21
        000000000
        
          
          
        
        1.000000000000
        NC
        USD
        -235.560000000000
        -0.0000277647
        N/A
        DCO
        CORP
        US
        
        N
        
        1
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            Long
            
              
                LIVE CATTLE OCT 21
                LIVE CATTLE OCT 21
                
                  
                  
                
              
            
            2021-10-29
            50995.560000000000
            USD
            -235.560000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        LEAN HOGS OCT 21
        000000000
        
          
          
        
        -182.000000000000
        NC
        USD
        93358.370000000000
        0.0110038572
        N/A
        DCO
        CORP
        US
        
        N
        
        1
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            Short
            
              
                LEAN HOGS OCT 21
                LEAN HOGS OCT 21
                
                  
                  
                
              
            
            2021-10-14
            -6557998.370000000000
            USD
            93358.370000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        LME LEAD DEC 21
        000000000
        
          
          
          
        
        6.000000000000
        NC
        USD
        -2828.280000000000
        -0.0003333605
        N/A
        DCO
        CORP
        GB
        
        N
        
        1
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            Long
            
              
                LME LEAD DEC 21
                LME LEAD DEC 21
                
                  
                  
                
              
            
            2021-12-14
            340703.280000000000
            USD
            -2828.280000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        LME NICKEL SEP 21
        000000000
        
          
          
          
        
        15.000000000000
        NC
        USD
        69580.200000000000
        0.0082011992
        N/A
        DCO
        CORP
        GB
        
        N
        
        1
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            Long
            
              
                LME NICKEL SEP 21
                LME NICKEL SEP 21
                
                  
                  
                
              
            
            2021-09-14
            1691494.800000000000
            USD
            69580.200000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        LME NICKEL DEC 21
        000000000
        
          
          
          
        
        13.000000000000
        NC
        USD
        50994.650000000000
        0.0060105789
        N/A
        DCO
        CORP
        GB
        
        N
        
        1
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            Long
            
              
                LME NICKEL DEC 21
                LME NICKEL DEC 21
                
                  
                  
                
              
            
            2021-12-14
            1473593.350000000000
            USD
            50994.650000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        LME COPPER SEP 21
        000000000
        
          
          
          
        
        2.000000000000
        NC
        USD
        -3342.760000000000
        -0.0003940006
        N/A
        DCO
        CORP
        GB
        
        N
        
        1
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            Long
            
              
                LME COPPER SEP 21
                LME COPPER SEP 21
                
                  
                  
                
              
            
            2021-09-14
            479605.260000000000
            USD
            -3342.760000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -93163000.000000000000
        OU
        Notional Amount
        N/A
        1453521.220000000000
        0.1713219709
        N/A
        DFE
        CORP
        XX
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            93163000.000000000000000
            EUR
            111486011.370000034570694
            USD
            2021-09-15
            1453521.220000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -32435000.000000000000
        OU
        Notional Amount
        N/A
        -96334.400000000000
        -0.0113546325
        N/A
        DFE
        CORP
        XX
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            32435000.000000000000000
            EUR
            38211833.179999999701977
            USD
            2021-09-15
            -96334.400000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        LME COPPER DEC 21
        000000000
        
          
          
          
        
        10.000000000000
        NC
        USD
        41567.450000000000
        0.0048994245
        N/A
        DCO
        CORP
        GB
        
        N
        
        1
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            Long
            
              
                LME COPPER DEC 21
                LME COPPER DEC 21
                
                  
                  
                
              
            
            2021-12-14
            2338745.050000000000
            USD
            41567.450000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        LME ZINC SEP 21
        000000000
        
          
          
          
        
        14.000000000000
        NC
        USD
        -8923.800000000000
        -0.0010518202
        N/A
        DCO
        CORP
        GB
        
        N
        
        1
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            Long
            
              
                LME ZINC SEP 21
                LME ZINC SEP 21
                
                  
                  
                
              
            
            2021-09-14
            1058573.800000000000
            USD
            -8923.800000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        LME ZINC SEP 21
        000000000
        
          
          
          
        
        -17.000000000000
        NC
        USD
        -10345.690000000000
        -0.0012194139
        N/A
        DCO
        CORP
        GB
        
        N
        
        1
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            Short
            
              
                LME ZINC SEP 21
                LME ZINC SEP 21
                
                  
                  
                
              
            
            2021-09-14
            -1264229.310000000000
            USD
            -10345.690000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        LME ZINC DEC 21
        000000000
        
          
          
          
        
        24.000000000000
        NC
        USD
        -4195.800000000000
        -0.0004945457
        N/A
        DCO
        CORP
        GB
        
        N
        
        1
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            Long
            
              
                LME ZINC DEC 21
                LME ZINC DEC 21
                
                  
                  
                
              
            
            2021-12-14
            1807645.800000000000
            USD
            -4195.800000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -27626500.000000000000
        OU
        Notional Amount
        N/A
        -232911.540000000000
        -0.0274525501
        N/A
        DFE
        CORP
        XX
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            27626500.000000000000000
            EUR
            32455905.109999995678663
            USD
            2021-12-15
            -232911.540000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -38365000.000000000000
        OU
        Notional Amount
        N/A
        1151571.090000000000
        0.1357320596
        N/A
        DFE
        CORP
        GB
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            38365000.000000000000000
            GBP
            53899686.299999989569187
            USD
            2021-09-15
            1151571.090000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        MSCI EMER MKT INDEX (ICE) SEP 21
        000000000
        
          
          
        
        484.000000000000
        NC
        USD
        -1778990.400000000000
        -0.2096839987
        N/A
        DE
        CORP
        US
        
        N
        
        1
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            Long
            
              
                MSCI EMER MKT INDEX (ICE) SEP 21
                MSCI EMER MKT INDEX (ICE) SEP 21
                
                  
                  
                
              
            
            2021-09-17
            33219630.400000000000
            USD
            -1778990.400000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        MSCI EMER MKT INDEX (ICE) SEP 21
        000000000
        
          
          
        
        -11.000000000000
        NC
        USD
        -14236.390000000000
        -0.0016779985
        N/A
        DE
        CORP
        US
        
        N
        
        1
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            Short
            
              
                MSCI EMER MKT INDEX (ICE) SEP 21
                MSCI EMER MKT INDEX (ICE) SEP 21
                
                  
                  
                
              
            
            2021-09-17
            -700323.610000000000
            USD
            -14236.390000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -13776000.000000000000
        OU
        Notional Amount
        N/A
        -108651.670000000000
        -0.0128064303
        N/A
        DFE
        CORP
        GB
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            13776000.000000000000000
            GBP
            18831998.289999999105930
            USD
            2021-09-15
            -108651.670000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -8172000.000000000000
        OU
        Notional Amount
        N/A
        -52803.960000000000
        -0.0062238366
        N/A
        DFE
        CORP
        GB
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            8172000.000000000000000
            GBP
            11184651.259999999776483
            USD
            2021-12-15
            -52803.960000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -364070000.000000000000
        OU
        Notional Amount
        N/A
        38235.210000000000
        0.0045066638
        N/A
        DFE
        CORP
        HU
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            364070000.000000000000000
            HUF
            1269486.820000000065193
            USD
            2021-09-15
            38235.210000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -1943897500.000000000000
        OU
        Notional Amount
        N/A
        -95993.020000000000
        -0.0113143951
        N/A
        DFE
        CORP
        HU
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            1943897500.000000000000000
            HUF
            6478091.439999999478459
            USD
            2021-09-15
            -95993.020000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -35300000000.000000000000
        OU
        Notional Amount
        N/A
        -44758.460000000000
        -0.0052755388
        N/A
        DFE
        CORP
        ID
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            35300000000.000000000000000
            IDR
            2430936.429999999701977
            USD
            2021-09-15
            -44758.460000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -12200000000.000000000000
        OU
        Notional Amount
        N/A
        -11228.190000000000
        -0.0013234314
        N/A
        DFE
        CORP
        ID
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            12200000000.000000000000000
            IDR
            837708.810000000055879
            USD
            2021-12-15
            -11228.190000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -27900000.000000000000
        OU
        Notional Amount
        N/A
        -143389.420000000000
        -0.0169008596
        N/A
        DFE
        CORP
        IL
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            27900000.000000000000000
            ILS
            8554838.269999999552965
            USD
            2021-09-17
            -143389.420000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -27900000.000000000000
        OU
        Notional Amount
        N/A
        -50595.750000000000
        -0.0059635618
        N/A
        DFE
        CORP
        IL
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            27900000.000000000000000
            ILS
            8657300.850000001490116
            USD
            2021-12-15
            -50595.750000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -796776000.000000000000
        OU
        Notional Amount
        N/A
        -251606.780000000000
        -0.0296560992
        N/A
        DFE
        CORP
        IN
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            796776000.000000000000000
            INR
            10648092.909999998286366
            USD
            2021-09-15
            -251606.780000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -36000000.000000000000
        OU
        Notional Amount
        N/A
        -8897.620000000000
        -0.0010487345
        N/A
        DFE
        CORP
        IN
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            36000000.000000000000000
            INR
            479029.280000000027940
            USD
            2021-12-15
            -8897.620000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        MSCI EAFE INDEX SEP 21
        000000000
        
          
          
        
        1.000000000000
        NC
        USD
        138.510000000000
        0.0000163257
        N/A
        DE
        CORP
        US
        
        N
        
        1
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            Long
            
              
                MSCI EAFE INDEX SEP 21
                MSCI EAFE INDEX SEP 21
                
                  
                  
                
              
            
            2021-09-17
            117436.490000000000
            USD
            138.510000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        US DOLLARS
        000000000
        
          
        
        -9800000.000000000000
        OU
        Notional Amount
        N/A
        404552.160000000000
        0.0476832897
        N/A
        DFE
        CORP
        AU
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            9800000.000000000000000
            AUD
            7574336.700000000186265
            USD
            2021-09-15
            404552.160000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -2243508000.000000000000
        OU
        Notional Amount
        N/A
        168427.310000000000
        0.0198519969
        N/A
        DFE
        CORP
        JP
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            2243508000.000000000000000
            JPY
            20563608.890000000596046
            USD
            2021-09-15
            168427.310000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -5210813000.000000000000
        OU
        Notional Amount
        N/A
        -219987.310000000000
        -0.0259292118
        N/A
        DFE
        CORP
        JP
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            5210813000.000000000000000
            JPY
            47150237.029999986290932
            USD
            2021-09-15
            -219987.310000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        US DOLLARS
        000000000
        
          
        
        -12850000.000000000000
        OU
        Notional Amount
        N/A
        -16261.250000000000
        -0.0019166624
        N/A
        DFE
        CORP
        AU
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            12850000.000000000000000
            AUD
            9384935.820000000298023
            USD
            2021-09-15
            -16261.250000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        US DOLLARS
        000000000
        
          
        
        -33610000.000000000000
        OU
        Notional Amount
        N/A
        73598.550000000000
        0.0086748294
        N/A
        DFE
        CORP
        BR
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            33610000.000000000000000
            BRL
            6561761.780000000260770
            USD
            2021-09-15
            73598.550000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        US DOLLARS
        000000000
        
          
        
        -30905000.000000000000
        OU
        Notional Amount
        N/A
        -36397.310000000000
        -0.0042900364
        N/A
        DFE
        CORP
        BR
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            30905000.000000000000000
            BRL
            5929585.570000000298023
            USD
            2021-09-15
            -36397.310000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        US DOLLARS
        000000000
        
          
        
        -47600000.000000000000
        OU
        Notional Amount
        N/A
        1027677.740000000000
        0.1211291404
        N/A
        DFE
        CORP
        CA
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            47600000.000000000000000
            CAD
            38755271.859999999403954
            USD
            2021-09-15
            1027677.740000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -3475810999.000000000000
        OU
        Notional Amount
        N/A
        70064.710000000000
        0.0082583068
        N/A
        DFE
        CORP
        JP
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            3475810999.000000000000000
            JPY
            31693545.839999999850988
            USD
            2021-12-15
            70064.710000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -3475811001.000000000000
        OU
        Notional Amount
        N/A
        -14375.320000000000
        -0.0016943737
        N/A
        DFE
        CORP
        JP
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            3475811001.000000000000000
            JPY
            31609105.829999998211861
            USD
            2021-12-15
            -14375.320000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -12711722000.000000000000
        OU
        Notional Amount
        N/A
        279465.260000000000
        0.0329396905
        N/A
        DFE
        CORP
        KW
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            12711722000.000000000000000
            KRW
            11243872.069999998435378
            USD
            2021-09-15
            279465.260000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -5971185000.000000000000
        OU
        Notional Amount
        N/A
        -67458.480000000000
        -0.0079511187
        N/A
        DFE
        CORP
        KW
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            5971185000.000000000000000
            KRW
            5082945.339999999850988
            USD
            2021-09-15
            -67458.480000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        US DOLLARS
        000000000
        
          
        
        -42950000.000000000000
        OU
        Notional Amount
        N/A
        -9408.600000000000
        -0.0011089621
        N/A
        DFE
        CORP
        CA
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            42950000.000000000000000
            CAD
            34032611.719999998807907
            USD
            2021-09-15
            -9408.600000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        US DOLLARS
        000000000
        
          
        
        -13000000.000000000000
        OU
        Notional Amount
        N/A
        295250.290000000000
        0.0348002223
        N/A
        DFE
        CORP
        CH
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            13000000.000000000000000
            CHF
            14496239.509999999776483
            USD
            2021-09-15
            295250.290000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -1270373000.000000000000
        OU
        Notional Amount
        N/A
        -14310.310000000000
        -0.0016867112
        N/A
        DFE
        CORP
        KW
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            1270373000.000000000000000
            KRW
            1080732.159999999916181
            USD
            2021-12-15
            -14310.310000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -93061500.000000000000
        OU
        Notional Amount
        N/A
        17119.170000000000
        0.0020177827
        N/A
        DFE
        CORP
        MX
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            93061500.000000000000000
            MXN
            4642246.130000001750886
            USD
            2021-09-15
            17119.170000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        US DOLLARS
        000000000
        
          
        
        -19350000.000000000000
        OU
        Notional Amount
        N/A
        -127838.300000000000
        -0.0150678980
        N/A
        DFE
        CORP
        CH
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            19350000.000000000000000
            CHF
            21009787.960000000894070
            USD
            2021-09-15
            -127838.300000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        US DOLLARS
        000000000
        
          
        
        -3100000.000000000000
        OU
        Notional Amount
        N/A
        -14780.390000000000
        -0.0017421180
        N/A
        DFE
        CORP
        XX
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            3100000.000000000000000
            EUR
            3646552.109999999869615
            USD
            2021-09-15
            -14780.390000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        US DOLLARS
        000000000
        
          
        
        -11650000.000000000000
        OU
        Notional Amount
        N/A
        517271.660000000000
        0.0609691823
        N/A
        DFE
        CORP
        GB
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            11650000.000000000000000
            GBP
            16534879.949999999254942
            USD
            2021-09-15
            517271.660000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        US DOLLARS
        000000000
        
          
        
        -20700000.000000000000
        OU
        Notional Amount
        N/A
        -362868.920000000000
        -0.0427702174
        N/A
        DFE
        CORP
        GB
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            20700000.000000000000000
            GBP
            28097602.469999998807907
            USD
            2021-09-15
            -362868.920000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        US DOLLARS
        000000000
        
          
        
        -1441585000.000000000000
        OU
        Notional Amount
        N/A
        -469719.780000000000
        -0.0553643919
        N/A
        DFE
        CORP
        IN
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            1441585000.000000000000000
            INR
            19250808.390000000596046
            USD
            2021-09-15
            -469719.780000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        US DOLLARS
        000000000
        
          
        
        -930000000.000000000000
        OU
        Notional Amount
        N/A
        13179.530000000000
        0.0015534297
        N/A
        DFE
        CORP
        JP
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            930000000.000000000000000
            JPY
            8467581.679999999701977
            USD
            2021-09-15
            13179.530000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        US DOLLARS
        000000000
        
          
        
        -520000000.000000000000
        OU
        Notional Amount
        N/A
        -35491.500000000000
        -0.0041832714
        N/A
        DFE
        CORP
        JP
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            520000000.000000000000000
            JPY
            4691701.099999999627471
            USD
            2021-09-15
            -35491.500000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        US DOLLARS
        000000000
        
          
        
        -21400170000.000000000000
        OU
        Notional Amount
        N/A
        530008.090000000000
        0.0624703853
        N/A
        DFE
        CORP
        KW
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            21400170000.000000000000000
            KRW
            18988574.920000001788139
            USD
            2021-09-15
            530008.090000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -652447875.000000000000
        OU
        Notional Amount
        N/A
        -320920.090000000000
        -0.0378258408
        N/A
        DFE
        CORP
        MX
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            652447875.000000000000000
            MXN
            32105531.809999998658895
            USD
            2021-09-15
            -320920.090000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -119090000.000000000000
        OU
        Notional Amount
        N/A
        -69022.660000000000
        -0.0081354837
        N/A
        DFE
        CORP
        MX
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            119090000.000000000000000
            MXN
            5778005.410000000149012
            USD
            2021-12-15
            -69022.660000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        US DOLLARS
        000000000
        
          
        
        -294275000.000000000000
        OU
        Notional Amount
        N/A
        -136514.040000000000
        -0.0160904802
        N/A
        DFE
        CORP
        MX
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            294275000.000000000000000
            MXN
            14488859.879999998956919
            USD
            2021-09-15
            -136514.040000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        US DOLLARS
        000000000
        
          
        
        -117250000.000000000000
        OU
        Notional Amount
        N/A
        614564.770000000000
        0.0724368150
        N/A
        DFE
        CORP
        NO
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            117250000.000000000000000
            NOK
            14100711.240000000223517
            USD
            2021-09-15
            614564.770000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -565470000.000000000000
        OU
        Notional Amount
        N/A
        2880279.480000000000
        0.3394894760
        N/A
        DFE
        CORP
        NO
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            565470000.000000000000000
            NOK
            67920887.100000008940697
            USD
            2021-09-15
            2880279.480000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -322099000.000000000000
        OU
        Notional Amount
        N/A
        -714961.620000000000
        -0.0842702757
        N/A
        DFE
        CORP
        NO
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            322099000.000000000000000
            NOK
            36333006.769999995827675
            USD
            2021-09-15
            -714961.620000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        US DOLLARS
        000000000
        
          
        
        -45100000.000000000000
        OU
        Notional Amount
        N/A
        673613.600000000000
        0.0793967147
        N/A
        DFE
        CORP
        NZ
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            45100000.000000000000000
            NZD
            32453328.600000001490116
            USD
            2021-09-15
            673613.600000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        US DOLLARS
        000000000
        
          
        
        -3150000.000000000000
        OU
        Notional Amount
        N/A
        -33515.400000000000
        -0.0039503547
        N/A
        DFE
        CORP
        NZ
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            3150000.000000000000000
            NZD
            2186132.100000000093132
            USD
            2021-09-15
            -33515.400000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        US DOLLARS
        000000000
        
          
        
        -79155000.000000000000
        OU
        Notional Amount
        N/A
        921543.420000000000
        0.1086194222
        N/A
        DFE
        CORP
        PL
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            79155000.000000000000000
            PLN
            21588467.170000001788139
            USD
            2021-09-15
            921543.420000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        US DOLLARS
        000000000
        
          
        
        -24850000.000000000000
        OU
        Notional Amount
        N/A
        -107401.320000000000
        -0.0126590555
        N/A
        DFE
        CORP
        PL
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            24850000.000000000000000
            PLN
            6380793.429999999701977
            USD
            2021-09-15
            -107401.320000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        US DOLLARS
        000000000
        
          
        
        -37500000.000000000000
        OU
        Notional Amount
        N/A
        79308.810000000000
        0.0093478798
        N/A
        DFE
        CORP
        SE
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            37500000.000000000000000
            SEK
            4425331.519999999552965
            USD
            2021-09-15
            79308.810000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        US DOLLARS
        000000000
        
          
        
        -55238000.000000000000
        OU
        Notional Amount
        N/A
        -77199.750000000000
        -0.0090992915
        N/A
        DFE
        CORP
        SE
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            55238000.000000000000000
            SEK
            6324549.650000000372529
            USD
            2021-09-15
            -77199.750000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -233226999.000000000000
        OU
        Notional Amount
        N/A
        -901121.340000000000
        -0.1062123359
        N/A
        DFE
        CORP
        NO
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            233226999.000000000000000
            NOK
            25910484.210000000894070
            USD
            2021-12-15
            -901121.340000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -87505000.000000000000
        OU
        Notional Amount
        N/A
        1640202.690000000000
        0.1933255282
        N/A
        DFE
        CORP
        NZ
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            87505000.000000000000000
            NZD
            63300600.950000010430813
            USD
            2021-09-15
            1640202.690000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        AUSTRALIA DOLLAR
        000000000
        
          
        
        8200000.000000000000
        OU
        Notional Amount
        N/A
        59090.570000000000
        0.0069648195
        N/A
        DFE
        CORP
        AU
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            5940116.900000000372529
            USD
            8200000.000000000000000
            AUD
            2021-09-15
            59090.570000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        AUSTRALIA DOLLAR
        000000000
        
          
        
        750000.000000000000
        OU
        Notional Amount
        N/A
        -19769.800000000000
        -0.0023302041
        N/A
        DFE
        CORP
        AU
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            568477.800000000046566
            USD
            750000.000000000000000
            AUD
            2021-09-15
            -19769.800000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        BRAZIL REAL
        000000000
        
          
        
        65585000.000000000000
        OU
        Notional Amount
        N/A
        169034.600000000000
        0.0199235762
        N/A
        DFE
        CORP
        BR
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            12491667.140000000596046
            USD
            65585000.000000000000000
            BRL
            2021-09-15
            169034.600000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        CANADIAN DOLLAR
        000000000
        
          
        
        45250000.000000000000
        OU
        Notional Amount
        N/A
        440879.570000000000
        0.0519650872
        N/A
        DFE
        CORP
        CA
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            35424112.740000002086163
            USD
            45250000.000000000000000
            CAD
            2021-09-15
            440879.570000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -57574000.000000000000
        OU
        Notional Amount
        N/A
        -778203.180000000000
        -0.0917243593
        N/A
        DFE
        CORP
        NZ
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            57574000.000000000000000
            NZD
            39791315.920000001788139
            USD
            2021-09-15
            -778203.180000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -32860000.000000000000
        OU
        Notional Amount
        N/A
        -427206.830000000000
        -0.0503535243
        N/A
        DFE
        CORP
        NZ
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            32860000.000000000000000
            NZD
            22711030.730000004172325
            USD
            2021-12-15
            -427206.830000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        CANADIAN DOLLAR
        000000000
        
          
        
        22900000.000000000000
        OU
        Notional Amount
        N/A
        -807323.630000000000
        -0.0951566951
        N/A
        DFE
        CORP
        CA
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            18957783.829999998211861
            USD
            22900000.000000000000000
            CAD
            2021-09-15
            -807323.630000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        SWISS FRANC
        000000000
        
          
        
        33750000.000000000000
        OU
        Notional Amount
        N/A
        -24859.870000000000
        -0.0029301546
        N/A
        DFE
        CORP
        CH
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            36892812.650000005960464
            USD
            33750000.000000000000000
            CHF
            2021-09-15
            -24859.870000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        EURO COUNTRIES
        000000000
        
          
        
        15500000.000000000000
        OU
        Notional Amount
        N/A
        -469429.510000000000
        -0.0553301787
        N/A
        DFE
        CORP
        XX
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            18776092.000000000000000
            USD
            15500000.000000000000000
            EUR
            2021-09-15
            -469429.510000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        BRITISH POUND
        000000000
        
          
        
        7150000.000000000000
        OU
        Notional Amount
        N/A
        -178003.540000000000
        -0.0209807170
        N/A
        DFE
        CORP
        GB
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            10008552.839999999850988
            USD
            7150000.000000000000000
            GBP
            2021-09-15
            -178003.540000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        INDIAN RUPEE
        000000000
        
          
        
        482285000.000000000000
        OU
        Notional Amount
        N/A
        44220.600000000000
        0.0052121429
        N/A
        DFE
        CORP
        IN
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            6553319.559999999590218
            USD
            482285000.000000000000000
            INR
            2021-09-15
            44220.600000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        JAPANESE YEN
        000000000
        
          
        
        4350000000.000000000000
        OU
        Notional Amount
        N/A
        -182588.080000000000
        -0.0215210823
        N/A
        DFE
        CORP
        JP
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            39727372.320000000298023
            USD
            4350000000.000000000000000
            JPY
            2021-09-15
            -182588.080000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        MEXICAN PESO
        000000000
        
          
        
        432015000.000000000000
        OU
        Notional Amount
        N/A
        116361.880000000000
        0.0137152085
        N/A
        DFE
        CORP
        MX
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            21354646.239999998360872
            USD
            432015000.000000000000000
            MXN
            2021-09-15
            116361.880000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        NORWAY KRONA
        000000000
        
          
        
        31000000.000000000000
        OU
        Notional Amount
        N/A
        123102.010000000000
        0.0145096464
        N/A
        DFE
        CORP
        NO
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            3442531.600000000093132
            USD
            31000000.000000000000000
            NOK
            2021-09-15
            123102.010000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -193000000.000000000000
        OU
        Notional Amount
        N/A
        111703.830000000000
        0.0131661788
        N/A
        DFE
        CORP
        PH
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            193000000.000000000000000
            PHP
            3991946.060000000055879
            USD
            2021-09-15
            111703.830000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -92000000.000000000000
        OU
        Notional Amount
        N/A
        -22278.620000000000
        -0.0026259108
        N/A
        DFE
        CORP
        PH
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            92000000.000000000000000
            PHP
            1827370.530000000027940
            USD
            2021-09-15
            -22278.620000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        NORWAY KRONA
        000000000
        
          
        
        127750000.000000000000
        OU
        Notional Amount
        N/A
        -350253.030000000000
        -0.0412832222
        N/A
        DFE
        CORP
        NO
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            15044114.109999999403954
            USD
            127750000.000000000000000
            NOK
            2021-09-15
            -350253.030000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        NEW ZEALAND DOLLAR
        000000000
        
          
        
        1350000.000000000000
        OU
        Notional Amount
        N/A
        21798.450000000000
        0.0025693147
        N/A
        DFE
        CORP
        NZ
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            929479.050000000046566
            USD
            1350000.000000000000000
            NZD
            2021-09-15
            21798.450000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -178125000.000000000000
        OU
        Notional Amount
        N/A
        -41804.720000000000
        -0.0049273908
        N/A
        DFE
        CORP
        PH
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            178125000.000000000000000
            PHP
            3518687.080000000074506
            USD
            2021-12-15
            -41804.720000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -136224000.000000000000
        OU
        Notional Amount
        N/A
        1042224.270000000000
        0.1228436941
        N/A
        DFE
        CORP
        PL
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            136224000.000000000000000
            PLN
            36609541.810000002384186
            USD
            2021-09-15
            1042224.270000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -83735500.000000000000
        OU
        Notional Amount
        N/A
        -75814.260000000000
        -0.0089359882
        N/A
        DFE
        CORP
        PL
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            83735500.000000000000000
            PLN
            21787052.170000001788139
            USD
            2021-09-15
            -75814.260000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -7110000.000000000000
        OU
        Notional Amount
        N/A
        -33831.890000000000
        -0.0039876584
        N/A
        DFE
        CORP
        PL
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            7110000.000000000000000
            PLN
            1822543.979999999981374
            USD
            2021-12-15
            -33831.890000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        POLISH ZLOTY
        000000000
        
          
        
        79155000.000000000000
        OU
        Notional Amount
        N/A
        172760.870000000000
        0.0203627799
        N/A
        DFE
        CORP
        PL
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            20494162.880000002682209
            USD
            79155000.000000000000000
            PLN
            2021-09-15
            172760.870000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        SWEDISH KRONA
        000000000
        
          
        
        786405000.000000000000
        OU
        Notional Amount
        N/A
        293718.800000000000
        0.0346197104
        N/A
        DFE
        CORP
        SE
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            90845854.290000006556511
            USD
            786405000.000000000000000
            SEK
            2021-09-15
            293718.800000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -21146000.000000000000
        OU
        Notional Amount
        N/A
        503.810000000000
        0.0000593825
        N/A
        DFE
        CORP
        RU
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            21146000.000000000000000
            RUB
            288703.979999999981374
            USD
            2021-09-15
            503.810000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -865471000.000000000000
        OU
        Notional Amount
        N/A
        -132317.120000000000
        -0.0155958024
        N/A
        DFE
        CORP
        RU
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            865471000.000000000000000
            RUB
            11663241.669999999925494
            USD
            2021-09-15
            -132317.120000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        SWEDISH KRONA
        000000000
        
          
        
        292250000.000000000000
        OU
        Notional Amount
        N/A
        -1435226.750000000000
        -0.1691656594
        N/A
        DFE
        CORP
        SE
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            35305230.420000001788139
            USD
            292250000.000000000000000
            SEK
            2021-09-15
            -1435226.750000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        TURKISH LIRA
        000000000
        
          
        
        83970000.000000000000
        OU
        Notional Amount
        N/A
        581337.870000000000
        0.0685204649
        N/A
        DFE
        CORP
        TR
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            9449071.759999999776483
            USD
            83970000.000000000000000
            TRY
            2021-09-15
            581337.870000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -71703000.000000000000
        OU
        Notional Amount
        N/A
        -15305.230000000000
        -0.0018039793
        N/A
        DFE
        CORP
        RU
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            71703000.000000000000000
            RUB
            948909.670000000041910
            USD
            2021-12-15
            -15305.230000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -369840750.000000000000
        OU
        Notional Amount
        N/A
        -654660.360000000000
        -0.0771627560
        N/A
        DFE
        CORP
        SE
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            369840750.000000000000000
            SEK
            42207640.950000002980232
            USD
            2021-09-15
            -654660.360000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -27174000.000000000000
        OU
        Notional Amount
        N/A
        -4611.890000000000
        -0.0005435890
        N/A
        DFE
        CORP
        SE
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            27174000.000000000000000
            SEK
            3146908.790000000037253
            USD
            2021-12-15
            -4611.890000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -35700000.000000000000
        OU
        Notional Amount
        N/A
        353909.320000000000
        0.0417141775
        N/A
        DFE
        CORP
        SG
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            35700000.000000000000000
            SGD
            26906919.549999993294477
            USD
            2021-09-15
            353909.320000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        SOUTH AFRICA COMM. RD
        000000000
        
          
        
        74265000.000000000000
        OU
        Notional Amount
        N/A
        152498.450000000000
        0.0179745123
        N/A
        DFE
        CORP
        ZA
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            4950504.950000000186265
            USD
            74265000.000000000000000
            ZAR
            2021-09-15
            152498.450000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        SOUTH AFRICA COMM. RD
        000000000
        
          
        
        226995000.000000000000
        OU
        Notional Amount
        N/A
        -235286.900000000000
        -0.0277325263
        N/A
        DFE
        CORP
        ZA
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            15832893.529999999329448
            USD
            226995000.000000000000000
            ZAR
            2021-09-15
            -235286.900000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        NATURAL GAS OCT 21
        000000000
        
          
          
        
        66.000000000000
        NC
        USD
        192956.420000000000
        0.0227431659
        N/A
        DCO
        CORP
        US
        
        N
        
        1
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            Long
            
              
                NATURAL GAS OCT 21
                NATURAL GAS OCT 21
                
                  
                  
                
              
            
            2021-09-28
            2695863.580000000000
            USD
            192956.420000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        NATURAL GAS OCT 21
        000000000
        
          
          
        
        -53.000000000000
        NC
        USD
        -276037.250000000000
        -0.0325356418
        N/A
        DCO
        CORP
        US
        
        N
        
        1
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            Short
            
              
                NATURAL GAS OCT 21
                NATURAL GAS OCT 21
                
                  
                  
                
              
            
            2021-09-28
            -2043772.750000000000
            USD
            -276037.250000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        NIKKEI 225 (OSE) SEP 21
        000000000
        
          
          
        
        21.000000000000
        NC
        
        -81186.670000000000
        -0.0095692172
        N/A
        DE
        CORP
        JP
        
        N
        
        1
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            Long
            
              
                NIKKEI 225 (OSE) SEP 21
                NIKKEI 225 (OSE) SEP 21
                
                  
                  
                
              
            
            2021-09-09
            600604049.000000000000
            JPY
            -81186.670000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        NASDAQ 100 E-MINI SEP 21
        000000000
        
          
          
        
        6.000000000000
        NC
        USD
        63743.860000000000
        0.0075132881
        N/A
        DE
        CORP
        US
        
        N
        
        1
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            Long
            
              
                NASDAQ 100 E-MINI SEP 21
                NASDAQ 100 E-MINI SEP 21
                
                  
                  
                
              
            
            2021-09-17
            1806156.140000000000
            USD
            63743.860000000000
          
        
        
          N
          N
          N
        
      
      
        AJAX MORTGAGE LOAN TRUST AJAXM_21-C
        N/A
        AJAXM_21-C
        009733AA4
        
          
          
        
        454135.110000000000
        PA
        USD
        454075.660000000000
        0.0535204687
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2061-01-25
          Variable
          2.115000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS
        N/A
        UMBS  30YR TBA(REG A)
        01F020695
        
          
        
        34500000.000000000000
        PA
        USD
        34990546.880000000000
        4.1242256208
        Long
        ABS-MBS
        USGA
        US
        
        N
        
        2
        
          2051-09-14
          Fixed
          2.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UMBS
        N/A
        UMBS  30YR TBA(REG A)
        01F022691
        
          
        
        24000000.000000000000
        PA
        USD
        24933750.000000000000
        2.9388626284
        Long
        ABS-MBS
        USGA
        US
        
        N
        
        2
        
          2051-09-14
          Fixed
          2.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -16138000.000000000000
        OU
        Notional Amount
        N/A
        -108546.280000000000
        -0.0127940084
        N/A
        DFE
        CORP
        SG
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            16138000.000000000000000
            SGD
            11894604.390000000596046
            USD
            2021-09-15
            -108546.280000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -22312500.000000000000
        OU
        Notional Amount
        N/A
        -122152.280000000000
        -0.0143977047
        N/A
        DFE
        CORP
        SG
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            22312500.000000000000000
            SGD
            16470735.220000000670552
            USD
            2021-12-15
            -122152.280000000000
          
        
        
          N
          N
          N
        
      
      
        ANGEL OAK MORTGAGE TRUST AOMT_19-2
        N/A
        AOMT_19-2
        03463WAF0
        
          
          
        
        2700000.000000000000
        PA
        USD
        2759894.100000000000
        0.3253000302
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2049-03-25
          Variable
          6.286000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ANGEL OAK MORTGAGE TRUST AOMT_21-5
        N/A
        AOMT_21-5
        03465HAC8
        
          
          
        
        650000.000000000000
        PA
        USD
        649989.010000000000
        0.0766121586
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2066-07-25
          Variable
          1.311000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ARES CLO LTD ARES_17-44A
        N/A
        ARES_17-44A
        04016NAZ6
        
          
          
        
        1500000.000000000000
        PA
        USD
        1501041.000000000000
        0.1769229778
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2034-04-15
          Variable
          7.032400000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ARES CLO LTD ARES_18-47A
        N/A
        ARES_18-47A
        04016VAE5
        
          
          
        
        2500000.000000000000
        PA
        USD
        2489665.000000000000
        0.2934489768
        Long
        ABS-MBS
        CORP
        KY
        
        N
        
        2
        
          2030-04-15
          Variable
          1.576100000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -92400000.000000000000
        OU
        Notional Amount
        N/A
        -7330.290000000000
        -0.0008639982
        N/A
        DFE
        CORP
        TW
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            92400000.000000000000000
            TWD
            3334041.570000000298023
            USD
            2021-09-15
            -7330.290000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        US DOLLARS
        000000000
        
          
        
        -11250000.000000000000
        OU
        Notional Amount
        N/A
        -5500.430000000000
        -0.0006483184
        N/A
        DFE
        CORP
        TW
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            11250000.000000000000000
            TWD
            404664.549999999988358
            USD
            2021-12-15
            -5500.430000000000
          
        
        
          N
          N
          N
        
      
      
        ARES CLO LTD ARES_17-43A
        N/A
        ARES_17-43A
        04017AAG5
        
          
          
        
        1000000.000000000000
        PA
        USD
        993506.000000000000
        0.1171014250
        Long
        ABS-MBS
        CORP
        KY
        
        N
        
        2
        
          2034-07-15
          Variable
          6.960600000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVANT LOANS FUNDING TRUST AVNT_19-B
        N/A
        AVNT_19-B
        05354NAB6
        
          
          
        
        826196.080000000000
        PA
        USD
        829092.720000000000
        0.0977225492
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2026-10-15
          Fixed
          3.150000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        EURO-OAT SEP 21
        000000000
        
          
          
          
        
        -28.000000000000
        NC
        
        -48965.580000000000
        -0.0057714188
        N/A
        DIR
        CORP
        DE
        
        N
        
        1
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            Short
            
              
                EURO-OAT SEP 21
                EURO-OAT SEP 21
                
                  
                  
                
              
            
            2021-09-08
            -4471862.730000000000
            EUR
            -48965.580000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        EURO-BOBL SEP 21
        000000000
        
          
          
          
        
        -91.000000000000
        NC
        
        -101569.700000000000
        -0.0119717008
        N/A
        DIR
        CORP
        DE
        
        N
        
        1
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            Short
            
              
                EURO-BOBL SEP 21
                EURO-BOBL SEP 21
                
                  
                  
                
              
            
            2021-09-08
            -12196890.190000000000
            EUR
            -101569.700000000000
          
        
        
          N
          N
          N
        
      
      
        AVANT LOANS FUNDING TRUST AVNT_19-B
        N/A
        AVNT_19-B
        05354NAC4
        
          
          
        
        3000000.000000000000
        PA
        USD
        3035012.100000000000
        0.3577273229
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2026-10-15
          Fixed
          4.540000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        AVANT LOANS FUNDING TRUST AVNT_20-REV1
        N/A
        AVNT_20-REV1
        05355MAB7
        
          
          
        
        496000.000000000000
        PA
        USD
        498784.200000000000
        0.0587901236
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2029-05-15
          Fixed
          2.680000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        EURO-BOBL DEC 21
        000000000
        
          
          
          
        
        -1.000000000000
        NC
        
        223.760000000000
        0.0000263739
        N/A
        DIR
        CORP
        DE
        
        N
        
        1
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            Short
            
              
                EURO-BOBL DEC 21
                EURO-BOBL DEC 21
                
                  
                  
                
              
            
            2021-12-08
            -135939.510000000000
            EUR
            223.760000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        S&P/TSE 60 INDEX SEP 21
        000000000
        
          
          
        
        -28.000000000000
        NC
        
        -66085.050000000000
        -0.0077892368
        N/A
        DE
        CORP
        CA
        
        N
        
        1
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            Short
            
              
                S&P/TSE 60 INDEX SEP 21
                S&P/TSE 60 INDEX SEP 21
                
                  
                  
                
              
            
            2021-09-16
            -6804803.200000000000
            CAD
            -66085.050000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        S&P/TSE 60 INDEX SEP 21
        000000000
        
          
          
        
        -113.000000000000
        NC
        
        -258594.330000000000
        -0.0304796997
        N/A
        DE
        CORP
        CA
        
        N
        
        1
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            Short
            
              
                S&P/TSE 60 INDEX SEP 21
                S&P/TSE 60 INDEX SEP 21
                
                  
                  
                
              
            
            2021-09-16
            -27473086.650000000000
            CAD
            -258594.330000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        S&P/TSE 60 INDEX SEP 21
        000000000
        
          
          
        
        -56.000000000000
        NC
        
        -97164.450000000000
        -0.0114524679
        N/A
        DE
        CORP
        CA
        
        N
        
        1
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            Short
            
              
                S&P/TSE 60 INDEX SEP 21
                S&P/TSE 60 INDEX SEP 21
                
                  
                  
                
              
            
            2021-09-16
            -13653840.770000000000
            CAD
            -97164.450000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        AUSTRALIA DOLLAR
        000000000
        
          
        
        17452499.000000000000
        OU
        Notional Amount
        N/A
        220488.720000000000
        0.0259883114
        N/A
        DFE
        CORP
        AU
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            12547945.719999998807907
            USD
            17452499.000000000000000
            AUD
            2021-09-15
            220488.720000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        AUSTRALIA DOLLAR
        000000000
        
          
        
        112529000.000000000000
        OU
        Notional Amount
        N/A
        -3453695.200000000000
        -0.4070761820
        N/A
        DFE
        CORP
        AU
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            85781111.980000004172325
            USD
            112529000.000000000000000
            AUD
            2021-09-15
            -3453695.200000000000
          
        
        
          N
          N
          N
        
      
      
        BARCLAYS COMMERCIAL MORTGAGE SECUIRITIES LLC BBCMS_18-BXH
        N/A
        BBCMS_18-BXH
        05491RAA3
        
          
          
        
        207394.210000000000
        PA
        USD
        207597.310000000000
        0.0244688415
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2037-10-15
          Variable
          1.095500000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BARCLAYS COMMERCIAL MORTGAGE SECUIRITIES LLC BBCMS_18-BXH
        N/A
        BBCMS_18-BXH
        05491RAQ8
        
          
          
        
        1500000.000000000000
        PA
        USD
        1440998.550000000000
        0.1698459632
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2037-10-15
          Variable
          3.045500000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        AUSTRALIA DOLLAR
        000000000
        
          
        
        48213999.000000000000
        OU
        Notional Amount
        N/A
        657416.390000000000
        0.0774876005
        N/A
        DFE
        CORP
        AU
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            34632038.049999997019768
            USD
            48213999.000000000000000
            AUD
            2021-12-15
            657416.390000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        BRAZIL REAL
        000000000
        
          
        
        104532332.000000000000
        OU
        Notional Amount
        N/A
        542634.340000000000
        0.0639586016
        N/A
        DFE
        CORP
        BR
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            19636563.310000006109476
            USD
            104532332.000000000000000
            BRL
            2021-09-15
            542634.340000000000
          
        
        
          N
          N
          N
        
      
      
        BANC OF AMERICA MERRILL LYNCH LARGE LOAN INC BAMLL_19-RLJ
        N/A
        BAMLL_19-RLJ
        05492HAJ5
        
          
          
        
        1250000.000000000000
        PA
        USD
        1240818.750000000000
        0.1462514003
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2036-04-15
          Variable
          1.695500000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BANC OF AMERICA MERRILL LYNCH LARGE LOAN INC BAMLL_18-DSNY
        N/A
        BAMLL_18-DSNY
        054967AL8
        
          
          
        
        2065000.000000000000
        PA
        USD
        2057222.800000000000
        0.2424783759
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2034-09-15
          Variable
          1.796000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        OMXS30 INDEX SEP 21
        000000000
        
          
          
          
        
        271.000000000000
        NC
        
        -68547.270000000000
        -0.0080794509
        N/A
        DE
        CORP
        SE
        
        N
        
        1
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            Long
            
              
                OMXS30 INDEX SEP 21
                OMXS30 INDEX SEP 21
                
                  
                  
                
              
            
            2021-09-17
            64384379.330000000000
            SEK
            -68547.270000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        OMXS30 INDEX SEP 21
        000000000
        
          
          
          
        
        -67.000000000000
        NC
        
        13023.400000000000
        0.0015350272
        N/A
        DE
        CORP
        SE
        
        N
        
        1
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            Short
            
              
                OMXS30 INDEX SEP 21
                OMXS30 INDEX SEP 21
                
                  
                  
                
              
            
            2021-09-17
            -15883271.250000000000
            SEK
            13023.400000000000
          
        
        
          N
          N
          N
        
      
      
        BFLD TRUST BFLD_19-DPLO
        N/A
        BFLD_19-DPLO
        054970AQ1
        
          
          
        
        300000.000000000000
        PA
        USD
        294868.890000000000
        0.0347552679
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2034-10-15
          Variable
          2.635500000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BFLD TRUST BFLD_19-DPLO
        N/A
        BFLD_19-DPLO
        054970AS7
        
          
          
        
        1000000.000000000000
        PA
        USD
        972229.300000000000
        0.1145936073
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2034-10-15
          Variable
          3.285500000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAMLL_13-WBRK
        N/A
        BAMLL_13-WBRK
        05525BAN0
        
          
          
        
        500000.000000000000
        PA
        USD
        416706.350000000000
        0.0491158658
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2037-03-10
          Variable
          3.652100000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX TRUST BX_19-OC11
        N/A
        BX_19-OC11
        05606FAA1
        
          
          
        
        1000000.000000000000
        PA
        USD
        1086834.100000000000
        0.1281017143
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2041-12-09
          Fixed
          3.202000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        MSCI SING IX ETS SEP 21
        000000000
        
          
          
          
        
        -10.000000000000
        NC
        
        3285.870000000000
        0.0003872952
        N/A
        DE
        CORP
        SG
        
        N
        
        1
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            Short
            
              
                MSCI SING IX ETS SEP 21
                MSCI SING IX ETS SEP 21
                
                  
                  
                
              
            
            2021-09-29
            -356569.410000000000
            SGD
            3285.870000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        RUSSELL 2000 EMINI CME SEP 21
        000000000
        
          
          
        
        -1.000000000000
        NC
        USD
        -4316.450000000000
        -0.0005087664
        N/A
        DE
        CORP
        US
        
        N
        
        1
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            Short
            
              
                RUSSELL 2000 EMINI CME SEP 21
                RUSSELL 2000 EMINI CME SEP 21
                
                  
                  
                
              
            
            2021-09-17
            -109243.550000000000
            USD
            -4316.450000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        BRAZIL REAL
        000000000
        
          
        
        76025000.000000000000
        OU
        Notional Amount
        N/A
        -272937.450000000000
        -0.0321702781
        N/A
        DFE
        CORP
        BR
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            14949004.410000000149012
            USD
            76025000.000000000000000
            BRL
            2021-09-15
            -272937.450000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        BRAZIL REAL
        000000000
        
          
        
        75349247.000000000000
        OU
        Notional Amount
        N/A
        409540.610000000000
        0.0482712626
        N/A
        DFE
        CORP
        BR
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            13918995.070000000298023
            USD
            75349247.000000000000000
            BRL
            2021-12-15
            409540.610000000000
          
        
        
          N
          N
          N
        
      
      
        BX TRUST BX_19-OC11
        N/A
        BX_19-OC11
        05606FAL7
        
          
          
        
        500000.000000000000
        PA
        USD
        540814.000000000000
        0.0637440439
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2041-12-09
          Variable
          4.075500000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX TRUST BX_19-OC11
        N/A
        BX_19-OC11
        05606FAN3
        
          
          
        
        1350000.000000000000
        PA
        USD
        1412621.100000000000
        0.1665012025
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2041-12-09
          Fixed
          4.075500000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        CANADIAN DOLLAR
        000000000
        
          
        
        9511500.000000000000
        OU
        Notional Amount
        N/A
        37123.640000000000
        0.0043756466
        N/A
        DFE
        CORP
        CA
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            7501658.109999999403954
            USD
            9511500.000000000000000
            CAD
            2021-09-15
            37123.640000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        CANADIAN DOLLAR
        000000000
        
          
        
        137785250.000000000000
        OU
        Notional Amount
        N/A
        -4589364.800000000000
        -0.5409339830
        N/A
        DFE
        CORP
        CA
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            113797473.789999991655350
            USD
            137785250.000000000000000
            CAD
            2021-09-15
            -4589364.800000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        EURO-BUND SEP 21
        000000000
        
          
          
          
        
        352.000000000000
        NC
        
        1646062.310000000000
        0.1940161832
        N/A
        DIR
        CORP
        DE
        
        N
        
        1
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            Long
            
              
                EURO-BUND SEP 21
                EURO-BUND SEP 21
                
                  
                  
                
              
            
            2021-09-08
            60375490.560000000000
            EUR
            1646062.310000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        EURO-BUND SEP 21
        000000000
        
          
          
          
        
        -667.000000000000
        NC
        
        -1540854.870000000000
        -0.1816157134
        N/A
        DIR
        CORP
        DE
        
        N
        
        1
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            Short
            
              
                EURO-BUND SEP 21
                EURO-BUND SEP 21
                
                  
                  
                
              
            
            2021-09-08
            -115730928.490000000000
            EUR
            -1540854.870000000000
          
        
        
          N
          N
          N
        
      
      
        BX COMMERCIAL MORTGAGE TRUST BX_21-MFM1
        N/A
        BX_21-MFM1
        05608VAN6
        
          
          
        
        500000.000000000000
        PA
        USD
        503124.050000000000
        0.0593016481
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2034-01-15
          Variable
          3.095500000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX COMMERCIAL MORTGAGE TRUST BX_21-MFM1
        N/A
        BX_21-MFM1
        05608VAQ9
        
          
          
        
        100000.000000000000
        PA
        USD
        99940.060000000000
        0.0117796203
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2034-01-15
          Variable
          3.995500000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        CANADIAN DOLLAR
        000000000
        
          
        
        7640500.000000000000
        OU
        Notional Amount
        N/A
        68686.740000000000
        0.0080958898
        N/A
        DFE
        CORP
        CA
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            5986467.570000000298023
            USD
            7640500.000000000000000
            CAD
            2021-12-15
            68686.740000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        CANADIAN DOLLAR
        000000000
        
          
        
        3382750.000000000000
        OU
        Notional Amount
        N/A
        -5596.330000000000
        -0.0006596218
        N/A
        DFE
        CORP
        CA
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            2686451.410000000149012
            USD
            3382750.000000000000000
            CAD
            2021-12-15
            -5596.330000000000
          
        
        
          N
          N
          N
        
      
      
        BAIN CAPITAL CREDIT CLO BCC_20-3
        N/A
        BCC_20-3A
        05684FAA6
        
          
          
        
        1000000.000000000000
        PA
        USD
        1001307.000000000000
        0.1180209043
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2032-10-23
          Variable
          7.637900000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BAIN CAPITAL CREDIT CLO BCC_20-4A
        N/A
        BCC_20-4A
        05684HAA2
        
          
          
        
        900000.000000000000
        PA
        USD
        896428.800000000000
        0.1056592410
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2033-10-20
          Variable
          8.084300000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        EURO-BUND SEP 21
        000000000
        
          
          
          
        
        -124.000000000000
        NC
        
        -138047.690000000000
        -0.0162712467
        N/A
        DIR
        CORP
        DE
        
        N
        
        1
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            Short
            
              
                EURO-BUND SEP 21
                EURO-BUND SEP 21
                
                  
                  
                
              
            
            2021-09-08
            -21639954.910000000000
            EUR
            -138047.690000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        EURO-BUND DEC 21
        000000000
        
          
          
          
        
        -7.000000000000
        NC
        
        4642.860000000000
        0.0005472393
        N/A
        DIR
        CORP
        DE
        
        N
        
        1
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            Short
            
              
                EURO-BUND DEC 21
                EURO-BUND DEC 21
                
                  
                  
                
              
            
            2021-12-08
            -1211712.130000000000
            EUR
            4642.860000000000
          
        
        
          N
          N
          N
        
      
      
        BALLYROCK CLO LTD BALLY_20-2A
        N/A
        BALLY_20-2A
        05875DAG7
        
          
          
        
        500000.000000000000
        PA
        USD
        500355.500000000000
        0.0589753278
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2031-10-20
          Variable
          3.978900000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BALLYROCK CLO LTD BALLY_20-2
        N/A
        BALLY_20-2A
        05876EAA7
        
          
          
        
        500000.000000000000
        PA
        USD
        500416.500000000000
        0.0589825177
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2031-10-20
          Variable
          7.838900000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        SWISS FRANC
        000000000
        
          
        
        40175500.000000000000
        OU
        Notional Amount
        N/A
        55298.010000000000
        0.0065178024
        N/A
        DFE
        CORP
        CH
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            43831766.780000001192093
            USD
            40175500.000000000000000
            CHF
            2021-09-15
            55298.010000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        SWISS FRANC
        000000000
        
          
        
        8938000.000000000000
        OU
        Notional Amount
        N/A
        -12181.970000000000
        -0.0014358505
        N/A
        DFE
        CORP
        CH
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            9775908.250000000000000
            USD
            8938000.000000000000000
            CHF
            2021-09-15
            -12181.970000000000
          
        
        
          N
          N
          N
        
      
      
        BABSON CLO LTD BABSN_19-3A
        N/A
        BABSN_19-3A
        06761PAE0
        
          
          
        
        750000.000000000000
        PA
        USD
        750037.500000000000
        0.0884045592
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2031-04-20
          Variable
          6.834300000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BVRT FINANCING TRUST BVRT_21-2F
        N/A
        BVRT_21-2F
        07335MAB8
        
          
          
        
        1000000.000000000000
        PA
        USD
        1000000.000000000000
        0.1178668523
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        3
        
          2032-01-10
          Variable
          2.538000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        SOYBEAN NOV 21
        000000000
        
          
          
        
        113.000000000000
        NC
        USD
        -222090.200000000000
        -0.0261770728
        N/A
        DCO
        CORP
        US
        
        N
        
        1
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            Long
            
              
                SOYBEAN NOV 21
                SOYBEAN NOV 21
                
                  
                  
                
              
            
            2021-11-12
            7524715.200000000000
            USD
            -222090.200000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SOYBEAN NOV 21
        000000000
        
          
          
        
        -16.000000000000
        NC
        USD
        42589.480000000000
        0.0050198879
        N/A
        DCO
        CORP
        US
        
        N
        
        1
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            Short
            
              
                SOYBEAN NOV 21
                SOYBEAN NOV 21
                
                  
                  
                
              
            
            2021-11-12
            -1076589.480000000000
            USD
            42589.480000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        SUGAR #11 OCT 21
        000000000
        
          
          
        
        -218.000000000000
        NC
        USD
        -684291.100000000000
        -0.0806552380
        N/A
        DCO
        CORP
        US
        
        N
        
        1
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            Short
            
              
                SUGAR #11 OCT 21
                SUGAR #11 OCT 21
                
                  
                  
                
              
            
            2021-09-30
            -4159843.300000000000
            USD
            -684291.100000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SILVER DEC 21
        000000000
        
          
          
        
        -7.000000000000
        NC
        USD
        3977.960000000000
        0.0004688696
        N/A
        DCO
        CORP
        US
        
        N
        
        1
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            Short
            
              
                SILVER DEC 21
                SILVER DEC 21
                
                  
                  
                
              
            
            2021-12-29
            -844187.960000000000
            USD
            3977.960000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        SWISS FRANC
        000000000
        
          
        
        5862000.000000000000
        OU
        Notional Amount
        N/A
        4158.650000000000
        0.0004901670
        N/A
        DFE
        CORP
        CH
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            6414333.280000000260770
            USD
            5862000.000000000000000
            CHF
            2021-12-15
            4158.650000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        SWISS FRANC
        000000000
        
          
        
        1782000.000000000000
        OU
        Notional Amount
        N/A
        -712.260000000000
        -0.0000839518
        N/A
        DFE
        CORP
        CH
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            1951881.250000000000000
            USD
            1782000.000000000000000
            CHF
            2021-12-15
            -712.260000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        CHILEAN PESO
        000000000
        
          
        
        2600984000.000000000000
        OU
        Notional Amount
        N/A
        46880.850000000000
        0.0055256982
        N/A
        DFE
        CORP
        CL
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            3312451.259999999776483
            USD
            2600984000.000000000000000
            CLP
            2021-09-15
            46880.850000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        CHILEAN PESO
        000000000
        
          
        
        12297435000.000000000000
        OU
        Notional Amount
        N/A
        -651436.810000000000
        -0.0767828063
        N/A
        DFE
        CORP
        CL
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            16534336.559999996796250
            USD
            12297435000.000000000000000
            CLP
            2021-09-15
            -651436.810000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        SILVER DEC 21
        000000000
        
          
          
        
        -34.000000000000
        NC
        USD
        -15891.600000000000
        -0.0018730929
        N/A
        DCO
        CORP
        US
        
        N
        
        1
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            Short
            
              
                SILVER DEC 21
                SILVER DEC 21
                
                  
                  
                
              
            
            2021-12-29
            -4065128.400000000000
            USD
            -15891.600000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SOYBEAN MEAL (CBT) DEC 21
        000000000
        
          
          
        
        2.000000000000
        NC
        USD
        -3774.440000000000
        -0.0004448814
        N/A
        DCO
        CORP
        US
        
        N
        
        1
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            Long
            
              
                SOYBEAN MEAL (CBT) DEC 21
                SOYBEAN MEAL (CBT) DEC 21
                
                  
                  
                
              
            
            2021-12-14
            72894.440000000000
            USD
            -3774.440000000000
          
        
        
          N
          N
          N
        
      
      
        BVRT FINANCING TRUST BVRT_21-3F
        N/A
        BVRT_21-3F
        07335NAB6
        
          
          
        
        3000000.000000000000
        PA
        USD
        3000000.000000000000
        0.3536005569
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        3
        
          2033-07-12
          Variable
          3.100000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LTD BMIR_19-4A
        N/A
        BMIR_19-4A
        07876LAC3
        
          
          
        
        200000.000000000000
        PA
        USD
        199999.840000000000
        0.0235733516
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2029-10-25
          Variable
          2.584400000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LTD BMIR_19-1A
        N/A
        BMIR_19-1A
        07876RAB2
        
          
          
        
        1500000.000000000000
        PA
        USD
        1505240.700000000000
        0.1774179833
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2029-03-25
          Variable
          1.834400000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BELLEMEAD RE LTD BMIR_20-3A
        N/A
        BMIR_20-3A
        07877KAG5
        
          
          
        
        650000.000000000000
        PA
        USD
        694814.320000000000
        0.0818955768
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2030-10-25
          Variable
          4.934400000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        CHILEAN PESO
        000000000
        
          
        
        2285258500.000000000000
        OU
        Notional Amount
        N/A
        38328.490000000000
        0.0045176585
        N/A
        DFE
        CORP
        CL
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            2900769.890000000130385
            USD
            2285258500.000000000000000
            CLP
            2021-12-15
            38328.490000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        CHINESE OFFSHORE YUAN (HONG KONG)
        000000000
        
          
        
        153570250.000000000000
        OU
        Notional Amount
        N/A
        102044.760000000000
        0.0120276947
        N/A
        DFE
        CORP
        CN
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            23661614.149999998509884
            USD
            153570250.000000000000000
            CNY
            2021-09-15
            102044.760000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        FTSE/MIB INDEX SEP 21
        000000000
        
          
          
          
        
        96.000000000000
        NC
        
        178438.720000000000
        0.0210320103
        N/A
        DE
        CORP
        IT
        
        N
        
        1
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            Long
            
              
                FTSE/MIB INDEX SEP 21
                FTSE/MIB INDEX SEP 21
                
                  
                  
                
              
            
            2021-09-17
            12335172.380000000000
            EUR
            178438.720000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        FTSE/MIB INDEX SEP 21
        000000000
        
          
          
          
        
        119.000000000000
        NC
        
        106604.130000000000
        0.0125650932
        N/A
        DE
        CORP
        IT
        
        N
        
        1
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            Long
            
              
                FTSE/MIB INDEX SEP 21
                FTSE/MIB INDEX SEP 21
                
                  
                  
                
              
            
            2021-09-17
            15387586.680000000000
            EUR
            106604.130000000000
          
        
        
          N
          N
          N
        
      
      
        BELLEMEADE RE LT BMIR_20-2
        N/A
        BMIR_20-2A
        078782AD1
        
          
          
        
        1700000.000000000000
        PA
        USD
        1802593.980000000000
        0.2124660784
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2030-08-26
          Variable
          6.084400000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRAEMAR HOTELS & RESORTS TRUST BHR_18-PRME
        N/A
        BHR_18-PRME
        10482TAN2
        
          
          
        
        1000000.000000000000
        PA
        USD
        963078.600000000000
        0.1135150431
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2035-06-15
          Variable
          2.496000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        CHINESE OFFSHORE YUAN (HONG KONG)
        000000000
        
          
        
        2715000.000000000000
        OU
        Notional Amount
        N/A
        -1808.380000000000
        -0.0002131481
        N/A
        DFE
        CORP
        CN
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            421931.000000000000000
            USD
            2715000.000000000000000
            CNY
            2021-09-15
            -1808.380000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        CHINESE OFFSHORE YUAN (HONG KONG)
        000000000
        
          
        
        28007624.000000000000
        OU
        Notional Amount
        N/A
        27639.130000000000
        0.0032577373
        N/A
        DFE
        CORP
        CN
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            4276498.049999999813735
            USD
            28007624.000000000000000
            CNY
            2021-12-15
            27639.130000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SYN BIST 30 FUTURES OCT 21
        000000000
        
          
          
        
        169.000000000000
        NC
        
        895.200000000000
        0.0001055144
        N/A
        DE
        CORP
        TR
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                
                  
                    Goldman Sachs
                    FOR8UP27PHTHYVLBNG30
                  
                  
                    SYN BIST 30 FUTURES OCT 21
                    FOR8UP27PHTHYVLBNG30
                    SYN BIST 30 FUTURES OCT 21
                    000000000
                    
                      
                    
                    N/A
                    NC
                    N/A
                    N/A
                    0.000000000000
                    DE
                    CORP
                  
                  Long
                  
                    
                      SYN BIST 30 FUTURES OCT 21
                      SYN BIST 30 FUTURES OCT 21
                      
                        
                        
                      
                    
                  
                  2021-10-27
                  2737269.840000000000
                  TRY
                
              
            
            Y
            Appreciation on SYN BIST 30 FUTURES OCT 21
            Depreciation on SYN BIST 30 FUTURES OCT 21
            2021-10-27
            0.000000000000
            USD
            0.000000000000
            USD
            2737269.840000000000
            TRY
            895.200000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        SYN BIST 30 FUTURES OCT 21
        000000000
        
          
          
        
        120.000000000000
        NC
        
        749.430000000000
        0.0000883330
        N/A
        DE
        CORP
        TR
        
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            
              
                
                  
                    Morgan Stanley
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    SYN BIST 30 FUTURES OCT 21
                    9R7GPTSO7KV3UQJZQ078
                    SYN BIST 30 FUTURES OCT 21
                    000000000
                    
                      
                    
                    N/A
                    NC
                    N/A
                    N/A
                    0.000000000000
                    DE
                    CORP
                  
                  Long
                  
                    
                      SYN BIST 30 FUTURES OCT 21
                      SYN BIST 30 FUTURES OCT 21
                      
                        
                        
                      
                    
                  
                  2021-10-27
                  1942660.990000000000
                  TRY
                
              
            
            Y
            Appreciation on SYN BIST 30 FUTURES OCT 21
            Depreciation on SYN BIST 30 FUTURES OCT 21
            2021-10-27
            0.000000000000
            USD
            0.000000000000
            USD
            1942660.990000000000
            TRY
            749.430000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        COLOMBIAN PESO
        000000000
        
          
        
        53768432000.000000000000
        OU
        Notional Amount
        N/A
        279151.670000000000
        0.0329027287
        N/A
        DFE
        CORP
        CO
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            13976418.939999999478459
            USD
            53768432000.000000000000000
            COP
            2021-09-15
            279151.670000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        COLOMBIAN PESO
        000000000
        
          
        
        6205913000.000000000000
        OU
        Notional Amount
        N/A
        -39856.980000000000
        -0.0046978168
        N/A
        DFE
        CORP
        CO
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            1685224.489999999990687
            USD
            6205913000.000000000000000
            COP
            2021-09-15
            -39856.980000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        SYN SOYBEAN OIL DEC 21
        000000000
        
          
          
        
        15.000000000000
        NC
        USD
        -56575.800000000000
        -0.0066684115
        N/A
        DCO
        CORP
        US
        
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            
              
                
                  
                    Citi
                    MBNUM2BPBDO7JBLYG310
                  
                  
                    SYN SOYBEAN OIL DEC 21
                    MBNUM2BPBDO7JBLYG310
                    SYN SOYBEAN OIL DEC 21
                    000000000
                    
                      
                    
                    N/A
                    NC
                    N/A
                    N/A
                    0.000000000000
                    DCO
                    CORP
                  
                  Long
                  
                    
                      SYN SOYBEAN OIL DEC 21
                      SYN SOYBEAN OIL DEC 21
                      
                        
                        
                      
                    
                  
                  2021-12-14
                  585325.800000000000
                  USD
                
              
            
            Y
            Appreciation on SYN SOYBEAN OIL DEC 21
            Depreciation on SYN SOYBEAN OIL DEC 21
            2021-12-14
            0.000000000000
            USD
            0.000000000000
            USD
            585325.800000000000
            USD
            -56575.800000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        SYN BOVESPA (IBOVESPA) INDEX OCT 2
        000000000
        
          
          
        
        455.000000000000
        NC
        
        -126309.800000000000
        -0.0148877385
        N/A
        DE
        CORP
        BR
        
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            
              
                
                  
                    Morgan Stanley
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    SYN BOVESPA (IBOVESPA) INDEX OCT 2
                    9R7GPTSO7KV3UQJZQ078
                    SYN BOVESPA (IBOVESPA) INDEX OCT 2
                    000000000
                    
                      
                    
                    N/A
                    NC
                    N/A
                    N/A
                    0.000000000000
                    DE
                    CORP
                  
                  Long
                  
                    
                      SYN BOVESPA (IBOVESPA) INDEX OCT 2
                      SYN BOVESPA (IBOVESPA) INDEX OCT 2
                      
                        
                        
                      
                    
                  
                  2021-10-13
                  54830613.220000000000
                  BRL
                
              
            
            Y
            Appreciation on SYN BOVESPA (IBOVESPA) INDEX OCT 2
            Depreciation on SYN BOVESPA (IBOVESPA) INDEX OCT 2
            2021-10-13
            0.000000000000
            USD
            0.000000000000
            USD
            54830613.220000000000
            BRL
            -126309.800000000000
          
        
        
          N
          N
          N
        
      
      
        BRAVO RESIDENTIAL FUNDING TRUST BRAVO_19-NQM1
        N/A
        BRAVO_19-NQM1
        10568HAD7
        
          
          
        
        2512500.000000000000
        PA
        USD
        2521998.260000000000
        0.2972599964
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2059-07-25
          Variable
          2.997000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRAVO RESIDENTIAL FUNDING TRUST BRAVO_19-NQM1
        N/A
        BRAVO_19-NQM1
        10568HAE5
        
          
          
        
        4782000.000000000000
        PA
        USD
        4953910.990000000000
        0.5839018949
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2059-07-25
          Variable
          4.006000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        COLOMBIAN PESO
        000000000
        
          
        
        7999916000.000000000000
        OU
        Notional Amount
        N/A
        60099.100000000000
        0.0070836917
        N/A
        DFE
        CORP
        CO
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            2049454.750000000000000
            USD
            7999916000.000000000000000
            COP
            2021-12-15
            60099.100000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        CZECH KORUNA
        000000000
        
          
        
        327093000.000000000000
        OU
        Notional Amount
        N/A
        124230.280000000000
        0.0146426321
        N/A
        DFE
        CORP
        CZ
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            15066857.679999999701977
            USD
            327093000.000000000000000
            CZK
            2021-09-15
            124230.280000000000
          
        
        
          N
          N
          N
        
      
      
        BRAVO RESIDENTIAL FUNDING TRUST BRAVO_20-NQM1
        N/A
        BRAVO_20-NQM1
        105699AE2
        
          
          
        
        300000.000000000000
        PA
        USD
        312753.090000000000
        0.0368632223
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2060-05-25
          Variable
          5.086000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRAVO RESIDENTIAL FUNDING TRUST BRAVO_20-NQM1
        N/A
        BRAVO_20-NQM1
        105699AF9
        
          
          
        
        430000.000000000000
        PA
        USD
        443486.130000000000
        0.0522723142
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2060-05-25
          Variable
          5.639700000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        SYN BOVESPA (IBOVESPA) INDEX OCT 2
        000000000
        
          
          
        
        -400.000000000000
        NC
        
        167895.540000000000
        0.0197893188
        N/A
        DE
        CORP
        BR
        
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            
              
                
                  
                    Morgan Stanley
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    SYN BOVESPA (IBOVESPA) INDEX OCT 2
                    9R7GPTSO7KV3UQJZQ078
                    SYN BOVESPA (IBOVESPA) INDEX OCT 2
                    000000000
                    
                      
                    
                    N/A
                    NC
                    N/A
                    N/A
                    0.000000000000
                    DE
                    CORP
                  
                  Short
                  
                    
                      SYN BOVESPA (IBOVESPA) INDEX OCT 2
                      SYN BOVESPA (IBOVESPA) INDEX OCT 2
                      
                        
                        
                      
                    
                  
                  2021-10-13
                  -48493115.250000000000
                  BRL
                
              
            
            Y
            Depreciation on SYN BOVESPA (IBOVESPA) INDEX OCT 2
            Appreciation on SYN BOVESPA (IBOVESPA) INDEX OCT 2
            2021-10-13
            0.000000000000
            USD
            0.000000000000
            USD
            -48493115.250000000000
            BRL
            167895.540000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        SYN TAIEX SEP 21
        000000000
        
          
          
        
        22.000000000000
        NC
        
        115876.150000000000
        0.0136579571
        N/A
        DE
        CORP
        TW
        
        N
        
        2
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            
              
                
                  
                    JPMorgan
                    ZBUT11V806EZRVTWT807
                  
                  
                    SYN TAIEX SEP 21
                    ZBUT11V806EZRVTWT807
                    SYN TAIEX SEP 21
                    000000000
                    
                      
                    
                    N/A
                    NC
                    N/A
                    N/A
                    0.000000000000
                    DE
                    CORP
                  
                  Long
                  
                    
                      SYN TAIEX SEP 21
                      SYN TAIEX SEP 21
                      
                        
                        
                      
                    
                  
                  2021-09-15
                  73573668.420000000000
                  TWD
                
              
            
            Y
            Appreciation on SYN TAIEX SEP 21
            Depreciation on SYN TAIEX SEP 21
            2021-09-15
            0.000000000000
            USD
            0.000000000000
            USD
            73573668.420000000000
            TWD
            115876.150000000000
          
        
        
          N
          N
          N
        
      
      
        BRAVO RESIDENTIAL FUNDING TRUST BRAVO_19-NQM2
        N/A
        BRAVO_19-NQM2
        10569AAE9
        
          
          
        
        1000000.000000000000
        PA
        USD
        1007407.700000000000
        0.1187399746
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2059-11-25
          Variable
          3.954000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRAVO RESIDENTIAL FUNDING TRUST BRAVO_21-HE2
        N/A
        BRAVO_21-HE2
        10569CAJ4
        
          
          
        
        338000.000000000000
        PA
        USD
        338115.770000000000
        0.0398526415
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2069-11-25
          Variable
          2.418000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        CZECH KORUNA
        000000000
        
          
        
        605662000.000000000000
        OU
        Notional Amount
        N/A
        -517003.630000000000
        -0.0609375905
        N/A
        DFE
        CORP
        CZ
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            28645593.100000001490116
            USD
            605662000.000000000000000
            CZK
            2021-09-15
            -517003.630000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        EURO COUNTRIES
        000000000
        
          
        
        35481500.000000000000
        OU
        Notional Amount
        N/A
        170336.020000000000
        0.0200769705
        N/A
        DFE
        CORP
        XX
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            41735976.550000004470348
            USD
            35481500.000000000000000
            EUR
            2021-09-15
            170336.020000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        EURO COUNTRIES
        000000000
        
          
        
        86745000.000000000000
        OU
        Notional Amount
        N/A
        -3061305.070000000000
        -0.3608263925
        N/A
        DFE
        CORP
        XX
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            105513655.910000011324883
            USD
            86745000.000000000000000
            EUR
            2021-09-15
            -3061305.070000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        EURO COUNTRIES
        000000000
        
          
        
        10532000.000000000000
        OU
        Notional Amount
        N/A
        90606.140000000000
        0.0106794605
        N/A
        DFE
        CORP
        XX
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            12371291.589999999850988
            USD
            10532000.000000000000000
            EUR
            2021-12-15
            90606.140000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        SYN TAIEX SEP 21
        000000000
        
          
          
        
        12.000000000000
        NC
        
        64752.880000000000
        0.0076322181
        N/A
        DE
        CORP
        TW
        
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            
              
                
                  
                    Morgan Stanley
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    SYN TAIEX SEP 21
                    9R7GPTSO7KV3UQJZQ078
                    SYN TAIEX SEP 21
                    000000000
                    
                      
                    
                    N/A
                    NC
                    N/A
                    N/A
                    0.000000000000
                    DE
                    CORP
                  
                  Long
                  
                    
                      SYN TAIEX SEP 21
                      SYN TAIEX SEP 21
                      
                        
                        
                      
                    
                  
                  2021-09-15
                  40088074.020000000000
                  TWD
                
              
            
            Y
            Appreciation on SYN TAIEX SEP 21
            Depreciation on SYN TAIEX SEP 21
            2021-09-15
            0.000000000000
            USD
            0.000000000000
            USD
            40088074.020000000000
            TWD
            64752.880000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        SYN H-SHARES INDEX SEP 21
        000000000
        
          
          
        
        30.000000000000
        NC
        
        34186.080000000000
        0.0040294056
        N/A
        DE
        CORP
        HK
        
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            
              
                
                  
                    Morgan Stanley
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    SYN H-SHARES INDEX SEP 21
                    9R7GPTSO7KV3UQJZQ078
                    SYN H-SHARES INDEX SEP 21
                    000000000
                    
                      
                    
                    N/A
                    NC
                    N/A
                    N/A
                    0.000000000000
                    DE
                    CORP
                  
                  Long
                  
                    
                      SYN H-SHARES INDEX SEP 21
                      SYN H-SHARES INDEX SEP 21
                      
                        
                        
                      
                    
                  
                  2021-09-29
                  13451628.650000000000
                  HKD
                
              
            
            Y
            Appreciation on SYN H-SHARES INDEX SEP 21
            Depreciation on SYN H-SHARES INDEX SEP 21
            2021-09-29
            0.000000000000
            USD
            0.000000000000
            USD
            13451628.650000000000
            HKD
            34186.080000000000
          
        
        
          N
          N
          N
        
      
      
        BRAVO RESIDENTIAL FUNDING TRUST BRAVO_21-HE2
        N/A
        BRAVO_21-HE2
        10569CAL9
        
          
          
        
        353000.000000000000
        PA
        USD
        353118.960000000000
        0.0416210203
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2069-11-25
          Variable
          3.418000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRAVO RESIDENTIAL FUNDING TRUST BRAVO_21-NQM2
        N/A
        BRAVO_21-NQM2
        10569EAE1
        
          
          
        
        200000.000000000000
        PA
        USD
        200379.520000000000
        0.0236181033
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2060-03-25
          Variable
          3.044000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BRAVO RESIDENTIAL FUNDING TRUST BRAVO_21-NQM2
        N/A
        BRAVO_21-NQM2
        10569EAF8
        
          
          
        
        300000.000000000000
        PA
        USD
        300545.610000000000
        0.0354243650
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2060-03-25
          Variable
          4.099000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BX COMMERCIAL MORTGAGE TRUST 2018-BIOA BX_18-GW
        N/A
        BX_18-GW
        12433UAQ8
        
          
          
        
        500000.000000000000
        PA
        USD
        498907.450000000000
        0.0588046507
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2035-05-15
          Variable
          2.515500000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        BRITISH POUND
        000000000
        
          
        
        52141000.000000000000
        OU
        Notional Amount
        N/A
        -1238821.870000000000
        -0.1460160344
        N/A
        DFE
        CORP
        GB
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            72927587.020000010728836
            USD
            52141000.000000000000000
            GBP
            2021-09-15
            -1238821.870000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        BRITISH POUND
        000000000
        
          
        
        12441000.000000000000
        OU
        Notional Amount
        N/A
        93005.330000000000
        0.0109622455
        N/A
        DFE
        CORP
        GB
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            17014823.880000002682209
            USD
            12441000.000000000000000
            GBP
            2021-12-15
            93005.330000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        HUNGARIAN FURINT
        000000000
        
          
        
        572041000.000000000000
        OU
        Notional Amount
        N/A
        12337.040000000000
        0.0014541281
        N/A
        DFE
        CORP
        HU
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            1922253.570000000065193
            USD
            572041000.000000000000000
            HUF
            2021-09-15
            12337.040000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        HUNGARIAN FURINT
        000000000
        
          
        
        2106475000.000000000000
        OU
        Notional Amount
        N/A
        -220796.810000000000
        -0.0260246250
        N/A
        DFE
        CORP
        HU
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            7344703.560000000521541
            USD
            2106475000.000000000000000
            HUF
            2021-09-15
            -220796.810000000000
          
        
        
          N
          N
          N
        
      
      
        COSMOPOLITAN HOTEL TRUST CHT_17-CSMO
        N/A
        CHT_17-CSMO
        12546DAJ6
        
          
          
        
        1000000.000000000000
        PA
        USD
        1001250.900000000000
        0.1180142919
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2036-11-15
          Variable
          1.596000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COSMOPOLITAN HOTEL TRUST CHT_17-CSMO
        N/A
        CHT_17-CSMO
        12546DAL1
        
          
          
        
        1000000.000000000000
        PA
        USD
        1001561.400000000000
        0.1180508896
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2036-11-15
          Variable
          2.346000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        HUNGARIAN FURINT
        000000000
        
          
        
        2043393500.000000000000
        OU
        Notional Amount
        N/A
        71072.190000000000
        0.0083770553
        N/A
        DFE
        CORP
        HU
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            6820640.180000000633299
            USD
            2043393500.000000000000000
            HUF
            2021-12-15
            71072.190000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        INDONESIAN RUPIA
        000000000
        
          
        
        23100000000.000000000000
        OU
        Notional Amount
        N/A
        21047.150000000000
        0.0024807613
        N/A
        DFE
        CORP
        ID
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            1599025.150000000139698
            USD
            23100000000.000000000000000
            IDR
            2021-09-15
            21047.150000000000
          
        
        
          N
          N
          N
        
      
      
        COSMOPOLITAN HOTEL TRUST CHT_17-CSMO
        N/A
        CHT_17-CSMO
        12546DAQ0
        
          
          
        
        2550000.000000000000
        PA
        USD
        2554101.420000000000
        0.3010438948
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2036-11-15
          Variable
          3.837200000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COLONY MORTGAGE CAPITAL LTD CLNY_19-IKPR
        N/A
        CLNY_19-IKPR
        12564NAN2
        
          
          
        
        900000.000000000000
        PA
        USD
        896626.980000000000
        0.1056825998
        Long
        ABS-MBS
        USGA
        US
        
        N
        
        2
        
          2038-11-15
          Variable
          2.817000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        ISRAELI SHEKEL
        000000000
        
          
        
        27900000.000000000000
        OU
        Notional Amount
        N/A
        51484.070000000000
        0.0060682653
        N/A
        DFE
        CORP
        IL
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            8646743.609999999403954
            USD
            27900000.000000000000000
            ILS
            2021-09-17
            51484.070000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        INDIAN RUPEE
        000000000
        
          
        
        844526000.000000000000
        OU
        Notional Amount
        N/A
        178926.430000000000
        0.0210894951
        N/A
        DFE
        CORP
        IN
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            11373981.500000000000000
            USD
            844526000.000000000000000
            INR
            2021-09-15
            178926.430000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        INDIAN RUPEE
        000000000
        
          
        
        188687000.000000000000
        OU
        Notional Amount
        N/A
        46202.670000000000
        0.0054457633
        N/A
        DFE
        CORP
        IN
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            2511171.310000000055879
            USD
            188687000.000000000000000
            INR
            2021-12-15
            46202.670000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        JAPANESE YEN
        000000000
        
          
        
        3475811001.000000000000
        OU
        Notional Amount
        N/A
        12316.030000000000
        0.0014516517
        N/A
        DFE
        CORP
        JP
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            31585430.199999999254942
            USD
            3475811001.000000000000000
            JPY
            2021-09-15
            12316.030000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        SYN HANG SENG INDEX SEP 21
        000000000
        
          
          
        
        27.000000000000
        NC
        
        63049.250000000000
        0.0074314166
        N/A
        DE
        CORP
        HK
        
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            
              
                
                  
                    Morgan Stanley
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    SYN HANG SENG INDEX SEP 21
                    9R7GPTSO7KV3UQJZQ078
                    SYN HANG SENG INDEX SEP 21
                    000000000
                    
                      
                    
                    N/A
                    NC
                    N/A
                    N/A
                    0.000000000000
                    DE
                    CORP
                  
                  Long
                  
                    
                      SYN HANG SENG INDEX SEP 21
                      SYN HANG SENG INDEX SEP 21
                      
                        
                        
                      
                    
                  
                  2021-09-29
                  34277497.540000000000
                  HKD
                
              
            
            Y
            Appreciation on SYN HANG SENG INDEX SEP 21
            Depreciation on SYN HANG SENG INDEX SEP 21
            2021-09-29
            0.000000000000
            USD
            0.000000000000
            USD
            34277497.540000000000
            HKD
            63049.250000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        SYN KOSPI2 INDEX SEP 21
        000000000
        
          
          
        
        1.000000000000
        NC
        
        -2971.460000000000
        -0.0003502366
        N/A
        DE
        CORP
        KR
        
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            
              
                
                  
                    Citi
                    MBNUM2BPBDO7JBLYG310
                  
                  
                    SYN KOSPI2 INDEX SEP 21
                    MBNUM2BPBDO7JBLYG310
                    SYN KOSPI2 INDEX SEP 21
                    000000000
                    
                      
                    
                    N/A
                    NC
                    N/A
                    N/A
                    0.000000000000
                    DE
                    CORP
                  
                  Long
                  
                    
                      SYN KOSPI2 INDEX SEP 21
                      SYN KOSPI2 INDEX SEP 21
                      
                        
                        
                      
                    
                  
                  2021-09-09
                  108395008.750000000000
                  KRW
                
              
            
            Y
            Appreciation on SYN KOSPI2 INDEX SEP 21
            Depreciation on SYN KOSPI2 INDEX SEP 21
            2021-09-09
            0.000000000000
            USD
            0.000000000000
            USD
            108395008.750000000000
            KRW
            -2971.460000000000
          
        
        
          N
          N
          N
        
      
      
        COLONY MORTGAGE CAPITAL LTD CLNY_19-IKPR
        N/A
        CLNY_19-IKPR
        12564NAQ5
        
          
          
        
        1350000.000000000000
        PA
        USD
        1295816.130000000000
        0.1527337684
        Long
        ABS-MBS
        USGA
        US
        
        N
        
        2
        
          2038-11-15
          Variable
          3.513000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CSMC_14-USA
        N/A
        CSMC_14-USA
        12649AAN9
        
          
          
        
        645000.000000000000
        PA
        USD
        614177.000000000000
        0.0723911097
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2037-09-15
          Fixed
          4.373300000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CSMC_14-USA
        N/A
        CSMC_14-USA
        12649AAQ2
        
          
          
        
        4600000.000000000000
        PA
        USD
        4150711.560000000000
        0.4892313064
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2037-09-15
          Fixed
          4.373300000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE COMMERCIAL MORTGAGE TRUST CSMC_19-UVIL
        N/A
        CSMC_19-UVIL
        12656DAL7
        
          
          
        
        600000.000000000000
        PA
        USD
        532341.960000000000
        0.0627454712
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2041-12-15
          Variable
          3.392800000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        CAC40 10 EURO SEP 21
        000000000
        
          
          
          
        
        261.000000000000
        NC
        
        -390678.070000000000
        -0.0460479944
        N/A
        DE
        CORP
        FR
        
        N
        
        1
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            Long
            
              
                CAC40 10 EURO SEP 21
                CAC40 10 EURO SEP 21
                
                  
                  
                
              
            
            2021-09-17
            17765249.040000000000
            EUR
            -390678.070000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        CAC40 10 EURO SEP 21
        000000000
        
          
          
          
        
        -23.000000000000
        NC
        
        34339.330000000000
        0.0040474687
        N/A
        DE
        CORP
        FR
        
        N
        
        1
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            Short
            
              
                CAC40 10 EURO SEP 21
                CAC40 10 EURO SEP 21
                
                  
                  
                
              
            
            2021-09-17
            -1565420.710000000000
            EUR
            34339.330000000000
          
        
        
          N
          N
          N
        
      
      
        CARLYLE GLOBAL MARKET STRATEGIES
        N/A
        CGMS_16-4A
        143109AN6
        
          
          
        
        3100000.000000000000
        PA
        USD
        3097671.900000000000
        0.3651128363
        Long
        ABS-MBS
        CORP
        KY
        
        N
        
        2
        
          2027-10-20
          Variable
          1.584300000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CARLYLE GLOBAL MARKET STRATEGIES CGMS_20-2A
        N/A
        CGMS_20-2A
        14315HAA1
        
          
          
        
        990000.000000000000
        PA
        USD
        990065.340000000000
        0.1166958852
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2031-10-25
          Variable
          7.573900000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        SYN KOSPI2 INDEX SEP 21
        000000000
        
          
          
        
        2.000000000000
        NC
        
        -5639.500000000000
        -0.0006647101
        N/A
        DE
        CORP
        KR
        
        N
        
        2
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            
              
                
                  
                    JPMorgan
                    ZBUT11V806EZRVTWT807
                  
                  
                    SYN KOSPI2 INDEX SEP 21
                    ZBUT11V806EZRVTWT807
                    SYN KOSPI2 INDEX SEP 21
                    000000000
                    
                      
                    
                    N/A
                    NC
                    N/A
                    N/A
                    0.000000000000
                    DE
                    CORP
                  
                  Long
                  
                    
                      SYN KOSPI2 INDEX SEP 21
                      SYN KOSPI2 INDEX SEP 21
                      
                        
                        
                      
                    
                  
                  2021-09-09
                  216452400.000000000000
                  KRW
                
              
            
            Y
            Appreciation on SYN KOSPI2 INDEX SEP 21
            Depreciation on SYN KOSPI2 INDEX SEP 21
            2021-09-09
            0.000000000000
            USD
            0.000000000000
            USD
            216452400.000000000000
            KRW
            -5639.500000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        SYN KOSPI2 INDEX SEP 21
        000000000
        
          
          
        
        127.000000000000
        NC
        
        -60712.800000000000
        -0.0071560266
        N/A
        DE
        CORP
        KR
        
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            
              
                
                  
                    Morgan Stanley
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    SYN KOSPI2 INDEX SEP 21
                    9R7GPTSO7KV3UQJZQ078
                    SYN KOSPI2 INDEX SEP 21
                    000000000
                    
                      
                    
                    N/A
                    NC
                    N/A
                    N/A
                    0.000000000000
                    DE
                    CORP
                  
                  Long
                  
                    
                      SYN KOSPI2 INDEX SEP 21
                      SYN KOSPI2 INDEX SEP 21
                      
                        
                        
                      
                    
                  
                  2021-09-09
                  13393890445.730000000000
                  KRW
                
              
            
            Y
            Appreciation on SYN KOSPI2 INDEX SEP 21
            Depreciation on SYN KOSPI2 INDEX SEP 21
            2021-09-09
            0.000000000000
            USD
            0.000000000000
            USD
            13393890445.730000000000
            KRW
            -60712.800000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        WTI CRUDE OCT 21
        000000000
        
          
          
        
        31.000000000000
        NC
        USD
        39638.680000000000
        0.0046720864
        N/A
        DCO
        CORP
        US
        
        N
        
        1
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            Long
            
              
                WTI CRUDE OCT 21
                WTI CRUDE OCT 21
                
                  
                  
                
              
            
            2021-09-21
            2083861.320000000000
            USD
            39638.680000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        WTI CRUDE OCT 21
        000000000
        
          
          
        
        155.000000000000
        NC
        USD
        194028.060000000000
        0.0228694767
        N/A
        DCO
        CORP
        US
        
        N
        
        1
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            Long
            
              
                WTI CRUDE OCT 21
                WTI CRUDE OCT 21
                
                  
                  
                
              
            
            2021-09-21
            10423471.940000000000
            USD
            194028.060000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        SYN WIG20(PLN20) INDEX SEP 21
        000000000
        
          
          
        
        160.000000000000
        NC
        
        73277.790000000000
        0.0086370225
        N/A
        DE
        CORP
        PL
        
        N
        
        2
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            
              
                
                  
                    Goldman Sachs
                    FOR8UP27PHTHYVLBNG30
                  
                  
                    SYN WIG20(PLN20) INDEX SEP 21
                    FOR8UP27PHTHYVLBNG30
                    SYN WIG20(PLN20) INDEX SEP 21
                    000000000
                    
                      
                    
                    N/A
                    NC
                    N/A
                    N/A
                    0.000000000000
                    DE
                    CORP
                  
                  Long
                  
                    
                      SYN WIG20(PLN20) INDEX SEP 21
                      SYN WIG20(PLN20) INDEX SEP 21
                      
                        
                        
                      
                    
                  
                  2021-09-17
                  7214344.880000000000
                  PLN
                
              
            
            Y
            Appreciation on SYN WIG20(PLN20) INDEX SEP 21
            Depreciation on SYN WIG20(PLN20) INDEX SEP 21
            2021-09-17
            0.000000000000
            USD
            0.000000000000
            USD
            7214344.880000000000
            PLN
            73277.790000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        SYN SWISS MKT IX SEP 21
        000000000
        
          
          
        
        93.000000000000
        NC
        
        -129425.680000000000
        -0.0152549975
        N/A
        DE
        CORP
        DE
        
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            
              
                
                  
                    Morgan Stanley
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    SYN SWISS MKT IX SEP 21
                    9R7GPTSO7KV3UQJZQ078
                    SYN SWISS MKT IX SEP 21
                    000000000
                    
                      
                    
                    N/A
                    NC
                    N/A
                    N/A
                    0.000000000000
                    DE
                    CORP
                  
                  Long
                  
                    
                      SYN SWISS MKT IX SEP 21
                      SYN SWISS MKT IX SEP 21
                      
                        
                        
                      
                    
                  
                  2021-09-17
                  11661270.000000000000
                  CHF
                
              
            
            Y
            Appreciation on SYN SWISS MKT IX SEP 21
            Depreciation on SYN SWISS MKT IX SEP 21
            2021-09-17
            0.000000000000
            USD
            0.000000000000
            USD
            11661270.000000000000
            CHF
            -129425.680000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        CAN 10YR BOND DEC 21
        000000000
        
          
          
        
        78.000000000000
        NC
        
        -42671.630000000000
        -0.0050295707
        N/A
        DIR
        CORP
        CA
        
        N
        
        1
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            Long
            
              
                CAN 10YR BOND DEC 21
                CAN 10YR BOND DEC 21
                
                  
                  
                
              
            
            2021-12-20
            11451757.680000000000
            CAD
            -42671.630000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        CAN 10YR BOND DEC 21
        000000000
        
          
          
        
        179.000000000000
        NC
        
        -66083.750000000000
        -0.0077890836
        N/A
        DIR
        CORP
        CA
        
        N
        
        1
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            Long
            
              
                CAN 10YR BOND DEC 21
                CAN 10YR BOND DEC 21
                
                  
                  
                
              
            
            2021-12-20
            26240346.560000000000
            CAD
            -66083.750000000000
          
        
        
          N
          N
          N
        
      
      
        CARLYLE GLOBAL MARKET STRATEGIES CGMS_21-5A
        N/A
        CGMS_21-5A
        14318AAA3
        
          
          
        
        1000000.000000000000
        PA
        USD
        1000274.000000000000
        0.1178991478
        Long
        ABS-MBS
        CORP
        KY
        
        N
        
        2
        
          2034-07-20
          Variable
          6.400000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CHMSR_18-GT1
        N/A
        CHMSR_18-GT1
        17026XAA9
        
          
          
        
        370000.000000000000
        PA
        USD
        370627.450000000000
        0.0436846909
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2023-05-25
          Variable
          2.834400000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CITIGROUP MORTGAGE LOAN TRUST INC CMLTI_19-IMC1
        N/A
        CMLTI_19-IMC1
        17328BAD6
        
          
          
        
        4500000.000000000000
        PA
        USD
        4500014.400000000000
        0.5304025326
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2049-07-25
          Variable
          3.170000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COLD STORAGE TRUST COLD_20-ICE5
        N/A
        COLD_20-ICE5
        193051AS8
        
          
          
        
        638943.840000000000
        PA
        USD
        642937.050000000000
        0.0757809663
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2023-11-15
          Variable
          3.588000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        SYN SWISS MKT IX SEP 21
        000000000
        
          
          
        
        -110.000000000000
        NC
        
        -630157.370000000000
        -0.0742746657
        N/A
        DE
        CORP
        DE
        
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            
              
                
                  
                    Morgan Stanley
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    SYN SWISS MKT IX SEP 21
                    9R7GPTSO7KV3UQJZQ078
                    SYN SWISS MKT IX SEP 21
                    000000000
                    
                      
                    
                    N/A
                    NC
                    N/A
                    N/A
                    0.000000000000
                    DE
                    CORP
                  
                  Short
                  
                    
                      SYN SWISS MKT IX SEP 21
                      SYN SWISS MKT IX SEP 21
                      
                        
                        
                      
                    
                  
                  2021-09-17
                  -13075096.950000000000
                  CHF
                
              
            
            Y
            Depreciation on SYN SWISS MKT IX SEP 21
            Appreciation on SYN SWISS MKT IX SEP 21
            2021-09-17
            0.000000000000
            USD
            0.000000000000
            USD
            -13075096.950000000000
            CHF
            -630157.370000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        TOPIX INDEX SEP 21
        000000000
        
          
          
        
        189.000000000000
        NC
        
        202023.790000000000
        0.0238119082
        N/A
        DE
        CORP
        JP
        
        N
        
        1
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            Long
            
              
                TOPIX INDEX SEP 21
                TOPIX INDEX SEP 21
                
                  
                  
                
              
            
            2021-09-09
            3689489941.240000000000
            JPY
            202023.790000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        BRENT CRUDE (ICE) NOV 21
        000000000
        
          
          
          
        
        68.000000000000
        NC
        USD
        126209.340000000000
        0.0148758976
        N/A
        DCO
        CORP
        GB
        
        N
        
        1
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            Long
            
              
                BRENT CRUDE (ICE) NOV 21
                BRENT CRUDE (ICE) NOV 21
                
                  
                  
                
              
            
            2021-09-30
            4744630.660000000000
            USD
            126209.340000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        COTTON NO.2 DEC 21
        000000000
        
          
          
        
        79.000000000000
        NC
        USD
        -80344.000000000000
        -0.0094698944
        N/A
        DCO
        CORP
        US
        
        N
        
        1
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            Long
            
              
                COTTON NO.2 DEC 21
                COTTON NO.2 DEC 21
                
                  
                  
                
              
            
            2021-12-08
            3735279.000000000000
            USD
            -80344.000000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        TOPIX INDEX SEP 21
        000000000
        
          
          
        
        46.000000000000
        NC
        
        137331.110000000000
        0.0161867857
        N/A
        DE
        CORP
        JP
        
        N
        
        1
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            Long
            
              
                TOPIX INDEX SEP 21
                TOPIX INDEX SEP 21
                
                  
                  
                
              
            
            2021-09-09
            888462959.950000000000
            JPY
            137331.110000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        US 2YR NOTE DEC 21
        000000000
        
          
          
        
        -406.000000000000
        NC
        USD
        -65017.570000000000
        -0.0076634163
        N/A
        DIR
        CORP
        US
        
        N
        
        1
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            Short
            
              
                US 2YR NOTE DEC 21
                US 2YR NOTE DEC 21
                
                  
                  
                
              
            
            2021-12-31
            -89388201.590000000000
            USD
            -65017.570000000000
          
        
        
          N
          N
          N
        
      
      
        COLT FUNDING LLC COLT_20-2
        N/A
        COLT_20-2
        19688JAD9
        
          
          
        
        200000.000000000000
        PA
        USD
        205612.500000000000
        0.0242348982
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2065-03-25
          Variable
          5.250000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COLUMBIA SHORT TERM CASH FUND
        N/A
        COLUMBIA SHORT TERM CASH FUND
        19766H239
        
          
        
        357800230.735000000000
        NS
        USD
        357764450.730000000000
        42.1685696703
        Long
        STIV
        CORP
        US
        
        N
        
        1
        
          N
          N
          N
        
      
      
        COMM MORTGAGE TRUST COMM_20-CBM
        N/A
        COMM_20-CBM
        20049AAG3
        
          
          
        
        600000.000000000000
        PA
        USD
        610248.960000000000
        0.0719281240
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2037-02-10
          Variable
          3.753800000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        COMM MORTGAGE TRUST COMM_20-CBM
        N/A
        COMM_20-CBM
        20049AAJ7
        
          
          
        
        2200000.000000000000
        PA
        USD
        2139979.820000000000
        0.2522326854
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2037-02-10
          Variable
          3.753800000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FANNIE MAE - CAS_18-R07
        N/A
        CAS_18-R07
        20753QAF6
        
          
          
        
        450000.000000000000
        PA
        USD
        466186.190000000000
        0.0549478988
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2031-04-25
          Variable
          4.434400000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS_20-R01
        N/A
        CAS_20-R01
        20754CAB5
        
          
          
        
        2703320.930000000000
        PA
        USD
        2716508.000000000000
        0.3201862472
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2040-01-25
          Variable
          2.134400000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS_19-HRP1
        N/A
        CAS_19-HRP1
        20754PAC4
        
          
          
        
        536938.460000000000
        PA
        USD
        533967.040000000000
        0.0629370142
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2039-11-25
          Variable
          2.234400000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS_19-HRP1
        N/A
        CAS_19-HRP1
        20754PAD2
        
          
          
        
        1600000.000000000000
        PA
        USD
        1695026.720000000000
        0.1997874640
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2039-11-25
          Variable
          9.334400000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        FTSE TAIWAN SEP 21
        000000000
        
          
          
          
        
        -14.000000000000
        NC
        USD
        -22028.280000000000
        -0.0025964040
        N/A
        DE
        CORP
        SG
        
        N
        
        1
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            Short
            
              
                FTSE TAIWAN SEP 21
                FTSE TAIWAN SEP 21
                
                  
                  
                
              
            
            2021-09-29
            -828191.720000000000
            USD
            -22028.280000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        FTSE TAIWAN SEP 21
        000000000
        
          
          
          
        
        -22.000000000000
        NC
        USD
        -41625.100000000000
        -0.0049062195
        N/A
        DE
        CORP
        SG
        
        N
        
        1
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            Short
            
              
                FTSE TAIWAN SEP 21
                FTSE TAIWAN SEP 21
                
                  
                  
                
              
            
            2021-09-29
            -1294434.900000000000
            USD
            -41625.100000000000
          
        
        
          N
          N
          N
        
      
      
        CONNS RECEIVABLES FUNDING CONN_19-B
        N/A
        CONN_19-B
        20824LAB1
        
          
          
        
        88022.740000000000
        PA
        USD
        88037.840000000000
        0.0103767431
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2024-06-17
          Fixed
          3.620000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CONSUMER LOAN UNDERLYING BOND CLUB_18-P1
        N/A
        CLUB_18-P1
        21051U107
        
          
          
        
        100000.000000000000
        PA
        USD
        1050000.000000000000
        0.1237601949
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        3
        
          2025-07-15
          Fixed
          0.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        US 10YR NOTE DEC 21
        000000000
        
          
          
        
        1571.000000000000
        NC
        USD
        259989.240000000000
        0.0306441133
        N/A
        DIR
        CORP
        US
        
        N
        
        1
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            Long
            
              
                US 10YR NOTE DEC 21
                US 10YR NOTE DEC 21
                
                  
                  
                
              
            
            2021-12-21
            209394870.140000000000
            USD
            259989.240000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        US 10YR NOTE DEC 21
        000000000
        
          
          
        
        454.000000000000
        NC
        USD
        17751.070000000000
        0.0020922627
        N/A
        DIR
        CORP
        US
        
        N
        
        1
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            Long
            
              
                US 10YR NOTE DEC 21
                US 10YR NOTE DEC 21
                
                  
                  
                
              
            
            2021-12-21
            60569967.680000000000
            USD
            17751.070000000000
          
        
        
          N
          N
          N
        
      
      
        CONSUMER UNDERLYING BOND SECURITIZATION SERIES CUBS_18-1
        N/A
        CUBS_18-1
        21052GAA5
        
          
          
        
        241701.320000000000
        PA
        USD
        244560.770000000000
        0.0288256082
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2026-02-17
          Fixed
          4.790000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CONSUMER LOAN UNDERLYING BOND CLUB_18-P2
        N/A
        CLUB_18-P2
        21052N102
        
          
          
        
        100000.000000000000
        PA
        USD
        975000.000000000000
        0.1149201810
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        3
        
          2025-10-15
          Fixed
          0.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GINNIE MAE II
        N/A
        GNMA2 30YR TBA(REG C)
        21H022697
        
          
          
        
        30000000.000000000000
        PA
        USD
        31115625.000000000000
        3.6675007759
        Long
        ABS-MBS
        USGA
        US
        
        N
        
        2
        
          2051-09-21
          Fixed
          2.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CREDIT SUISSE MORTGAGE CAPITAL CSMC_20-RPL2
        N/A
        CSMC_20-RPL2
        22946BAP1
        
          
          
        
        1774469.220000000000
        PA
        USD
        1833367.760000000000
        0.2160932870
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2060-02-25
          Variable
          3.430000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        EURO BUXL 30YR BOND SEP 21
        000000000
        
          
          
          
        
        -3.000000000000
        NC
        
        -24259.540000000000
        -0.0028593956
        N/A
        DIR
        CORP
        DE
        
        N
        
        1
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            Short
            
              
                EURO BUXL 30YR BOND SEP 21
                EURO BUXL 30YR BOND SEP 21
                
                  
                  
                
              
            
            2021-09-08
            -617216.880000000000
            EUR
            -24259.540000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        US LONG BOND DEC 21
        000000000
        
          
          
        
        -30.000000000000
        NC
        USD
        -22563.420000000000
        -0.0026594793
        N/A
        DIR
        CORP
        US
        
        N
        
        1
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            Short
            
              
                US LONG BOND DEC 21
                US LONG BOND DEC 21
                
                  
                  
                
              
            
            2021-12-21
            -4866499.080000000000
            USD
            -22563.420000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        EURO STOXX 50 SEP 21
        000000000
        
          
          
          
        
        304.000000000000
        NC
        
        237217.080000000000
        0.0279600305
        N/A
        DE
        CORP
        DE
        
        N
        
        1
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            Long
            
              
                EURO STOXX 50 SEP 21
                EURO STOXX 50 SEP 21
                
                  
                  
                
              
            
            2021-09-17
            12511560.180000000000
            EUR
            237217.080000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        EURO STOXX 50 SEP 21
        000000000
        
          
          
          
        
        608.000000000000
        NC
        
        -61543.680000000000
        -0.0072539598
        N/A
        DE
        CORP
        DE
        
        N
        
        1
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            Long
            
              
                EURO STOXX 50 SEP 21
                EURO STOXX 50 SEP 21
                
                  
                  
                
              
            
            2021-09-17
            25477981.220000000000
            EUR
            -61543.680000000000
          
        
        
          N
          N
          N
        
      
      
        DEEPHAVEN RESIDENTIAL MORTGAGE TRUST DRMT_20-2
        N/A
        DRMT_20-2
        24380NAF6
        
          
          
        
        600000.000000000000
        PA
        USD
        610665.420000000000
        0.0719772109
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2065-05-25
          Variable
          5.893300000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        DRYDEN SENIOR LOAN FUND DRSLF_20-86A
        N/A
        DRSLF_20-86A
        26246AAE6
        
          
          
        
        1400000.000000000000
        PA
        USD
        1400399.000000000000
        0.1650606221
        Long
        ABS-MBS
        CORP
        KY
        
        N
        
        2
        
          2034-07-17
          Variable
          6.633900000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EAGLE RE LTD EMIR_19-1
        N/A
        EMIR_19-1
        269822AB8
        
          
          
        
        481251.820000000000
        PA
        USD
        481251.920000000000
        0.0567236490
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2029-04-25
          Variable
          1.884400000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EAGLE RE 2018-1 LTD EMIR_18-1
        N/A
        EMIR_18-1
        269826AA1
        
          
          
        
        1825512.300000000000
        PA
        USD
        1826684.460000000000
        0.2153055474
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2028-11-25
          Variable
          1.784400000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENVA LLC ENVA_19-A
        N/A
        ENVA_19-A
        294021AB6
        
          
          
        
        186321.080000000000
        PA
        USD
        187418.810000000000
        0.0220904652
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2026-06-22
          Fixed
          6.170000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        ENVA LLC ENVA_19-A
        N/A
        ENVA_19-A
        294021AC4
        
          
          
        
        500000.000000000000
        PA
        USD
        516456.850000000000
        0.0608731433
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2026-06-22
          Fixed
          7.620000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EXETER AUTOMOBILE RECEIVABLES TRUST EART_21-2
        N/A
        EART_21-2A
        30165XAG0
        
          
          
        
        900000.000000000000
        PA
        USD
        902025.540000000000
        0.1063189111
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2028-07-17
          Fixed
          2.900000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EXETER AUTOMOBILE RECEIVABLES TRUST EART_20-3A
        N/A
        EART_20-3A
        30166NAJ5
        
          
          
        
        800000.000000000000
        PA
        USD
        827194.800000000000
        0.0974988473
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2026-08-17
          Fixed
          3.440000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        EXETER AUTOMOBILE RECEIVABLES TRUST EART_20-3A
        N/A
        EART_20-3A
        30166NAL0
        
          
          
        
        500000.000000000000
        PA
        USD
        525515.450000000000
        0.0619408519
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2027-06-15
          Fixed
          5.560000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        CAS_14-C02
        N/A
        CAS_14-C02
        30711XAF1
        
          
          
        
        1322393.270000000000
        PA
        USD
        1333993.830000000000
        0.1572336537
        Long
        ABS-CBDO
        USGA
        US
        
        N
        
        2
        
          2024-05-25
          Variable
          2.684400000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS_14-C03
        N/A
        CAS_14-C03
        30711XAK0
        
          
          
        
        1347234.690000000000
        PA
        USD
        1364074.180000000000
        0.1607791299
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2024-07-25
          Variable
          3.084400000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FANNIE MAE FNMA_13-101
        N/A
        FNMA_13-101
        3136AGZK1
        
          
          
        
        1018868.360000000000
        PA
        USD
        221630.770000000000
        0.0261229212
        Long
        ABS-CBDO
        USGA
        US
        
        N
        
        2
        
          2043-10-25
          Variable
          6.415600000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FANNIE MAE FNMA_16-53
        N/A
        FNMA_16-53
        3136AS4Y9
        
          
          
        
        17858686.340000000000
        PA
        USD
        4357476.610000000000
        0.5136020520
        Long
        ABS-CBDO
        USGA
        US
        
        N
        
        2
        
          2046-08-25
          Variable
          5.915600000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FANNIE MAE FNMA_20-38
        N/A
        FNMA_20-38
        3136BACZ5
        
          
          
        
        3836103.430000000000
        PA
        USD
        681883.500000000000
        0.0803714618
        Long
        ABS-CBDO
        USGA
        US
        
        N
        
        2
        
          2050-06-25
          Variable
          4.915600000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FANNIE MAE FNMA_21-4
        N/A
        FNMA_21-4
        3136BDD39
        
          
          
        
        5664892.090000000000
        PA
        USD
        872576.360000000000
        0.1028478289
        Long
        ABS-CBDO
        USGA
        US
        
        N
        
        2
        
          2051-02-25
          Fixed
          2.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FANNIE MAE FNMA_21-3
        N/A
        FNMA_21-3
        3136BDR42
        
          
          
        
        5583427.730000000000
        PA
        USD
        911703.400000000000
        0.1074596100
        Long
        ABS-CBDO
        USGA
        US
        
        N
        
        2
        
          2051-02-25
          Fixed
          2.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_21-22
        N/A
        FNMA_21-22
        3136BFC43
        
          
          
        
        3407672.740000000000
        PA
        USD
        542333.160000000000
        0.0639231025
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2051-04-25
          Fixed
          3.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREDDIE MAC FHLMC_4606
        N/A
        FHLMC_4606
        3137BR5P6
        
          
          
        
        5339137.870000000000
        PA
        USD
        1112651.240000000000
        0.1311446994
        Long
        ABS-CBDO
        USGA
        US
        
        N
        
        2
        
          2044-12-15
          Variable
          5.904500000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREDDIE MAC FHLMC_5034
        N/A
        FHLMC_5034
        3137F6JV0
        
          
          
        
        9426807.700000000000
        PA
        USD
        1501873.350000000000
        0.1770210843
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2050-11-25
          Fixed
          2.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_4987
        N/A
        FHLMC_4987
        3137FTRP4
        
          
          
        
        1595234.430000000000
        PA
        USD
        365794.910000000000
        0.0431150946
        Long
        ABS-CBDO
        USGA
        US
        
        N
        
        2
        
          2050-06-25
          Variable
          5.995600000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREDDIE MAC FHLMC_4993
        N/A
        FHLMC_4993
        3137FU6V1
        
          
          
        
        2239328.700000000000
        PA
        USD
        589494.770000000000
        0.0694818930
        Long
        ABS-CBDO
        USGA
        US
        
        N
        
        2
        
          2050-07-25
          Variable
          5.965600000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREDDIE MAC STACR_14-DN1
        N/A
        STACR_14-DN1
        3137G0AM1
        
          
          
        
        461048.730000000000
        PA
        USD
        474304.250000000000
        0.0559047490
        Long
        ABS-CBDO
        USGA
        US
        
        N
        
        2
        
          2024-02-25
          Variable
          4.584400000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STRUCTURED AGENCY CREDIT RISK STACR_18-HRP1
        N/A
        STACR_18-HRP1
        3137G0VA4
        
          
          
        
        2000000.000000000000
        PA
        USD
        2055110.000000000000
        0.2422293468
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2043-04-25
          Variable
          3.834400000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        510 ASSETS BACKED TRUST FTAB_21-NPL2
        N/A
        FTAB_21-NPL2
        33835JAA8
        
          
          
        
        1183412.160000000000
        PA
        USD
        1184614.150000000000
        0.1396267410
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2061-06-25
          Variable
          2.115600000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STRUCTURED AGENCY CREDIT RISK STACR_21-DNA1
        N/A
        STACR_21-DNA1
        35564KBE8
        
          
          
        
        1200000.000000000000
        PA
        USD
        1210379.520000000000
        0.1426636241
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2051-01-25
          Variable
          4.800000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STRUCTURED AGENCY CREDIT RISK STACR_21-HQA2
        N/A
        STACR_21-HQA2
        35564KGS2
        
          
          
        
        600000.000000000000
        PA
        USD
        626252.400000000000
        0.0738143991
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2033-12-25
          Variable
          5.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STRUCTURED AGENCY CREDIT RISK STACR_19-HQA2
        N/A
        STACR_19-HQA2
        35564MBD6
        
          
          
        
        1500000.000000000000
        PA
        USD
        1547802.750000000000
        0.1824346381
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2049-04-25
          Variable
          4.184400000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STRUCTURED AGENCY CREDIT RISK STACR_19-HQA3
        N/A
        STACR_19-HQA3
        35564XBD2
        
          
          
        
        1250000.000000000000
        PA
        USD
        1259050.250000000000
        0.1484002898
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2049-09-25
          Variable
          3.084400000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STRUCTURED AGENCY CREDIT RISK STACR_20-HQA1
        N/A
        STACR_20-HQA1
        35565JBD2
        
          
          
        
        1942000.000000000000
        PA
        USD
        1946110.830000000000
        0.2293819577
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2050-01-25
          Variable
          2.434400000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREDDIE MAC STACR REMIC TRUST STACR_20-HQA3
        N/A
        STACR_20-HQA3
        35565MBD5
        
          
          
        
        1000000.000000000000
        PA
        USD
        1061215.800000000000
        0.1250821660
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2050-07-25
          Variable
          5.834400000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STRUCTURED AGENCY CREDIT RISK STACR_20-HQA4
        N/A
        STACR_20-HQA4
        35565RBD4
        
          
          
        
        2400000.000000000000
        PA
        USD
        2522160.000000000000
        0.2972790602
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2050-09-25
          Variable
          5.334400000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STRUCTURED AGENCY CREDIT RISK STACR_20-HQA5
        N/A
        STACR_20-HQA5
        35565TBE8
        
          
          
        
        1800000.000000000000
        PA
        USD
        2106019.440000000000
        0.2482298823
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2050-11-25
          Variable
          7.450000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREDDIE MAC - STACR 2020-DNA3
        N/A
        STACR_20-DNA3
        35565WBD3
        
          
          
        
        2000000.000000000000
        PA
        USD
        2088268.800000000000
        0.2461376702
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2050-06-25
          Variable
          5.184400000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STRUCTURED AGENCY CREDIT RISK STACR_20-DNA4
        N/A
        STACR_20-DNA4
        35565XBD1
        
          
          
        
        1600000.000000000000
        PA
        USD
        1698354.720000000000
        0.2001797249
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2050-08-25
          Variable
          6.084400000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STRUCTURED AGENCY CREDIT RISK STACR_20-DNA6
        N/A
        STACR_20-DNA6
        35566CBE4
        
          
          
        
        1000000.000000000000
        PA
        USD
        1081425.100000000000
        0.1274641725
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2050-12-25
          Variable
          5.700000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        FREEDOM FINANCIAL FREED_21-1CP
        N/A
        FREED_21-1CP
        35635BAC8
        
          
          
        
        700000.000000000000
        PA
        USD
        708818.950000000000
        0.0835462585
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2028-03-20
          Fixed
          2.830000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GCAT_19-NQM3
        N/A
        GCAT_19-NQM3
        36167VAD6
        
          
          
        
        600000.000000000000
        PA
        USD
        611047.380000000000
        0.0720222313
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2059-11-25
          Variable
          3.450000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GLEBE FUNDING TRUST GLEBE_21-1
        N/A
        GLEBE_21-1
        377353AA5
        
          
          
        
        1098597.040000000000
        PA
        USD
        1098597.040000000000
        0.1294881750
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        3
        
          2023-10-27
          Fixed
          3.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-19
        N/A
        GNMA_20-19
        38380N3D9
        
          
          
        
        2202332.770000000000
        PA
        USD
        180302.340000000000
        0.0212516693
        Long
        ABS-MBS
        USGA
        US
        
        N
        
        2
        
          2061-12-16
          Variable
          0.835000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-102
        N/A
        GNMA_19-102
        38380NKM0
        
          
          
        
        1600679.300000000000
        PA
        USD
        114340.040000000000
        0.0134769006
        Long
        ABS-MBS
        USGA
        US
        
        N
        
        2
        
          2060-03-16
          Variable
          0.837500000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-109
        N/A
        GNMA_19-109
        38380NMG1
        
          
          
        
        3581672.770000000000
        PA
        USD
        256071.340000000000
        0.0301823228
        Long
        ABS-MBS
        USGA
        US
        
        N
        
        2
        
          2060-04-16
          Variable
          0.809400000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-131
        N/A
        GNMA_19-131
        38380NPW3
        
          
          
        
        3644885.500000000000
        PA
        USD
        246484.290000000000
        0.0290523274
        Long
        ABS-MBS
        USGA
        US
        
        N
        
        2
        
          2061-07-16
          Variable
          0.890800000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-92
        N/A
        GNMA_19-92
        38381WR67
        
          
          
        
        3973638.020000000000
        PA
        USD
        778413.440000000000
        0.0917491420
        Long
        ABS-CBDO
        USGA
        US
        
        N
        
        2
        
          2049-07-20
          Variable
          6.011600000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-103
        N/A
        GNMA_19-103
        38381XW44
        
          
          
        
        3221197.760000000000
        PA
        USD
        649305.530000000000
        0.0765315990
        Long
        ABS-CBDO
        USGA
        US
        
        N
        
        2
        
          2049-08-20
          Variable
          5.961600000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-129
        N/A
        GNMA_19-129
        38381Y7J7
        
          
          
        
        2725882.970000000000
        PA
        USD
        302245.360000000000
        0.0356247092
        Long
        ABS-CBDO
        USGA
        US
        
        N
        
        2
        
          2049-10-20
          Fixed
          3.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-98
        N/A
        GNMA_19-98
        38381YAH7
        
          
          
        
        12065734.130000000000
        PA
        USD
        1846111.620000000000
        0.2175953656
        Long
        ABS-CBDO
        USGA
        US
        
        N
        
        2
        
          2049-08-20
          Variable
          6.011600000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-120
        N/A
        GNMA_19-120
        38381YSP0
        
          
          
        
        3309335.100000000000
        PA
        USD
        319622.530000000000
        0.0376729015
        Long
        ABS-CBDO
        USGA
        US
        
        N
        
        2
        
          2049-09-20
          Variable
          3.311600000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-120
        N/A
        GNMA_19-120
        38381YSZ8
        
          
          
        
        28044626.000000000000
        PA
        USD
        2476424.610000000000
        0.2918883737
        Long
        ABS-CBDO
        USGA
        US
        
        N
        
        2
        
          2049-09-20
          Variable
          3.311600000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-3
        N/A
        GNMA_20-3
        38382BN66
        
          
          
        
        2487126.970000000000
        PA
        USD
        171756.010000000000
        0.0202443403
        Long
        ABS-MBS
        USGA
        US
        
        N
        
        2
        
          2062-02-16
          Variable
          0.781500000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-104
        N/A
        GNMA_20-104
        38382HGQ7
        
          
          
        
        2073032.260000000000
        PA
        USD
        395428.210000000000
        0.0466078784
        Long
        ABS-CBDO
        USGA
        US
        
        N
        
        2
        
          2050-07-20
          Variable
          6.111600000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-104
        N/A
        GNMA_20-104
        38382HGX2
        
          
          
        
        3344387.770000000000
        PA
        USD
        469914.570000000000
        0.0553873512
        Long
        ABS-CBDO
        USGA
        US
        
        N
        
        2
        
          2050-07-20
          Fixed
          3.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-138
        N/A
        GNMA_20-138
        38382J3F1
        
          
          
        
        5760074.490000000000
        PA
        USD
        694477.780000000000
        0.0818559099
        Long
        ABS-CBDO
        USGA
        US
        
        N
        
        2
        
          2050-09-20
          Fixed
          2.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-129
        N/A
        GNMA_20-129
        38382JYN0
        
          
          
        
        4057033.760000000000
        PA
        USD
        530215.360000000000
        0.0624948155
        Long
        ABS-CBDO
        USGA
        US
        
        N
        
        2
        
          2050-09-20
          Fixed
          2.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-129
        N/A
        GNMA_20-129
        38382JYW0
        
          
          
        
        3186612.740000000000
        PA
        USD
        474401.240000000000
        0.0559161809
        Long
        ABS-CBDO
        USGA
        US
        
        N
        
        2
        
          2050-09-20
          Fixed
          3.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-160
        N/A
        GNMA_20-160
        38382KN90
        
          
          
        
        4832060.850000000000
        PA
        USD
        676651.360000000000
        0.0797547659
        Long
        ABS-CBDO
        USGA
        US
        
        N
        
        2
        
          2050-10-20
          Fixed
          2.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-153
        N/A
        GNMA_20-153
        38382KSF1
        
          
          
        
        3815467.080000000000
        PA
        USD
        542798.650000000000
        0.0639779683
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2050-10-20
          Fixed
          2.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-148
        N/A
        GNMA_20-148
        38382KYS6
        
          
          
        
        9169730.210000000000
        PA
        USD
        1177229.220000000000
        0.1387563026
        Long
        ABS-CBDO
        USGA
        US
        
        N
        
        2
        
          2050-10-20
          Fixed
          2.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-188
        N/A
        GNMA_20-188
        38382L2Q3
        
          
          
        
        6831627.060000000000
        PA
        USD
        913523.800000000000
        0.1076741748
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2050-12-20
          Fixed
          2.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-164
        N/A
        GNMA_20-164
        38382LGD7
        
          
          
        
        2867036.330000000000
        PA
        USD
        406172.460000000000
        0.0478742693
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2050-11-20
          Fixed
          3.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-187
        N/A
        GNMA_20-187
        38382LL66
        
          
          
        
        5792302.940000000000
        PA
        USD
        806303.630000000000
        0.0950364709
        Long
        ABS-CBDO
        USGA
        US
        
        N
        
        2
        
          2050-12-20
          Fixed
          2.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-175
        N/A
        GNMA_20-175
        38382LNR8
        
          
          
        
        3873601.400000000000
        PA
        USD
        558602.760000000000
        0.0658407490
        Long
        ABS-CBDO
        USGA
        US
        
        N
        
        2
        
          2050-11-20
          Fixed
          2.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-185
        N/A
        GNMA_20-185
        38382LS36
        
          
          
        
        5669871.690000000000
        PA
        USD
        810880.100000000000
        0.0955758850
        Long
        ABS-CBDO
        USGA
        US
        
        N
        
        2
        
          2050-12-20
          Fixed
          2.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-181
        N/A
        GNMA_20-181
        38382LVR9
        
          
          
        
        5892599.500000000000
        PA
        USD
        823058.850000000000
        0.0970113559
        Long
        ABS-CBDO
        USGA
        US
        
        N
        
        2
        
          2050-12-20
          Fixed
          2.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-7
        N/A
        GNMA_21-7
        38382M5E5
        
          
          
        
        1933139.730000000000
        PA
        USD
        407219.170000000000
        0.0479976418
        Long
        ABS-CBDO
        USGA
        US
        
        N
        
        2
        
          2051-01-16
          Fixed
          3.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-7
        N/A
        GNMA_21-7
        38382M5R6
        
          
          
        
        6370693.730000000000
        PA
        USD
        881187.990000000000
        0.1038628547
        Long
        ABS-CBDO
        USGA
        US
        
        N
        
        2
        
          2051-01-20
          Fixed
          2.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-9
        N/A
        GNMA_21-9
        38382MF61
        
          
          
        
        965626.140000000000
        PA
        USD
        117813.440000000000
        0.0138862993
        Long
        ABS-CBDO
        USGA
        US
        
        N
        
        2
        
          2051-01-20
          Fixed
          2.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-191
        N/A
        GNMA_20-191
        38382MRY7
        
          
          
        
        2814543.590000000000
        PA
        USD
        469348.500000000000
        0.0553206303
        Long
        ABS-CBDO
        USGA
        US
        
        N
        
        2
        
          2050-12-20
          Fixed
          4.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-1
        N/A
        GNMA_21-1
        38382MV97
        
          
          
        
        4762197.830000000000
        PA
        USD
        592483.600000000000
        0.0698341770
        Long
        ABS-CBDO
        USGA
        US
        
        N
        
        2
        
          2051-01-20
          Fixed
          3.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-24
        N/A
        GNMA_21-24
        38382NPZ4
        
          
          
        
        2874890.690000000000
        PA
        USD
        408898.290000000000
        0.0481955544
        Long
        ABS-CBDO
        USGA
        US
        
        N
        
        2
        
          2051-02-20
          Fixed
          3.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-25
        N/A
        GNMA_21-25
        38382NTM9
        
          
          
        
        4931301.300000000000
        PA
        USD
        712656.870000000000
        0.0839986220
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2051-02-20
          Fixed
          2.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-107
        N/A
        GNMA_21-107
        38382UFF3
        
          
          
        
        3463059.310000000000
        PA
        USD
        540827.010000000000
        0.0637455773
        Long
        ABS-CBDO
        USGA
        US
        
        N
        
        2
        
          2051-06-20
          Fixed
          3.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-96
        N/A
        GNMA_21-96
        38382UG39
        
          
          
        
        4978814.550000000000
        PA
        USD
        703544.330000000000
        0.0829245556
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2051-06-20
          Fixed
          2.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-96
        N/A
        GNMA_21-96
        38382UZE4
        
          
          
        
        3984259.920000000000
        PA
        USD
        438292.900000000000
        0.0516602045
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2051-06-20
          Variable
          3.200000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-140
        N/A
        GNMA_21-140
        38382XUA1
        
          
          
        
        6000000.000000000000
        PA
        USD
        843750.000000000000
        0.0994501566
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        3
        
          2051-08-20
          Fixed
          3.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HEADLANDS RESIDENTIAL HAMR_19-RPL1
        N/A
        HAMR_19-RPL1
        42210BAA1
        
          
          
        
        1405701.490000000000
        PA
        USD
        1407707.000000000000
        0.1659219930
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2024-06-25
          Fixed
          3.967000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HILT_16-SFP
        N/A
        HILT_16-SFP
        43289VAQ6
        
          
          
        
        2500000.000000000000
        PA
        USD
        2524979.750000000000
        0.2976114152
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2035-11-05
          Fixed
          5.519100000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HILT_16-SFP
        N/A
        HILT_16-SFP
        43289VAS2
        
          
          
        
        1300000.000000000000
        PA
        USD
        1314607.710000000000
        0.1549486728
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2035-11-05
          Fixed
          6.155200000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HILTON USA TRUST HILT_16-HHV
        N/A
        HILT_16-HHV
        43300LAQ3
        
          
          
        
        3000000.000000000000
        PA
        USD
        3050719.200000000000
        0.3595786693
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2038-11-05
          Variable
          4.333300000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HOME RE 2018-1 LTD HMIR_18-1
        N/A
        HMIR_18-1
        43730MAB4
        
          
          
        
        750000.000000000000
        PA
        USD
        757521.600000000000
        0.0892866865
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2028-10-25
          Variable
          3.084400000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HOME RE LTD HMIR_20-1
        N/A
        HMIR_20-1
        43731WAC9
        
          
          
        
        250000.000000000000
        PA
        USD
        256505.750000000000
        0.0302335253
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2030-10-25
          Variable
          4.234400000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HOME RE LTD HMIR_20-1
        N/A
        HMIR_20-1
        43731WAD7
        
          
          
        
        1200000.000000000000
        PA
        USD
        1236935.040000000000
        0.1457936397
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2030-10-25
          Variable
          5.334400000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HOME PARTNERS OF AMERICA TRUST HPA_19-2
        N/A
        HPA_19-2
        43732TAL5
        
          
          
        
        338530.740000000000
        PA
        USD
        342187.750000000000
        0.0403325930
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2039-10-19
          Fixed
          3.866000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HOMEWARD OPPORTUNITIES FUND I TRUST HOF_20-2
        N/A
        HOF_20-2
        43789XAE4
        
          
          
        
        250000.000000000000
        PA
        USD
        263246.150000000000
        0.0310279951
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2065-05-25
          Variable
          5.450000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        HOMEWARD OPPORTUNITIES FUND I TRUST HOF_20-BPL1
        N/A
        HOF_20-BPL1
        43789YAB8
        
          
          
        
        1493537.190000000000
        PA
        USD
        1532190.080000000000
        0.1805944218
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2025-08-25
          Variable
          5.437900000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        KKR INDUSTRIAL PORTFOLIO TRUST KIND_20-AIP
        N/A
        KIND_20-AIP
        48253QAQ8
        
          
          
        
        819574.880000000000
        PA
        USD
        820310.280000000000
        0.0966873906
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2037-03-15
          Variable
          3.524500000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BVRT FINANCING TRUST BVRT_21-CRT1
        N/A
        BVRT_21-CRT1
        512366AF2
        
          
          
        
        1875000.000000000000
        PA
        USD
        1910156.250000000000
        0.2251441046
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        3
        
          2032-07-10
          Variable
          3.600400000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        BVRT FINANCING TRUST BVRT_20-CRT1
        N/A
        BVRT_20-CRT1
        512368AC5
        
          
          
        
        1000000.000000000000
        PA
        USD
        1005000.000000000000
        0.1184561866
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        3
        
          2032-07-10
          Variable
          4.077000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LEGACY MORTGAGE ASSET TRUST LMAT_21-GS1
        N/A
        LMAT_21-GS1
        52474JAA4
        
          
          
        
        470310.790000000000
        PA
        USD
        472603.880000000000
        0.0557043317
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2066-10-25
          Variable
          1.892000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LENDING CLUB RECEIVABLES TRUST LCRT_19-3
        N/A
        LCRT_19-3
        52603EAA9
        
          
          
        
        747740.280000000000
        PA
        USD
        760689.570000000000
        0.0896600852
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2025-10-15
          Fixed
          3.750000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LENDING CLUB RECEIVABLES TRUST LCRT_19-5
        N/A
        LCRT_19-5
        52605CAA1
        
          
          
        
        795910.660000000000
        PA
        USD
        807649.150000000000
        0.0951950631
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2045-12-15
          Fixed
          3.750000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LENDING CLUB RECEIVABLES TRUST LCRT_19-7
        N/A
        LCRT_19-7
        52605FAA4
        
          
          
        
        336537.260000000000
        PA
        USD
        340069.350000000000
        0.0400829038
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2027-01-15
          Fixed
          3.750000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LENDING CLUB RECEIVABLES TRUST LCRT_20-2
        N/A
        LCRT_20-2
        52605L103
        
          
          
        
        85000.000000000000
        PA
        USD
        697000.000000000000
        0.0821531960
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        3
        
          2046-02-15
          Fixed
          0.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LENDINGPOINT ASSET SECURITIZATION TRUST LDPT_19-2
        N/A
        LDPT_19-2
        52605WAC3
        
          
          
        
        941604.720000000000
        PA
        USD
        947651.420000000000
        0.1116966899
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2025-11-10
          Fixed
          4.660000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LENDING CLUB RECEIVABLES TRUST LCRT_20-T1
        N/A
        LCRT_20-T1
        52606KAA2
        
          
          
        
        418824.760000000000
        PA
        USD
        419968.950000000000
        0.0495004182
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2046-02-15
          Fixed
          3.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LENDING CLUB RECEIVABLES TRUST SERIES LCRT_20-JPSL
        N/A
        LCRT_20-JPSL
        52606N108
        
          
          
        
        50000.000000000000
        PA
        USD
        1367000.000000000000
        0.1611239871
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        3
        
          2025-02-15
          Fixed
          0.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LENDINGPOINT ASSET SECURITIZATION TRUST LDPT_21-1
        N/A
        LDPT_21-1
        52607DAC3
        
          
          
        
        1150000.000000000000
        PA
        USD
        1154370.000000000000
        0.1360619583
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        3
        
          2027-04-15
          Fixed
          4.935000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LENDINGPOINT ASSET SECURITIZATION TRUST LDPT_21-1
        N/A
        LDPT_21-1
        52607DAD1
        
          
          
        
        1000000.000000000000
        PA
        USD
        1002100.000000000000
        0.1181143727
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        3
        
          2027-04-15
          Fixed
          7.226000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LENDINGPOINT ASSET SECURITIZATION TRUST LDPT_21-A
        N/A
        LDPT_21-A
        52607FAC8
        
          
          
        
        2000000.000000000000
        PA
        USD
        2006678.600000000000
        0.2365208901
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2028-12-15
          Fixed
          2.750000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        LVII RESECURITIZATION TRUST LVII_20-1
        N/A
        LVII_20-1
        55078WAC4
        
          
          
        
        1900000.000000000000
        PA
        USD
        1902375.000000000000
        0.2242269531
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        3
        
          2060-05-25
          Variable
          5.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MATR_21-1
        N/A
        MATR_21-1
        55283RAA0
        
          
          
        
        952625.800000000000
        PA
        USD
        952625.800000000000
        0.1122830045
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        3
        
          2023-11-29
          Fixed
          3.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MADISON PARK FUNDING LTD MDPK_20-47A
        N/A
        MDPK_20-47A
        55820GAA4
        
          
          
        
        500000.000000000000
        PA
        USD
        503073.000000000000
        0.0592956310
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2034-01-19
          Variable
          7.705700000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MADISON PARK FUNDING LTD MDPK_16
        N/A
        MDPK_16-24A
        55820NAQ4
        
          
          
        
        7000000.000000000000
        PA
        USD
        7001029.000000000000
        0.8251892510
        Long
        ABS-MBS
        CORP
        KY
        
        N
        
        2
        
          2029-10-20
          Variable
          1.884300000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MARLETTE FUNDING TRUST MFT_21-1A
        N/A
        MFT_21-1A
        57110NAD8
        
          
          
        
        100000.000000000000
        PA
        USD
        101166.480000000000
        0.0119241746
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2031-06-16
          Fixed
          2.470000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        MORGAN STANLEY CAPITAL I TRUST MSC_19-MEAD
        N/A
        MSC_19-MEAD
        61771LAL6
        
          
          
        
        600000.000000000000
        PA
        USD
        579054.060000000000
        0.0682512794
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2036-11-10
          Variable
          3.283000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        NEW RESIDENTIAL MORTGAGE LOAN TRUST NRZT_20-RPL2
        N/A
        NRZT_20-RPL2
        64831BAA4
        
          
          
        
        1768744.080000000000
        PA
        USD
        1800692.370000000000
        0.2122419416
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2025-08-25
          Variable
          3.578000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OAKTOWN RE LTD OMIR_18-1
        N/A
        OMIR_18-1A
        67400CAB4
        
          
          
        
        3017857.000000000000
        PA
        USD
        3050632.740000000000
        0.3595684786
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2028-07-25
          Variable
          2.934400000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OAKTOWN RE LTD OMIR_18-1
        N/A
        OMIR_18-1A
        67400CAC2
        
          
          
        
        450000.000000000000
        PA
        USD
        463370.720000000000
        0.0546160482
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2028-07-25
          Variable
          4.134400000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OAKTOWN RE LTD OMIR_19-1
        N/A
        OMIR_19-1A
        67400KAC4
        
          
          
        
        1000000.000000000000
        PA
        USD
        1006090.800000000000
        0.1185847557
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2029-07-25
          Variable
          2.634400000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OAKTOWN RE LTD OMIR_21-1A
        N/A
        OMIR_21-1A
        67401FAE0
        
          
          
        
        500000.000000000000
        PA
        USD
        519855.800000000000
        0.0612737668
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2033-10-25
          Variable
          4.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OAKTOWN RE LTD OMIR_20-2A
        N/A
        OMIR_20-2A
        67401JAC6
        
          
          
        
        1000000.000000000000
        PA
        USD
        1051545.500000000000
        0.1239423581
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2030-10-25
          Variable
          5.334400000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OCTAGON INVESTMENT PARTNERS 48 OCT47_20-1A
        N/A
        OCT47_20-1A
        67576YAE8
        
          
          
        
        750000.000000000000
        PA
        USD
        736326.000000000000
        0.0867884279
        Long
        ABS-MBS
        CORP
        KY
        
        N
        
        2
        
          2034-07-20
          Variable
          6.384300000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PMT CREDIT RISK TRANSFER TRUST PMTCR_19-2R
        N/A
        PMTCR_19-2R
        69345WAA6
        
          
          
        
        881886.120000000000
        PA
        USD
        877442.740000000000
        0.1034214138
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2023-05-27
          Variable
          2.837900000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PNMAC GMSR ISSUER TRUST PNMSR_18-FT1
        N/A
        PNMSR_18-FT1
        69346MAA7
        
          
          
        
        500000.000000000000
        PA
        USD
        498255.100000000000
        0.0587277603
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2023-04-25
          Variable
          2.434400000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PNMAC GMSR ISSUER TRUST PNMSR_18-GT1
        N/A
        PNMSR_18-GT1
        69354WAC0
        
          
          
        
        2750000.000000000000
        PA
        USD
        2762518.280000000000
        0.3256093341
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2023-02-25
          Variable
          2.934400000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PNMAC GMSR ISSUER TRUST PNMSR_18-GT2
        N/A
        PNMSR_18-GT2
        69354WAD8
        
          
          
        
        4250000.000000000000
        PA
        USD
        4243977.750000000000
        0.5002242986
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2025-08-25
          Variable
          2.734400000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PRPM LLC PRPM_20-1
        N/A
        PRPM_21-1
        693577AA6
        
          
          
        
        939525.350000000000
        PA
        USD
        939996.900000000000
        0.1107944758
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2026-01-25
          Variable
          2.115000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PRPM LLC PRPM_20-1
        N/A
        PRPM_21-1
        693577AB4
        
          
          
        
        3250000.000000000000
        PA
        USD
        3245988.850000000000
        0.3825944883
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2026-01-25
          Variable
          3.720000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PRESTON RIDGE PARTNERS MORTGAGE PRPM_21-3
        N/A
        PRPM_21-3
        69357PAA6
        
          
          
        
        939993.860000000000
        PA
        USD
        939881.440000000000
        0.1107808669
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2026-04-25
          Variable
          1.867000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PRPM_21-4
        N/A
        PRPM_21-4
        693583AB2
        
          
          
        
        400000.000000000000
        PA
        USD
        401543.160000000000
        0.0473286283
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2026-04-25
          Variable
          3.474000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PRESTON RIDGE PARTNERS MORTGAGE PRPM_20-6
        N/A
        PRPM_20-6
        693587AB3
        
          
          
        
        200000.000000000000
        PA
        USD
        198639.580000000000
        0.0234130220
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2025-11-25
          Variable
          4.703000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PRPM LLC PRPM_21-5
        N/A
        PRPM_21-5
        69358DAB0
        
          
          
        
        700000.000000000000
        PA
        USD
        701839.740000000000
        0.0827236410
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2026-06-25
          Variable
          3.721000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PRESTON RIDGE PARTNERS MORTGAGE PRPM_21-3
        N/A
        PRPM_21-2
        69359UAB1
        
          
          
        
        700000.000000000000
        PA
        USD
        707321.580000000000
        0.0833697682
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2026-03-25
          Variable
          3.770000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PRESTON RIDGE PARTNERS MORTGAGE TRUST PRPM_21-7
        N/A
        PRPM_21-7
        69360LAA0
        
          
          
        
        1800000.000000000000
        PA
        USD
        1800000.000000000000
        0.2121603341
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        3
        
          2026-08-25
          Variable
          1.867000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        OMSR_2019-PLS1
        N/A
        OMSR_2019-PLS1
        69375JAA8
        
          
          
        
        2070543.530000000000
        PA
        USD
        2078200.190000000000
        0.2449509148
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2024-11-25
          Fixed
          5.069000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PAGAYA AI DEBT SELECTION TRUST I PAID_19-3
        N/A
        PAID_19-3
        69545MAB4
        
          
          
        
        1100000.000000000000
        PA
        USD
        1123172.710000000000
        0.1323848319
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2026-11-16
          Fixed
          5.625000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PAGAYA AI DEBT SELECTION TRUST PAID_20-2
        N/A
        PAID_20-2
        69546JAA2
        
          
          
        
        645116.080000000000
        PA
        USD
        646124.070000000000
        0.0761566103
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        3
        
          2027-12-15
          Fixed
          7.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PAGAYA AI DEBT SELECTION TRUST PAID_21-2
        N/A
        PAID_21-2
        69546LAA7
        
          
          
        
        970557.480000000000
        PA
        USD
        970484.110000000000
        0.1143879072
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2029-01-25
          Fixed
          3.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PAGAYA AI DEBT SELECTION TRUST PAID_20-3
        N/A
        PAID_20-3
        69546T102
        
          
          
        
        3200000.000000000000
        PA
        USD
        3024000.000000000000
        0.3564293613
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        3
        
          2027-05-17
          Variable
          0.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PAGAYA AI DEBT SELECTION TRUST PAID_21-1
        N/A
        PAID_21-1
        69547JAD5
        
          
          
        
        1846200.000000000000
        PA
        USD
        3000075.000000000000
        0.3536093969
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        3
        
          2027-11-15
          Variable
          0.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PALMER SQUARE LOAN FUNDING LTD PSTAT_20-4A
        N/A
        PSTAT_20-4A
        69701QAA7
        
          
          
        
        1000000.000000000000
        PA
        USD
        1001766.000000000000
        0.1180750052
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2028-11-25
          Variable
          7.179300000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PMT CREDIT RISK TRANSFER TRUST PMTCR_19-1R
        N/A
        PMTCR_19-1R
        73021CAA3
        
          
          
        
        880219.460000000000
        PA
        USD
        872106.130000000000
        0.1027924044
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2024-03-27
          Variable
          2.087900000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PROGRESS RESIDENTIAL TRUST PROG_20-SFR1
        N/A
        PROG_20-SFR1
        74331CAF5
        
          
          
        
        575000.000000000000
        PA
        USD
        580729.360000000000
        0.0684487417
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2037-04-17
          Fixed
          3.431000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PROGRESS RESIDENTIAL TRUST PROG_18-SFR3
        N/A
        PROG_18-SF3
        74331MAB2
        
          
          
        
        2000000.000000000000
        PA
        USD
        2004364.000000000000
        0.2362480755
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2035-10-17
          Fixed
          4.079000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PROGRESS RESIDENTIAL TRUST PROG_19-SFR3
        N/A
        PROG_19-SFR3
        74332WAJ2
        
          
          
        
        1000000.000000000000
        PA
        USD
        1026360.000000000000
        0.1209738225
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2036-09-17
          Fixed
          3.369000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PROGRESS RESIDENTIAL TRUST PROG_19-SFR3
        N/A
        PROG_19-SFR3
        74332WAL7
        
          
          
        
        6700000.000000000000
        PA
        USD
        6826246.090000000000
        0.8045881396
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2036-09-17
          Fixed
          3.867000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PROGRESS RESIDENTIAL TRUST PROG_20-SFR2
        N/A
        PROG_20-SFR2
        74333LAL0
        
          
          
        
        500000.000000000000
        PA
        USD
        529617.350000000000
        0.0624243300
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2037-06-18
          Fixed
          6.152000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        PROPER PASS-THRU TRUST II PPT2_19-ST2
        N/A
        PPT2_19-ST2
        74361EAA5
        
          
          
        
        698367.960000000000
        PA
        USD
        701859.800000000000
        0.0827260054
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        3
        
          2025-11-15
          Fixed
          3.750000000000
          N
          N
          N
        
        
          N
          N
          N