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October 27, 2021 8:50 AM EDT

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    NPORT-P
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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
    
    
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          PHP
          
          
        
        
          MXN
          
          
        
        
          PLN
          
          
        
        
          ZAR
          
          
        
        
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          HKD
          
          
        
        
          IDR
          
          
        
        
          EUR
          
          
        
        
          GBP
          
          
        
      
      
      
      N
      
        
          
          
          
          
          
          
          
        
        
          
            
            
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
            
              
              
              
            
            
              
              
              
            
          
          
            
            
            
            
              
              
              
            
          
        
        
        
        
      
      
      
      
      
    
    
      
        Credit Suisse
        1V8Y6QCX6YMJ2OELII46
        FSWP: USD 1.750000 15-DEC-2031
        000000000
        
          
        
        9800000.000000000000
        OU
        Notional Amount
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        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
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        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
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        000000000
        
          
        
        272600000.000000000000
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        Notional Amount
        
        252119.460000000000
        0.0297165272
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        CORP
        GB
        
        N
        
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              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
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        000000000
        
          
        
        15800000.000000000000
        OU
        Notional Amount
        
        -258211.180000000000
        -0.0304345390
        N/A
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        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
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        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
        
      
      
        RCO MORTGAGE LLC RCO_20-1
        N/A
        RCO_20-1
        74937CAB2
        
          
          
        
        900000.000000000000
        PA
        USD
        905852.070000000000
        0.1067699321
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2025-09-25
          Variable
          5.389100000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RR LTD RRAM_21-16A
        N/A
        RRAM_21-16A
        74971JAA6
        
          
          
        
        1000000.000000000000
        PA
        USD
        1000772.000000000000
        0.1179578455
        Long
        ABS-MBS
        CORP
        KY
        
        N
        
        2
        
          2036-07-15
          Variable
          6.330700000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RADNOR RE LTD RMIR_20-2
        N/A
        RMIR_20-2
        75049UAD0
        
          
          
        
        600000.000000000000
        PA
        USD
        615856.860000000000
        0.0725891096
        Long
        ABS-CBDO
        USGA
        US
        
        N
        
        2
        
          2030-10-25
          Variable
          5.748000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        RESIDENTIAL MORTGAGE LOAN TRUST RMLT_19-3
        N/A
        RMLT_19-3
        76119NAD9
        
          
          
        
        700000.000000000000
        PA
        USD
        711347.070000000000
        0.0838442400
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2059-09-25
          Variable
          3.257000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        SOFI CONSUMER LOAN PROGRAM TRUST
        N/A
        SCLP_16-4
        83402V101
        
          
          
        
        100000.000000000000
        PA
        USD
        1025372.060000000000
        0.1208573771
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        3
        
          2025-11-25
          Fixed
          0.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STAR_20-3
        N/A
        STAR_20-3
        85573MAE9
        
          
          
        
        250000.000000000000
        PA
        USD
        258073.100000000000
        0.0304182640
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2065-04-25
          Variable
          4.750000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        STONN_20-1
        N/A
        STONN_20-1
        86207LAA1
        
          
          
        
        1245038.290000000000
        PA
        USD
        1245038.290000000000
        0.1467487442
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        3
        
          2024-07-28
          Variable
          5.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        THEOREM FUNDING TRUST THRM_20-1
        N/A
        THRM_20-1A
        88337YAC8
        
          
          
        
        2300000.000000000000
        PA
        USD
        2390468.200000000000
        0.2817569622
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2026-10-15
          Fixed
          6.250000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        THEOREM FUNDING TRUST THRM_21-1
        N/A
        THRM_21-1A
        88339VAB4
        
          
          
        
        1000000.000000000000
        PA
        USD
        1000213.000000000000
        0.1178919579
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2027-12-15
          Fixed
          1.840000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TOORAK MORTGAGE CORP TRK_19-1
        N/A
        TRK_19-1
        89052KAA3
        
          
          
        
        459182.940000000000
        PA
        USD
        460127.710000000000
        0.0542338048
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2022-03-25
          Variable
          4.458300000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TOORAK MORTGAGE TRUST TRK_21-1
        N/A
        TRK_21-1
        89053BAA2
        
          
          
        
        800000.000000000000
        PA
        USD
        800735.280000000000
        0.0943801470
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2024-06-25
          Variable
          2.239500000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENWORTH MORTGAGE INSURANCE CORPORATION TMIR_21-1
        N/A
        TMIR_21-1
        89600FAB9
        
          
          
        
        1950000.000000000000
        PA
        USD
        1966287.180000000000
        0.2317600806
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2033-08-25
          Variable
          3.084400000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENWORTH MORTGAGE INSURANCE CORPORATION TMIR_21-1
        N/A
        TMIR_21-1
        89600FAD5
        
          
          
        
        250000.000000000000
        PA
        USD
        250608.830000000000
        0.0295384739
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2033-08-25
          Variable
          3.984400000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENWORTH MORTGAGE INSURANCE CORPORATION TMIR_21-1
        N/A
        TMIR_21-1
        89600FAE3
        
          
          
        
        1000000.000000000000
        PA
        USD
        1003624.700000000000
        0.1182940843
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2033-08-25
          Variable
          4.584400000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENWORTH MORTGAGE INSURANCE CORPORATION TMIR_21-2
        N/A
        TMIR_21-2
        89600GAE1
        
          
          
        
        650000.000000000000
        PA
        USD
        668917.990000000000
        0.0788432579
        Long
        ABS-CBDO
        CORP
        BM
        
        N
        
        2
        
          2033-10-25
          Variable
          7.584400000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENWORTH MORTGAGE INSURANCE CORPORATION TMIR_21-3
        N/A
        TMIR_21-3
        89600HAC3
        
          
          
        
        2000000.000000000000
        PA
        USD
        2000000.000000000000
        0.2357337046
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2034-02-25
          Variable
          2.950000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        TRIANGLE RE LTD TMIR_21-3
        N/A
        TMIR_21-3
        89600HAG4
        
          
          
        
        500000.000000000000
        PA
        USD
        500000.000000000000
        0.0589334261
        Long
        ABS-CBDO
        CORP
        BM
        
        N
        
        2
        
          2034-02-25
          Variable
          5.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENWORTH MORTGAGE INSURANCE CORPORATION TMIR_20-1
        N/A
        TMIR_20-1
        89600MAC2
        
          
          
        
        1170000.000000000000
        PA
        USD
        1188787.040000000000
        0.1401185865
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2030-10-25
          Variable
          4.617600000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENWORTH MORTGAGE INSURANCE CORPORATION TMIR_20-1
        N/A
        TMIR_20-1
        89600MAD0
        
          
          
        
        1000000.000000000000
        PA
        USD
        1032533.100000000000
        0.1217014264
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2030-10-25
          Variable
          5.717600000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        GENWORTH MORTGAGE INSURANCE CORPORATION TMIR_19-1
        N/A
        TMIR_2019-1
        89600TAA1
        
          
          
        
        125545.170000000000
        PA
        USD
        125548.850000000000
        0.0147980478
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2029-11-26
          Variable
          1.984400000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        USASF RECIEVABLES LLC USAUT_21_1
        N/A
        USAUT_21-1A
        90355EAD3
        
          
          
        
        1125000.000000000000
        PA
        USD
        1120369.840000000000
        0.1320544664
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2027-03-15
          Fixed
          4.360000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES TREASURY
        N/A
        TREASURY BILL
        9127964L0
        
          
          
        
        83000000.000000000000
        PA
        USD
        82998719.310000000000
        9.7827977895
        Long
        DBT
        UST
        US
        
        N
        
        1
        
          2021-09-09
          Fixed
          0.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UNITED STATES TREASURY
        N/A
        TREASURY BILL
        912796D30
        
          
          
        
        67000000.000000000000
        PA
        USD
        66983820.170000000000
        7.8951720381
        Long
        DBT
        UST
        US
        
        N
        
        1
        
          2022-02-24
          Fixed
          0.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UPGRADE RECEIVABLES TRUST UPGR_19-2A
        N/A
        UPGR_19-2A
        91532MAC1
        
          
          
        
        1696362.990000000000
        PA
        USD
        1709619.390000000000
        0.2015074561
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2025-10-15
          Fixed
          4.450000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UPSTART SECURITIZATION TRUST UPST_19-1
        N/A
        UPST_19-1
        91679KAC8
        
          
          
        
        694251.900000000000
        PA
        USD
        701847.850000000000
        0.0827245969
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2026-04-20
          Fixed
          5.130000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UPSTART PASS-THROUGH TRUST UPSPT_20-ST4
        N/A
        UPSPT_20-ST4
        91679VAA8
        
          
          
        
        729439.450000000000
        PA
        USD
        729439.450000000000
        0.0859767319
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        3
        
          2026-11-20
          Fixed
          3.250000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UPSTART PASS-THROUGH TRUST UPSPT_21-ST1
        N/A
        UPSPT_21-ST1
        91681MAA4
        
          
          
        
        615687.190000000000
        PA
        USD
        621106.780000000000
        0.0732079011
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2027-02-20
          Fixed
          2.750000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        UPSTART PASS-THROUGH TRUST UPSPT_21-ST7
        N/A
        UPSPT_21-ST7
        91683KAA6
        
          
          
        
        500000.000000000000
        PA
        USD
        500056.700000000000
        0.0589401092
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2029-09-20
          Fixed
          1.850000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VCAT VCAT_21-NPL3
        N/A
        VCAT_21-NPL3
        91824MAB0
        
          
          
        
        300000.000000000000
        PA
        USD
        299664.150000000000
        0.0353204701
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2051-05-25
          Variable
          3.967000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERUS SECURITIZATION TRUST VERUS_19-3
        N/A
        VERUS_19-3
        92537JAE7
        
          
          
        
        2289000.000000000000
        PA
        USD
        2319149.790000000000
        0.2733508857
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2059-07-25
          Variable
          4.043000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERUS SECURITIZATION TRUST VERUS_19-4
        N/A
        VERUS_19-4
        92537KAE4
        
          
          
        
        500000.000000000000
        PA
        USD
        503659.750000000000
        0.0593647894
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2059-11-25
          Variable
          3.860000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERUS SECURITIZATION TRUST VERUS_20-INV1
        N/A
        VERUS_20-INV1
        92537TAF2
        
          
          
        
        550000.000000000000
        PA
        USD
        582985.870000000000
        0.0687147094
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2060-04-25
          Fixed
          5.500000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERUS SECURITIZATION TRUST VERUS_20-INV1
        N/A
        VERUS_20-INV1
        92537TAG0
        
          
          
        
        150000.000000000000
        PA
        USD
        156360.230000000000
        0.0184296881
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2060-04-25
          Fixed
          5.750000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERUS SECURITIZATION TRUST VERUS_20-INV1
        N/A
        VERUS_20-INV1
        92537TAH8
        
          
          
        
        150000.000000000000
        PA
        USD
        154431.180000000000
        0.0182023171
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2060-04-25
          Fixed
          6.000000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERUS SECURITIZATION TRUST VERUS_20-NPL1
        N/A
        VERUS_20-NPL1
        92538AAB1
        
          
          
        
        1250000.000000000000
        PA
        USD
        1258849.250000000000
        0.1483765986
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2050-08-25
          Variable
          5.682300000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERUS SECURITIZATION TRUST VERUS_20-4
        N/A
        VERUS_20-4
        92538LAE1
        
          
          
        
        150000.000000000000
        PA
        USD
        156511.280000000000
        0.0184474919
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2065-05-25
          Variable
          5.046000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERUS SECURITIZATION TRUST VERUS_20-4
        N/A
        VERUS_20-4
        92538LAF8
        
          
          
        
        327000.000000000000
        PA
        USD
        334025.170000000000
        0.0393704954
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2065-06-25
          Variable
          5.600000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VISIO_19-2
        N/A
        VISIO_19-2
        92837DAD9
        
          
          
        
        200000.000000000000
        PA
        USD
        206822.240000000000
        0.0243774864
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2054-11-25
          Variable
          3.260000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VISIO_19-2
        N/A
        VISIO_19-2
        92837DAE7
        
          
          
        
        100000.000000000000
        PA
        USD
        102346.220000000000
        0.0120632268
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2054-11-25
          Variable
          3.910000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VSTA_20-1
        N/A
        VSTA_20-1
        92838WAE4
        
          
          
        
        800000.000000000000
        PA
        USD
        834037.760000000000
        0.0983054055
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2065-03-25
          Variable
          5.375000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        VERICREST OPPORTUNITY LOAN TRANSFEREE VOLT_21-NPL4
        N/A
        VOLT_21-NPL4
        92873BAA4
        
          
          
        
        1019873.870000000000
        PA
        USD
        1020936.680000000000
        0.1203345929
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2051-03-27
          Variable
          2.239600000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO COMMERCIAL MORTGAGE TRUST WFCM_17-SMP
        N/A
        WFCM_17-SMP
        95001CAA0
        
          
          
        
        1200000.000000000000
        PA
        USD
        1199999.760000000000
        0.1414401945
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2034-12-15
          Variable
          0.970500000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WELLS FARGO COMMERCIAL MORTGAGE TRUST WFCM_20-SDAL
        N/A
        WFCM_20-SDAL
        95002GAJ1
        
          
          
        
        500000.000000000000
        PA
        USD
        482531.200000000000
        0.0568744337
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2037-02-15
          Variable
          2.836000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        WESTLAKE AUTOMOBILE RECEIVABLES TRUST WLAKE_20-3A
        N/A
        WLAKE_20-3A
        96042QAN0
        
          
          
        
        750000.000000000000
        PA
        USD
        775382.100000000000
        0.0913918475
        Long
        ABS-MBS
        CORP
        US
        
        N
        
        2
        
          2026-06-15
          Fixed
          3.340000000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        REVOLVING SINGLE FAMILY HOME NOTES ZILLO_21-1
        N/A
        ZILLO_21-1
        98879EAC5
        
          
          
        
        1000000.000000000000
        PA
        USD
        1000776.400000000000
        0.1179583641
        Long
        ABS-CBDO
        CORP
        US
        
        N
        
        2
        
          2027-02-18
          Fixed
          3.262400000000
          N
          N
          N
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        BIST 30 FUTURES OCT 21
        000000000
        
          
          
          
        
        3115.000000000000
        NC
        
        -4685.600000000000
        -0.0005522769
        N/A
        DE
        CORP
        TR
        
        N
        
        1
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            Long
            
              
                BIST 30 FUTURES OCT 21
                BIST 30 FUTURES OCT 21
                
                  
                  
                
              
            
            2021-10-27
            50631662.000000000000
            TRY
            -4685.600000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        FTSE/JSE TOP 40 SEP 21
        000000000
        
          
          
          
        
        11.000000000000
        NC
        
        -11012.530000000000
        -0.0012980122
        N/A
        DE
        CORP
        ZA
        
        N
        
        1
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            Long
            
              
                FTSE/JSE TOP 40 SEP 21
                FTSE/JSE TOP 40 SEP 21
                
                  
                  
                
              
            
            2021-09-16
            6815047.180000000000
            ZAR
            -11012.530000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        FTSE/JSE TOP 40 SEP 21
        000000000
        
          
          
          
        
        -33.000000000000
        NC
        
        25205.660000000000
        0.0029709118
        N/A
        DE
        CORP
        ZA
        
        N
        
        1
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            Short
            
              
                FTSE/JSE TOP 40 SEP 21
                FTSE/JSE TOP 40 SEP 21
                
                  
                  
                
              
            
            2021-09-16
            -20312024.140000000000
            ZAR
            25205.660000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        CDS: (CMBX.NA.11.BBB-)
        000000000
        
          
        
        -4000000.000000000000
        OU
        Notional Amount
        USD
        -178750.000000000000
        -0.0210686998
        N/A
        DCR
        CORP
        US
        
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            
              
                CMBX.NA.11.BBB-
                CX4B11012
              
            
            Y
            
            CMBX.NA.11.BBB-
            2054-11-18
            0.000000000000
            USD
            -782420.160000000000
            USD
            -4000000.000000000000
            USD
            606003.490000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        CDS: (CMBX.NA.10.BBB-)
        000000000
        
          
        
        -3500000.000000000000
        OU
        Notional Amount
        USD
        -313906.250000000000
        -0.0369991416
        N/A
        DCR
        CORP
        US
        
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            
              
                CMBX.NA.10.BBB-
                CT1273316
              
            
            Y
            
            CMBX.NA.10.BBB-
            2059-11-17
            0.000000000000
            USD
            -671177.320000000000
            USD
            -3500000.000000000000
            USD
            359312.740000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        CDS: (CMBX.NA.10.BBB-)
        000000000
        
          
        
        -2500000.000000000000
        OU
        Notional Amount
        USD
        -224218.750000000000
        -0.0264279583
        N/A
        DCR
        CORP
        US
        
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            
              
                CMBX.NA.10.BBB-
                CT1273316
              
            
            Y
            
            CMBX.NA.10.BBB-
            2059-11-17
            0.000000000000
            USD
            -506504.490000000000
            USD
            -2500000.000000000000
            USD
            283744.070000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        CDS: (CMBX.NA.10.BBB-)
        000000000
        
          
        
        -2000000.000000000000
        OU
        Notional Amount
        USD
        -179375.000000000000
        -0.0211423666
        N/A
        DCR
        CORP
        US
        
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            
              
                CMBX.NA.10.BBB-
                CT1273316
              
            
            Y
            
            CMBX.NA.10.BBB-
            2059-11-17
            0.000000000000
            USD
            -322726.580000000000
            USD
            -2000000.000000000000
            USD
            144518.250000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        SWP: EUR -0.226000 05-AUG-2030
        000000000
        
          
        
        18523000.000000000000
        OU
        Notional Amount
        
        255462.190000000000
        0.0301105242
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            
              
                Euribor 6 Month ACT/360
                EURIBOR65
              
            
            Y
            
              
                
              
            
            
            2030-08-05
            0.000000000000
            USD
            0.000000000000
            USD
            18523000.000000000000
            EUR
            250387.500000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        CDS: (CMBX.NA.12.BBB-)
        000000000
        
          
        
        -3000000.000000000000
        OU
        Notional Amount
        USD
        -148707.000000000000
        -0.0175276260
        N/A
        DCR
        CORP
        US
        
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            
              
                CMBX.NA.12.BBB-
                CX4B12010
              
            
            Y
            
            CMBX.NA.12.BBB-
            2061-08-17
            0.000000000000
            USD
            -441636.490000000000
            USD
            -3000000.000000000000
            USD
            294679.490000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        CDS: (CMBX.NA.10.BBB-)
        000000000
        
          
        
        -750000.000000000000
        OU
        Notional Amount
        USD
        -67265.630000000000
        -0.0079283881
        N/A
        DCR
        CORP
        US
        
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            
              
                CMBX.NA.10.BBB-
                CT1273316
              
            
            Y
            
            CMBX.NA.10.BBB-
            2059-11-17
            0.000000000000
            USD
            -125238.180000000000
            USD
            -750000.000000000000
            USD
            58410.050000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        SWP: EUR -0.147500 03-SEP-2030
        000000000
        
          
        
        11608000.000000000000
        OU
        Notional Amount
        
        68849.950000000000
        0.0081151269
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            
              
                Euribor 6 Month ACT/360
                EURIBOR65
              
            
            Y
            
              
                
              
            
            
            2030-09-03
            0.000000000000
            USD
            0.000000000000
            USD
            11608000.000000000000
            EUR
            53753.800000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        SWP: JPY 0.066000 03-SEP-2030
        000000000
        
          
        
        3752713000.000000000000
        OU
        Notional Amount
        
        -101633.150000000000
        -0.0119791795
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            
              
                JAPANESE YEN 6 MNTH
                JY0006M09
              
            
            Y
            
              
                
              
            
            
            2030-09-03
            0.000000000000
            USD
            0.000000000000
            USD
            3752713000.000000000000
            JPY
            -121786.660000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        CDS: (CMBX.NA.10.BBB-)
        000000000
        
          
        
        -5000000.000000000000
        OU
        Notional Amount
        USD
        -448437.500000000000
        -0.0528559166
        N/A
        DCR
        CORP
        US
        
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            
              
                CMBX.NA.10.BBB-
                CT1273316
              
            
            Y
            
            CMBX.NA.10.BBB-
            2059-11-17
            0.000000000000
            USD
            -983057.050000000000
            USD
            -5000000.000000000000
            USD
            537536.220000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        OTC (GENERIC) 1 YEAR
        000000000
        
          
        
        18000000.000000000000
        OU
        Notional Amount
        USD
        589941.000000000000
        0.0695344887
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            Put
            Purchased
            
              
                
                  
                    Citi
                    MBNUM2BPBDO7JBLYG310
                  
                  
                    CITIBANK NA
                    MBNUM2BPBDO7JBLYG310
                    FSWP: USD 1.000000 04-OCT-2031
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                    
                      
                    
                  
                  
                  2031-10-04
                  N/A
                  N/A
                  N/A
                  N/A
                  18000000.000000000000
                  USD
                
              
            
            18000000.000000000000000
            USD
            1.000000000000
            USD
            2021-09-30
            XXXX
            276741.000000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        CDS: (CMBX.NA.10.BBB-)
        000000000
        
          
        
        -1200000.000000000000
        OU
        Notional Amount
        USD
        -107625.000000000000
        -0.0126854200
        N/A
        DCR
        CORP
        US
        
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            
              
                CMBX.NA.10.BBB-
                CT1273316
              
            
            Y
            
            CMBX.NA.10.BBB-
            2059-11-17
            0.000000000000
            USD
            -284869.900000000000
            USD
            -1200000.000000000000
            USD
            177944.900000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        CDS: (CMBX.NA.10.BBB-)
        000000000
        
          
        
        -3000000.000000000000
        OU
        Notional Amount
        USD
        -269062.500000000000
        -0.0317135499
        N/A
        DCR
        CORP
        US
        
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            
              
                CMBX.NA.10.BBB-
                CT1273316
              
            
            Y
            
            CMBX.NA.10.BBB-
            2059-11-17
            0.000000000000
            USD
            -690966.810000000000
            USD
            -3000000.000000000000
            USD
            423654.310000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        CDS: (CMBX.NA.10.BBB-)
        000000000
        
          
        
        -2000000.000000000000
        OU
        Notional Amount
        USD
        -179375.000000000000
        -0.0211423666
        N/A
        DCR
        CORP
        US
        
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            
              
                CMBX.NA.10.BBB-
                CT1273316
              
            
            Y
            
            CMBX.NA.10.BBB-
            2059-11-17
            0.000000000000
            USD
            -446436.260000000000
            USD
            -2000000.000000000000
            USD
            268227.930000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        OTC (GENERIC) 1 YEAR
        000000000
        
          
        
        70000000.000000000000
        OU
        Notional Amount
        USD
        1282050.000000000000
        0.1511111980
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            Put
            Purchased
            
              
                
                  
                    Citi
                    MBNUM2BPBDO7JBLYG310
                  
                  
                    CITIBANK NA
                    MBNUM2BPBDO7JBLYG310
                    FSWP: USD 1.250000 18-NOV-2031
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                    
                      
                    
                  
                  
                  2031-11-18
                  N/A
                  N/A
                  N/A
                  N/A
                  70000000.000000000000
                  USD
                
              
            
            70000000.000000000000000
            USD
            1.250000000000
            USD
            2021-11-16
            XXXX
            302050.000000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        OTC (GENERIC) 1 YEAR
        000000000
        
          
        
        17000000.000000000000
        OU
        Notional Amount
        USD
        343097.400000000000
        0.0404398106
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            Put
            Purchased
            
              
                
                  
                    Citi
                    MBNUM2BPBDO7JBLYG310
                  
                  
                    CITIBANK NA
                    MBNUM2BPBDO7JBLYG310
                    FSWP: USD 1.250000 07-DEC-2031
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                    
                      
                    
                  
                  
                  2031-12-07
                  N/A
                  N/A
                  N/A
                  N/A
                  17000000.000000000000
                  USD
                
              
            
            17000000.000000000000000
            USD
            1.250000000000
            USD
            2021-12-03
            XXXX
            79597.400000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        SWP: EUR -0.283000 06-JAN-2031
        000000000
        
          
        
        6820000.000000000000
        OU
        Notional Amount
        
        -162596.310000000000
        -0.0191647153
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            
              
                Euribor 6 Month ACT/360
                EURIBOR65
              
            
            Y
            
            
              
                
              
            
            2031-01-06
            0.000000000000
            USD
            0.000000000000
            USD
            6820000.000000000000
            EUR
            -170778.780000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        SWP: SEK 0.450000 03-FEB-2031
        000000000
        
          
        
        241363000.000000000000
        OU
        Notional Amount
        
        382197.080000000000
        0.0450483668
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            
              
                Stockholm Interbank Offered Ra
                STIB3MIN4
              
            
            Y
            
              
                
              
            
            
            2031-02-03
            0.000000000000
            USD
            0.000000000000
            USD
            241363000.000000000000
            SEK
            309019.090000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        SWP: JPY 0.070000 03-FEB-2031
        000000000
        
          
        
        2454600000.000000000000
        OU
        Notional Amount
        
        -57561.230000000000
        -0.0067845610
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            
              
                JAPANESE YEN 6 MNTH
                JY0006M09
              
            
            Y
            
              
                
              
            
            
            2031-02-03
            0.000000000000
            USD
            0.000000000000
            USD
            2454600000.000000000000
            JPY
            -59990.240000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        SWP: CAD 1.382000 01-FEB-2031
        000000000
        
          
        
        24535000.000000000000
        OU
        Notional Amount
        
        -522798.620000000000
        -0.0616206277
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            
              
                Canada Bankers Acceptances 3 M
                CADBA3MO4
              
            
            Y
            
            
              
                
              
            
            2031-02-01
            0.000000000000
            USD
            0.000000000000
            USD
            24535000.000000000000
            CAD
            -507426.240000000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse
        1V8Y6QCX6YMJ2OELII46
        FSWP: CAD 0.750000 13-SEP-2023
        000000000
        
          
        
        37400000.000000000000
        OU
        Notional Amount
        
        -44998.870000000000
        -0.0053038752
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Credit Suisse
              1V8Y6QCX6YMJ2OELII46
            
            
              
                Canada Bankers Acceptances 3 M
                CADBA3MO4
              
            
            Y
            
            
              
                
              
            
            2023-09-13
            0.000000000000
            USD
            -73261.480000000000
            USD
            37400000.000000000000
            CAD
            28262.610000000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse
        1V8Y6QCX6YMJ2OELII46
        FSWP: CAD 0.750000 13-SEP-2023
        000000000
        
          
        
        29100000.000000000000
        OU
        Notional Amount
        
        -35012.490000000000
        -0.0041268120
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Credit Suisse
              1V8Y6QCX6YMJ2OELII46
            
            
              
                Canada Bankers Acceptances 3 M
                CADBA3MO4
              
            
            Y
            
            
              
                
              
            
            2023-09-13
            0.000000000000
            USD
            -29011.880000000000
            USD
            29100000.000000000000
            CAD
            -6000.610000000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse
        1V8Y6QCX6YMJ2OELII46
        FSWP: AUD 1.500000 11-SEP-2031
        000000000
        
          
        
        200000.000000000000
        OU
        Notional Amount
        
        2028.650000000000
        0.0002391106
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Credit Suisse
              1V8Y6QCX6YMJ2OELII46
            
            
              
                BBA LIBOR AUD 6 Month **Discon
                AUDLIB6M6
              
            
            Y
            
            
              
                
              
            
            2031-09-11
            0.000000000000
            USD
            -6252.900000000000
            USD
            200000.000000000000
            AUD
            8281.550000000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse
        1V8Y6QCX6YMJ2OELII46
        FSWP: JPY 0.000000 17-SEP-2031
        000000000
        
          
        
        951000000.000000000000
        OU
        Notional Amount
        
        -49214.370000000000
        -0.0058007429
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Credit Suisse
              1V8Y6QCX6YMJ2OELII46
            
            
              
                JAPANESE YEN 6 MNTH
                JY0006M09
              
            
            Y
            
            
              
                
              
            
            2031-09-17
            0.000000000000
            USD
            -167148.050000000000
            USD
            951000000.000000000000
            JPY
            117933.680000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        CDS: (CMBX.NA.10.BBB-)
        000000000
        
          
        
        -5000000.000000000000
        OU
        Notional Amount
        USD
        -448437.500000000000
        -0.0528559166
        N/A
        DCR
        CORP
        US
        
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            
              
                CMBX.NA.10.BBB-
                CT1273316
              
            
            Y
            
            CMBX.NA.10.BBB-
            2059-11-17
            0.000000000000
            USD
            -586455.880000000000
            USD
            -5000000.000000000000
            USD
            140935.050000000000
          
        
        
          N
          N
          N
        
      
      
        Citi
        MBNUM2BPBDO7JBLYG310
        OTC (GENERIC) 1 YEAR
        000000000
        
          
        
        -15000000.000000000000
        OU
        Notional Amount
        USD
        -43839.000000000000
        -0.0051671649
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Citi
              MBNUM2BPBDO7JBLYG310
            
            Put
            Written
            
              
                
                  
                    Citi
                    MBNUM2BPBDO7JBLYG310
                  
                  
                    CITIBANK NA
                    MBNUM2BPBDO7JBLYG310
                    FSWP: USD 2.200000 21-MAR-2032
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                    
                      
                    
                  
                  
                  2032-03-21
                  N/A
                  N/A
                  N/A
                  N/A
                  -15000000.000000000000
                  USD
                
              
            
            -15000000.000000000000000
            USD
            2.200000000000
            USD
            2022-03-17
            XXXX
            236661.000000000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse
        1V8Y6QCX6YMJ2OELII46
        FSWP: AUD 2.000000 11-SEP-2031
        000000000
        
          
        
        300000.000000000000
        OU
        Notional Amount
        
        13561.950000000000
        0.0015985044
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Credit Suisse
              1V8Y6QCX6YMJ2OELII46
            
            
              
                BBA LIBOR AUD 6 Month **Discon
                AUDLIB6M6
              
            
            Y
            
            
              
                
              
            
            2031-09-11
            2688.220000000000
            USD
            0.000000000000
            USD
            300000.000000000000
            AUD
            10873.730000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        OTC (GENERIC) 0 YEAR
        000000000
        
          
        
        -30000000.000000000000
        OU
        Notional Amount
        USD
        -1067859.000000000000
        -0.1258651790
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            Call
            Written
            
              
                
                  
                    Morgan Stanley
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    MORGAN STANLEY CAPITAL SERVICES
                    9R7GPTSO7KV3UQJZQ078
                    FSWP: USD 1.700000 05-OCT-2031
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                  
                    
                      
                    
                  
                  2031-10-05
                  N/A
                  N/A
                  N/A
                  N/A
                  -30000000.000000000000
                  USD
                
              
            
            -30000000.000000000000000
            USD
            1.700000000000
            USD
            2021-10-01
            XXXX
            -653109.000000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        SWP: USD 1.750500 07-APR-2031
        000000000
        
          
        
        8119000.000000000000
        OU
        Notional Amount
        USD
        324603.220000000000
        0.0382599598
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
            
              
                
              
            
            2031-04-07
            0.000000000000
            USD
            -11119.880000000000
            USD
            8119000.000000000000
            USD
            390868.850000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        EURO STOXX 50 SEP 21
        000000000
        
          
          
          
        
        22.000000000000
        NC
        
        6252.290000000000
        0.0007369377
        N/A
        DE
        CORP
        DE
        
        N
        
        1
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            Long
            
              
                EURO STOXX 50 SEP 21
                EURO STOXX 50 SEP 21
                
                  
                  
                
              
            
            2021-09-17
            914672.130000000000
            EUR
            6252.290000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        SWP: CAD 1.952000 03-MAY-2031
        000000000
        
          
        
        9400000.000000000000
        OU
        Notional Amount
        
        171680.220000000000
        0.0202354071
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            
              
                Canada Bankers Acceptances 3 M
                CADBA3MO4
              
            
            Y
            
            
              
                
              
            
            2031-05-03
            0.000000000000
            USD
            0.000000000000
            USD
            9400000.000000000000
            CAD
            208726.150000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        OTC (GENERIC) 1 YEAR
        000000000
        
          
        
        35000000.000000000000
        OU
        Notional Amount
        USD
        158235.000000000000
        0.0186506614
        N/A
        DIR
        CORP
        US
        
        N
        
        2
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            Put
            Purchased
            
              
                
                  
                    Morgan Stanley
                    9R7GPTSO7KV3UQJZQ078
                  
                  
                    MORGAN STANLEY CAPITAL SERVICES
                    9R7GPTSO7KV3UQJZQ078
                    FSWP: USD 1.500000 24-MAY-2027
                    000000000
                    
                      
                    
                    N/A
                    OU
                    Notional
                    N/A
                    N/A
                    0.000000000000
                    DIR
                    CORP
                  
                  
                    
                      ICE LIBOR USD 3 Month
                      LIBOR3MO3
                    
                  
                  
                    
                      
                    
                  
                  
                  2027-05-24
                  N/A
                  N/A
                  N/A
                  N/A
                  35000000.000000000000
                  USD
                
              
            
            35000000.000000000000000
            USD
            1.500000000000
            USD
            2022-05-20
            XXXX
            -209265.000000000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse
        1V8Y6QCX6YMJ2OELII46
        FSWP: JPY 0.000000 20-DEC-2023
        000000000
        
          
        
        31333500000.000000000000
        OU
        Notional Amount
        
        -65503.720000000000
        -0.0077207173
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Credit Suisse
              1V8Y6QCX6YMJ2OELII46
            
            
              
                JAPANESE YEN 6 MNTH
                JY0006M09
              
            
            Y
            
              
                
              
            
            
            2023-12-20
            0.000000000000
            USD
            -112956.550000000000
            USD
            31333500000.000000000000
            JPY
            47452.830000000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse
        1V8Y6QCX6YMJ2OELII46
        FSWP: USD 0.500000 15-DEC-2023
        000000000
        
          
        
        281700000.000000000000
        OU
        Notional Amount
        USD
        -567425.490000000000
        -0.0668806564
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Credit Suisse
              1V8Y6QCX6YMJ2OELII46
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2023-12-15
            0.000000000000
            USD
            -651381.780000000000
            USD
            281700000.000000000000
            USD
            83956.290000000000
          
        
        
          N
          N
          N
        
      
      
        Credit Suisse
        1V8Y6QCX6YMJ2OELII46
        FSWP: USD 0.500000 15-DEC-2023
        000000000
        
          
        
        101500000.000000000000
        OU
        Notional Amount
        USD
        -204450.440000000000
        -0.0240979298
        N/A
        DIR
        CORP
        GB
        
        N
        
        2
        
          
            
              Credit Suisse
              1V8Y6QCX6YMJ2OELII46
            
            
              
                ICE LIBOR USD 3 Month
                LIBOR3MO3
              
            
            Y
            
              
                
              
            
            
            2023-12-15
            0.000000000000
            USD
            -190582.760000000000
            USD
            101500000.000000000000
            USD
            -13867.680000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        WHEAT DEC 21
        000000000
        
          
          
        
        -43.000000000000
        NC
        USD
        28979.410000000000
        0.0034157118
        N/A
        DCO
        CORP
        US
        
        N
        
        1
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            Short
            
              
                WHEAT DEC 21
                WHEAT DEC 21
                
                  
                  
                
              
            
            2021-12-14
            -1581816.910000000000
            USD
            28979.410000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        WHEAT DEC 21
        000000000
        
          
          
        
        -176.000000000000
        NC
        USD
        87489.600000000000
        0.0103121238
        N/A
        DCO
        CORP
        US
        
        N
        
        1
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            Short
            
              
                WHEAT DEC 21
                WHEAT DEC 21
                
                  
                  
                
              
            
            2021-12-14
            -6443289.600000000000
            USD
            87489.600000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        US ULTRA T-BOND DEC 21
        000000000
        
          
          
        
        52.000000000000
        NC
        USD
        74637.630000000000
        0.0087973025
        N/A
        DIR
        CORP
        US
        
        N
        
        1
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            Long
            
              
                US ULTRA T-BOND DEC 21
                US ULTRA T-BOND DEC 21
                
                  
                  
                
              
            
            2021-12-21
            10183987.370000000000
            USD
            74637.630000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        US ULTRA T-BOND DEC 21
        000000000
        
          
          
        
        -57.000000000000
        NC
        USD
        42655.950000000000
        0.0050277226
        N/A
        DIR
        CORP
        US
        
        N
        
        1
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            Short
            
              
                US ULTRA T-BOND DEC 21
                US ULTRA T-BOND DEC 21
                
                  
                  
                
              
            
            2021-12-21
            -11287687.200000000000
            USD
            42655.950000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        GASOLINE RBOB OCT 21
        000000000
        
          
          
        
        3.000000000000
        NC
        USD
        3298.890000000000
        0.0003888298
        N/A
        DCO
        CORP
        US
        
        N
        
        1
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            Long
            
              
                GASOLINE RBOB OCT 21
                GASOLINE RBOB OCT 21
                
                  
                  
                
              
            
            2021-09-30
            266580.510000000000
            USD
            3298.890000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        GASOLINE RBOB OCT 21
        000000000
        
          
          
        
        11.000000000000
        NC
        USD
        40050.000000000000
        0.0047205674
        N/A
        DCO
        CORP
        US
        
        N
        
        1
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            Long
            
              
                GASOLINE RBOB OCT 21
                GASOLINE RBOB OCT 21
                
                  
                  
                
              
            
            2021-09-30
            949507.800000000000
            USD
            40050.000000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        AUST 10YR BOND SEP 21
        000000000
        
          
          
        
        406.000000000000
        NC
        
        1066316.310000000000
        0.1256833470
        N/A
        DIR
        CORP
        AU
        
        N
        
        1
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            Long
            
              
                AUST 10YR BOND SEP 21
                AUST 10YR BOND SEP 21
                
                  
                  
                
              
            
            2021-09-15
            57751660.790000000000
            AUD
            1066316.310000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        AUST 10YR BOND SEP 21
        000000000
        
          
          
        
        358.000000000000
        NC
        
        1383418.990000000000
        0.1630592418
        N/A
        DIR
        CORP
        AU
        
        N
        
        1
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            Long
            
              
                AUST 10YR BOND SEP 21
                AUST 10YR BOND SEP 21
                
                  
                  
                
              
            
            2021-09-15
            50339815.580000000000
            AUD
            1383418.990000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        SPI 200 SEP 21
        000000000
        
          
          
        
        144.000000000000
        NC
        
        336978.650000000000
        0.0397186128
        N/A
        DE
        CORP
        AU
        
        N
        
        1
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            Long
            
              
                SPI 200 SEP 21
                SPI 200 SEP 21
                
                  
                  
                
              
            
            2021-09-16
            26463741.370000000000
            AUD
            336978.650000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        SPI 200 SEP 21
        000000000
        
          
          
        
        -35.000000000000
        NC
        
        -193742.130000000000
        -0.0228357750
        N/A
        DE
        CORP
        AU
        
        N
        
        1
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            Short
            
              
                SPI 200 SEP 21
                SPI 200 SEP 21
                
                  
                  
                
              
            
            2021-09-16
            -6282378.350000000000
            AUD
            -193742.130000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        SPI 200 SEP 21
        000000000
        
          
          
        
        -159.000000000000
        NC
        
        -515738.310000000000
        -0.0607884512
        N/A
        DE
        CORP
        AU
        
        N
        
        1
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            Short
            
              
                SPI 200 SEP 21
                SPI 200 SEP 21
                
                  
                  
                
              
            
            2021-09-16
            -29026185.350000000000
            AUD
            -515738.310000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        FTSE CHINA A50 SEP 21
        000000000
        
          
          
          
        
        27.000000000000
        NC
        USD
        -5272.400000000000
        -0.0006214412
        N/A
        DE
        CORP
        SG
        
        N
        
        1
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            Long
            
              
                FTSE CHINA A50 SEP 21
                FTSE CHINA A50 SEP 21
                
                  
                  
                
              
            
            2021-09-29
            403630.400000000000
            USD
            -5272.400000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        FTSE CHINA A50 SEP 21
        000000000
        
          
          
          
        
        -799.000000000000
        NC
        USD
        346288.030000000000
        0.0408158801
        N/A
        DE
        CORP
        SG
        
        N
        
        1
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            Short
            
              
                FTSE CHINA A50 SEP 21
                FTSE CHINA A50 SEP 21
                
                  
                  
                
              
            
            2021-09-29
            -12134734.030000000000
            USD
            346288.030000000000
          
        
        
          N
          N
          N
        
      
      
        Goldman Sachs
        FOR8UP27PHTHYVLBNG30
        FTSE 100 INDEX SEP 21
        000000000
        
          
          
          
        
        -561.000000000000
        NC
        
        78238.020000000000
        0.0092216691
        N/A
        DE
        CORP
        GB
        
        N
        
        1
        
          
            
              Goldman Sachs
              FOR8UP27PHTHYVLBNG30
            
            Short
            
              
                FTSE 100 INDEX SEP 21
                FTSE 100 INDEX SEP 21
                
                  
                  
                
              
            
            2021-09-17
            -39878767.490000000000
            GBP
            78238.020000000000
          
        
        
          N
          N
          N
        
      
      
        JPMorgan
        ZBUT11V806EZRVTWT807
        FTSE 100 INDEX SEP 21
        000000000
        
          
          
          
        
        -246.000000000000
        NC
        
        -21757.750000000000
        -0.0025645175
        N/A
        DE
        CORP
        GB
        
        N
        
        1
        
          
            
              JPMorgan
              ZBUT11V806EZRVTWT807
            
            Short
            
              
                FTSE 100 INDEX SEP 21
                FTSE 100 INDEX SEP 21
                
                  
                  
                
              
            
            2021-09-17
            -17449727.100000000000
            GBP
            -21757.750000000000
          
        
        
          N
          N
          N
        
      
      
        Morgan Stanley
        9R7GPTSO7KV3UQJZQ078
        FTSE 100 INDEX SEP 21
        000000000
        
          
          
          
        
        -69.000000000000
        NC
        
        32036.160000000000
        0.0037760013
        N/A
        DE
        CORP
        GB
        
        N
        
        1
        
          
            
              Morgan Stanley
              9R7GPTSO7KV3UQJZQ078
            
            Short
            
              
                FTSE 100 INDEX SEP 21
                FTSE 100 INDEX SEP 21
                
                  
                  
                
              
            
            2021-09-17
            -4920273.340000000000
            GBP
            32036.160000000000
          
        
        
          N
          N
          N
        
      
    
    
      
      
    
    
      2021-09-27
      Columbia Funds Series Trust I
      Martha Skinner
      Martha Skinner
      Assistant Treasurer
    
  
  XXXX

Consolidated Portfolio of Investments
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)

(Percentages represent value of investments compared to net assets)

Investments in securities

Asset-Backed Securities — Non-Agency 7.7%
Issuer	Coupon Rate	Principal Amount ($)	Value ($)
Ares XLIII CLO Ltd.^(a),(b)
Series 2017-43A Class ER
3-month USD LIBOR + 6.860% Floor 6.860% 07/15/2034	6.961%	1,000,000	993,506
ARES XLIV CLO Ltd.^(a),(b)
Series 2017-44A Class DR
3-month USD LIBOR + 6.870% Floor 6.870% 04/15/2034	7.032%	1,500,000	1,501,041
ARES XLVII CLO Ltd.^(a),(b)
Series 2018-47A Class B
3-month USD LIBOR + 1.450% Floor 1.450% 04/15/2030	1.576%	2,500,000	2,489,665
Avant Loans Funding Trust^(a)
Series 2019-B Class B
10/15/2026	3.150%	826,196	829,093
Series 2019-B Class C
10/15/2026	4.540%	3,000,000	3,035,012
Series 2020-REV1 Class B
05/15/2029	2.680%	496,000	498,784
Bain Capital Credit CLO Ltd.^(a),(b)
Series 2020-3A Class E
3-month USD LIBOR + 7.500% Floor 7.500% 10/23/2032	7.638%	1,000,000	1,001,307
Series 2020-4A Class E
3-month USD LIBOR + 7.950% Floor 7.950% 10/20/2033	8.084%	900,000	896,429
Ballyrock CLO Ltd.^(a),(b)
Series 2020-2A Class C
3-month USD LIBOR + 3.770% Floor 3.770% 10/20/2031	3.979%	500,000	500,356
Series 2020-2A Class D
3-month USD LIBOR + 7.630% Floor 7.630% 10/20/2031	7.839%	500,000	500,416
Barings CLO Ltd.^(a),(b)
Series 2019-3A Class ER
3-month USD LIBOR + 6.700% Floor 6.700% 04/20/2031	6.834%	750,000	750,037

Asset-Backed Securities — Non-Agency (continued)
Issuer	Coupon Rate	Principal Amount ($)	Value ($)
Carlyle Global Market Strategies^(a),(b)
Series 2021-5A Class E
3-month USD LIBOR + 6.250% Floor 6.250% 07/20/2034	6.400%	1,000,000	1,000,274
Carlyle US CLO Ltd.^(a),(b)
Series 2016-4A Class A2R
3-month USD LIBOR + 1.450% Floor 1.450% 10/20/2027	1.584%	3,100,000	3,097,672
Series 2020-2A Class D
3-month USD LIBOR + 7.400% Floor 7.400% 10/25/2031	7.574%	990,000	990,065
Conn’s Receivables Funding LLC^(a)
Series 2019-B Class B
06/17/2024	3.620%	88,023	88,038
Consumer Loan Underlying Bond Credit Trust^{(a),(c),(d),(e)}
Subordinated Series 2018-P1 Class CERT
07/15/2025	0.000%	100,000	1,050,000
Subordinated Series 2018-P2 Class CERT
10/15/2025	0.000%	100,000	975,000
Consumer Underlying Bond Securitization^(a)
Series 2018-1 Class A
02/17/2026	4.790%	241,701	244,561
Dryden 86 CLO Ltd.^(a),(b)
Series 2020-86A Class ER
3-month USD LIBOR + 6.500% Floor 6.500% 07/17/2034	6.634%	1,400,000	1,400,399
ENVA LLC^(a)
Series 2019-A Class B
06/22/2026	6.170%	186,321	187,419
Series 2019-A Class C
06/22/2026	7.620%	500,000	516,457
Exeter Automobile Receivables Trust
Subordinated Series 2020-3A Class E
08/17/2026	3.440%	800,000	827,195
Subordinated Series 2020-3A Class F
06/15/2027	5.560%	500,000	525,515
Exeter Automobile Receivables Trust^(a)
Subordinated Series 2021-2A Class E
07/17/2028	2.900%	900,000	902,026
Freed ABS Trust^(a)
Subordinated Series 2021-1CP Class C
03/20/2028	2.830%	700,000	708,819

Columbia Multi Strategy Alternatives Fund | Quarterly Report 2021

Consolidated Portfolio of Investments (continued)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)

Asset-Backed Securities — Non-Agency (continued)
Issuer	Coupon Rate	Principal Amount ($)	Value ($)
LendingClub Receivables Trust^(a)
Series 2019-3 Class A
10/15/2025	3.750%	747,740	760,690
Series 2019-5 Class A
12/15/2045	3.750%	795,911	807,649
Series 2019-7 Class A
01/15/2027	3.750%	336,537	340,069
Series 2020-T1 Class A
02/15/2046	3.500%	418,825	419,969
LendingClub Receivables Trust^{(a),(c),(d),(e)}
Series 2020-2 Class R
02/15/2046	0.000%	85,000	697,000
LendingClub Receivables Trust^(a),(d),(e)
Series 2020-JPSL Class R
02/15/2025	0.000%	50,000	1,367,000
Lendingpoint Asset Securitization Trust^(a)
Subordinated Series 2019-2 Class C
11/10/2025	4.660%	941,605	947,651
Subordinated Series 2021-A Class C
12/15/2028	2.750%	2,000,000	2,006,679
LendingPoint Asset Securitization Trust^(a),(c),(e)
Subordinated Series 2021-1 Class C
04/15/2027	4.935%	1,150,000	1,154,370
Subordinated Series 2021-1 Class D
04/15/2027	7.226%	1,000,000	1,002,100
Madison Park Funding XLVII Ltd.^(a),(b)
Series 2020-47A Class E
3-month USD LIBOR + 7.460% Floor 7.460% 01/19/2034	7.706%	500,000	503,073
Madison Park Funding XXIV Ltd.^(a),(b)
Series 2016-24A Class BR
3-month USD LIBOR + 1.750% 10/20/2029	1.884%	7,000,000	7,001,029
Marlette Funding Trust^(a)
Series 2021-1A Class D
06/16/2031	2.470%	100,000	101,166
Octagon Investment Partners 47 Ltd.^(a),(b)
Series 2020-1A Class ER
3-month USD LIBOR + 6.250% Floor 6.250% 07/20/2034	6.384%	750,000	736,326
Pagaya AI Debt Selection Trust^(a)
Series 2019-3 Class B
11/16/2026	5.625%	1,100,000	1,123,173
Series 2021-2 Class NOTE
01/25/2029	3.000%	970,558	970,484

Asset-Backed Securities — Non-Agency (continued)
Issuer	Coupon Rate	Principal Amount ($)	Value ($)
Pagaya AI Debt Selection Trust^(a),(e)
Series 2020-2 Class NOTE
12/15/2027	7.500%	645,116	646,124
Pagaya AI Debt Selection Trust^{(a),(c),(d),(e)}
Series 2020-3 Class CERT
05/17/2027	0.000%	3,200,000	3,024,000
Series 2021-1 Class CERT
11/15/2027	0.000%	1,846,200	3,000,075
Palmer Square Loan Funding Ltd.^(a),(b)
Series 2020-4A Class D
3-month USD LIBOR + 7.050% Floor 7.050% 11/25/2028	7.179%	1,000,000	1,001,766
Prosper Pass-Through Trust^(a),(e)
Series 2019-ST2 Class A
11/15/2025	3.750%	698,368	701,860
RR 16 Ltd.^(a),(b)
Series 2021-16A Class D
3-month USD LIBOR + 6.250% Floor 6.250% 07/15/2036	6.331%	1,000,000	1,000,772
SoFi Consumer Loan Program LLC^{(a),(c),(d),(e)}
Series 2016-4 Class R
11/25/2025	0.000%	100,000	1,025,372
Theorem Funding Trust^(a)
Series 2020-1A Class C
10/15/2026	6.250%	2,300,000	2,390,468
Subordinated Series 2021-1A Class B
12/15/2027	1.840%	1,000,000	1,000,213
Upgrade Receivables Trust^(a)
Subordinated Series 2019-2A Class C
10/15/2025	4.450%	1,696,363	1,709,619
Upstart Pass-Through Trust^(a),(e)
Series 2020-ST4 Class A
11/20/2026	3.250%	729,439	729,439
Upstart Pass-Through Trust^(a)
Series 2021-ST1 Class A
02/20/2027	2.750%	615,687	621,107
Series 2021-ST7 Class A
09/20/2029	1.850%	500,000	500,057
Upstart Securitization Trust^(a)
Subordinated Series 2019-1 Class C
04/20/2026	5.130%	694,252	701,848
US Auto Funding^(a)
Subordinated Series 2021-1A Class D
03/15/2027	4.360%	1,125,000	1,120,370

2	Columbia Multi Strategy Alternatives Fund \| Quarterly Report 2021

Consolidated Portfolio of Investments (continued)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)

Asset-Backed Securities — Non-Agency (continued)
Issuer	Coupon Rate	Principal Amount ($)	Value ($)
Westlake Automobile Receivables Trust^(a)
Series 2020-3A Class E
06/15/2026	3.340%	750,000	775,382
Total Asset-Backed Securities — Non-Agency (Cost $66,817,233)			65,395,986

Commercial Mortgage-Backed Securities - Agency 0.1%

Government National Mortgage Association^(f),(g)
Series 2019-102 Class IB
03/16/2060	0.838%	1,600,679	114,340
Series 2019-109 Class IO
04/16/2060	0.809%	3,581,673	256,072
Series 2019-131 Class IO
07/16/2061	0.891%	3,644,885	246,484
Series 2020-19 Class IO
12/16/2061	0.835%	2,202,333	180,302
Series 2020-3 Class IO
02/16/2062	0.782%	2,487,127	171,756
Total Commercial Mortgage-Backed Securities - Agency (Cost $1,579,926)			968,954

Commercial Mortgage-Backed Securities - Non-Agency 5.7%

BAMLL Commercial Mortgage Securities Trust^(a),(f)
Subordinated Series 2013-WBRK Class E
03/10/2037	3.652%	500,000	416,706
BAMLL Commercial Mortgage Securities Trust^(a),(b)
Subordinated Series 2018-DSNY Class D
1-month USD LIBOR + 1.700% Floor 1.700% 09/15/2034	1.796%	2,065,000	2,057,223
Subordinated Series 2019-RLJ Class C
1-month USD LIBOR + 1.600% Floor 1.600% 04/15/2036	1.696%	1,250,000	1,240,819
BBCMS Trust^(a),(b)
Series 2018-BXH Class A
1-month USD LIBOR + 1.000% Floor 1.000% 10/15/2037	1.096%	207,394	207,597
Subordinated Series 2018-BXH Class F
1-month USD LIBOR + 2.950% Floor 2.950% 10/15/2037	3.046%	1,500,000	1,440,999
BFLD Trust^(a),(b)
Series 2019-DPLO Class F
1-month USD LIBOR + 2.540% Floor 2.540% 10/15/2034	2.636%	300,000	294,869

Commercial Mortgage-Backed Securities - Non-Agency (continued)
Issuer	Coupon Rate	Principal Amount ($)	Value ($)
Series 2019-DPLO Class G
1-month USD LIBOR + 3.190% Floor 3.190% 10/15/2034	3.286%	1,000,000	972,229
Braemar Hotels & Resorts Trust^(a),(b)
Series 2018-PRME Class E
1-month USD LIBOR + 2.400% Floor 2.400% 06/15/2035	2.496%	1,000,000	963,079
BX Commercial Mortgage Trust^(a),(b)
Subordinated Series 2021-MFM1 Class F
1-month USD LIBOR + 3.000% Floor 3.000% 01/15/2034	3.096%	500,000	503,124
Subordinated Series 2021-MFM1 Class G
1-month USD LIBOR + 3.900% Floor 3.900% 01/15/2034	3.996%	100,000	99,940
BX Trust^(a),(b)
Series 2018-GW Class F
1-month USD LIBOR + 2.420% Floor 2.420% 05/15/2035	2.516%	500,000	498,908
BX Trust^(a)
Series 2019-OC11 Class A
12/09/2041	3.202%	1,000,000	1,086,834
Series 2019-OC11 Class E
12/09/2041	4.076%	1,350,000	1,412,621
BX Trust^(a),(f)
Subordinated Series 2019-OC11 Class D
12/09/2041	4.076%	500,000	540,814
CHT Mortgage Trust^(a),(b)
Series 2017-CSMO Class C
1-month USD LIBOR + 1.500% Floor 1.350% 11/15/2036	1.596%	1,000,000	1,001,251
Series 2017-CSMO Class D
1-month USD LIBOR + 2.250% Floor 2.100% 11/15/2036	2.346%	1,000,000	1,001,561
CLNY Trust^(a),(b)
Series 2019-IKPR Class E
1-month USD LIBOR + 2.721% Floor 2.721% 11/15/2038	2.817%	900,000	896,627
Series 2019-IKPR Class F
1-month USD LIBOR + 3.417% Floor 3.417% 11/15/2038	3.513%	1,350,000	1,295,816

Columbia Multi Strategy Alternatives Fund | Quarterly Report 2021

Consolidated Portfolio of Investments (continued)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)

Commercial Mortgage-Backed Securities - Non-Agency (continued)
Issuer	Coupon Rate	Principal Amount ($)	Value ($)
Cold Storage Trust^(a),(b)
Subordinated Series 2020-ICE5 Class F
1-month USD LIBOR + 3.493% Floor 3.333% 11/15/2023	3.588%	638,944	642,937
COMM Mortgage Trust^(a),(f)
Series 2020-CBM Class D
02/10/2037	3.754%	600,000	610,249
Series 2020-CBM Class F
02/10/2037	3.754%	2,200,000	2,139,980
Cosmopolitan Hotel Mortgage Trust^(a),(b)
Subordinated Series 2017-CSMO Class F
1-month USD LIBOR + 3.741% Floor 3.741% 11/15/2036	3.837%	2,550,000	2,554,101
Credit Suisse Mortgage Capital Certificates OA LLC^(a)
Subordinated Series 2014-USA Class D
09/15/2037	4.373%	645,000	614,177
Subordinated Series 2014-USA Class E
09/15/2037	4.373%	4,600,000	4,150,712
CSMC Trust^(a),(f)
Subordinated Series 2019-UVIL Class E
12/15/2041	3.393%	600,000	532,342
Hilton USA Trust^(a),(f)
Series 2016-HHV Class F
11/05/2038	4.333%	3,000,000	3,050,719
Hilton USA Trust^(a)
Subordinated Series 2016-SFP Class E
11/05/2035	5.519%	2,500,000	2,524,980
Subordinated Series 2016-SFP Class F
11/05/2035	6.155%	1,300,000	1,314,608
Home Partners of America Trust^(a)
Series 2019-2 Class F
10/19/2039	3.866%	338,531	342,188
KKR Industrial Portfolio Trust^(a),(b)
Series 2020-AIP Class F
1-month USD LIBOR + 3.429% Floor 3.429% 03/15/2037	3.525%	819,575	820,310
Morgan Stanley Capital I Trust^(a),(f)
Series 2019-MEAD Class E
11/10/2036	3.283%	600,000	579,054
Progress Residential Trust^(a)
Series 2018-SF3 Class B
10/17/2035	4.079%	2,000,000	2,004,364
Series 2020-SFR1 Class F
04/17/2037	3.431%	575,000	580,729
Subordinated Series 2019-SFR3 Class E
09/17/2036	3.369%	1,000,000	1,026,360

Commercial Mortgage-Backed Securities - Non-Agency (continued)
Issuer	Coupon Rate	Principal Amount ($)	Value ($)
Subordinated Series 2019-SFR3 Class F
09/17/2036	3.867%	6,700,000	6,826,246
Subordinated Series 2020-SFR2 Class F
06/18/2037	6.152%	500,000	529,617
Wells Fargo Commercial Mortgage Trust^(a),(b)
Series 2017-SMP Class A
1-month USD LIBOR + 0.875% Floor 0.750% 12/15/2034	0.971%	1,200,000	1,200,000
Series 2020-SDAL Class E
1-month USD LIBOR + 2.740% Floor 2.740% 02/15/2037	2.836%	500,000	482,531
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $46,255,443)			48,457,221

Residential Mortgage-Backed Securities - Agency 14.7%

Federal Home Loan Mortgage Corp.^(b),(g)
CMO Series 2013-101 Class HS
-1.0 x 1-month USD LIBOR + 6.500% Cap 6.500% 10/25/2043	6.416%	1,018,868	221,631
CMO Series 4987 Class KS
-1.0 x 1-month USD LIBOR + 6.080% Cap 6.080% 06/25/2050	5.996%	1,595,234	365,795
CMO Series 4993 Class MS
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 07/25/2050	5.966%	2,239,329	589,495
Federal Home Loan Mortgage Corp.^(g)
CMO Series 5034 Class JI
11/25/2050	2.500%	9,426,808	1,501,873
Federal Home Loan Mortgage Corp. REMICS^(b),(g)
CMO Series 4606 Class SL
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 12/15/2044	5.905%	5,339,138	1,112,651
Federal National Mortgage Association^(b),(g)
CMO Series 2016-53 Class AS
-1.0 x 1-month USD LIBOR + 6.000% Cap 6.000% 08/25/2046	5.916%	17,858,686	4,357,477
CMO Series 2020-38 Class WS
-1.0 x 1-month USD LIBOR + 5.000% Cap 5.000% 06/25/2050	4.916%	3,836,103	681,884
Federal National Mortgage Association^(g)
CMO Series 2021-3 Class TI
02/25/2051	2.500%	5,583,428	911,703

4	Columbia Multi Strategy Alternatives Fund \| Quarterly Report 2021

Consolidated Portfolio of Investments (continued)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)

Residential Mortgage-Backed Securities - Agency (continued)
Issuer	Coupon Rate	Principal Amount ($)	Value ($)
CMO Series 2021-4 Class IO
02/25/2051	2.500%	5,664,892	872,576
Federal National Mortgage Association REMICS^(g)
CMO Series 2021-22 Class LI
04/25/2051	3.000%	3,407,673	542,333
Freddie Mac STACR REMIC Trust^(a),(b)
Subordinated CMO Series 2021-HQA2 Class B2
30-day Average SOFR + 5.450% 12/25/2033	5.500%	600,000	626,252
Government National Mortgage Association^(b),(g)
CMO Series 2019-103 Class SA
-1.0 x 1-month USD LIBOR + 6.050% Cap 6.050% 08/20/2049	5.962%	3,221,198	649,306
CMO Series 2019-120 Class CS
-1.0 x 1-month USD LIBOR + 3.400% Cap 3.400% 09/20/2049	3.312%	28,044,626	2,476,425
CMO Series 2019-120 Class SA
-1.0 x 1-month USD LIBOR + 3.400% Cap 3.400% 09/20/2049	3.312%	3,309,335	319,623
CMO Series 2019-92 Class SD
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 07/20/2049	6.012%	3,973,638	778,413
CMO Series 2019-98 Class SB
-1.0 x 1-month USD LIBOR + 6.100% Cap 6.100% 08/20/2049	6.012%	12,065,734	1,846,112
CMO Series 2020-104 Class SA
-1.0 x 1-month USD LIBOR + 6.200% 07/20/2050	6.112%	2,073,032	395,428
CMO Series 2021-96 Class US
-1.0 x 30-day Average SOFR + 3.250% Cap 3.250% 06/20/2051	3.200%	3,984,260	438,293
Government National Mortgage Association^(g)
CMO Series 2019-129 Class AI
10/20/2049	3.500%	2,725,883	302,245
CMO Series 2020-104 Class IY
07/20/2050	3.000%	3,344,388	469,915
CMO Series 2020-129 Class GI
09/20/2050	3.000%	3,186,613	474,401
CMO Series 2020-129 Class YI
09/20/2050	2.500%	4,057,034	530,215
CMO Series 2020-138 Class JI
09/20/2050	2.500%	5,760,074	694,478

Residential Mortgage-Backed Securities - Agency (continued)
Issuer	Coupon Rate	Principal Amount ($)	Value ($)
CMO Series 2020-148 Class AI
10/20/2050	2.500%	9,169,730	1,177,229
CMO Series 2020-153 Class CI
10/20/2050	2.500%	3,815,467	542,799
CMO Series 2020-160 Class IA
10/20/2050	2.500%	4,832,061	676,651
CMO Series 2020-164 Class CI
11/20/2050	3.000%	2,867,036	406,172
CMO Series 2020-175 Class KI
11/20/2050	2.500%	3,873,601	558,603
CMO Series 2020-181 Class BI
12/20/2050	2.500%	5,892,599	823,059
CMO Series 2020-185 Class KI
12/20/2050	2.500%	5,669,872	810,880
CMO Series 2020-187 Class AI
12/20/2050	2.500%	5,792,303	806,304
CMO Series 2020-188 Class KI
12/20/2050	2.500%	6,831,627	913,524
CMO Series 2020-191 Class UC
12/20/2050	4.000%	2,814,544	469,349
CMO Series 2021-1 Class IT
01/20/2051	3.000%	4,762,198	592,484
CMO Series 2021-107 Class IW
06/20/2051	3.500%	3,463,059	540,827
CMO Series 2021-24 Class MI
02/20/2051	3.000%	2,874,891	408,898
CMO Series 2021-25 Class GI
02/20/2051	2.500%	4,931,301	712,657
CMO Series 2021-7 Class IT
01/16/2051	3.000%	1,933,140	407,219
CMO Series 2021-7 Class QI
01/20/2051	2.500%	6,370,694	881,188
CMO Series 2021-9 Class MI
01/20/2051	2.500%	965,626	117,813
CMO Series 2021-96 Class VI
06/20/2051	2.500%	4,978,815	703,544
Government National Mortgage Association^(c),(e),(g)
CMO Series 2021-140 Class IJ
08/20/2051	3.000%	6,000,000	843,750
Government National Mortgage Association TBA^(h)
09/21/2051	2.500%	30,000,000	31,115,625
Uniform Mortgage-Backed Security TBA^(h)
09/14/2051	2.000%	34,500,000	34,990,547
09/14/2051	2.500%	24,000,000	24,933,750
Total Residential Mortgage-Backed Securities - Agency (Cost $123,758,888)			124,591,396

Columbia Multi Strategy Alternatives Fund | Quarterly Report 2021

Consolidated Portfolio of Investments (continued)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)

Residential Mortgage-Backed Securities - Non-Agency 14.7%
Issuer	Coupon Rate	Principal Amount ($)	Value ($)
510 Asset Backed Trust^(a),(f)
CMO Series 2021-NPL2 Class A1
06/25/2061	2.116%	1,183,412	1,184,614
Ajax Mortgage Loan Trust^(a),(f)
CMO Series 2021-C Class A
01/25/2061	2.115%	454,135	454,076
Angel Oak Mortgage Trust^(a),(f),(i)
CMO Series 2021-5 Class A3
07/25/2066	1.311%	650,000	649,989
Angel Oak Mortgage Trust I LLC^(a),(f)
Subordinated CMO Series 2019-2 Class B2
03/25/2049	6.286%	2,700,000	2,759,894
Bellemeade Re Ltd.^(a),(b)
CMO Series 2019-1A Class M1B
1-month USD LIBOR + 1.750% Floor 1.750% 03/25/2029	1.834%	1,500,000	1,505,241
CMO Series 2019-4A Class M1C
1-month USD LIBOR + 2.500% Floor 2.500% 10/25/2029	2.584%	200,000	200,000
CMO Series 2020-2A Class M2
1-month USD LIBOR + 6.000% Floor 6.000% 08/26/2030	6.084%	1,700,000	1,802,594
CMO Series 2020-3A Class M2
1-month USD LIBOR + 4.850% Floor 4.850% 10/25/2030	4.934%	650,000	694,814
BRAVO Residential Funding Trust^(a),(f)
CMO Series 2019-NQM1 Class B1
07/25/2059	4.006%	4,782,000	4,953,911
CMO Series 2019-NQM1 Class M1
07/25/2059	2.997%	2,512,500	2,521,998
CMO Series 2019-NQM2 Class B1
11/25/2059	3.954%	1,000,000	1,007,408
CMO Series 2020-NQM1 Class B1
05/25/2060	5.086%	300,000	312,753
CMO Series 2020-NQM1 Class B2
05/25/2060	5.640%	430,000	443,486
Subordinated CMO Series 2021-NQM2 Class B1
03/25/2060	3.044%	200,000	200,380
Subordinated CMO Series 2021-NQM2 Class B2
03/25/2060	4.099%	300,000	300,546
BRAVO Residential Funding Trust^(a),(b)
CMO Series 2021-HE2 Class B1
30-day Average SOFR + 2.400% 11/25/2069	2.418%	338,000	338,116

Residential Mortgage-Backed Securities - Non-Agency (continued)
Issuer	Coupon Rate	Principal Amount ($)	Value ($)
Subordinated CMO Series 2021-HE2 Class B2
30-day Average SOFR + 3.400% 11/25/2069	3.418%	353,000	353,119
BVRT Financing Trust^(a),(b),(e)
CMO Series 2020-CRT1 Class M3
1-month USD LIBOR + 4.000% 07/10/2032	4.077%	1,000,000	1,005,000
CMO Series 2021-2F Class M2
30-day Average SOFR + 2.500% Floor 2.500% 01/10/2032	2.538%	1,000,000	1,000,000
CMO Series 2021-3F Class M2
30-day Average SOFR + 2.900% Floor 2.900% 07/12/2033	3.100%	3,000,000	3,000,000
BVRT Financing Trust^{(a),(b),(c),(e)}
CMO Series 2021-CRT1 Class M4
1-month USD LIBOR + 3.500% Floor 3.500% 07/10/2032	3.600%	1,875,000	1,910,156
CHL GMSR Issuer Trust^(a),(b)
CMO Series 2018-GT1 Class A
1-month USD LIBOR + 1.000% 05/25/2023	2.834%	370,000	370,627
Citigroup Mortgage Loan Trust, Inc.^(a),(f)
CMO Series 2019-IMC1 Class M1
07/25/2049	3.170%	4,500,000	4,500,014
COLT Mortgage Loan Trust^(a),(f)
CMO Series 2020-2 Class M1
03/25/2065	5.250%	200,000	205,612
Connecticut Avenue Securities Trust^(a),(b)
CMO Series 2019-HRP1 Class B1
1-month USD LIBOR + 9.250% 11/25/2039	9.334%	1,600,000	1,695,027
CMO Series 2019-HRP1 Class M2
1-month USD LIBOR + 2.150% 11/25/2039	2.234%	536,938	533,967
CMO Series 2020-R01 Class 1M2
1-month USD LIBOR + 2.050% Floor 2.050% 01/25/2040	2.134%	2,703,321	2,716,508
Subordinated CMO Series 2018-R07 Class 1B1
1-month USD LIBOR + 4.350% 04/25/2031	4.434%	450,000	466,186
CSMC Trust^(a),(f)
CMO Series 2020-RPL2 Class A12
02/25/2060	3.430%	1,774,469	1,833,368
Deephaven Residential Mortgage Trust^(a),(f)
CMO Series 2020-2 Class B2
05/25/2065	5.893%	600,000	610,665

6	Columbia Multi Strategy Alternatives Fund \| Quarterly Report 2021

Consolidated Portfolio of Investments (continued)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)

Residential Mortgage-Backed Securities - Non-Agency (continued)
Issuer	Coupon Rate	Principal Amount ($)	Value ($)
Eagle Re Ltd.^(a),(b)
CMO Series 2018-1 Class M1
1-month USD LIBOR + 1.700% Floor 1.700% 11/25/2028	1.784%	1,825,512	1,826,684
CMO Series 2019-1 Class M1B
1-month USD LIBOR + 1.800% 04/25/2029	1.884%	481,252	481,252
Fannie Mae Connecticut Avenue Securities^(b)
CMO Series 14-C02 Class 1M2
1-month USD LIBOR + 2.600% Floor 2.600% 05/25/2024	2.684%	1,322,393	1,333,994
CMO Series 2014-C03 Class 1M2
1-month USD LIBOR + 3.000% Floor 3.000% 07/25/2024	3.084%	1,347,235	1,364,074
Freddie Mac STACR^(a),(b)
Subordinated CMO Series 2019-HQA3 Class B1
1-month USD LIBOR + 3.000% 09/25/2049	3.084%	1,250,000	1,259,050
Freddie Mac STACR REMIC Trust^(a),(b)
Subordinated CMO Series 2020-DNA4 Class B1
1-month USD LIBOR + 6.000% 08/25/2050	6.084%	1,600,000	1,698,355
Subordinated CMO Series 2020-DNA6 Class B2
30-day Average SOFR + 5.650% 12/25/2050	5.700%	1,000,000	1,081,425
Subordinated CMO Series 2020-HQA1 Class B1
1-month USD LIBOR + 2.350% 01/25/2050	2.434%	1,942,000	1,946,111
Subordinated CMO Series 2020-HQA3 Class B1
1-month USD LIBOR + 5.750% 07/25/2050	5.834%	1,000,000	1,061,216
Subordinated CMO Series 2020-HQA4 Class B1
1-month USD LIBOR + 5.250% 09/25/2050	5.334%	2,400,000	2,522,160
Subordinated CMO Series 2021-DNA1 Class B2
30-day Average SOFR + 4.750% 01/25/2051	4.800%	1,200,000	1,210,380
Freddie Mac STACR Trust^(a),(b)
Subordinated CMO Series 2019-HQA2 Class B1
1-month USD LIBOR + 4.100% 04/25/2049	4.184%	1,500,000	1,547,803
Freddie Mac Structured Agency Credit Risk Debt Notes^(b)
CMO Series 2014-DN1 Class M3
1-month USD LIBOR + 4.500% 02/25/2024	4.584%	461,049	474,304

Residential Mortgage-Backed Securities - Non-Agency (continued)
Issuer	Coupon Rate	Principal Amount ($)	Value ($)
Freddie Mac Structured Agency Credit Risk Debt Notes^(a),(b)
Subordinated CMO Series 2020-DNA3 Class B1
1-month USD LIBOR + 5.100% 06/25/2050	5.184%	2,000,000	2,088,269
Subordinated CMO Series 2020-HQA5 Class B2
30-day Average SOFR + 7.400% 11/25/2050	7.450%	1,800,000	2,106,019
GCAT Trust^(a),(f)
CMO Series 2019-NQM3 Class M1
11/25/2059	3.450%	600,000	611,047
Genworth Mortgage Insurance Corp.^(a),(b)
CMO Series 2019-1 Class M1
1-month USD LIBOR + 1.900% Floor 1.900% 11/26/2029	1.984%	125,545	125,549
CMO Series 2021-1 Class M2
1-month USD LIBOR + 3.900% Floor 3.900% 08/25/2033	3.984%	250,000	250,609
Genworth Mortgage Insurance Corp.^(a),(b),(h)
CMO Series 2021-3 Class M1B
30-day Average SOFR + 2.900% Floor 2.900% 02/25/2034	2.950%	2,000,000	2,000,000
Subordinated CMO Series 2021-3 Class B1
30-day Average SOFR + 4.950% Floor 4.950% 02/25/2034	5.000%	500,000	500,000
Glebe Funding Trust (The)^(a),(e)
CMO Series 2021-1 Class PT
10/27/2023	3.000%	1,098,597	1,098,597
Headlands Residential LLC^(a)
CMO Series 2019-RPL1
06/25/2024	3.967%	1,405,702	1,407,707
Home Re Ltd.^(a),(b)
CMO Series 2018-1 Class M2
1-month USD LIBOR + 3.000% 10/25/2028	3.084%	750,000	757,522
CMO Series 2020-1 Class M1C
1-month USD LIBOR + 4.150% Floor 4.150% 10/25/2030	4.234%	250,000	256,506
CMO Series 2020-1 Class M2
1-month USD LIBOR + 5.250% Floor 5.250% 10/25/2030	5.334%	1,200,000	1,236,935
Homeward Opportunities Fund I Trust^(a),(f)
Subordinated CMO Series 2020-2 Class B1
05/25/2065	5.450%	250,000	263,246

Columbia Multi Strategy Alternatives Fund | Quarterly Report 2021

Consolidated Portfolio of Investments (continued)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)

Residential Mortgage-Backed Securities - Non-Agency (continued)
Issuer	Coupon Rate	Principal Amount ($)	Value ($)
Homeward Opportunities Fund Trust^(a),(f)
CMO Series 2020-BPL1 Class A2
08/25/2025	5.438%	1,493,537	1,532,190
Legacy Mortgage Asset Trust^(a),(f)
CMO Series 2021-GS1 Class A1
10/25/2066	1.892%	470,311	472,604
LVII Trust^{(a),(c),(e),(f)}
Subordinated CMO Series 2020-1 Class B1
05/25/2060	5.000%	1,900,000	1,902,375
Mortgage Acquisition Trust I LLC^(a),(e)
CMO Series 2021-1 Class PT
11/29/2023	3.500%	952,626	952,626
New Residential Mortgage Loan Trust^(a),(f)
CMO Series 2020-RPL2 Class A1
08/25/2025	3.578%	1,768,744	1,800,692
Oaktown Re II Ltd.^(a),(b)
Subordinated CMO Series 2018-1A Class B1
1-month USD LIBOR + 4.050% 07/25/2028	4.134%	450,000	463,371
Subordinated CMO Series 2018-1A Class M2
1-month USD LIBOR + 2.850% 07/25/2028	2.934%	3,017,857	3,050,633
Oaktown Re III Ltd.^(a),(b)
CMO Series 2019-1A Class M2
1-month USD LIBOR + 2.550% Floor 2.550% 07/25/2029	2.634%	1,000,000	1,006,091
Oaktown Re V Ltd.^(a),(b)
CMO Series 2020-2A Class M2
1-month USD LIBOR + 5.250% Floor 5.250% 10/25/2030	5.334%	1,000,000	1,051,545
Oaktown Re VI Ltd.^(a),(b)
CMO Series 2021-1A Class M2
30-day Average SOFR + 3.950% Floor 3.950% 10/25/2033	4.000%	500,000	519,856
OMSR^(a)
CMO Series 2019-PLS1 Class A
11/25/2024	5.069%	2,070,544	2,078,200
PMT Credit Risk Transfer Trust^(a),(b)
CMO Series 2019-1R Class A
1-month USD LIBOR + 2.000% Floor 2.000% 03/27/2024	2.088%	880,220	872,106
Series 2019-2R Class A
1-month USD LIBOR + 2.750% Floor 2.750% 05/27/2023	2.838%	881,886	877,443

Residential Mortgage-Backed Securities - Non-Agency (continued)
Issuer	Coupon Rate	Principal Amount ($)	Value ($)
PNMAC GMSR Issuer Trust^(a),(b)
CMO Series 2018-FT1 Class A
1-month USD LIBOR + 2.350% 04/25/2023	2.434%	500,000	498,255
CMO Series 2018-GT1 Class A
1-month USD LIBOR + 2.850% Floor 2.850% 02/25/2023	2.934%	2,750,000	2,762,518
CMO Series 2018-GT2 Class A
1-month USD LIBOR + 2.650% 08/25/2025	2.734%	4,250,000	4,243,978
Preston Ridge Partners Mortgage^(a),(f)
CMO Series 2021-2 Class A2
03/25/2026	3.770%	700,000	707,322
CMO Series 2021-4 Class A2
04/25/2026	3.474%	400,000	401,543
Preston Ridge Partners Mortgage LLC^(a),(f)
CMO Series 2020-6 Class A2
11/25/2025	4.703%	200,000	198,640
CMO Series 2021-3 Class A1
04/25/2026	1.867%	939,994	939,881
Preston Ridge Partners Mortgage Trust^(a),(f)
CMO Series 2021-1 Class A1
01/25/2026	2.115%	939,525	939,997
CMO Series 2021-1 Class A2
01/25/2026	3.720%	3,250,000	3,245,989
CMO Series 2021-5 Class A2
06/25/2026	3.721%	700,000	701,840
Preston Ridge Partners Mortgage Trust^{(a),(c),(e),(f),(h)}
CMO Series 2021-7 Class A1
08/25/2026	1.867%	1,800,000	1,800,000
Radnor Re Ltd.^(a),(b)
CMO Series 2020-2 Class M2
1-month USD LIBOR + 5.600% Floor 5.600% 10/25/2030	5.748%	600,000	615,857
RCO V Mortgage LLC^(a),(f)
CMO Series 2020-1 Class A2
09/25/2025	5.389%	900,000	905,852
Residential Mortgage Loan Trust^(a),(f)
CMO Series 2019-3 Class M1
09/25/2059	3.257%	700,000	711,347
STACR Trust^(a),(b)
Subordinated CMO Series 2018-HRP1 Class B1
1-month USD LIBOR + 3.750% 04/25/2043	3.834%	2,000,000	2,055,110
Starwood Mortgage Residential Trust^(a),(f)
CMO Series 2020-3 Class B1
04/25/2065	4.750%	250,000	258,073

8	Columbia Multi Strategy Alternatives Fund \| Quarterly Report 2021

Consolidated Portfolio of Investments (continued)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)

Residential Mortgage-Backed Securities - Non-Agency (continued)
Issuer	Coupon Rate	Principal Amount ($)	Value ($)
Stonnington Mortgage Trust^{(a),(c),(e),(f)}
CMO Series 2020-1 Class A
07/28/2024	5.500%	1,245,038	1,245,038
Toorak Mortgage Corp., Ltd.^(a),(f)
CMO Series 2019-1 Class A1
03/25/2022	4.458%	459,183	460,128
CMO Series 2021-1 Class A1
06/25/2024	2.240%	800,000	800,735
Triangle Re Ltd.^(a),(b)
CMO Series 2020-1 Class M1C
1-month USD LIBOR + 4.500% Floor 4.500% 10/25/2030	4.618%	1,170,000	1,188,787
CMO Series 2020-1 Class M2
1-month USD LIBOR + 5.600% Floor 5.600% 10/25/2030	5.718%	1,000,000	1,032,533
CMO Series 2021-1 Class M1B
1-month USD LIBOR + 3.000% Floor 3.000% 08/25/2033	3.084%	1,950,000	1,966,287
Subordinated CMO Series 2021-1 Class B1
1-month USD LIBOR + 4.500% Floor 4.500% 08/25/2033	4.584%	1,000,000	1,003,625
Subordinated CMO Series 2021-2 Class B1
1-month USD LIBOR + 7.500% Floor 7.500% 10/25/2033	7.584%	650,000	668,918
VCAT Asset Securitization LLC^(a),(f)
CMO Series 2021-NPL3 Class A2
05/25/2051	3.967%	300,000	299,664
Vericrest Opportunity Loan Transferee^(a),(f)
CMO Series 2021-NPL4 Class A1
03/27/2051	2.240%	1,019,874	1,020,937
Verus Securitization Trust^(a)
CMO Series 2020-INV1 Class B1
04/25/2060	5.750%	150,000	156,360
CMO Series 2020-INV1 Class M1
04/25/2060	5.500%	550,000	582,986
Subordinated CMO Series 2020-INV1 Class B2
04/25/2060	6.000%	150,000	154,431
Verus Securitization Trust^(a),(f)
CMO Series 2020-NPL1 Class A2
08/25/2050	5.682%	1,250,000	1,258,849
Subordinated CMO Series 2019-3 Class B1
07/25/2059	4.043%	2,289,000	2,319,150
Subordinated CMO Series 2019-4 Class B1
11/25/2059	3.860%	500,000	503,660

Residential Mortgage-Backed Securities - Non-Agency (continued)
Issuer	Coupon Rate	Principal Amount ($)	Value ($)
Subordinated CMO Series 2020-4 Class B1
05/25/2065	5.046%	150,000	156,511
Subordinated CMO Series 2020-4 Class B2
06/25/2065	5.600%	327,000	334,025
Visio Trust^(a),(f)
CMO Series 2019-2 Class B1
11/25/2054	3.910%	100,000	102,346
CMO Series 2019-2 Class M1
11/25/2054	3.260%	200,000	206,822
Vista Point Securitization Trust^(a),(f)
Subordinated CMO Series 2020-1 Class B1
03/25/2065	5.375%	800,000	834,038
ZH Trust^(a)
Subordinated CMO Series 2021-1 Class B
02/18/2027	3.262%	1,000,000	1,000,776
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $120,997,561)			124,901,423

Treasury Bills 17.7%
Issuer	Effective Yield	Principal Amount ($)	Value ($)
United States 17.7%
U.S. Treasury Bills
09/09/2021	0.060%	83,000,000	82,998,720
U.S. Treasury Bills^(j)
02/24/2022	0.050%	67,000,000	66,983,820
Total			149,982,540
Total Treasury Bills (Cost $149,978,822)			149,982,540

Options Purchased Calls 0.1%
				Value ($)
(Cost $855,000)				487,979

Options Purchased Puts 0.3%

(Cost $2,183,700)				2,601,181

Columbia Multi Strategy Alternatives Fund | Quarterly Report 2021

Consolidated Portfolio of Investments (continued)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)

Money Market Funds 42.1%
	Shares	Value ($)
Columbia Short-Term Cash Fund, 0.061%^(k),(l)	357,800,231	357,764,451
Total Money Market Funds (Cost $357,766,804)		357,764,451
Total Investments in Securities (Cost: $870,193,377)		875,151,131
Other Assets & Liabilities, Net		(26,471,652)
Net Assets		848,679,479

At August 31, 2021, securities and/or cash totaling $90,078,168 were pledged as collateral.

Investments in derivatives

Forward foreign currency exchange contracts
Currency to be sold	Currency to be purchased	Counterparty	Settlement date	Unrealized appreciation ($)	Unrealized depreciation ($)
77,672,000 AUD	59,392,260 USD	Citi	09/15/2021	2,566,597	—
33,525,999 AUD	24,034,246 USD	Citi	09/15/2021	—	(493,733)
20,522,542 BRL	4,011,828 USD	Citi	09/15/2021	50,102	—
150,484,247 BRL	28,345,128 USD	Citi	09/15/2021	—	(704,749)
131,390,750 CAD	105,686,448 USD	Citi	09/15/2021	1,546,597	—
12,870,500 CAD	10,080,501 USD	Citi	09/15/2021	—	(120,613)
109,120,000 CHF	120,487,996 USD	Citi	09/15/2021	1,287,077	—
14,930,000 CHF	16,303,110 USD	Citi	09/15/2021	—	(6,180)
12,055,049,500 CLP	16,140,193 USD	Citi	09/15/2021	570,350	—
3,365,869,500 CLP	4,306,566 USD	Citi	09/15/2021	—	(40,663)
15,081,000 CNH	2,345,376 USD	Citi	09/15/2021	11,722	—
128,778,624 CNH	19,730,492 USD	Citi	09/15/2021	—	(196,878)
39,801,773,750 COP	10,692,074 USD	Citi	09/15/2021	139,470	—
24,572,571,250 COP	6,386,725 USD	Citi	09/15/2021	—	(128,176)
361,477,000 CZK	17,313,423 USD	Citi	09/15/2021	525,448	—
587,128,000 CZK	27,096,304 USD	Citi	09/15/2021	—	(171,516)
94,308,500 EUR	112,841,445 USD	Citi	09/15/2021	1,456,033	—
32,435,000 EUR	38,211,833 USD	Citi	09/15/2021	—	(96,334)
38,365,000 GBP	53,899,686 USD	Citi	09/15/2021	1,151,571	—
13,776,000 GBP	18,831,998 USD	Citi	09/15/2021	—	(108,652)
364,070,000 HUF	1,269,487 USD	Citi	09/15/2021	38,235	—
1,943,897,500 HUF	6,478,091 USD	Citi	09/15/2021	—	(95,993)
35,300,000,000 IDR	2,430,936 USD	Citi	09/15/2021	—	(44,758)
820,651,000 INR	10,973,981 USD	Citi	09/15/2021	—	(252,323)
2,243,508,000 JPY	20,563,609 USD	Citi	09/15/2021	168,427	—
5,210,813,000 JPY	47,150,237 USD	Citi	09/15/2021	—	(219,987)
12,711,722,000 KRW	11,243,872 USD	Citi	09/15/2021	279,465	—
5,971,185,000 KRW	5,082,945 USD	Citi	09/15/2021	—	(67,458)
165,769,125 MXN	8,256,699 USD	Citi	09/15/2021	18,026	—
652,447,875 MXN	32,105,532 USD	Citi	09/15/2021	—	(320,920)
565,470,000 NOK	67,920,887 USD	Citi	09/15/2021	2,880,279	—
322,099,000 NOK	36,333,007 USD	Citi	09/15/2021	—	(714,962)
87,505,000 NZD	63,300,601 USD	Citi	09/15/2021	1,640,203	—
57,574,000 NZD	39,791,316 USD	Citi	09/15/2021	—	(778,203)
193,000,000 PHP	3,991,946 USD	Citi	09/15/2021	111,704	—
92,000,000 PHP	1,827,371 USD	Citi	09/15/2021	—	(22,279)
136,224,000 PLN	36,609,542 USD	Citi	09/15/2021	1,042,224	—
83,735,500 PLN	21,787,052 USD	Citi	09/15/2021	—	(75,814)
21,146,000 RUB	288,704 USD	Citi	09/15/2021	504	—

10	Columbia Multi Strategy Alternatives Fund \| Quarterly Report 2021

Consolidated Portfolio of Investments (continued)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)

Forward foreign currency exchange contracts (continued)
Currency to be sold	Currency to be purchased	Counterparty	Settlement date	Unrealized appreciation ($)	Unrealized depreciation ($)
961,096,000 RUB	12,965,825 USD	Citi	09/15/2021	—	(133,012)
123,280,250 SEK	14,347,471 USD	Citi	09/15/2021	60,038	—
369,840,750 SEK	42,207,641 USD	Citi	09/15/2021	—	(654,660)
35,700,000 SGD	26,906,920 USD	Citi	09/15/2021	353,909	—
16,138,000 SGD	11,894,604 USD	Citi	09/15/2021	—	(108,546)
92,400,000 TWD	3,334,042 USD	Citi	09/15/2021	—	(7,330)
12,547,946 USD	17,452,499 AUD	Citi	09/15/2021	220,489	—
85,781,112 USD	112,529,000 AUD	Citi	09/15/2021	—	(3,453,695)
19,636,563 USD	104,532,332 BRL	Citi	09/15/2021	542,634	—
14,949,004 USD	76,025,000 BRL	Citi	09/15/2021	—	(272,937)
7,501,658 USD	9,511,500 CAD	Citi	09/15/2021	37,124	—
113,797,474 USD	137,785,250 CAD	Citi	09/15/2021	—	(4,589,365)
43,831,767 USD	40,175,500 CHF	Citi	09/15/2021	55,298	—
9,775,908 USD	8,938,000 CHF	Citi	09/15/2021	—	(12,182)
3,312,451 USD	2,600,984,000 CLP	Citi	09/15/2021	46,881	—
17,211,645 USD	12,819,935,000 CLP	Citi	09/15/2021	—	(653,904)
23,661,614 USD	153,570,250 CNH	Citi	09/15/2021	102,045	—
421,931 USD	2,715,000 CNH	Citi	09/15/2021	—	(1,808)
13,976,419 USD	53,768,432,000 COP	Citi	09/15/2021	279,152	—
1,685,225 USD	6,205,913,000 COP	Citi	09/15/2021	—	(39,857)
15,066,858 USD	327,093,000 CZK	Citi	09/15/2021	124,230	—
28,645,593 USD	605,662,000 CZK	Citi	09/15/2021	—	(517,004)
41,735,977 USD	35,481,500 EUR	Citi	09/15/2021	170,336	—
108,863,810 USD	89,576,250 EUR	Citi	09/15/2021	—	(3,067,541)
72,927,587 USD	52,141,000 GBP	Citi	09/15/2021	—	(1,238,822)
1,922,254 USD	572,041,000 HUF	Citi	09/15/2021	12,337	—
7,344,704 USD	2,106,475,000 HUF	Citi	09/15/2021	—	(220,797)
2,026,407 USD	29,200,000,000 IDR	Citi	09/15/2021	21,476	—
11,373,982 USD	844,526,000 INR	Citi	09/15/2021	178,926	—
31,585,430 USD	3,475,811,001 JPY	Citi	09/15/2021	12,316	—
36,256,610 USD	3,978,509,999 JPY	Citi	09/15/2021	—	(88,951)
503,448 USD	589,087,000 KRW	Citi	09/15/2021	4,665	—
18,711,135 USD	21,047,534,000 KRW	Citi	09/15/2021	—	(556,732)
16,025,273 USD	324,433,000 MXN	Citi	09/15/2021	98,944	—
24,689,615 USD	493,784,000 MXN	Citi	09/15/2021	—	(148,708)
122,210,928 USD	1,080,120,999 NOK	Citi	09/15/2021	2,025,064	—
44,088,384 USD	378,699,000 NOK	Citi	09/15/2021	—	(530,259)
154,053,913 USD	220,222,000 NZD	Citi	09/15/2021	1,125,519	—
19,831,862 USD	27,413,000 NZD	Citi	09/15/2021	—	(515,292)
4,261,748 USD	213,750,000 PHP	Citi	09/15/2021	35,671	—
32,334,293 USD	125,380,000 PLN	Citi	09/15/2021	401,717	—
25,172,065 USD	92,586,000 PLN	Citi	09/15/2021	—	(998,383)
11,796,234 USD	878,492,000 RUB	Citi	09/15/2021	176,789	—
4,041,757 USD	295,000,000 RUB	Citi	09/15/2021	—	(21,183)
678,363 USD	5,878,000 SEK	Citi	09/15/2021	2,861	—
58,019,757 USD	487,243,000 SEK	Citi	09/15/2021	—	(1,551,247)
28,346,430 USD	38,450,500 SGD	Citi	09/15/2021	252,352	—
3,319,384 USD	4,462,500 SGD	Citi	09/15/2021	—	(258)
808,966 USD	22,500,000 TWD	Citi	09/15/2021	4,680	—
1,725,667 USD	47,400,000 TWD	Citi	09/15/2021	—	(11,586)
2,550,921 USD	38,070,999 ZAR	Citi	09/15/2021	65,068	—
8,667,776 USD	122,046,000 ZAR	Citi	09/15/2021	—	(281,576)
89,058,000 ZAR	6,215,322 USD	Citi	09/15/2021	95,840	—
68,601,499 ZAR	4,618,402 USD	Citi	09/15/2021	—	(95,443)
27,900,000 ILS	8,554,838 USD	Citi	09/17/2021	—	(143,389)
8,646,744 USD	27,900,000 ILS	Citi	09/17/2021	51,484	—
43,382,499 AUD	31,225,201 USD	Citi	12/15/2021	—	(527,916)
5,337,000 BRL	1,016,194 USD	Citi	12/15/2021	1,302	—

Columbia Multi Strategy Alternatives Fund | Quarterly Report 2021

Consolidated Portfolio of Investments (continued)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)

Forward foreign currency exchange contracts (continued)
Currency to be sold	Currency to be purchased	Counterparty	Settlement date	Unrealized appreciation ($)	Unrealized depreciation ($)
22,242,000 BRL	4,117,320 USD	Citi	12/15/2021	—	(112,255)
1,358,250 CAD	1,078,078 USD	Citi	12/15/2021	1,655	—
13,682,500 CAD	10,706,771 USD	Citi	12/15/2021	—	(136,714)
27,496,500 CHF	30,094,112 USD	Citi	12/15/2021	—	(12,688)
522,500,000 CLP	674,571 USD	Citi	12/15/2021	2,577	—
1,706,724,000 CLP	2,166,167 USD	Citi	12/15/2021	—	(28,871)
26,542,812 CNH	4,050,840 USD	Citi	12/15/2021	—	(28,189)
38,812,155,000 COP	9,985,995 USD	Citi	12/15/2021	—	(248,654)
47,550,000 CZK	2,176,902 USD	Citi	12/15/2021	—	(26,912)
2,831,250 EUR	3,356,091 USD	Citi	12/15/2021	6,039	—
27,626,500 EUR	32,455,905 USD	Citi	12/15/2021	—	(232,912)
8,172,000 GBP	11,184,651 USD	Citi	12/15/2021	—	(52,804)
18,300,000,000 IDR	1,260,878 USD	Citi	12/15/2021	—	(12,528)
27,900,000 ILS	8,657,301 USD	Citi	12/15/2021	—	(50,596)
36,000,000 INR	479,029 USD	Citi	12/15/2021	—	(8,898)
3,475,810,999 JPY	31,693,546 USD	Citi	12/15/2021	70,065	—
3,475,811,001 JPY	31,609,106 USD	Citi	12/15/2021	—	(14,375)
1,270,373,000 KRW	1,080,732 USD	Citi	12/15/2021	—	(14,310)
129,890,000 MXN	6,307,069 USD	Citi	12/15/2021	—	(70,212)
233,226,999 NOK	25,910,484 USD	Citi	12/15/2021	—	(901,121)
32,860,000 NZD	22,711,031 USD	Citi	12/15/2021	—	(427,207)
213,750,000 PHP	4,229,606 USD	Citi	12/15/2021	—	(42,984)
7,110,000 PLN	1,822,544 USD	Citi	12/15/2021	—	(33,832)
71,703,000 RUB	948,910 USD	Citi	12/15/2021	—	(15,305)
7,093,000 SEK	826,000 USD	Citi	12/15/2021	3,385	—
27,174,000 SEK	3,146,909 USD	Citi	12/15/2021	—	(4,612)
4,462,500 SGD	3,318,870 USD	Citi	12/15/2021	293	—
22,312,500 SGD	16,470,735 USD	Citi	12/15/2021	—	(122,152)
22,500,000 TWD	813,086 USD	Citi	12/15/2021	—	(7,244)
34,632,038 USD	48,213,999 AUD	Citi	12/15/2021	657,416	—
13,918,995 USD	75,349,247 BRL	Citi	12/15/2021	409,541	—
1,828,228 USD	9,550,542 BRL	Citi	12/15/2021	—	(12,081)
5,986,468 USD	7,640,500 CAD	Citi	12/15/2021	68,687	—
2,686,451 USD	3,382,750 CAD	Citi	12/15/2021	—	(5,596)
6,414,333 USD	5,862,000 CHF	Citi	12/15/2021	4,159	—
1,951,881 USD	1,782,000 CHF	Citi	12/15/2021	—	(712)
3,503,801 USD	2,755,258,500 CLP	Citi	12/15/2021	39,770	—
655,477 USD	508,419,500 CLP	Citi	12/15/2021	—	(1,593)
4,276,498 USD	28,007,624 CNH	Citi	12/15/2021	27,639	—
2,049,455 USD	7,999,916,000 COP	Citi	12/15/2021	60,099	—
12,371,292 USD	10,532,000 EUR	Citi	12/15/2021	90,606	—
1,456,187 USD	1,228,500 EUR	Citi	12/15/2021	—	(2,575)
17,014,824 USD	12,441,000 GBP	Citi	12/15/2021	93,005	—
6,820,640 USD	2,043,393,500 HUF	Citi	12/15/2021	71,072	—
2,834,013 USD	212,562,000 INR	Citi	12/15/2021	46,952	—
2,284,264 USD	251,272,000 JPY	Citi	12/15/2021	1,848	—
8,603,779 USD	943,912,000 JPY	Citi	12/15/2021	—	(15,917)
3,469,752 USD	4,073,476,000 KRW	Citi	12/15/2021	41,524	—
25,557,972 USD	526,455,375 MXN	Citi	12/15/2021	289,701	—
3,570,686 USD	72,707,625 MXN	Citi	12/15/2021	—	(919)
19,675,019 USD	176,645,000 NOK	Citi	12/15/2021	631,961	—
1,279,458 USD	1,872,000 NZD	Citi	12/15/2021	38,703	—
1,193,518 USD	4,656,500 PLN	Citi	12/15/2021	22,265	—
13,611,930 USD	1,023,154,000 RUB	Citi	12/15/2021	146,774	—
42,235,958 USD	369,840,750 SEK	Citi	12/15/2021	656,541	—
14,356,867 USD	123,280,250 SEK	Citi	12/15/2021	—	(59,368)
5,295,734 USD	7,220,000 SGD	Citi	12/15/2021	73,483	—
2,579,753 USD	39,426,499 ZAR	Citi	12/15/2021	97,670	—

12	Columbia Multi Strategy Alternatives Fund \| Quarterly Report 2021

Consolidated Portfolio of Investments (continued)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)

Forward foreign currency exchange contracts (continued)
Currency to be sold	Currency to be purchased	Counterparty	Settlement date	Unrealized appreciation ($)	Unrealized depreciation ($)
19,240,999 ZAR	1,247,600 USD	Citi	12/15/2021	—	(59,041)
66,646,000 EUR	78,539,384 USD	Goldman Sachs International	09/15/2021	—	(174,541)
8,626,798,000 JPY	78,980,245 USD	Goldman Sachs International	09/15/2021	556,138	—
6,717,081 USD	5,724,000 EUR	Goldman Sachs International	09/15/2021	43,393	—
6,647,738 USD	730,160,000 JPY	Goldman Sachs International	09/15/2021	—	(10,033)
416,035,000 SEK	48,242,391 USD	HSBC	09/15/2021	26,456	—
9,800,000 AUD	7,574,337 USD	Morgan Stanley	09/15/2021	404,552	—
12,850,000 AUD	9,384,936 USD	Morgan Stanley	09/15/2021	—	(16,261)
34,680,000 BRL	6,768,433 USD	Morgan Stanley	09/15/2021	73,714	—
30,905,000 BRL	5,929,586 USD	Morgan Stanley	09/15/2021	—	(36,397)
47,600,000 CAD	38,755,272 USD	Morgan Stanley	09/15/2021	1,027,678	—
42,950,000 CAD	34,032,612 USD	Morgan Stanley	09/15/2021	—	(9,409)
14,400,000 CHF	16,030,402 USD	Morgan Stanley	09/15/2021	300,076	—
19,350,000 CHF	21,009,788 USD	Morgan Stanley	09/15/2021	—	(127,838)
12,400,000 EUR	14,658,784 USD	Morgan Stanley	09/15/2021	13,454	—
3,100,000 EUR	3,646,552 USD	Morgan Stanley	09/15/2021	—	(14,780)
11,650,000 GBP	16,534,880 USD	Morgan Stanley	09/15/2021	517,272	—
20,700,000 GBP	28,097,602 USD	Morgan Stanley	09/15/2021	—	(362,869)
1,441,585,000 INR	19,250,808 USD	Morgan Stanley	09/15/2021	—	(469,720)
3,830,000,000 JPY	34,873,708 USD	Morgan Stanley	09/15/2021	56,116	—
520,000,000 JPY	4,691,701 USD	Morgan Stanley	09/15/2021	—	(35,492)
21,400,170,000 KRW	18,988,575 USD	Morgan Stanley	09/15/2021	530,008	—
432,015,000 MXN	21,317,678 USD	Morgan Stanley	09/15/2021	—	(153,330)
158,750,000 NOK	18,876,920 USD	Morgan Stanley	09/15/2021	617,425	—
45,100,000 NZD	32,453,329 USD	Morgan Stanley	09/15/2021	673,614	—
3,150,000 NZD	2,186,132 USD	Morgan Stanley	09/15/2021	—	(33,515)
79,155,000 PLN	21,588,467 USD	Morgan Stanley	09/15/2021	921,543	—
24,850,000 PLN	6,380,793 USD	Morgan Stanley	09/15/2021	—	(107,401)
403,000,000 SEK	46,922,861 USD	Morgan Stanley	09/15/2021	217,603	—
55,238,000 SEK	6,324,550 USD	Morgan Stanley	09/15/2021	—	(77,200)
83,970,000 TRY	10,003,574 USD	Morgan Stanley	09/15/2021	—	(26,836)
15,957,694 USD	21,900,000 AUD	Morgan Stanley	09/15/2021	64,580	—
568,478 USD	750,000 AUD	Morgan Stanley	09/15/2021	—	(19,770)
12,491,667 USD	65,585,000 BRL	Morgan Stanley	09/15/2021	169,035	—
35,424,113 USD	45,250,000 CAD	Morgan Stanley	09/15/2021	440,880	—
36,712,875 USD	45,300,000 CAD	Morgan Stanley	09/15/2021	—	(808,252)
36,892,813 USD	33,750,000 CHF	Morgan Stanley	09/15/2021	—	(24,860)
18,776,092 USD	15,500,000 EUR	Morgan Stanley	09/15/2021	—	(469,430)
44,683,753 USD	32,350,000 GBP	Morgan Stanley	09/15/2021	—	(205,673)
6,553,320 USD	482,285,000 INR	Morgan Stanley	09/15/2021	44,221	—
13,145,057 USD	959,300,000 INR	Morgan Stanley	09/15/2021	—	(22,069)
39,727,372 USD	4,350,000,000 JPY	Morgan Stanley	09/15/2021	—	(182,588)
18,491,351 USD	21,400,170,000 KRW	Morgan Stanley	09/15/2021	—	(32,784)
21,354,646 USD	432,015,000 MXN	Morgan Stanley	09/15/2021	116,362	—
3,442,532 USD	31,000,000 NOK	Morgan Stanley	09/15/2021	123,102	—
15,044,114 USD	127,750,000 NOK	Morgan Stanley	09/15/2021	—	(350,253)
33,977,095 USD	48,250,000 NZD	Morgan Stanley	09/15/2021	22,267	—
20,494,163 USD	79,155,000 PLN	Morgan Stanley	09/15/2021	172,761	—
6,492,065 USD	24,850,000 PLN	Morgan Stanley	09/15/2021	—	(3,870)
90,845,854 USD	786,405,000 SEK	Morgan Stanley	09/15/2021	293,719	—
35,305,230 USD	292,250,000 SEK	Morgan Stanley	09/15/2021	—	(1,435,227)
9,449,072 USD	83,970,000 TRY	Morgan Stanley	09/15/2021	581,338	—
4,950,505 USD	74,265,000 ZAR	Morgan Stanley	09/15/2021	152,498	—
15,832,894 USD	226,995,000 ZAR	Morgan Stanley	09/15/2021	—	(235,287)
301,260,000 ZAR	20,636,225 USD	Morgan Stanley	09/15/2021	—	(64,385)
13,700,000 AUD	10,020,865 USD	Morgan Stanley	12/15/2021	—	(6,628)
22,400,000 CAD	17,751,292 USD	Morgan Stanley	12/15/2021	—	(878)
25,200,000 GBP	34,678,224 USD	Morgan Stanley	12/15/2021	25,278	—

Columbia Multi Strategy Alternatives Fund | Quarterly Report 2021

Consolidated Portfolio of Investments (continued)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)

Forward foreign currency exchange contracts (continued)
Currency to be sold	Currency to be purchased	Counterparty	Settlement date	Unrealized appreciation ($)	Unrealized depreciation ($)
959,300,000 INR	13,002,521 USD	Morgan Stanley	12/15/2021	625	—
21,400,170,000 KRW	18,448,073 USD	Morgan Stanley	12/15/2021	1,447	—
46,900,000 NZD	33,019,007 USD	Morgan Stanley	12/15/2021	—	(5,440)
24,850,000 PLN	6,492,149 USD	Morgan Stanley	12/15/2021	3,972	—
203,674 USD	1,070,000 BRL	Morgan Stanley	12/15/2021	—	(201)
1,537,971 USD	1,400,000 CHF	Morgan Stanley	12/15/2021	—	(5,066)
14,687,304 USD	12,400,000 EUR	Morgan Stanley	12/15/2021	—	(15,111)
26,430,915 USD	2,900,000,000 JPY	Morgan Stanley	12/15/2021	—	(46,254)
6,748,818 USD	137,740,000 MXN	Morgan Stanley	12/15/2021	13,880	—
4,774,121 USD	41,500,000 NOK	Morgan Stanley	12/15/2021	—	(3,311)
42,529,177 USD	365,500,000 SEK	Morgan Stanley	12/15/2021	—	(140,099)
9,619,548 USD	83,970,000 TRY	Morgan Stanley	12/15/2021	—	(40,948)
20,405,592 USD	301,260,000 ZAR	Morgan Stanley	12/15/2021	52,736	—
Total				33,954,354	(33,639,757)

Long futures contracts
Description	Number of contracts	Expiration date	Trading currency	Notional amount	Value/Unrealized appreciation ($)	Value/Unrealized depreciation ($)
Amsterdam Index	5	09/2021	EUR	787,400	20,241	—
Australian 10-Year Bond	358	09/2021	AUD	52,199,611	1,383,419	—
Australian 10-Year Bond	406	09/2021	AUD	59,198,442	1,066,316	—
Bist 30 Index	3,115	10/2021	TRY	50,587,600	—	(4,686)
Brent Crude	70	09/2021	USD	5,014,100	125,137	—
CAC40 Index	261	09/2021	EUR	17,429,580	—	(390,678)
Canadian Government 10-Year Bond	112	12/2021	CAD	16,366,560	—	(30,773)
Canadian Government 10-Year Bond	78	12/2021	CAD	11,398,140	—	(42,672)
Copper	1	09/2021	USD	238,131	—	(1,671)
Copper	12	12/2021	USD	2,856,375	42,402	—
Copper	60	12/2021	USD	6,562,500	184,453	—
Corn	198	12/2021	USD	5,289,075	—	(106,999)
Corn	77	12/2021	USD	2,056,863	—	(134,944)
Cotton	79	12/2021	USD	3,654,935	—	(80,344)
DAX Index	32	09/2021	EUR	12,640,000	68,819	—
EURO STOXX 50 Index	304	09/2021	EUR	12,711,760	237,217	—
EURO STOXX 50 Index	22	09/2021	EUR	919,930	6,252	—
EURO STOXX 50 Index	609	09/2021	EUR	25,465,335	—	(61,857)
Euro-Bund	352	09/2021	EUR	61,758,400	1,646,062	—
FTSE China A50 Index	27	09/2021	USD	398,358	—	(5,272)
FTSE/JSE Top 40 Index	6	09/2021	ZAR	3,626,040	—	(5,225)
FTSE/MIB Index	96	09/2021	EUR	12,484,800	178,439	—
FTSE/MIB Index	119	09/2021	EUR	15,475,950	106,604	—
Gold 100 oz.	15	12/2021	USD	2,727,150	—	(11,736)
Hang Seng Index	76	09/2021	HKD	97,865,200	184,233	—
IBEX 35 Index	106	09/2021	EUR	9,356,620	—	(48,744)
KLCI Index	10	09/2021	MYR	794,250	3,955	—
KOSPI 200 Index	146	09/2021	KRW	15,311,750,000	—	(196)
Lead	6	12/2021	USD	337,875	—	(2,828)
Live Cattle	1	10/2021	USD	50,760	—	(236)
Mexican Bolsa IPC Index	9	09/2021	MXN	4,791,600	13,286	—
MSCI EAFE Index	1	09/2021	USD	117,575	139	—
MSCI Emerging Markets Index	484	09/2021	USD	31,440,640	—	(1,778,990)
NASDAQ 100 Index E-mini	7	09/2021	USD	2,181,550	63,257	—
Natural Gas	53	09/2021	USD	2,319,810	165,473	—
Nickel	15	09/2021	USD	1,761,075	69,580	—
Nickel	16	12/2021	USD	1,876,416	49,309	—
Nikkei 225 Index	21	09/2021	JPY	591,780,000	—	(81,187)
NY Harbor ULSD Heat Oil	32	09/2021	USD	2,862,989	82,683	—

14	Columbia Multi Strategy Alternatives Fund \| Quarterly Report 2021

Consolidated Portfolio of Investments (continued)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)

Long futures contracts (continued)
Description	Number of contracts	Expiration date	Trading currency	Notional amount	Value/Unrealized appreciation ($)	Value/Unrealized depreciation ($)
NY Harbor ULSD Heat Oil	4	09/2021	USD	357,874	9,978	—
OMXS30 Index	271	09/2021	SEK	63,786,625	—	(68,547)
Primary Aluminum	31	09/2021	USD	2,102,575	161,321	—
Primary Aluminum	49	12/2021	USD	3,328,019	66,855	—
RBOB Gasoline	11	09/2021	USD	989,558	40,050	—
RBOB Gasoline	3	09/2021	USD	269,879	3,299	—
S&P 500 Index E-mini	76	09/2021	USD	17,177,900	680,692	—
S&P Mid 400 Index E-mini	3	09/2021	USD	825,600	6,834	—
SGX Nifty Index	110	09/2021	USD	3,767,610	114,290	—
SGX Nifty Index	1	09/2021	USD	34,251	786	—
Soybean	113	11/2021	USD	7,302,625	—	(222,090)
Soybean Meal	2	12/2021	USD	69,120	—	(3,774)
Soybean Oil	238	10/2021	USD	8,409,492	—	(246,306)
Soybean Oil	2	12/2021	USD	70,500	2	—
SPI 200 Index	144	09/2021	AUD	26,917,200	337,016	—
TOPIX Index	189	09/2021	JPY	3,712,905,000	202,004	—
TOPIX Index	46	09/2021	JPY	903,670,000	137,331	—
U.S. Treasury 10-Year Note	1,574	12/2021	USD	210,055,219	259,986	—
U.S. Treasury 10-Year Note	396	12/2021	USD	52,847,438	16,332	—
U.S. Ultra Treasury Bond	52	12/2021	USD	10,258,625	74,638	—
WIG 20 Index	374	09/2021	PLN	17,525,640	161,285	—
WTI Crude	155	09/2021	USD	10,617,500	194,028	—
WTI Crude	31	09/2021	USD	2,123,500	39,639	—
Zinc	38	12/2021	USD	2,855,463	—	(6,862)
Total					8,203,642	(3,336,617)

Short futures contracts
Description	Number of contracts	Expiration date	Trading currency	Notional amount	Value/Unrealized appreciation ($)	Value/Unrealized depreciation ($)
10-Year Mini Japanese Government Bond	(1)	09/2021	JPY	(15,216,000)	—	(612)
CAC40 Index	(23)	09/2021	EUR	(1,535,940)	34,339	—
Coffee	(109)	12/2021	USD	(8,007,413)	—	(547,789)
DAX Index	(29)	09/2021	EUR	(11,455,000)	—	(281,203)
DJIA Index E-mini	(12)	09/2021	USD	(2,120,400)	—	(39,636)
Euro Buxl	(3)	09/2021	EUR	(637,560)	—	(24,260)
Euro-Bobl	(53)	09/2021	EUR	(7,153,410)	—	(58,548)
Euro-Bobl	(38)	12/2021	EUR	(5,158,500)	9,116	—
Euro-BTP	(16)	09/2021	EUR	(2,452,640)	—	(63,691)
Euro-Bund	(156)	09/2021	EUR	(27,370,200)	—	(138,260)
Euro-Bund	(374)	09/2021	EUR	(65,618,300)	—	(179,691)
Euro-Bund	(304)	12/2021	EUR	(52,452,160)	70,454	—
Euro-OAT	(28)	09/2021	EUR	(4,513,040)	—	(48,966)
Euro-Schatz	(222)	09/2021	EUR	(24,926,160)	—	(30,716)
FTSE 100 Index	(564)	09/2021	GBP	(40,024,260)	79,082	—
FTSE 100 Index	(69)	09/2021	GBP	(4,896,585)	32,036	—
FTSE 100 Index	(246)	09/2021	GBP	(17,457,390)	—	(21,758)
FTSE China A50 Index	(799)	09/2021	USD	(11,788,446)	346,288	—
FTSE Taiwan Index	(12)	09/2021	USD	(728,760)	—	(18,704)
FTSE Taiwan Index	(22)	09/2021	USD	(1,336,060)	—	(41,625)
FTSE/JSE Top 40 Index	(33)	09/2021	ZAR	(19,943,220)	25,206	—
Gold 100 oz.	(2)	12/2021	USD	(363,620)	—	(1,234)
Hang Seng Index	(9)	09/2021	HKD	(11,589,300)	—	(11,347)
H-Shares Index	(21)	09/2021	HKD	(9,602,250)	—	(29,733)
IBEX 35 Index	(206)	09/2021	EUR	(18,183,620)	124,476	—
Japanese 10-Year Government Bond	(4)	09/2021	JPY	(608,640,000)	—	(24,775)
Japanese 10-Year Government Bond	(58)	09/2021	JPY	(8,825,280,000)	—	(179,061)
Lean Hogs	(182)	10/2021	USD	(6,464,640)	93,358	—

Columbia Multi Strategy Alternatives Fund | Quarterly Report 2021

Consolidated Portfolio of Investments (continued)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)

Short futures contracts (continued)
Description	Number of contracts	Expiration date	Trading currency	Notional amount	Value/Unrealized appreciation ($)	Value/Unrealized depreciation ($)
Long Gilt	(224)	12/2021	GBP	(28,725,760)	206,161	—
Long Gilt	(78)	12/2021	GBP	(10,002,720)	64,323	—
Mexican Bolsa IPC Index	(346)	09/2021	MXN	(184,210,400)	—	(197,556)
MSCI Emerging Markets Index	(11)	09/2021	USD	(714,560)	—	(14,236)
MSCI Singapore Index	(10)	09/2021	SGD	(352,150)	3,286	—
Natural Gas	(53)	09/2021	USD	(2,319,810)	—	(276,037)
OMXS30 Index	(67)	09/2021	SEK	(15,770,125)	13,023	—
Primary Aluminum	(30)	09/2021	USD	(2,034,750)	—	(116,507)
Russell 2000 Index E-mini	(1)	09/2021	USD	(113,560)	—	(4,316)
S&P 500 Index E-mini	(101)	09/2021	USD	(22,828,525)	—	(417,327)
S&P/TSX 60 Index	(28)	09/2021	CAD	(6,887,440)	—	(66,085)
S&P/TSX 60 Index	(56)	09/2021	CAD	(13,774,880)	—	(97,164)
S&P/TSX 60 Index	(113)	09/2021	CAD	(27,795,740)	—	(258,594)
SGX Nifty Index	(268)	09/2021	USD	(9,179,268)	—	(224,087)
Silver	(7)	12/2021	USD	(840,210)	3,978	—
Silver	(34)	12/2021	USD	(4,081,020)	—	(15,892)
Soybean	(16)	11/2021	USD	(1,034,000)	42,589	—
SPI 200 Index	(35)	09/2021	AUD	(6,542,375)	—	(193,742)
SPI 200 Index	(159)	09/2021	AUD	(29,721,075)	—	(515,738)
Sugar #11	(218)	09/2021	USD	(4,844,134)	—	(684,291)
Thai SET50 Index	(688)	09/2021	THB	(135,508,480)	—	(194,861)
U.S. Long Bond	(30)	12/2021	USD	(4,889,063)	—	(22,563)
U.S. Treasury 2-Year Note	(406)	12/2021	USD	(89,453,219)	—	(65,018)
U.S. Treasury 5-Year Note	(1,214)	12/2021	USD	(150,194,563)	—	(335,963)
U.S. Ultra Treasury Bond	(57)	12/2021	USD	(11,245,031)	42,656	—
Wheat	(176)	12/2021	USD	(6,355,800)	87,490	—
Wheat	(61)	12/2021	USD	(2,202,863)	21,202	—
Zinc	(17)	09/2021	USD	(1,274,575)	—	(10,346)
Total					1,299,063	(5,451,932)

Put option contracts purchased
Description	Counterparty	Trading currency	Notional amount	Number of contracts	Exercise price/Rate	Expiration date	Cost ($)	Value ($)
10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate	Citi	USD	18,000,000	18,000,000	1.00	09/30/2021	313,200	589,941
10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate	Citi	USD	70,000,000	70,000,000	1.25	11/16/2021	980,000	1,282,050
10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate	Citi	USD	17,000,000	17,000,000	1.25	12/03/2021	263,500	343,097
10-Year OTC interest rate swap with Citi to receive 3-Month USD LIBOR BBA and pay exercise rate	Citi	USD	15,000,000	15,000,000	1.75	07/15/2022	259,500	227,858
5-Year OTC interest rate swap with Morgan Stanley to receive 3-Month USD LIBOR BBA and pay exercise rate	Morgan Stanley	USD	35,000,000	35,000,000	1.50	05/20/2022	367,500	158,235
Total							2,183,700	2,601,181

16	Columbia Multi Strategy Alternatives Fund \| Quarterly Report 2021

Consolidated Portfolio of Investments (continued)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)

Call option contracts purchased
Description	Counterparty	Trading currency	Notional amount	Number of contracts	Exercise price/Rate	Expiration date	Cost ($)	Value ($)
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA	Citi	USD	17,200,000	17,200,000	1.00	01/21/2022	146,200	75,147
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA	Citi	USD	14,500,000	14,500,000	1.10	01/24/2022	133,400	93,489
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA	Citi	USD	17,500,000	17,500,000	1.00	07/08/2022	178,500	137,870
10-Year OTC interest rate swap with Morgan Stanley to receive exercise rate and pay 3-Month USD LIBOR BBA	Morgan Stanley	USD	42,000,000	42,000,000	1.00	01/20/2022	396,900	181,473
Total							855,000	487,979

Put option contracts written
Description	Counterparty	Trading currency	Notional amount	Number of contracts	Exercise price/Rate	Expiration date	Premium received ($)	Value ($)
10-Year OTC interest rate swap with Citi to receive exercise rate and pay 3-Month USD LIBOR BBA	Citi	USD	(15,000,000)	(15,000,000)	2.20	03/17/2022	(280,500)	(43,839)
10-Year OTC interest rate swap with Morgan Stanley to receive exercise rate and pay 3-Month USD LIBOR BBA	Morgan Stanley	USD	(70,000,000)	(70,000,000)	1.55	02/11/2022	(1,141,000)	(875,427)
Total							(1,421,500)	(919,266)

Call option contracts written
Description	Counterparty	Trading currency	Notional amount	Number of contracts	Exercise price/Rate	Expiration date	Premium received ($)	Value ($)
10-Year OTC interest rate swap with Morgan Stanley to receive 3-Month USD LIBOR BBA and pay exercise rate	Morgan Stanley	USD	(30,000,000)	(30,000,000)	1.70	10/01/2021	(414,750)	(1,067,859)

Cleared interest rate swap contracts
Fund receives	Fund pays	Payment frequency	Counterparty	Maturity date	Notional currency	Notional amount	Value ($)	Upfront payments ($)	Upfront receipts ($)	Unrealized appreciation ($)	Unrealized depreciation ($)
Fixed rate of 0.750%	3-Month CAD Canada Bankers’ Acceptances	Receives SemiAnnually, Pays Quarterly	Credit Suisse	09/13/2023	CAD	37,400,000	28,263	—	—	28,263	—
Fixed rate of 0.750%	3-Month CAD Canada Bankers’ Acceptances	Receives SemiAnnually, Pays Quarterly	Credit Suisse	09/13/2023	CAD	29,100,000	(6,001)	—	—	—	(6,001)
3-Month AUD BBSW	Fixed rate of 0.500%	Receives Quarterly, Pays Quarterly	Credit Suisse	12/07/2023	AUD	28,700,000	(16,424)	—	—	—	(16,424)
Fixed rate of 1.000%	3-Month CAD Canada Bankers’ Acceptances	Receives SemiAnnually, Pays Quarterly	Credit Suisse	12/13/2023	CAD	210,400,000	169,960	—	—	169,960	—
3-Month NZD LIBOR	Fixed rate of 0.010%	Receives Quarterly, Pays SemiAnnually	Credit Suisse	12/13/2023	NZD	19,700,000	27,776	—	—	27,776	—
3-Month USD LIBOR	Fixed rate of 0.500%	Receives Quarterly, Pays SemiAnnually	Credit Suisse	12/15/2023	USD	281,700,000	83,956	—	—	83,956	—
6-Month EURIBOR	Fixed rate of -0.500%	Receives SemiAnnually, Pays Annually	Credit Suisse	12/15/2023	EUR	50,000,000	16,924	—	—	16,924	—
3-Month USD LIBOR	Fixed rate of 0.500%	Receives Quarterly, Pays SemiAnnually	Credit Suisse	12/15/2023	USD	101,500,000	(13,868)	—	—	—	(13,868)
SONIA	Fixed rate of 0.250%	Receives Annually, Pays Annually	Credit Suisse	12/15/2023	GBP	377,400,000	(215,744)	—	—	—	(215,744)

Columbia Multi Strategy Alternatives Fund | Quarterly Report 2021

Consolidated Portfolio of Investments (continued)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)

Cleared interest rate swap contracts (continued)
Fund receives	Fund pays	Payment frequency	Counterparty	Maturity date	Notional currency	Notional amount	Value ($)	Upfront payments ($)	Upfront receipts ($)	Unrealized appreciation ($)	Unrealized depreciation ($)
6-Month EURIBOR	Fixed rate of -0.500%	Receives SemiAnnually, Pays Annually	Credit Suisse	12/15/2023	EUR	272,600,000	(219,657)	—	—	—	(219,657)
6-Month JPY BBA LIBOR	Fixed rate of 0.000%	Receives SemiAnnually, Pays SemiAnnually	Credit Suisse	12/20/2023	JPY	31,333,500,000	47,453	—	—	47,453	—
Fixed rate of 1.500%	6-Month NOK NIBOR	Receives Annually, Pays SemiAnnually	Credit Suisse	12/20/2023	NOK	244,800,000	33,354	—	—	33,354	—
Fixed rate of 1.500%	6-Month NOK NIBOR	Receives Annually, Pays SemiAnnually	Credit Suisse	12/20/2023	NOK	74,100,000	(2,560)	—	—	—	(2,560)
Fixed rate of 0.000%	3-Month SEK STIBOR	Receives Annually, Pays Quarterly	Credit Suisse	12/20/2023	SEK	83,100,000	(5,931)	—	—	—	(5,931)
Fixed rate of 1.000%	6-Month NOK NIBOR	Receives Annually, Pays SemiAnnually	Credit Suisse	12/20/2023	NOK	661,500,000	(114,880)	—	—	—	(114,880)
6-Month CHF LIBOR	Fixed rate of -0.500%	Receives SemiAnnually, Pays Annually	Credit Suisse	12/20/2023	CHF	113,700,000	(120,182)	—	—	—	(120,182)
3-Month AUD BBSW	Fixed rate of 0.500%	Receives Quarterly, Pays Quarterly	Credit Suisse	03/07/2024	AUD	4,000,000	187	—	—	187	—
3-Month NZD LIBOR	Fixed rate of 0.015%	Receives Quarterly, Pays SemiAnnually	Credit Suisse	03/13/2024	NZD	22,900,000	32,075	—	—	32,075	—
Fixed rate of 1.000%	3-Month CAD Canada Bankers’ Acceptances	Receives SemiAnnually, Pays Quarterly	Credit Suisse	03/14/2024	CAD	22,200,000	16,010	—	—	16,010	—
6-Month EURIBOR	Fixed rate of -0.500%	Receives SemiAnnually, Pays Annually	Credit Suisse	03/16/2024	EUR	302,000,000	49,419	—	—	49,419	—
3-Month USD LIBOR	Fixed rate of 0.500%	Receives Quarterly, Pays SemiAnnually	Credit Suisse	03/16/2024	USD	87,500,000	(50,049)	—	—	—	(50,049)
3-Month SEK STIBOR	Fixed rate of 0.000%	Receives Quarterly, Pays Annually	Credit Suisse	03/20/2024	SEK	772,000,000	31,712	—	—	31,712	—
6-Month CHF LIBOR	Fixed rate of -0.500%	Receives SemiAnnually, Pays Annually	Credit Suisse	03/20/2024	CHF	17,100,000	(888)	—	—	—	(888)
6-Month JPY BBA LIBOR	Fixed rate of 0.000%	Receives SemiAnnually, Pays SemiAnnually	Credit Suisse	03/20/2024	JPY	22,945,300,000	(5,512)	—	—	—	(5,512)
Fixed rate of 1.500%	6-Month NOK NIBOR	Receives Annually, Pays SemiAnnually	Credit Suisse	03/20/2024	NOK	800,700,000	(26,839)	—	—	—	(26,839)
Fixed rate of 2.000%	3-Month NZD LIBOR	Receives SemiAnnually, Pays Quarterly	Credit Suisse	12/10/2031	NZD	4,200,000	(11,986)	—	—	—	(11,986)
Fixed rate of 2.000%	6-Month AUD BBSW	Receives SemiAnnually, Pays SemiAnnually	Credit Suisse	12/11/2031	AUD	5,500,000	146,842	—	—	146,842	—
3-Month CAD Canada Bankers’ Acceptances	Fixed rate of 2.000%	Receives Quarterly, Pays SemiAnnually	Credit Suisse	12/13/2031	CAD	15,800,000	(258,746)	—	—	—	(258,746)
Fixed rate of 0.000%	6-Month EURIBOR	Receives Annually, Pays SemiAnnually	Credit Suisse	12/15/2031	EUR	45,700,000	849,956	—	—	849,956	—
SONIA	Fixed rate of 0.750%	Receives Annually, Pays Annually	Credit Suisse	12/15/2031	GBP	53,700,000	472,134	—	—	472,134	—
Fixed rate of 1.750%	3-Month USD LIBOR	Receives SemiAnnually, Pays Quarterly	Credit Suisse	12/15/2031	USD	9,800,000	317,319	—	—	317,319	—
Fixed rate of 0.000%	6-Month EURIBOR	Receives Annually, Pays SemiAnnually	Credit Suisse	12/15/2031	EUR	10,500,000	(54,380)	—	—	—	(54,380)
Fixed rate of 0.000%	6-Month CHF LIBOR	Receives Annually, Pays SemiAnnually	Credit Suisse	12/17/2031	CHF	3,900,000	64,536	—	—	64,536	—
3-Month SEK STIBOR	Fixed rate of 1.000%	Receives Quarterly, Pays Annually	Credit Suisse	12/17/2031	SEK	39,800,000	33,286	—	—	33,286	—
Fixed rate of 0.000%	6-Month JPY BBA LIBOR	Receives SemiAnnually, Pays SemiAnnually	Credit Suisse	12/17/2031	JPY	1,452,000,000	(632)	—	—	—	(632)

18	Columbia Multi Strategy Alternatives Fund \| Quarterly Report 2021

Consolidated Portfolio of Investments (continued)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)

Cleared interest rate swap contracts (continued)
Fund receives	Fund pays	Payment frequency	Counterparty	Maturity date	Notional currency	Notional amount	Value ($)	Upfront payments ($)	Upfront receipts ($)	Unrealized appreciation ($)	Unrealized depreciation ($)
Fixed rate of 0.015%	6-Month NOK NIBOR	Receives Annually, Pays SemiAnnually	Credit Suisse	12/17/2031	NOK	47,000,000	(28,646)	—	—	—	(28,646)
Fixed rate of 0.000%	6-Month CHF LIBOR	Receives Annually, Pays SemiAnnually	Credit Suisse	12/17/2031	CHF	5,500,000	(43,541)	—	—	—	(43,541)
Fixed rate of 1.500%	6-Month AUD BBSW	Receives SemiAnnually, Pays SemiAnnually	Credit Suisse	03/11/2032	AUD	900,000	(1,764)	—	—	—	(1,764)
3-Month CAD Canada Bankers’ Acceptances	Fixed rate of 2.000%	Receives Quarterly, Pays SemiAnnually	Credit Suisse	03/14/2032	CAD	13,800,000	28,130	—	—	28,130	—
3-Month CAD Canada Bankers’ Acceptances	Fixed rate of 2.000%	Receives Quarterly, Pays SemiAnnually	Credit Suisse	03/14/2032	CAD	6,800,000	(6,342)	—	—	—	(6,342)
Fixed rate of 0.250%	6-Month EURIBOR	Receives Annually, Pays SemiAnnually	Credit Suisse	03/16/2032	EUR	26,100,000	(60,989)	—	—	—	(60,989)
Fixed rate of 0.000%	6-Month CHF LIBOR	Receives Annually, Pays SemiAnnually	Credit Suisse	03/17/2032	CHF	1,300,000	(637)	—	—	—	(637)
Fixed rate of 0.000%	6-Month JPY BBA LIBOR	Receives SemiAnnually, Pays SemiAnnually	Credit Suisse	03/17/2032	JPY	1,906,500,000	(10,541)	—	—	—	(10,541)
6-Month EURIBOR	Fixed rate of -0.226%	Receives SemiAnnually, Pays Annually	Morgan Stanley	08/05/2030	EUR	18,523,000	250,388	—	—	250,388	—
6-Month EURIBOR	Fixed rate of -0.148%	Receives SemiAnnually, Pays Annually	Morgan Stanley	09/03/2030	EUR	11,608,000	53,754	—	—	53,754	—
6-Month JPY BBA LIBOR	Fixed rate of 0.066%	Receives SemiAnnually, Pays SemiAnnually	Morgan Stanley	09/03/2030	JPY	3,752,713,000	(121,787)	—	—	—	(121,787)
Fixed rate of -0.283%	6-Month EURIBOR	Receives Annually, Pays SemiAnnually	Morgan Stanley	01/06/2031	EUR	6,820,000	(170,779)	—	—	—	(170,779)
Fixed rate of 1.382%	3-Month CAD Canada Bankers’ Acceptances	Receives SemiAnnually, Pays SemiAnnually	Morgan Stanley	02/01/2031	CAD	24,535,000	(507,426)	—	—	—	(507,426)
3-Month SEK STIBOR	Fixed rate of 0.450%	Receives Quarterly, Pays Annually	Morgan Stanley	02/03/2031	SEK	241,363,000	309,019	—	—	309,019	—
6-Month JPY BBA LIBOR	Fixed rate of 0.070%	Receives SemiAnnually, Pays SemiAnnually	Morgan Stanley	02/03/2031	JPY	2,454,600,000	(59,990)	—	—	—	(59,990)
Fixed rate of 1.751%	3-Month USD LIBOR	Receives SemiAnnually, Pays Quarterly	Morgan Stanley	04/07/2031	USD	8,119,000	390,869	—	—	390,869	—
Fixed rate of 1.952%	3-Month CAD Canada Bankers’ Acceptances	Receives SemiAnnually, Pays SemiAnnually	Morgan Stanley	05/03/2031	CAD	9,400,000	208,726	—	—	208,726	—
Fixed rate of 1.627%	3-Month USD LIBOR	Receives SemiAnnually, Pays Quarterly	Morgan Stanley	06/03/2031	USD	9,376,000	297,684	—	—	297,684	—
Fixed rate of 1.960%	3-Month NZD LIBOR	Receives SemiAnnually, Pays Quarterly	Morgan Stanley	06/03/2031	NZD	8,430,000	13,622	—	—	13,622	—
3-Month SEK STIBOR	Fixed rate of 0.755%	Receives Quarterly, Pays Annually	Morgan Stanley	07/05/2031	SEK	283,245,000	(471,579)	—	—	—	(471,579)
Fixed rate of 0.543%	SONIA	Receives Annually, Pays Annually	Morgan Stanley	08/02/2031	GBP	4,490,000	(54,600)	—	—	—	(54,600)
Fixed rate of 1.578%	3-Month CAD Canada Bankers’ Acceptances	Receives SemiAnnually, Pays SemiAnnually	Morgan Stanley	08/03/2031	CAD	21,590,000	(207,873)	—	—	—	(207,873)

Columbia Multi Strategy Alternatives Fund | Quarterly Report 2021

Consolidated Portfolio of Investments (continued)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)

Cleared interest rate swap contracts (continued)
Fund receives	Fund pays	Payment frequency	Counterparty	Maturity date	Notional currency	Notional amount	Value ($)	Upfront payments ($)	Upfront receipts ($)	Unrealized appreciation ($)	Unrealized depreciation ($)
6-Month AUD BBSW	Fixed rate of 1.250%	Receives SemiAnnually, Pays SemiAnnually	Morgan Stanley	08/04/2031	AUD	18,274,000	108,139	—	—	108,139	—
Fixed rate of 1.259%	3-Month USD LIBOR	Receives SemiAnnually, Pays Quarterly	Morgan Stanley	08/04/2031	USD	13,739,000	(92,493)	—	—	—	(92,493)
Total							1,118,227	—	—	4,081,493	(2,963,266)

Credit default swap contracts - sell protection
Reference entity	Counterparty	Maturity date	Receive fixed rate (%)	Payment frequency	Implied credit spread (%)*	Notional currency	Notional amount	Value ($)	Periodic payments receivable (payable) ($)	Upfront payments ($)	Upfront receipts ($)	Unrealized appreciation ($)	Unrealized depreciation ($)
Markit CMBX North America Index, Series 10 BBB-	Morgan Stanley	11/17/2059	3.000	Monthly	5.009	USD	5,000,000	(448,437)	2,916	—	(983,057)	537,536	—
Markit CMBX North America Index, Series 10 BBB-	Morgan Stanley	11/17/2059	3.000	Monthly	5.009	USD	3,000,000	(269,062)	1,749	—	(690,967)	423,654	—
Markit CMBX North America Index, Series 10 BBB-	Morgan Stanley	11/17/2059	3.000	Monthly	5.009	USD	3,500,000	(313,906)	2,042	—	(671,177)	359,313	—
Markit CMBX North America Index, Series 10 BBB-	Morgan Stanley	11/17/2059	3.000	Monthly	5.009	USD	2,500,000	(224,219)	1,458	—	(506,505)	283,744	—
Markit CMBX North America Index, Series 10 BBB-	Morgan Stanley	11/17/2059	3.000	Monthly	5.009	USD	2,000,000	(179,375)	1,167	—	(446,436)	268,228	—
Markit CMBX North America Index, Series 10 BBB-	Morgan Stanley	11/17/2059	3.000	Monthly	5.009	USD	1,200,000	(107,625)	700	—	(284,870)	177,945	—
Markit CMBX North America Index, Series 10 BBB-	Morgan Stanley	11/17/2059	3.000	Monthly	5.009	USD	2,000,000	(179,375)	1,166	—	(322,727)	144,518	—
Markit CMBX North America Index, Series 10 BBB-	Morgan Stanley	11/17/2059	3.000	Monthly	5.009	USD	5,000,000	(448,437)	2,916	—	(586,456)	140,935	—
Markit CMBX North America Index, Series 10 BBB-	Morgan Stanley	11/17/2059	3.000	Monthly	5.009	USD	750,000	(67,266)	438	—	(125,238)	58,410	—
Markit CMBX North America Index, Series 11 BBB-	Morgan Stanley	11/18/2054	3.000	Monthly	3.839	USD	4,000,000	(178,750)	2,333	—	(782,420)	606,003	—
Markit CMBX North America Index, Series 12 BBB-	Morgan Stanley	08/17/2061	3.000	Monthly	3.835	USD	3,000,000	(148,707)	1,749	—	(441,637)	294,679	—
Total								(2,565,159)	18,634	—	(5,841,490)	3,294,965	—

Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.

20	Columbia Multi Strategy Alternatives Fund \| Quarterly Report 2021

Consolidated Portfolio of Investments (continued)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)

Total return swap contracts
Fund receives	Fund pays	Payment frequency	Counterparty	Maturity date	Notional currency	Notional amount	Value ($)	Periodic payments receivable (payable) ($)	Upfront payments ($)	Upfront receipts ($)	Unrealized appreciation ($)	Unrealized depreciation ($)
Total return on MSCI Netherlands Net Return EUR Index	1-Month EURIBOR plus 0.001%	Monthly	JPMorgan	09/15/2021	EUR	2,337,384	107,637	504	—	—	108,141	—
1-Month EURIBOR minus 0.009%	Total return on MSCI Spain Net Return EUR Index	Monthly	JPMorgan	09/15/2021	EUR	1,463,470	21,664	(913)	—	—	20,751	—
1-Month SGD SOR	Total return on MSCI Singapore Net Return SGD Index	Monthly	JPMorgan	09/15/2021	SGD	893,538	15,972	62	—	—	16,034	—
1-Month EURIBOR minus 0.009%	Total return on MSCI Spain Net Return EUR Index	Monthly	JPMorgan	09/15/2021	EUR	640,505	9,481	(399)	—	—	9,082	—
1-Month EURIBOR minus 0.009%	Total return on MSCI Spain Net Return EUR Index	Monthly	JPMorgan	09/15/2021	EUR	627,743	9,293	(392)	—	—	8,901	—
1-Month EURIBOR minus 0.009%	Total return on MSCI Spain Net Return EUR Index	Monthly	JPMorgan	09/15/2021	EUR	625,350	9,257	(390)	—	—	8,867	—
1-Month EURIBOR minus 0.009%	Total return on MSCI Spain Net Return EUR Index	Monthly	JPMorgan	09/15/2021	EUR	624,951	9,251	(390)	—	—	8,861	—
1-Month EURIBOR minus 0.009%	Total return on MSCI Spain Net Return EUR Index	Monthly	JPMorgan	09/15/2021	EUR	612,986	9,074	(382)	—	—	8,692	—
1-Month GBP LIBOR plus 0.002%	Total return on MSCI United Kingdom Net Return GBP Index	Monthly	JPMorgan	09/15/2021	GBP	196,310	(136)	—	—	—	—	(136)
Total return on MSCI Hong Kong Net Return HKD Index	1-Month HKD HIBOR plus 0.002%	Monthly	JPMorgan	09/15/2021	HKD	1,294,756	(1,914)	(16)	—	—	—	(1,930)
Total return on MSCI Italy Net Return EUR Index	1-Month EURIBOR minus 0.002%	Monthly	JPMorgan	09/15/2021	EUR	303,111	(6,221)	72	—	—	—	(6,149)
Overnight BRL CDI minus 0.004%	Total return on MSCI Brazil Net Return BRL Index	Monthly	JPMorgan	09/15/2021	BRL	6,222,125	(11,096)	2,242	—	—	—	(8,854)
Total							172,262	(2)	—	—	189,329	(17,069)

Total return swap contracts on futures
Reference instrument*	Counterparty	Expiration date	Trading currency	Notional amount long(short)	Upfront payments ($)	Upfront receipts ($)	Value/Unrealized appreciation ($)	Value/Unrealized depreciation ($)
KOSPI 200 Index Sep 21	Citi	09/2021	KRW	104,875,000	—	—	—	(2,971)
Soybean Oil Dec 21	Citi	12/2021	USD	528,750	—	—	—	(56,576)
Bist 30 Index Oct 21	Goldman Sachs	10/2021	TRY	2,744,560	—	—	895	—
DTOP Index Sep 21	Goldman Sachs	09/2021	ZAR	(119,980)	—	—	—	(8)
WIG 20 Index Sep 21	Goldman Sachs	09/2021	PLN	7,497,600	—	—	73,278	—

Columbia Multi Strategy Alternatives Fund | Quarterly Report 2021

Consolidated Portfolio of Investments (continued)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)

Total return swap contracts on futures (continued)
Reference instrument*	Counterparty	Expiration date	Trading currency	Notional amount long(short)	Upfront payments ($)	Upfront receipts ($)	Value/Unrealized appreciation ($)	Value/Unrealized depreciation ($)
KOSPI 200 Index Sep 21	JPMorgan	09/2021	KRW	209,750,000	—	—	—	(5,640)
TAIEX Index Sep 21	JPMorgan	09/2021	TWD	76,802,000	—	—	115,876	—
Bist 30 Index Oct 21	Morgan Stanley	10/2021	TRY	1,948,800	—	—	749	—
Hang Seng Index Sep 21	Morgan Stanley	09/2021	HKD	34,767,900	—	—	63,049	—
H-Shares Index Sep 21	Morgan Stanley	09/2021	HKD	13,717,500	—	—	34,186	—
Ibovespa Index Oct 21	Morgan Stanley	10/2021	BRL	(47,604,400)	—	—	167,896	—
Ibovespa Index Oct 21	Morgan Stanley	10/2021	BRL	54,150,005	—	—	—	(126,310)
KOSPI 200 Index Sep 21	Morgan Stanley	09/2021	KRW	13,319,125,000	—	—	—	(60,713)
Swiss Market Index Sep 21	Morgan Stanley	09/2021	CHF	11,542,230	—	—	—	(129,426)
Swiss Market Index Sep 21	Morgan Stanley	09/2021	CHF	(13,652,100)	—	—	—	(630,157)
TAIEX Index Sep 21	Morgan Stanley	09/2021	TWD	41,892,000	—	—	64,753	—
Total					—	—	520,682	(1,011,801)

If the notional amount of the swap contract is long and the swap contract’s value is positive (negative), the Fund will receive (pay) the total return. If the notional amount of the swap contract is short and the swap contract’s value is positive (negative), the Fund will pay (receive) the total return. Receipts and payments occur upon termination of the contract.

Reference index and values for swap contracts as of period end
Reference index		Reference rate
1-Month GBP LIBOR	London Interbank Offered Rate	0.051%
1-Month HKD HIBOR	Hong Kong Interbank Offered Rate	0.065%
3-Month CAD Canada Bankers’ Acceptances	Canada Bankers’ Acceptances	0.219%
3-Month NZD LIBOR	London Interbank Offered Rate	0.460%
3-Month SEK STIBOR	Stockholm Interbank Offered Rate	0.003%
3-Month USD LIBOR	London Interbank Offered Rate	0.120%
6-Month AUD BBSW	Bank Bill Swap Rate	0.030%
6-Month EURIBOR	Euro Interbank Offered Rate	(0.522%)
6-Month JPY BBA LIBOR	London Interbank Offered Rate	(0.081%)
SONIA	Sterling Overnight Index Average	0.050%
1-Month EURIBOR	Euro Interbank Offered Rate	(0.554%)
3-Month AUD BBSW	Bank Bill Swap Rate	0.012%
6-Month CHF LIBOR	London Interbank Offered Rate	(0.727%)
6-Month NOK NIBOR	Norwegian Interbank Offered Rate	0.610%
1-Month SGD SOR	Swap Offer Rate	0.161%
Overnight BRL CDI	Interbank Certificate of Deposit	0.020%

Notes to Consolidated Portfolio of Investments

(a)	Represents privately placed and other securities and instruments exempt from Securities and Exchange Commission registration (collectively, private placements), such as Section 4(a)(2) and Rule 144A eligible securities, which are often sold only to qualified institutional buyers. At August 31, 2021, the total value of these securities amounted to $234,855,800, which represents 27.67% of total net assets.
(b)	Variable rate security. The interest rate shown was the current rate as of August 31, 2021.
(c)	Represents fair value as determined in good faith under procedures approved by the Board of Trustees. At August 31, 2021, the total value of these securities amounted to $19,629,236, which represents 2.31% of total net assets.
(d)	Security represents a pool of loans that generate cash payments generally over fixed periods of time. Such securities entitle the security holders to receive distributions (i.e. principal and interest, net of fees and expenses) that are tied to the payments made by the borrower on the underlying loans. Due to the structure of the security the cash payments received are not known until the time of payment. The interest rate shown is the stated coupon rate as of August 31, 2021 and is not reflective of the cash flow payments.
(e)	Valuation based on significant unobservable inputs.

22	Columbia Multi Strategy Alternatives Fund \| Quarterly Report 2021

Consolidated Portfolio of Investments (continued)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)

Notes to Consolidated Portfolio of Investments (continued)

(f)	Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of August 31, 2021.
(g)	Represents interest only securities which have the right to receive the monthly interest payments on an underlying pool of mortgage loans.
(h)	Represents a security purchased on a when-issued basis.
(i)	Represents a security purchased on a forward commitment basis.
(j)	This security or a portion of this security has been pledged as collateral in connection with derivative contracts.
(k)	The rate shown is the seven-day current annualized yield at August 31, 2021.
(l)	As defined in the Investment Company Act of 1940, as amended, an affiliated company is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. The value of the holdings and transactions in these affiliated companies during the period ended August 31, 2021 are as follows:

Affiliated issuers	Beginning of period($)	Purchases($)	Sales($)	Net change in unrealized appreciation (depreciation)($)	End of period($)	Realized gain (loss)($)	Dividends($)	End of period shares
Columbia Short-Term Cash Fund, 0.061%
	308,299,190	178,228,323	(128,766,896)	3,834	357,764,451	(3,833)	46,647	357,800,231

Abbreviation Legend

CMO	Collateralized Mortgage Obligation
LIBOR	London Interbank Offered Rate
SOFR	Secured Overnight Financing Rate
TBA	To Be Announced

Currency Legend

AUD	Australian Dollar
BRL	Brazilian Real
CAD	Canada Dollar
CHF	Swiss Franc
CLP	Chilean Peso
CNH	Yuan Offshore Renminbi
COP	Colombian Peso
CZK	Czech Koruna
EUR	Euro
GBP	British Pound
HKD	Hong Kong Dollar
HUF	Hungarian Forint
IDR	Indonesian Rupiah
ILS	Israeli Shekel
INR	Indian Rupee
JPY	Japanese Yen
KRW	South Korean Won
MXN	Mexican Peso
MYR	Malaysian Ringgit
NOK	Norwegian Krone
NZD	New Zealand Dollar
PHP	Philippine Peso
PLN	Polish Zloty
RUB	Russian Ruble
SEK	Swedish Krona

Columbia Multi Strategy Alternatives Fund | Quarterly Report 2021

Consolidated Portfolio of Investments (continued)
Columbia Multi Strategy Alternatives Fund, August 31, 2021 (Unaudited)

Currency Legend (continued)

SGD	Singapore Dollar
THB	Thailand Baht
TRY	Turkish Lira
TWD	New Taiwan Dollar
USD	US Dollar
ZAR	South African Rand

Investments are valued using policies described in the Notes to Consolidated Financial Statements in the most recent shareholder report.

24	Columbia Multi Strategy Alternatives Fund \| Quarterly Report 2021

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You may at any time request, free of charge, to receive a paper copy of this report by calling 800.345.6611.

1QT259_05_L01_(10/21)

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