0001145549-21-006780.txt : 20210212 0001145549-21-006780.hdr.sgml : 20210212 20210212170350 ACCESSION NUMBER: 0001145549-21-006780 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20201231 FILED AS OF DATE: 20210212 PERIOD START: 20201231 FILER: COMPANY DATA: COMPANY CONFORMED NAME: LoCorr Investment Trust CENTRAL INDEX KEY: 0001506768 IRS NUMBER: 000000000 STATE OF INCORPORATION: OH FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-22509 FILM NUMBER: 21629210 BUSINESS ADDRESS: STREET 1: 687 EXCELSIOR BLVD CITY: EXCELSIOR STATE: MN ZIP: 55331 BUSINESS PHONE: 952-767-2920 MAIL ADDRESS: STREET 1: 687 EXCELSIOR BLVD CITY: EXCELSIOR STATE: MN ZIP: 55331 0001506768 S000031540 LoCorr Macro Strategies Fund C000098137 Class A LFMAX C000098138 Class C LFMCX C000098139 Class I LFMIX NPORT-P 1 primary_doc.xml NPORT-P false 0001506768 XXXXXXXX S000031540 C000098137 C000098139 C000098138 LoCorr Investment Trust 811-22509 0001506768 54930075F5KEPQITLS33 687 Excelsior Blvd Excelsior 55331 952-767-2920 LoCorr Macro Strategies Fund S000031540 PVURTL42JCHIUFP5TI06 2020-12-31 2020-12-31 N 1187112714.830000000000 3081243.760000000000 1184031471.070000000000 0.000000000000 25247663.790000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 90575217.900000000000 AUD CAD EUR GBP JPY USD N N/A N/A N/A 1.000000000000 NC USD 177065.890000000000 0.0149544919 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -32209334.560000000000 PLN 7200000.000000000000 EUR 2021-01-20 177065.890000000000 N N N N/A N/A N/A 1.000000000000 NC USD -176101.960000000000 -0.0148730810 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -7200000.000000000000 EUR 32212934.610000000000 PLN 2021-01-20 -176101.960000000000 N N N N/A N/A N/A 1.000000000000 NC USD 5117.430000000000 0.0004322039 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -4685606.910000000000 PLN 1030000.000000000000 EUR 2021-02-17 5117.430000000000 N N N N/A N/A N/A 1.000000000000 NC USD -704515.250000000000 -0.0595013956 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -392156883.900000000000 SEK 38430000.000000000000 EUR 2021-01-20 -704515.250000000000 N N N N/A N/A N/A 1.000000000000 NC USD 559463.800000000000 0.0472507542 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -38430000.000000000000 EUR 390963771.100000000000 SEK 2021-01-20 559463.800000000000 N N N N/A N/A N/A 1.000000000000 NC USD 819.030000000000 0.0000691730 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -1280000.000000000000 EUR 12879752.610000000000 SEK 2021-02-17 819.030000000000 N N N N/A N/A N/A 1.000000000000 NC USD 411554.570000000000 0.0347587526 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -54138257.630000000000 USD 44630000.000000000000 EUR 2021-01-20 411554.570000000000 N N N N/A N/A N/A 1.000000000000 NC USD -112738.380000000000 -0.0095215695 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -38190000.000000000000 EUR 46565669.120000000000 USD 2021-01-20 -112738.380000000000 N N N N/A N/A N/A 1.000000000000 NC USD 9027.310000000000 0.0007624215 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -3523980.300000000000 USD 3837000000.000000000000 KRW 2021-01-20 9027.310000000000 N N N N/A N/A N/A 270.000000000000 NC USD 471713.440000000000 0.0398396032 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long Hard Red Winter Wheat Hard Red Winter Wheat 2021-03-12 7675536.560000000000 USD 471713.440000000000 N N N N/A N/A N/A 1950.000000000000 NC 318561.320000000000 0.0269048018 N/A DIR GB N 1 ICE Futures Europe Financials 549300UF4R84F48NCH34 Long 90 Day Sterling 90 Day Sterling 2021-12-15 243675486.319999999999 GBP 318561.320000000000 N N N N/A N/A N/A -83.000000000000 NC USD -15843.550000000000 -0.0013381021 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Short London Metals - Aluminum London Metals - Aluminum 2021-03-15 -4087468.950000000000 USD -15843.550000000000 N N N N/A N/A N/A 328.000000000000 NC USD 683627.410000000000 0.0577372668 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Long London Metals - Aluminum London Metals - Aluminum 2021-03-15 15531872.590000000000 USD 683627.410000000000 N N N N/A N/A N/A -7.000000000000 NC USD -317.310000000000 -0.0000267991 N/A DCO US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short Live Cattle Live Cattle 2021-02-26 -321752.690000000000 USD -317.310000000000 N N N N/A N/A N/A -17.000000000000 NC USD -31771.450000000000 -0.0026833282 N/A DCO US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Short Lean Hogs Lean Hogs 2021-02-12 -446098.550000000000 USD -31771.450000000000 N N N N/A N/A N/A -13.000000000000 NC USD -10250.500000000000 -0.0008657287 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Short London Metals - Lead London Metals - Lead 2021-03-15 -638043.250000000000 USD -10250.500000000000 N N N N/A N/A N/A 15.000000000000 NC USD -5257.750000000000 -0.0004440549 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Long London Metals - Lead London Metals - Lead 2021-03-15 753289.000000000000 USD -5257.750000000000 N N N N/A N/A N/A -1.000000000000 NC USD -4291.600000000000 -0.0003624566 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Short LMAHDP LMAHDP 2021-01-06 -45084.900000000000 USD -4291.600000000000 N N N N/A N/A N/A 1.000000000000 NC USD 4465.150000000000 0.0003771141 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Long LMAHDP LMAHDP 2021-01-06 44911.350000000000 USD 4465.150000000000 N N N N/A N/A N/A -1.000000000000 NC USD 1504.000000000000 0.0001270237 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Short LMAHDP LMAHDP 2021-03-05 -50904.000000000000 USD 1504.000000000000 N N N N/A N/A N/A 1.000000000000 NC USD -1470.250000000000 -0.0001241732 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Long LMAHDP LMAHDP 2021-03-05 50870.250000000000 USD -1470.250000000000 N N N N/A N/A N/A 1.000000000000 NC USD -2041.250000000000 -0.0001723983 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Long LMAHDP LMAHDP 2021-03-15 51478.750000000000 USD -2041.250000000000 N N N N/A N/A N/A -1.000000000000 NC USD 1934.750000000000 0.0001634036 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Short LMAHDP LMAHDP 2021-03-15 -51372.250000000000 USD 1934.750000000000 N N N N/A N/A N/A -1.000000000000 NC USD 1120.250000000000 0.0000946132 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Short LMAHDP LMAHDP 2021-03-18 -50570.250000000000 USD 1120.250000000000 N N N N/A N/A N/A 1.000000000000 NC USD -1030.250000000000 -0.0000870120 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Long LMAHDP LMAHDP 2021-03-18 50480.250000000000 USD -1030.250000000000 N N N N/A N/A N/A 1.000000000000 NC USD -524.750000000000 -0.0000443189 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Long LMAHDP LMAHDP 2021-03-25 50002.000000000000 USD -524.750000000000 N N N N/A N/A N/A -1.000000000000 NC USD 255.000000000000 0.0000215366 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Short LMAHDP LMAHDP 2021-03-25 -49732.250000000000 USD 255.000000000000 N N N N/A N/A N/A 1.000000000000 NC USD 26817.150000000000 0.0022649018 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Long LMCADP LMCADP 2021-01-06 166962.600000000000 USD 26817.150000000000 N N N N/A N/A N/A -1.000000000000 NC USD -27557.350000000000 -0.0023274170 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Short LMCADP LMCADP 2021-01-06 -166222.400000000000 USD -27557.350000000000 N N N N/A N/A N/A 1.000000000000 NC USD 24726.400000000000 0.0020883229 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Long LMCADP LMCADP 2021-01-08 169125.600000000000 USD 24726.400000000000 N N N N/A N/A N/A -1.000000000000 NC USD -24758.350000000000 -0.0020910213 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Short LMCADP LMCADP 2021-01-08 -169093.650000000000 USD -24758.350000000000 N N N N/A N/A N/A -1.000000000000 NC USD -25440.850000000000 -0.0021486633 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Short LMCADP LMCADP 2021-01-13 -168465.400000000000 USD -25440.850000000000 N N N N/A N/A N/A 1.000000000000 NC USD 26189.900000000000 0.0022119260 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Long LMCADP LMCADP 2021-01-13 167716.350000000000 USD 26189.900000000000 N N N N/A N/A N/A -1.000000000000 NC USD -23307.600000000000 -0.0019684950 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Short LMCADP LMCADP 2021-01-22 -170496.150000000000 USD -23307.600000000000 N N N N/A N/A N/A 1.000000000000 NC USD 23599.150000000000 0.0019931185 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Long LMCADP LMCADP 2021-01-22 170204.600000000000 USD 23599.150000000000 N N N N/A N/A N/A -1.000000000000 NC USD -20928.500000000000 -0.0017675628 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Short LMCADP LMCADP 2021-02-10 -173052.000000000000 USD -20928.500000000000 N N N N/A N/A N/A 1.000000000000 NC USD 20459.250000000000 0.0017279313 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Long LMCADP LMCADP 2021-02-10 173521.250000000000 USD 20459.250000000000 N N N N/A N/A N/A 1.000000000000 NC USD 12064.250000000000 0.0010189130 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Long LMCADP LMCADP 2021-02-17 181854.500000000000 USD 12064.250000000000 N N N N/A N/A N/A -1.000000000000 NC USD -14405.500000000000 -0.0012166484 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Short LMCADP LMCADP 2021-02-17 -179513.250000000000 USD -14405.500000000000 N N N N/A N/A N/A 1.000000000000 NC USD 12657.750000000000 0.0010690383 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Long LMCADP LMCADP 2021-02-19 181275.250000000000 USD 12657.750000000000 N N N N/A N/A N/A -1.000000000000 NC USD -13607.000000000000 -0.0011492093 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Short LMCADP LMCADP 2021-02-19 -180326.000000000000 USD -13607.000000000000 N N N N/A N/A N/A 1.000000000000 NC USD 8867.000000000000 0.0007488821 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Long LMCADP LMCADP 2021-02-24 185076.750000000000 USD 8867.000000000000 N N N N/A N/A N/A -1.000000000000 NC USD -9589.000000000000 -0.0008098602 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Short LMCADP LMCADP 2021-02-24 -184354.750000000000 USD -9589.000000000000 N N N N/A N/A N/A -1.000000000000 NC USD -1872.000000000000 -0.0001581039 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Short LMCADP LMCADP 2021-03-04 -192208.000000000000 USD -1872.000000000000 N N N N/A N/A N/A 1.000000000000 NC USD 1532.500000000000 0.0001294307 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Long LMCADP LMCADP 2021-03-04 192547.500000000000 USD 1532.500000000000 N N N N/A N/A N/A 1.000000000000 NC USD 428.500000000000 0.0000361899 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Long LMCADP LMCADP 2021-03-05 193665.250000000000 USD 428.500000000000 N N N AMSR Trust N/A 00180AAA7 499520.710000000000 PA USD 508851.060000000000 0.0429761432 Long ABS-O CORP US N 2 2037-04-17 Fixed 1.819000000000 N N N N N N AT&T INC 549300Z40J86GGSTL398 00206RCN0 8510000.000000000000 PA USD 9458449.630000000000 0.7988343098 Long DBT CORP US N 2 2025-05-15 Fixed 3.400000000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YAL3 1015000.000000000000 PA USD 1061771.300000000000 0.0896742465 Long DBT CORP US N 2 2022-11-06 Fixed 2.900000000000 N N N N N N ABBVIE INC FR5LCKFTG8054YNNRU85 00287YBM0 1805000.000000000000 PA USD 1870701.690000000000 0.1579942540 Long DBT CORP US N 2 2022-11-21 Fixed 2.300000000000 N N N N N N N/A N/A N/A -1.000000000000 NC USD -671.000000000000 -0.0000566708 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Short LMCADP LMCADP 2021-03-05 -193422.750000000000 USD -671.000000000000 N N N N/A N/A N/A 1.000000000000 NC USD 704.000000000000 0.0000594579 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Long LMCADP LMCADP 2021-03-08 193402.250000000000 USD 704.000000000000 N N N SAUDI ARABIAN OIL CO 5586006WD91QHB7J4X50 80414L2A2 2150000.000000000000 PA USD 2208827.180000000000 0.1865513911 Long DBT CORP SA N 2 2022-04-16 Fixed 2.750000000000 N N N N N N Sequoia Mortgage Trust N/A 81743AAD1 583012.420000000000 PA USD 592170.610000000000 0.0500130803 Long ABS-MBS CORP US N 2 2049-12-25 Variable 3.500000000000 N N N N N N Sequoia Mortgage Trust N/A 81746TAD7 935410.200000000000 PA USD 941817.110000000000 0.0795432497 Long ABS-MBS CORP US N 2 2047-02-25 Variable 3.500000000000 N N N N N N Sequoia Mortgage Trust 5493003EWUCLH0O45S72 81747LAK7 130107.850000000000 PA USD 130131.930000000000 0.0109905803 Long ABS-MBS CORP US N 2 2048-10-25 Variable 4.500000000000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00912XBC7 2850000.000000000000 PA USD 3043228.660000000000 0.2570226159 Long DBT CORP US N 2 2023-07-03 Fixed 3.875000000000 N N N N N N AIR LEASE CORP 5493004NW4M4P8TMMK63 00914AAA0 925000.000000000000 PA USD 1003866.610000000000 0.0847837777 Long DBT CORP US N 2 2024-02-01 Fixed 4.250000000000 N N N N N N N/A N/A N/A -1.000000000000 NC USD -637.750000000000 -0.0000538626 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Short LMCADP LMCADP 2021-03-08 -193468.500000000000 USD -637.750000000000 N N N N/A N/A N/A -1.000000000000 NC USD 1914.500000000000 0.0001616933 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Short LMCADP LMCADP 2021-03-12 -196077.000000000000 USD 1914.500000000000 N N N N/A N/A N/A 1.000000000000 NC USD -1812.000000000000 -0.0001530365 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Long LMCADP LMCADP 2021-03-12 195974.500000000000 USD -1812.000000000000 N N N N/A N/A N/A -2.000000000000 NC USD -29158.000000000000 -0.0024626035 N/A DCO GB N 3 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Short LMNIDP LMNIDP 2021-01-04 -171476.000000000000 USD -29158.000000000000 N N N Sequoia Mortgage Trust N/A 81748KAG7 1401007.350000000000 PA USD 1425151.050000000000 0.1203642880 Long ABS-MBS CORP US N 2 2050-03-25 Variable 3.500000000000 N N N N N N Sequoia Mortgage Trust N/A 81748MAD0 1029605.920000000000 PA USD 1039118.550000000000 0.0877610583 Long ABS-MBS CORP US N 2 2050-02-25 Variable 3.500000000000 N N N N N N N/A N/A N/A 2.000000000000 NC USD 25867.040000000000 0.0021846581 N/A DCO GB N 3 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Long LMNIDP LMNIDP 2021-01-04 174766.960000000000 USD 25867.040000000000 N N N N/A N/A N/A 1.000000000000 NC USD 6918.400000000000 0.0005843088 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Long LMNIDP LMNIDP 2021-01-13 92462.600000000000 USD 6918.400000000000 N N N ALEXANDRIA REAL ESTATE E MGCJBT4MKTQBVLNUIS88 015271AM1 2515000.000000000000 PA USD 2767882.820000000000 0.2337676732 Long DBT CORP US N 2 2024-01-15 Fixed 4.000000000000 N N N N N N AMERICAN EXPRESS CO R4PP93JZOLY261QX3811 025816CD9 505000.000000000000 PA USD 520984.690000000000 0.0440009157 Long DBT CORP US N 2 2022-05-20 Fixed 2.750000000000 N N N N N N Shellpoint Co-Originator Trust N/A 82281FAD6 135451.940000000000 PA USD 135422.610000000000 0.0114374164 Long ABS-MBS CORP US N 2 2047-10-25 Variable 3.500000000000 N N N N N N STIT - Government & Agency Por 5493007T1J7WZ5QI1A47 825252885 50785197.480000000000 NS USD 50785197.480000000000 4.2891763201 Long STIV RF US N 1 N N N N/A N/A N/A -1.000000000000 NC USD -6899.600000000000 -0.0005827210 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Short LMNIDP LMNIDP 2021-01-13 -92481.400000000000 USD -6899.600000000000 N N N N/A N/A N/A 1.000000000000 NC USD 5070.790000000000 0.0004282648 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Long LMNIDP LMNIDP 2021-02-05 94414.790000000000 USD 5070.790000000000 N N N N/A N/A N/A -1.000000000000 NC USD -4401.650000000000 -0.0003717511 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Short LMNIDP LMNIDP 2021-02-05 -95083.930000000000 USD -4401.650000000000 N N N N/A N/A N/A 273.000000000000 NC USD 533964.240000000000 0.0450971324 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long Wheat Wheat 2021-03-12 8208860.760000000000 USD 533964.240000000000 N N N AMERICAN EXPRESS CO R4PP93JZOLY261QX3811 025816CG2 2000000.000000000000 PA USD 2133609.440000000000 0.1801987103 Long DBT CORP US N 2 2024-07-30 Fixed 2.500000000000 N N N N N N American Express Credit Accoun 549300Y4SA5G3GIJTP18 02588QAB4 2390000.000000000000 PA USD 2466002.960000000000 0.2082717411 Long ABS-O CORP US N 2 2024-10-15 Fixed 2.870000000000 N N N N N N Sierra Receivables Funding Co N/A 82653GAA0 1304759.820000000000 PA USD 1362443.770000000000 0.1150682058 Long ABS-O CORP US N 2 2035-09-20 Fixed 3.690000000000 N N N N N N Social Professional Loan Progr N/A 834016AB3 502357.090000000000 PA USD 504450.510000000000 0.0426044850 Long ABS-O CORP US N 2 2033-08-25 Fixed 2.510000000000 N N N N N N American Homes 4 Rent N/A 02665UAA3 746712.820000000000 PA USD 805058.500000000000 0.0679929985 Long ABS-O CORP US N 2 2036-10-17 Fixed 3.786000000000 N N N N N N AMERICAN INTL GROUP ODVCVCQG2BP6VHV36M30 026874DQ7 2215000.000000000000 PA USD 2381117.420000000000 0.2011025448 Long DBT CORP US N 2 2025-06-30 Fixed 2.500000000000 N N N N N N AMERICAN TOWER CORP 5493006ORUSIL88JOE18 03027XBB5 4860000.000000000000 PA USD 4962445.740000000000 0.4191143446 Long DBT CORP US N 2 2025-09-15 Fixed 1.300000000000 N N N N N N AmeriCredit Automobile Receiva N/A 03066PAC3 5420000.000000000000 PA USD 5432432.940000000000 0.4588081544 Long ABS-O CORP US N 2 2025-06-18 Fixed .530000000000 N N N N N N N/A N/A N/A 161.000000000000 NC USD 180147.860000000000 0.0152147865 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long U.S. Treasury Ultra Bonds U.S. Treasury Ultra Bonds 2021-03-22 34203414.640000000000 USD 180147.860000000000 N N N N/A N/A N/A 252.000000000000 NC USD 464669.340000000000 0.0392446781 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Reformulated Gasoline Blendstock Reformulated Gasoline Blendstock 2021-01-29 14459829.060000000000 USD 464669.340000000000 N N N Social Professional Loan Progr 5493005DZE8VF033DB25 83402DAC5 779153.230000000000 PA USD 789136.520000000000 0.0666482724 Long ABS-O CORP US N 2 2032-12-27 Fixed 2.360000000000 N N N N N N Social Professional Loan Progr N/A 83404LAC5 769391.950000000000 PA USD 784128.270000000000 0.0662252895 Long ABS-O CORP US N 2 2033-04-25 Fixed 2.340000000000 N N N N N N STATE STREET CORP 549300ZFEEJ2IP5VME73 857477BL6 2010000.000000000000 PA USD 2074450.010000000000 0.1752022696 Long DBT CORP US N 2 2023-03-30 Variable 2.825000000000 N N N N N N SVENSKA HANDELSBANKEN AB NHBDILHZTYCNBV5UYZ31 86959LAF0 1860000.000000000000 PA USD 1872659.310000000000 0.1581595891 Long DBT CORP SE N 2 2023-06-30 Fixed .625000000000 N N N N N N Angel Oak Mortgage Trust N/A 03464RAD5 1415000.000000000000 PA USD 1408395.200000000000 0.1189491356 Long ABS-MBS CORP US N 2 2059-12-25 Variable 3.161000000000 N N N N N N ANTHEM INC 8MYN82XMYQH89CTMTH67 036752AJ2 2165000.000000000000 PA USD 2315576.510000000000 0.1955671421 Long DBT CORP US N 2 2025-01-15 Fixed 2.375000000000 N N N N N N N/A N/A N/A 53.000000000000 NC USD 74631.420000000000 0.0063031619 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Reformulated Gasoline Blendstock Reformulated Gasoline Blendstock 2021-02-26 3076048.980000000000 USD 74631.420000000000 N N N N/A N/A N/A 19.000000000000 NC USD 25537.000000000000 0.0021567839 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Reformulated Gasoline Blendstock Reformulated Gasoline Blendstock 2021-03-31 1194046.400000000000 USD 25537.000000000000 N N N US TREASURY N/B 254900HROIFWPRGM1V77 912828X70 11530000.000000000000 PA USD 12220899.280000000000 1.0321431126 Long DBT UST US N 2 2024-04-30 Fixed 2.000000000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912828XB1 17555000.000000000000 PA USD 18947056.730000000000 1.6002156356 Long DBT UST US N 2 2025-05-15 Fixed 2.125000000000 N N N N N N N/A N/A N/A 9.000000000000 NC USD 14161.820000000000 0.0011960679 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Reformulated Gasoline Blendstock Reformulated Gasoline Blendstock 2021-04-30 566294.980000000000 USD 14161.820000000000 N N N N/A N/A N/A 489.000000000000 NC 189047.490000000000 0.0159664244 N/A DIR AU N 1 ASX Trade24 N/A Long Austrailian Government 10 Year Bonds Austrailian Government 10 Year Bonds 2021-03-15 71750302.479366000000 AUD 189047.490000000000 N N N N/A N/A N/A -1.000000000000 NC 1636.960000000000 0.0001382531 N/A DE AU N 1 ASX Trade24 N/A Short ASX SPI 200 Index XP_Index 2021-03-18 -165548.299999999999 AUD 1636.960000000000 N N N N/A N/A N/A 408.000000000000 NC USD 202763.600000000000 0.0171248489 N/A DE SG N 1 Singapore Exchange (was SIMEX) 549300IQ650PPXM76X03 Long FTSE China A50 Index XU_Index 2021-01-28 7023732.400000000000 USD 202763.600000000000 N N N N/A N/A N/A 233.000000000000 NC 15105.390000000000 0.0012757592 N/A DIR AU N 1 ASX Trade24 N/A Long Austrailian Government 3 Year Bonds Austrailian Government 3 Year Bonds 2021-03-15 27343571.274649000000 AUD 15105.390000000000 N N N N/A N/A N/A 178.000000000000 NC -113463.480000000000 -0.0095828095 N/A DE GB N 1 ICE Futures Europe Financials 549300UF4R84F48NCH34 Long FTSE 100 Index Z_Index 2021-03-19 11510571.269999999999 GBP -113463.480000000000 N N N US TREASURY N/B 254900HROIFWPRGM1V77 912828YA2 15135000.000000000000 PA USD 15471990.160000000000 1.3067211926 Long DBT UST US N 2 2022-08-15 Fixed 1.500000000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912828YF1 6785000.000000000000 PA USD 6943493.390000000000 0.5864281110 Long DBT UST US N 2 2022-09-15 Fixed 1.500000000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912828YH7 16795000.000000000000 PA USD 17586858.050000000000 1.4853370438 Long DBT UST US N 2 2024-09-30 Fixed 1.500000000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912828YK0 18295000.000000000000 PA USD 18702349.520000000000 1.5795483462 Long DBT UST US N 2 2022-10-15 Fixed 1.375000000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912828Z52 3260000.000000000000 PA USD 3406700.000000000000 0.2877203928 Long DBT UST US N 2 2025-01-31 Fixed 1.375000000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912828ZT0 12575000.000000000000 PA USD 12550930.700000000000 1.0600166471 Long DBT UST US N 2 2025-05-31 Fixed .250000000000 N N N N N N AON CORP LTS3U8DGK38SETRUWX71 037389BD4 1660000.000000000000 PA USD 1715730.330000000000 0.1449058046 Long DBT CORP US N 2 2022-11-15 Fixed 2.200000000000 N N N N N N APPLE INC HWUPKR0MPOU8FGXBT394 037833AK6 1175000.000000000000 PA USD 1232532.620000000000 0.1040962719 Long DBT CORP US N 2 2023-05-03 Fixed 2.400000000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CAB7 33770000.000000000000 PA USD 33671064.370000000000 2.8437643080 Long DBT UST US N 2 2025-07-31 Fixed .250000000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CAT8 16800000.000000000000 PA USD 16727812.420000000000 1.4127844427 Long DBT UST US N 2 2025-10-31 Fixed .250000000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 91282CAX9 41735000.000000000000 PA USD 41739890.920000000000 3.5252349232 Long DBT UST US N 2 2022-11-30 Fixed .125000000000 N N N N N N UNITEDHEALTH GROUP INC 549300GHBMY8T5GXDE41 91324PDW9 995000.000000000000 PA USD 1025725.880000000000 0.0866299507 Long DBT CORP US N 2 2026-01-15 Fixed 1.250000000000 N N N N N N BAT CAPITAL CORP 2138005GYEXN7XRHFA84 05526DAZ8 625000.000000000000 PA USD 676638.860000000000 0.0571470334 Long DBT CORP US N 2 2024-08-15 Fixed 3.222000000000 N N N N N N BAT INTL FINANCE PLC 21380041YBGOQDFAC823 05530QAN0 4085000.000000000000 PA USD 4181483.330000000000 0.3531564348 Long DBT CORP GB N 2 2026-03-25 Fixed 1.668000000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VBR4 2895000.000000000000 PA USD 3262205.710000000000 0.2755168076 Long DBT CORP US N 2 2023-09-15 Fixed 5.150000000000 N N N N N N VERIZON COMMUNICATIONS 2S72QS2UO2OESLG6Y829 92343VCR3 2100000.000000000000 PA USD 2319493.580000000000 0.1958979670 Long DBT CORP US N 2 2024-11-01 Fixed 3.500000000000 N N N N N N Verizon Owner Trust 549300WANFF5OIMC3D47 92348AAA3 705000.000000000000 PA USD 720125.630000000000 0.0608198048 Long ABS-O CORP US N 2 2024-04-22 Fixed 1.940000000000 N N N N N N Verizon Owner Trust 549300XY7L2MRX0BQH89 92348TAA2 6765000.000000000000 PA USD 6927407.360000000000 0.5850695298 Long ABS-O CORP US N 2 2024-07-22 Fixed 1.850000000000 N N N N N N Verizon Owner Trust 549300DBBHVB9QKK8Q94 92348XAA3 4372550.750000000000 PA USD 4430594.610000000000 0.3741956796 Long ABS-O CORP US N 2 2023-04-20 Fixed 3.230000000000 N N N N N N Verizon Owner Trust 54930074536XOX02QB08 92349FAB9 1063348.410000000000 PA USD 1063811.600000000000 0.0898465646 Long ABS-O CORP US N 2 2022-09-20 Floating .411630000000 N N N N N N Barclays Commercial Mortgage S N/A 05546JAA6 1273527.940000000000 PA USD 1254937.740000000000 0.1059885460 Long ABS-MBS CORP US N 2 2036-03-10 Fixed 2.466000000000 N N N N N N BHP Trust N/A 05550TAA7 2366383.320000000000 PA USD 2337222.380000000000 0.1973952920 Long ABS-MBS CORP US N 2 2036-08-15 Floating 1.134020000000 N N N N N N Verizon Owner Trust 549300P0XXSIS1ESEJ26 92349GAA9 2597000.000000000000 PA USD 2648403.980000000000 0.2236768232 Long ABS-O CORP US N 2 2023-12-20 Fixed 2.330000000000 N N N N N N Verus Securitization Trust N/A 92537BAA2 574116.100000000000 PA USD 588747.330000000000 0.0497239596 Long ABS-MBS CORP US N 2 2058-10-25 Variable 4.108000000000 N N N N N N VODAFONE GROUP PLC 213800TB53ELEUKM7Q61 92857WBH2 1915000.000000000000 PA USD 2092630.080000000000 0.1767377077 Long DBT CORP GB N 2 2024-01-16 Fixed 3.750000000000 N N N N N N VOLKSWAGEN GROUP AMERICA 5493002SQ1AVQBY41K40 928668BL5 1800000.000000000000 PA USD 1817843.760000000000 0.1535300205 Long DBT CORP US N 2 2025-11-24 Fixed 1.250000000000 N N N N N N BP CAPITAL MARKETS PLC 549300CRVT18MXX0AG93 05565QBR8 1000000.000000000000 PA USD 1008089.640000000000 0.0851404430 Long DBT CORP GB N 2 2021-03-11 Fixed 4.742000000000 N N N N N N BX Commercial Mortgage Trust 2 N/A 056054AA7 2847893.440000000000 PA USD 2853203.340000000000 0.2409736067 Long ABS-MBS CORP US N 2 2036-10-15 Floating 1.079000000000 N N N N N N WF-RBS COMMERCIAL MORTGAGE TRU N/A 92890KBC8 350000.000000000000 PA USD 386659.910000000000 0.0326562190 Long ABS-MBS CORP US N 2 2057-09-15 Variable 4.069000000000 N N N N N N WF-RBS COMMERCIAL MORTGAGE TRU 549300GADFYEKC4OLM57 92890PAE4 727218.000000000000 PA USD 768520.490000000000 0.0649070999 Long ABS-MBS CORP US N 2 2046-06-15 Fixed 3.337000000000 N N N N N N VOYA FINANCIAL INC 549300T065Z4KJ686G75 929089AD2 1765000.000000000000 PA USD 1907470.800000000000 0.1610996706 Long DBT CORP US N 2 2024-07-15 Fixed 3.125000000000 N N N N N N WF-RBS COMMERCIAL MORTGAGE TRU N/A 92935VAG3 1786906.620000000000 PA USD 1789381.840000000000 0.1511262060 Long ABS-MBS CORP US N 2 2044-03-15 Fixed 4.375000000000 N N N N N N BURLINGTN NORTH SANTA FE N/A 12189LAT8 1580000.000000000000 PA USD 1733628.050000000000 0.1464173962 Long DBT CORP US N 2 2024-09-01 Fixed 3.400000000000 N N N N N N BX Trust N/A 12433AAA7 5000000.000000000000 PA USD 5008017.000000000000 0.4229631663 Long ABS-MBS CORP US N 2 2032-11-15 Floating 1.159000000000 N N N N N N CDP FINANCIAL INC 549300OXMGVYFCBFV096 125094AR3 2190000.000000000000 PA USD 2253667.290000000000 0.1903384619 Long DBT NUSS CA N 2 2022-03-07 Fixed 2.750000000000 N N N N N N COMM Mortgage Trust N/A 12591UAH6 2450000.000000000000 PA USD 2667763.600000000000 0.2253118828 Long ABS-MBS CORP US N 2 2047-03-10 Fixed 4.199000000000 N N N N N N COMM Mortgage Trust N/A 12592GBD4 1380133.000000000000 PA USD 1523093.800000000000 0.1286362599 Long ABS-MBS CORP US N 2 2047-08-10 Fixed 3.796000000000 N N N N N N COMM Mortgage Trust N/A 12592MBK5 724000.000000000000 PA USD 798771.240000000000 0.0674619940 Long ABS-MBS CORP US N 2 2047-10-10 Fixed 3.917000000000 N N N N N N COMM Mortgage Trust N/A 12592RBF5 1668352.280000000000 PA USD 1803856.020000000000 0.1523486549 Long ABS-MBS CORP US N 2 2047-12-10 Fixed 3.528000000000 N N N N N N COMM Mortgage Trust N/A 12624XAD0 615000.000000000000 PA USD 637624.930000000000 0.0538520255 Long ABS-MBS CORP US N 2 2046-03-10 Fixed 3.101000000000 N N N N N N COMM Mortgage Trust 549300YJIXJB9DCDOI21 12626BAD6 615000.000000000000 PA USD 667389.700000000000 0.0563658751 Long ABS-MBS CORP US N 2 2046-08-10 Variable 4.210000000000 N N N N N N COMM Mortgage Trust N/A 12635QBJ8 2000000.000000000000 PA USD 2211287.200000000000 0.1867591575 Long ABS-MBS CORP US N 2 2048-10-10 Fixed 3.984000000000 N N N N N N Credit Suisse Mortgage Trust N/A 12653VAA4 3500000.000000000000 PA USD 3504687.900000000000 0.2959961779 Long ABS-MBS CORP US N 2 2036-05-15 Floating 1.139000000000 N N N N N N CVS HEALTH CORP 549300EJG376EN5NQE29 126650CF5 3880000.000000000000 PA USD 4231617.670000000000 0.3573906415 Long DBT CORP US N 2 2024-08-12 Fixed 3.375000000000 N N N N N N WF-RBS COMMERCIAL MORTGAGE TRU N/A 92937UAF5 650000.000000000000 PA USD 682457.620000000000 0.0576384696 Long ABS-MBS CORP US N 2 2045-05-15 Fixed 3.345000000000 N N N N N N WF-RBS COMMERCIAL MORTGAGE TRU N/A 92939KAE8 1000000.000000000000 PA USD 1093515.400000000000 0.0923552648 Long ABS-MBS CORP US N 2 2047-11-15 Fixed 3.607000000000 N N N N N N California Republic Auto Recei N/A 13057FAC5 83990.880000000000 PA USD 84109.730000000000 0.0071036735 Long ABS-O CORP US N 2 2022-08-15 Fixed 3.140000000000 N N N N N N CAMDEN PROPERTY TRUST 5493002MYX22OHYJBD89 133131AT9 1457000.000000000000 PA USD 1518396.010000000000 0.1282394976 Long DBT CORP US N 2 2022-12-15 Fixed 2.950000000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 94974BFJ4 4195000.000000000000 PA USD 4445638.870000000000 0.3754662759 Long DBT CORP US N 2 2023-02-13 Fixed 3.450000000000 N N N N N N Wells Fargo Commercial Mortgag N/A 94988HAE1 650000.000000000000 PA USD 674869.200000000000 0.0569975728 Long ABS-MBS CORP US N 2 2045-10-15 Fixed 3.539000000000 N N N N N N CAPITAL ONE BANK USA NA LKE37K2B8CFZUR7F9816 140420NB2 1700000.000000000000 PA USD 1796478.860000000000 0.1517256005 Long DBT CORP US N 2 2023-02-15 Fixed 3.375000000000 N N N N N N CarMax Auto Owner Trust 549300LQMUNTYT3DC014 14315NAC4 2309786.220000000000 PA USD 2359907.660000000000 0.1993112276 Long ABS-O CORP US N 2 2024-03-15 Fixed 3.050000000000 N N N N N N WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 95000U2R3 2375000.000000000000 PA USD 2441223.190000000000 0.2061789108 Long DBT CORP US N 2 2024-06-02 Variable 1.654000000000 N N N N N N WISCONSIN ST GEN FUND ANNUAL A 549300VTAT608CNZ5827 977100GY6 2590000.000000000000 PA USD 2762286.800000000000 0.2332950489 Long DBT MUN US N 2 2026-05-01 Fixed 2.096000000000 N N N N N N CarMax Auto Owner Trust N/A 14315XAC2 4150000.000000000000 PA USD 4257333.940000000000 0.3595625660 Long ABS-O CORP US N 2 2024-12-16 Fixed 1.890000000000 N N N N N N CARRIER GLOBAL CORP 549300JE3W6CWY2NAN77 14448CAN4 2685000.000000000000 PA USD 2841167.140000000000 0.2399570627 Long DBT CORP US N 2 2025-02-15 Fixed 2.242000000000 N N N N N N Chase Issuance Trust 5493008SHVCX2Y068L12 161571HP2 3850000.000000000000 PA USD 3951966.480000000000 0.3337720809 Long ABS-O CORP US N 2 2025-01-15 Fixed 1.530000000000 N N N N N N CHEVRON CORP N/A 166764BV1 2485000.000000000000 PA USD 2537322.690000000000 0.2142952068 Long DBT CORP US N 2 2023-05-11 Fixed 1.141000000000 N N N N N N N/A N/A N/A -5.000000000000 NC -1110.630000000000 -0.0000938007 N/A DE ZA N 1 South African Futures Exchange N/A Short FTSE/JSE Top 40 Index AI_Index 2021-03-18 -2714829.150000000007 ZAR -1110.630000000000 N N N N/A N/A N/A 1.000000000000 NC USD -1132306.830000000000 -0.0956314809 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -48100000.000000000000 AUD 35959287.080000000000 USD 2021-01-20 -1132306.830000000000 N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967FT3 2515000.000000000000 PA USD 2622335.970000000000 0.2214751917 Long DBT CORP US N 2 2022-01-14 Fixed 4.500000000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967LV1 5735000.000000000000 PA USD 5897231.450000000000 0.4980637419 Long DBT CORP US N 2 2023-01-24 Variable 3.142000000000 N N N N N N N/A N/A N/A 1.000000000000 NC USD 675900.350000000000 0.0570846609 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -22334768.290000000000 USD 29840000.000000000000 AUD 2021-01-20 675900.350000000000 N N N N/A N/A N/A 1.000000000000 NC USD -231475.030000000000 -0.0195497363 N/A DFE US N 2 BOFA SECURITIES INC. 549300HN4UKV1E2R3U73 BOFA SECURITIES INC. 549300HN4UKV1E2R3U73 -15924000.000000000000 AUD 12053021.700000000000 USD 2021-03-19 -231475.030000000000 N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967LZ2 4140000.000000000000 PA USD 4502435.180000000000 0.3802631340 Long DBT CORP US N 2 2024-06-01 Variable 4.044000000000 N N N N N N CITIGROUP INC 6SHGI4ZSSLCXXQSBB395 172967MT5 1915000.000000000000 PA USD 1927423.010000000000 0.1627847787 Long DBT CORP US N 2 2024-10-30 Variable .776000000000 N N N N N N N/A N/A N/A 1.000000000000 NC USD 1609049.000000000000 0.1358957966 N/A DFE US N 2 BOFA SECURITIES INC. 549300HN4UKV1E2R3U73 BOFA SECURITIES INC. 549300HN4UKV1E2R3U73 -52395986.990000000000 USD 70005000.000000000000 AUD 2021-03-19 1609049.000000000000 N N N N/A N/A N/A 24.000000000000 NC -2643.920000000000 -0.0002232981 N/A DE TH N 1 Thailand Futures Exchange 5493006G4X6OUMF0CE07 Long SET50 Index BC_Index 2021-03-30 4425612.479999999991 THB -2643.920000000000 N N N Citibank Credit Card Issuance R8AG6FXVDQAMDKCSJJ64 17305EGM1 3500000.000000000000 PA USD 3752770.700000000000 0.3169485602 Long ABS-O CORP US N 2 2025-05-23 Fixed 3.290000000000 N N N N N N COMCAST CORP 51M0QTTNCGUN7KFCFZ59 20030NCR0 7625000.000000000000 PA USD 8389089.580000000000 0.7085191386 Long DBT CORP US N 2 2024-04-15 Fixed 3.700000000000 N N N N N N Fannie Mae - CAS N/A 20754CAA7 832969.230000000000 PA USD 833629.690000000000 0.0704060416 Long ABS-MBS CORP US N 2 2040-01-25 Floating .948000000000 N N N N N N Fannie Mae - CAS N/A 20754WAA3 1552746.100000000000 PA USD 1552746.100000000000 0.1311406105 Long ABS-MBS CORP US N 2 2040-01-25 Floating .898000000000 N N N N N N N/A N/A N/A -14.000000000000 NC 2945.300000000000 0.0002487518 N/A DIR SG N 1 Singapore Exchange (was SIMEX) 549300IQ650PPXM76X03 Short 10 Year Japanese Government Bonds 10 Year Japanese Government Bonds 2021-03-12 -212880118.000000000022 JPY 2945.300000000000 N N N N/A N/A N/A 196.000000000000 NC USD 452983.050000000000 0.0382576866 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long Crude Soybean Oil Crude Soybean Oil 2021-03-12 4533256.950000000000 USD 452983.050000000000 N N N COOPERATIEVE RABOBANK UA DG3RU1DBUFHT4ZF9WN62 21685WDF1 2130000.000000000000 PA USD 2261295.050000000000 0.1909826812 Long DBT CORP NL N 2 2022-11-09 Fixed 3.950000000000 N N N N N N Colony American Finance Ltd N/A 21872UAA2 491797.930000000000 PA USD 498898.950000000000 0.0421356157 Long ABS-O CORP US N 2 2050-03-15 Fixed 1.832000000000 N N N N N N CREDIT SUISSE NEW YORK 549300D0YARF5HYP1809 22550L2D2 2610000.000000000000 PA USD 2649480.630000000000 0.2237677540 Long DBT CORP CH N 2 2023-05-05 Fixed 1.000000000000 N N N N N N CROWN CASTLE INTL CORP 54930012H97VSM0I2R19 22822VAS0 1760000.000000000000 PA USD 1796571.960000000000 0.1517334635 Long DBT CORP US N 2 2025-07-15 Fixed 1.350000000000 N N N N N N N/A N/A N/A 1.000000000000 NC USD -165189.280000000000 -0.0139514265 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -36667824.660000000000 USD 189630000.000000000000 BRL 2021-01-20 -165189.280000000000 N N N N/A N/A N/A 1.000000000000 NC USD 344088.420000000000 0.0290607495 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -97100000.000000000000 BRL 19035254.930000000000 USD 2021-01-20 344088.420000000000 N N N CUMMINS INC ZUNI8PYC725B6H8JU438 231021AU0 2800000.000000000000 PA USD 2820260.970000000000 0.2381913859 Long DBT CORP US N 2 2025-09-01 Fixed .750000000000 N N N N N N DB Master Finance LLC 549300F17UZJL70BPB08 233046AJ0 1989812.500000000000 PA USD 2039040.460000000000 0.1722116776 Long ABS-O CORP US N 2 2049-05-20 Fixed 3.787000000000 N N N N N N N/A N/A N/A 160.000000000000 NC -9438.790000000000 -0.0007971739 N/A DE BR N 1 B3 Derivatives N/A Long Sao Paulo Stock Exchange Index(Bovespa) BZ_Index 2021-02-17 19125826.999999999997 BRL -9438.790000000000 N N N N/A N/A N/A 803.000000000000 NC USD 2534096.530000000000 0.2140227344 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long Corn No. 2 Yellow Corn No. 2 Yellow 2021-03-12 16898503.470000000000 USD 2534096.530000000000 N N N N/A N/A N/A 1.000000000000 NC USD 148854.070000000000 0.0125718001 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -29117710.610000000000 USD 37250000.000000000000 CAD 2021-01-20 148854.070000000000 N N N N/A N/A N/A 1.000000000000 NC USD -323326.440000000000 -0.0273072505 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -37700000.000000000000 CAD 29296794.060000000000 USD 2021-01-20 -323326.440000000000 N N N N/A N/A N/A 1.000000000000 NC USD -9764.740000000000 -0.0008247027 N/A DFE US N 2 BOFA SECURITIES INC. 549300HN4UKV1E2R3U73 BOFA SECURITIES INC. 549300HN4UKV1E2R3U73 -2387000.000000000000 CAD 1865880.080000000000 USD 2021-03-19 -9764.740000000000 N N N N/A N/A N/A 1.000000000000 NC USD 105175.930000000000 0.0088828661 N/A DFE US N 2 BOFA SECURITIES INC. 549300HN4UKV1E2R3U73 BOFA SECURITIES INC. 549300HN4UKV1E2R3U73 -25722461.180000000000 USD 32869000.000000000000 CAD 2021-03-19 105175.930000000000 N N N N/A N/A N/A -17.000000000000 NC USD -8783.280000000000 -0.0007418114 N/A DCO US N 1 ICE Futures US Softs 5493004R83R1LVX2IL36 Short US Cocoa US Cocoa 2021-03-16 -433726.720000000000 USD -8783.280000000000 N N N N/A N/A N/A 187.000000000000 NC -57185.520000000000 -0.0048297297 N/A DE FR N 1 Euronext Derivatives Paris 969500HMVSZ0TCV65D58 Euronext Derivatives Paris 969500HMVSZ0TCV65D58 Long CAC40 10 Euro Index CF_Index 2021-01-15 10410350.330000000000 EUR -57185.520000000000 N N N N/A N/A N/A -60.000000000000 NC 43165.120000000000 0.0036456058 N/A DE FR N 1 Euronext Derivatives Paris 969500HMVSZ0TCV65D58 Euronext Derivatives Paris 969500HMVSZ0TCV65D58 Short CAC40 10 Euro Index CF_Index 2021-01-15 -3360533.659999999999 EUR 43165.120000000000 N N N N/A N/A N/A 1.000000000000 NC USD -40870.580000000000 -0.0034518153 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -9500000.000000000000 CHF 10697063.870000000000 USD 2021-01-20 -40870.580000000000 N N N DANSKE BANK A/S MAES062Z21O4RZ2U7M96 23636AAX9 2895000.000000000000 PA USD 3013295.750000000000 0.2544945657 Long DBT CORP DK N 2 2023-01-12 Variable 5.000000000000 N N N N N N Diamond Resorts Owner Trust N/A 252724AA7 1293052.210000000000 PA USD 1350403.860000000000 0.1140513485 Long ABS-O CORP US N 2 2031-01-21 Fixed 3.700000000000 N N N N N N N/A N/A N/A 1.000000000000 NC USD 41659.270000000000 0.0035184259 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -10696275.180000000000 USD 9500000.000000000000 CHF 2021-01-20 41659.270000000000 N N N N/A N/A N/A 1.000000000000 NC USD -10321.690000000000 -0.0008717412 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -4535152.260000000000 USD 4000000.000000000000 CHF 2021-02-17 -10321.690000000000 N N N N/A N/A N/A 1.000000000000 NC USD -437.840000000000 -0.0000369787 N/A DFE US N 2 BOFA SECURITIES INC. 549300HN4UKV1E2R3U73 BOFA SECURITIES INC. 549300HN4UKV1E2R3U73 -195000.000000000000 CHF 220341.960000000000 USD 2021-03-19 -437.840000000000 N N N N/A N/A N/A 1.000000000000 NC USD 223070.620000000000 0.0188399232 N/A DFE US N 2 BOFA SECURITIES INC. 549300HN4UKV1E2R3U73 BOFA SECURITIES INC. 549300HN4UKV1E2R3U73 -68980638.930000000000 USD 61123000.000000000000 CHF 2021-03-19 223070.620000000000 N N N DIAMONDBACK ENERGY INC 549300R22LSX6OHWEN64 25278XAL3 1865000.000000000000 PA USD 1960395.030000000000 0.1655695037 Long DBT CORP US N 2 2024-12-01 Fixed 2.875000000000 N N N N N N Discover Card Execution Note T 549300CKCX1QE4RUW216 254683CE3 2775000.000000000000 PA USD 2785599.950000000000 0.2352640127 Long ABS-O CORP US N 2 2025-08-15 Floating .488630000000 N N N N N N N/A N/A N/A 16.000000000000 NC USD 9168.640000000000 0.0007743578 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Crude Oil Crude Oil 2021-01-20 767151.360000000000 USD 9168.640000000000 N N N N/A N/A N/A -86.000000000000 NC USD -121545.070000000000 -0.0102653581 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short Crude Oil Crude Oil 2021-01-20 -4051174.930000000000 USD -121545.070000000000 N N N Dominos Pizza Master Issuer LL N/A 25755TAF7 1062150.000000000000 PA USD 1063190.910000000000 0.0897941428 Long ABS-O CORP US N 2 2047-07-25 Floating 1.464750000000 N N N N N N DUPONT DE NEMOURS INC 5493004JF0SDFLM8GD76 26078JAB6 1765000.000000000000 PA USD 1947219.130000000000 0.1644567039 Long DBT CORP US N 2 2023-11-15 Fixed 4.205000000000 N N N N N N N/A N/A N/A 28.000000000000 NC USD 15195.120000000000 0.0012833375 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Crude Oil Crude Oil 2021-02-22 1346444.880000000000 USD 15195.120000000000 N N N N/A N/A N/A 14.000000000000 NC USD 7842.560000000000 0.0006623608 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Crude Oil Crude Oil 2021-03-22 673817.440000000000 USD 7842.560000000000 N N N ENTERGY NEW ORLEANS STORE RECO N/A 29277VAA4 787737.800000000000 PA USD 803018.970000000000 0.0678207454 Long ABS-O CORP US N 2 2027-06-01 Fixed 2.670000000000 N N N N N N ENERGY TRANSFER OPERATNG 5493008K8W3OKZE54J59 29278NAP8 790000.000000000000 PA USD 835790.750000000000 0.0705885587 Long DBT CORP US N 2 2025-05-15 Fixed 2.900000000000 N N N N N N N/A N/A N/A 11.000000000000 NC USD 6388.440000000000 0.0005395498 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Crude Oil Crude Oil 2021-04-20 529201.560000000000 USD 6388.440000000000 N N N N/A N/A N/A 8.000000000000 NC USD 4424.290000000000 0.0003736632 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Crude Oil Crude Oil 2021-05-20 384615.710000000000 USD 4424.290000000000 N N N Citigroup Commercial Mortgage N/A 29429JAE0 2100000.000000000000 PA USD 2223118.590000000000 0.1877584038 Long ABS-MBS CORP US N 2 2036-05-10 Fixed 3.644000000000 N N N N N N EQUINOR ASA OW6OFBNCKXC4US5C7523 29446MAJ1 810000.000000000000 PA USD 850889.140000000000 0.0718637267 Long DBT CORP NO N 2 2026-01-22 Fixed 1.750000000000 N N N N N N EQUITABLE FINANCIAL LIFE 635400B4JJBON4TCHF02 29449WAA5 2435000.000000000000 PA USD 2500963.640000000000 0.2112244228 Long DBT CORP US N 2 2025-07-07 Fixed 1.400000000000 N N N N N N EVERSOURCE ENERGY SJ7XXD41SQU3ZNWUJ746 30040WAJ7 350000.000000000000 PA USD 349320.770000000000 0.0295026592 Long DBT CORP US N 2 2025-08-15 Fixed .800000000000 N N N N N N N/A N/A N/A 5.000000000000 NC USD 4520.440000000000 0.0003817838 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Crude Oil Crude Oil 2021-06-22 238079.560000000000 USD 4520.440000000000 N N N N/A N/A N/A 1.000000000000 NC USD -66767.760000000000 -0.0056390190 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -2001000000.000000000000 CLP 2749162.430000000000 USD 2021-01-20 -66767.760000000000 N N N EXELON GENERATION CO LLC S2PEWKCZFFECR4533P43 30161MAR4 620000.000000000000 PA USD 640106.630000000000 0.0540616230 Long DBT CORP US N 2 2022-03-15 Fixed 3.400000000000 N N N N N N EXELON GENERATION CO LLC S2PEWKCZFFECR4533P43 30161MAS2 810000.000000000000 PA USD 883233.660000000000 0.0745954547 Long DBT CORP US N 2 2025-06-01 Fixed 3.250000000000 N N N N N N FRESB Multifamily Mortgage Pas N/A 30294UAC9 1317359.740000000000 PA USD 1336646.020000000000 0.1128893997 Long ABS-MBS USGSE US N 2 2023-05-25 Variable 2.150000000000 N N N N N N FRESB Multifamily Mortgage Pas N/A 302952AB2 2517321.400000000000 PA USD 2591752.550000000000 0.2188922012 Long ABS-MBS USGSE US N 2 2024-04-25 Variable 2.440000000000 N N N N N N N/A N/A N/A 1.000000000000 NC USD 177826.170000000000 0.0150187030 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -3441650.320000000000 USD 2572000000.000000000000 CLP 2021-01-20 177826.170000000000 N N N N/A N/A N/A 1055.000000000000 NC 362766.830000000000 0.0306382760 N/A DIR CA N 1 Montreal Exchange N/A Long Canadian 10 Year Government Bonds Canadian 10 Year Government Bonds 2021-03-22 156838734.129999999999 CAD 362766.830000000000 N N N N/A N/A N/A -8.000000000000 NC USD -7559.360000000000 -0.0006384425 N/A DCO GB N 1 ICE Futures Europe Commodities 549300UF4R84F48NCH34 ICE Futures Europe Commodities 549300UF4R84F48NCH34 Short Brent Crude Oil Brent Crude Oil 2021-01-29 -406840.640000000000 USD -7559.360000000000 N N N N/A N/A N/A 92.000000000000 NC USD 108831.280000000000 0.0091915868 N/A DCO GB N 1 ICE Futures Europe Commodities 549300UF4R84F48NCH34 ICE Futures Europe Commodities 549300UF4R84F48NCH34 Long Brent Crude Oil Brent Crude Oil 2021-01-29 4656768.720000000000 USD 108831.280000000000 N N N N/A N/A N/A 74.000000000000 NC USD 81494.910000000000 0.0068828331 N/A DCO GB N 1 ICE Futures Europe Commodities 549300UF4R84F48NCH34 Long Brent Crude Oil Brent Crude Oil 2021-02-26 3753185.090000000000 USD 81494.910000000000 N N N N/A N/A N/A 32.000000000000 NC USD 29610.330000000000 0.0025008060 N/A DCO GB N 1 ICE Futures Europe Commodities 549300UF4R84F48NCH34 Long Brent Crude Oil Brent Crude Oil 2021-03-31 1627349.670000000000 USD 29610.330000000000 N N N FRESB Multifamily Mortgage Pas N/A 30295LAE4 1770181.690000000000 PA USD 1855483.560000000000 0.1567089731 Long ABS-MBS USGSE US N 2 2026-09-25 Variable 2.310000000000 N N N N N N FRESB Multifamily Mortgage Pas N/A 30300XAJ0 3389530.780000000000 PA USD 3476870.850000000000 0.2936468274 Long ABS-MBS USGSE US N 2 2023-09-25 Variable 1.980000000000 N N N N N N FRESB Multifamily Mortgage Pas N/A 30312XAE7 5149433.290000000000 PA USD 5360458.100000000000 0.4527293599 Long ABS-MBS USGSE US N 2 2024-10-25 Variable 2.250000000000 N N N N N N FRESB Multifamily Mortgage Pas N/A 30314KAS2 3479240.110000000000 PA USD 3581133.140000000000 0.3024525300 Long ABS-MBS USGSE US N 2 2024-07-25 Variable 2.090000000000 N N N N N N Fannie Mae - CAS N/A 30711XAF1 1411376.340000000000 PA USD 1374698.760000000000 0.1161032281 Long ABS-MBS CORP US N 2 2024-05-25 Floating 2.748000000000 N N N N N N Fannie Mae - CAS N/A 30711XAK0 1500947.010000000000 PA USD 1456731.210000000000 0.1230314604 Long ABS-MBS CORP US N 2 2024-07-25 Floating 3.148000000000 N N N N N N Fannie Mae - CAS N/A 30711XHU1 902105.780000000000 PA USD 880632.780000000000 0.0743757917 Long ABS-MBS CORP US N 2 2029-09-25 Floating .998000000000 N N N N N N Fannie Mae - CAS N/A 30711XZL1 1738000.000000000000 PA USD 1694762.210000000000 0.1431348956 Long ABS-MBS CORP US N 2 2030-07-25 Floating .598000000000 N N N N N N FEDERAL HOME LOAN BANK 2549001DPIFGXC1TOL40 3130AEBM1 6015000.000000000000 PA USD 6242492.110000000000 0.5272234955 Long DBT USGSE US N 2 2022-06-10 Fixed 2.750000000000 N N N N N N FEDERAL HOME LOAN BANK 2549001DPIFGXC1TOL40 313379Q69 14115000.000000000000 PA USD 14522390.090000000000 1.2265206158 Long DBT USGSE US N 2 2022-06-10 Fixed 2.125000000000 N N N N N N N/A N/A N/A 17.000000000000 NC USD 13719.120000000000 0.0011586787 N/A DCO GB N 1 ICE Futures Europe Commodities 549300UF4R84F48NCH34 Long Brent Crude Oil Brent Crude Oil 2021-04-30 864500.880000000000 USD 13719.120000000000 N N N N/A N/A N/A 10.000000000000 NC USD 11367.590000000000 0.0009600750 N/A DCO GB N 1 ICE Futures Europe Commodities 549300UF4R84F48NCH34 Long Brent Crude Oil Brent Crude Oil 2021-05-28 503532.410000000000 USD 11367.590000000000 N N N FEDERAL HOME LOAN BANK 2549001DPIFGXC1TOL40 313383QR5 15200000.000000000000 PA USD 16325344.920000000000 1.3787931587 Long DBT USGSE US N 2 2023-06-09 Fixed 3.250000000000 N N N N N N FEDERAL HOME LOAN BANK 2549001DPIFGXC1TOL40 313383YJ4 9000000.000000000000 PA USD 9769758.570000000000 0.8251265958 Long DBT USGSE US N 2 2023-09-08 Fixed 3.375000000000 N N N N N N N/A N/A N/A 1.000000000000 NC USD 2375.640000000000 0.0002006399 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -58818.530000000000 USD 209000000.000000000000 COP 2021-01-20 2375.640000000000 N N N N/A N/A N/A 1.000000000000 NC USD -1471.600000000000 -0.0001242872 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -287000000.000000000000 COP 82560.570000000000 USD 2021-01-20 -1471.600000000000 N N N N/A N/A N/A 6.000000000000 NC USD 4012.240000000000 0.0003388626 N/A DCO GB N 1 ICE Futures Europe Commodities 549300UF4R84F48NCH34 Long Brent Crude Oil Brent Crude Oil 2021-06-30 304087.760000000000 USD 4012.240000000000 N N N N/A N/A N/A 159.000000000000 NC USD 472381.840000000000 0.0398960544 N/A DCO US N 1 ICE Futures US Softs 5493004R83R1LVX2IL36 Long Cotton No.2 Cotton No.2 2021-03-09 5738158.160000000000 USD 472381.840000000000 N N N FEDERAL FARM CREDIT BANK N/A 3133EJUS6 10985000.000000000000 PA USD 11722982.630000000000 0.9900904593 Long DBT USGSE US N 2 2023-07-17 Fixed 2.875000000000 N N N N N N FEDERAL FARM CREDIT BANK N/A 3133EKSN7 5135000.000000000000 PA USD 5332527.430000000000 0.4503704133 Long DBT USGSE US N 2 2023-06-26 Fixed 1.770000000000 N N N N N N N/A N/A N/A 264.000000000000 NC USD 533490.820000000000 0.0450571487 N/A DE US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long Dow Jones Industrial Average Index DM_Index 2021-03-19 39722549.180000000000 USD 533490.820000000000 N N N N/A N/A N/A -216.000000000000 NC -6091.040000000000 -0.0005144323 N/A DIR DE N 1 Eurex 529900UT4DG0LG5R9O07 Eurex 529900UT4DG0LG5R9O07 Short Euro-Schatz Euro-Schatz 2021-03-08 -24246413.890000000000 EUR -6091.040000000000 N N N FREDDIE MAC S6XOOCT0IEG5ABCC6L87 3134GV5J3 6730000.000000000000 PA USD 6730045.970000000000 0.5684009365 Long DBT USGSE US N 2 2022-07-08 Fixed .320000000000 N N N N N N FREDDIE MAC S6XOOCT0IEG5ABCC6L87 3134GWAK2 6725000.000000000000 PA USD 6734763.890000000000 0.5687993989 Long DBT USGSE US N 2 2023-07-20 Fixed .410000000000 N N N N N N N/A N/A N/A 955.000000000000 NC -61029.610000000000 -0.0051543909 N/A DIR DE N 1 Eurex 529900UT4DG0LG5R9O07 Eurex 529900UT4DG0LG5R9O07 Long Euro-Schatz Euro-Schatz 2021-03-08 107272582.010000000000 EUR -61029.610000000000 N N N N/A N/A N/A -117.000000000000 NC USD 58281.760000000000 0.0049223151 N/A DFE US N 1 ICE Futures US Currencies 5493004R83R1LVX2IL36 Short Dollar Index Dollar Index 2021-03-15 -10575879.760000000000 USD 58281.760000000000 N N N N/A N/A N/A 375.000000000000 NC USD 23714.850000000000 0.0020028902 N/A DIR US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long 3 Month Eurodollar Time Deposits 3 Month Eurodollar Time Deposits 2022-03-14 93557535.150000000000 USD 23714.850000000000 N N N N/A N/A N/A 392.000000000000 NC USD 53929.810000000000 0.0045547615 N/A DIR US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long 3 Month Eurodollar Time Deposits 3 Month Eurodollar Time Deposits 2023-03-13 97696170.190000000000 USD 53929.810000000000 N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3135G05G4 9000000.000000000000 PA USD 9021491.730000000000 0.7619300627 Long DBT USGSE US N 2 2023-07-10 Fixed .250000000000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3135G05X7 7465000.000000000000 PA USD 7463363.970000000000 0.6303349322 Long DBT USGSE US N 2 2025-08-25 Fixed .375000000000 N N N N N N N/A N/A N/A 2977.000000000000 NC USD 179703.070000000000 0.0151772207 N/A DIR US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long 3 Month Eurodollar Time Deposits 3 Month Eurodollar Time Deposits 2022-06-13 742656221.930000000000 USD 179703.070000000000 N N N N/A N/A N/A 128.000000000000 NC USD 792.130000000000 0.0000669011 N/A DIR US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long 3 Month Eurodollar Time Deposits 3 Month Eurodollar Time Deposits 2021-09-13 31944807.870000000000 USD 792.130000000000 N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3135G0V59 3500000.000000000000 PA USD 3597753.920000000000 0.3038562748 Long DBT USGSE US N 2 2022-04-12 Fixed 2.250000000000 N N N N N N FANNIE MAE B1V7KEBTPIMZEU4LTD58 3135G0W33 5855000.000000000000 PA USD 5979589.420000000000 0.5050194666 Long DBT USGSE US N 2 2022-09-06 Fixed 1.375000000000 N N N N N N N/A N/A N/A 432.000000000000 NC USD 51320.410000000000 0.0043343789 N/A DIR US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long 3 Month Eurodollar Time Deposits 3 Month Eurodollar Time Deposits 2022-09-19 107727279.590000000000 USD 51320.410000000000 N N N N/A N/A N/A 174.000000000000 NC USD 7911.490000000000 0.0006681824 N/A DIR US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long 3 Month Eurodollar Time Deposits 3 Month Eurodollar Time Deposits 2022-12-19 43381163.510000000000 USD 7911.490000000000 N N N N/A N/A N/A 7.000000000000 NC -399.400000000000 -0.0000337322 N/A DE NL N 1 Euronext Derivatives Amsterdam 724500V6UOK62XEZ2L78 Long Amsterdam Exchanges Index EO_Index 2021-01-15 874668.950000000000 EUR -399.400000000000 N N N N/A N/A N/A 1299.000000000000 NC -61510.770000000000 -0.0051950283 N/A DIR GB N 1 ICE Futures Europe Financials 549300UF4R84F48NCH34 Long 3 Month Euribor 3 Month Euribor 2022-06-13 326570238.379999999999 EUR -61510.770000000000 N N N Fanniemae-Aces N/A 3136AV7F0 3540024.890000000000 PA USD 3740512.780000000000 0.3159132904 Long ABS-MBS USGSE US N 2 2026-12-25 Fixed 2.595000000000 N N N N N N Fanniemae-Aces N/A 3136AX4T9 5223526.570000000000 PA USD 5497845.290000000000 0.4643326993 Long ABS-MBS USGSE US N 2 2027-06-25 Fixed 2.747000000000 N N N N N N N/A N/A N/A 255.000000000000 NC USD 631651.030000000000 0.0533474866 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long S&P 500 Index ES_Index 2021-03-19 47165548.970000000000 USD 631651.030000000000 N N N N/A N/A N/A 1.000000000000 NC USD 438159.300000000000 0.0370057140 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -25300000.000000000000 EUR 268903832.830000000000 NOK 2021-01-20 438159.300000000000 N N N N/A N/A N/A 1.000000000000 NC USD -323045.040000000000 -0.0272834843 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -213734610.220000000000 NOK 20130000.000000000000 EUR 2021-01-20 -323045.040000000000 N N N N/A N/A N/A 1.000000000000 NC USD 796976.220000000000 0.0673103916 N/A DFE US N 2 BOFA SECURITIES INC. 549300HN4UKV1E2R3U73 BOFA SECURITIES INC. 549300HN4UKV1E2R3U73 -92113088.860000000000 USD 75917000.000000000000 EUR 2021-03-19 796976.220000000000 N N N Fanniemae-Aces N/A 3136B4KH0 5546219.060000000000 PA USD 6116770.260000000000 0.5166053783 Long ABS-MBS USGSE US N 2 2028-08-01 Fixed 3.300000000000 N N N N N N FHLMC Multifamily Structured P N/A 3137BSRD7 1802003.150000000000 PA USD 1917037.440000000000 0.1619076424 Long ABS-MBS USGSE US N 2 2025-09-25 Fixed 2.761000000000 N N N N N N FREDDIE MAC S6XOOCT0IEG5ABCC6L87 3137EAEW5 2000000.000000000000 PA USD 2003885.660000000000 0.1692426011 Long DBT USGSE US N 2 2023-09-08 Fixed .250000000000 N N N N N N FHLMC Multifamily Structured P N/A 3137FQ3N1 4085000.000000000000 PA USD 4263920.550000000000 0.3601188528 Long ABS-MBS USGSE US N 2 2026-02-25 Fixed 2.169000000000 N N N N N N N/A N/A N/A 1.000000000000 NC USD 21048.160000000000 0.0017776690 N/A DFE US N 2 BOFA SECURITIES INC. 549300HN4UKV1E2R3U73 BOFA SECURITIES INC. 549300HN4UKV1E2R3U73 -16468000.000000000000 EUR 20175202.720000000000 USD 2021-03-19 21048.160000000000 N N N N/A N/A N/A 5.000000000000 NC USD -1338.560000000000 -0.0001130510 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long S&P Mid Cap 400 Index FA_Index 2021-03-19 1153088.560000000000 USD -1338.560000000000 N N N N/A N/A N/A 76.000000000000 NC 40351.780000000000 0.0034079989 N/A DE TW N 1 Taiwan Futures Exchange 549300J778QS7XTS7440 Long TAIEX Index FT_Index 2021-01-20 221971793.599999999998 TWD 40351.780000000000 N N N N/A N/A N/A 4130.000000000000 NC USD 867218.370000000000 0.0732428479 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long U.S. Treasury 5 Year Note U.S. Treasury 5 Year Note 2021-03-31 520190362.990000000000 USD 867218.370000000000 N N N N/A N/A N/A 1004.000000000000 NC 1160110.750000000000 0.0979797225 N/A DIR GB N 1 ICE Futures Europe Financials 549300UF4R84F48NCH34 Long Long Gilt Long Gilt 2021-03-29 135233817.309999999999 GBP 1160110.750000000000 N N N N/A N/A N/A 1.000000000000 NC USD -1725487.580000000000 -0.1457298748 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -59930000.000000000000 GBP 80242715.000000000000 USD 2021-01-20 -1725487.580000000000 N N N Freddie Mac - STACR N/A 3137G0NW5 628862.760000000000 PA USD 628863.010000000000 0.0531120182 Long ABS-MBS CORP US N 2 2029-10-25 Floating 1.348000000000 N N N N N N FIFTH THIRD BANCORP THRNG6BD57P9QWTQLG42 316773CZ1 2505000.000000000000 PA USD 2583711.680000000000 0.2182130917 Long DBT CORP US N 2 2023-05-05 Fixed 1.625000000000 N N N N N N N/A N/A N/A 1.000000000000 NC USD 1468251.720000000000 0.1240044505 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -68751129.590000000000 USD 51340000.000000000000 GBP 2021-01-20 1468251.720000000000 N N N N/A N/A N/A 1.000000000000 NC USD -810250.340000000000 -0.0684314868 N/A DFE US N 2 BOFA SECURITIES INC. 549300HN4UKV1E2R3U73 BOFA SECURITIES INC. 549300HN4UKV1E2R3U73 -25851000.000000000000 GBP 34558279.590000000000 USD 2021-03-19 -810250.340000000000 N N N N/A N/A N/A 1.000000000000 NC USD 1433730.340000000000 0.1210888709 N/A DFE US N 2 BOFA SECURITIES INC. 549300HN4UKV1E2R3U73 BOFA SECURITIES INC. 549300HN4UKV1E2R3U73 -80930027.420000000000 USD 60200000.000000000000 GBP 2021-03-19 1433730.340000000000 N N N N/A N/A N/A 234.000000000000 NC USD 884639.690000000000 0.0747142041 N/A DCO US N 1 Commodity Exchange, Inc. N/A Long Gold Gold 2021-02-24 43460700.310000000000 USD 884639.690000000000 N N N Flagstar Mortgage Trust N/A 33850RAE2 214431.700000000000 PA USD 214177.530000000000 0.0180888376 Long ABS-MBS CORP US N 2 2047-10-25 Variable 3.500000000000 N N N N N N Ford Credit Auto Lease Trust 5493006E18I81G847N31 34528DAD5 2244000.000000000000 PA USD 2264763.730000000000 0.1912756363 Long ABS-O CORP US N 2 2022-10-15 Fixed 2.220000000000 N N N N N N N/A N/A N/A 56.000000000000 NC 11892.870000000000 0.0010044387 N/A DE DE N 1 Eurex 529900UT4DG0LG5R9O07 Long German Stock Index GX_Index 2021-03-19 19234664.849999999998 EUR 11892.870000000000 N N N N/A N/A N/A 265.000000000000 NC 459477.250000000000 0.0388061687 N/A DE HK N 1 Hong Kong Futures Exchange N/A Long Hang Seng China Enterprises Index HC_Index 2021-01-28 138226178.440000000003 HKD 459477.250000000000 N N N Ford Credit Auto Owner Trust/F N/A 34528HAA2 1400000.000000000000 PA USD 1501214.120000000000 0.1267883630 Long ABS-O CORP US N 2 2030-01-15 Fixed 3.470000000000 N N N N N N Ford Credit Auto Owner Trust/F N/A 34530UAA9 2350000.000000000000 PA USD 2355481.610000000000 0.1989374157 Long ABS-O CORP US N 2 2027-08-15 Fixed 2.310000000000 N N N N N N N/A N/A N/A 135.000000000000 NC USD 45341.630000000000 0.0038294278 N/A DCO US N 1 Commodity Exchange, Inc. N/A Long Copper Copper 2021-03-29 11831283.370000000000 USD 45341.630000000000 N N N N/A N/A N/A 266.000000000000 NC 1161562.020000000000 0.0981022927 N/A DE HK N 1 Hong Kong Futures Exchange N/A Long Hang Seng Index HI_Index 2021-01-28 353007746.810000000003 HKD 1161562.020000000000 N N N Freddie Mac - STACR 549300YG8OJES76WL398 35564ABF7 2000000.000000000000 PA USD 2002541.800000000000 0.1691291025 Long ABS-MBS CORP US N 2 2047-02-25 Floating 2.548000000000 N N N N N N Freddie Mac - STACR 5493003FQV7GR462GO02 35565HAA3 583645.280000000000 PA USD 583989.980000000000 0.0493221670 Long ABS-MBS CORP US N 2 2050-01-25 Floating .848000000000 N N N N N N N/A N/A N/A -12.000000000000 NC USD 7608.960000000000 0.0006426316 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short NY Harbor ULSD NY Harbor ULSD 2021-01-29 -755544.960000000000 USD 7608.960000000000 N N N N/A N/A N/A 89.000000000000 NC USD -21080.920000000000 -0.0017804358 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long NY Harbor ULSD NY Harbor ULSD 2021-01-29 5568272.920000000000 USD -21080.920000000000 N N N N/A N/A N/A 32.000000000000 NC USD -6551.540000000000 -0.0005533248 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long NY Harbor ULSD NY Harbor ULSD 2021-02-26 2002929.140000000000 USD -6551.540000000000 N N N N/A N/A N/A 11.000000000000 NC USD 1885.300000000000 0.0001592272 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long NY Harbor ULSD NY Harbor ULSD 2021-03-31 684230.900000000000 USD 1885.300000000000 N N N Freddie Mac - STACR N/A 35565LAA4 302574.700000000000 PA USD 302765.780000000000 0.0255707544 Long ABS-MBS CORP US N 2 2050-03-25 Floating 1.248000000000 N N N N N N GE CAPITAL INTL FUNDING 549300G6UZOB126GBY72 36164Q6M5 4605000.000000000000 PA USD 5110948.400000000000 0.4316564656 Long DBT CORP IE N 2 2025-11-15 Fixed 3.373000000000 N N N N N N N/A N/A N/A 4.000000000000 NC USD -478.220000000000 -0.0000403891 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long NY Harbor ULSD NY Harbor ULSD 2021-04-30 250126.220000000000 USD -478.220000000000 N N N N/A N/A N/A -8.000000000000 NC 8327.720000000000 0.0007033360 N/A DE ES N 1 Meff Renta Variable (Madrid) N/A Short IBEX 35 Index IB_Index 2021-01-15 -652472.820000000000 EUR 8327.720000000000 N N N GS Mortgage Securities Trust N/A 36248GAJ9 206000.000000000000 PA USD 218127.430000000000 0.0184224352 Long ABS-MBS CORP US N 2 2046-11-10 Variable 5.161000000000 N N N N N N GS Mortgage Securities Trust 5493002EPQ51IPGGFX73 36251FAW6 1000000.000000000000 PA USD 1093022.600000000000 0.0923136442 Long ABS-MBS CORP US N 2 2048-02-10 Fixed 3.396000000000 N N N N N N N/A N/A N/A -56.000000000000 NC USD -1066.320000000000 -0.0000900584 N/A DE SG N 1 Singapore Exchange (was SIMEX) 549300IQ650PPXM76X03 Short SGX Nifty 50 Index IH_Index 2021-01-28 -1568725.680000000000 USD -1066.320000000000 N N N N/A N/A N/A 372.000000000000 NC 4141.170000000000 0.0003497517 N/A DIR DE N 1 Eurex 529900UT4DG0LG5R9O07 Long Euro-BTP Italian Government Bonds Euro-BTP Italian Government Bonds 2021-03-08 56544330.059999999999 EUR 4141.170000000000 N N N GS Mortgage Securities Trust 5493002EPQ51IPGGFX73 36251FBA3 1985000.000000000000 PA USD 2165227.080000000000 0.1828690481 Long ABS-MBS CORP US N 2 2048-02-10 Fixed 3.759000000000 N N N N N N GS Mortgage Securities Trust N/A 36255MAA5 3000000.000000000000 PA USD 3065481.900000000000 0.2589020626 Long ABS-MBS CORP US N 2 2032-10-10 Fixed 3.419000000000 N N N N N N GM Financial Securitized Term N/A 36258NAC6 1680000.000000000000 PA USD 1716389.980000000000 0.1449615168 Long ABS-O CORP US N 2 2024-09-16 Fixed 1.840000000000 N N N N N N GM Financial Consumer Automobi N/A 36258VAC8 970558.510000000000 PA USD 973814.440000000000 0.0822456551 Long ABS-O CORP US N 2 2023-03-16 Floating 1.203130000000 N N N N N N GSCG Trust N/A 36260TAA3 2065000.000000000000 PA USD 2114402.030000000000 0.1785765059 Long ABS-MBS CORP US N 2 2034-09-06 Fixed 2.935900000000 N N N N N N GENERAL MOTORS FINL CO 5493008B6JBRUJ90QL97 37045XCX2 3845000.000000000000 PA USD 4111473.530000000000 0.3472436021 Long DBT CORP US N 2 2025-06-20 Fixed 2.750000000000 N N N N N N GILEAD SCIENCES INC 549300WTZWR07K8MNV44 375558BW2 1650000.000000000000 PA USD 1655014.420000000000 0.1397779080 Long DBT CORP US N 2 2023-09-29 Fixed .750000000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GRD8 3685000.000000000000 PA USD 3932383.190000000000 0.3321181308 Long DBT CORP US N 2 2023-01-22 Fixed 3.625000000000 N N N N N N N/A N/A N/A 1.000000000000 NC USD 62853.790000000000 0.0053084560 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -3100014.710000000000 USD 10160000.000000000000 ILS 2021-01-20 62853.790000000000 N N N N/A N/A N/A 1.000000000000 NC USD -116153.740000000000 -0.0098100213 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -22570000.000000000000 ILS 6910021.670000000000 USD 2021-01-20 -116153.740000000000 N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GWT7 4935000.000000000000 PA USD 5214413.530000000000 0.4403948423 Long DBT CORP US N 2 2023-02-23 Fixed 3.200000000000 N N N N N N GOLDMAN SACHS GROUP INC 784F5XWPLTWKTBV3E584 38141GXJ8 1925000.000000000000 PA USD 2138655.170000000000 0.1806248586 Long DBT CORP US N 2 2025-04-01 Fixed 3.500000000000 N N N N N N HSBC BANK CANADA DMB80L5QKUQ124HSYW98 40427HTH6 2000000.000000000000 PA USD 2043904.200000000000 0.1726224556 Long DBT CORP CA N 2 2022-09-10 Fixed 1.650000000000 N N N N N N HSBC HOLDINGS PLC MLU0ZO3ML4LN2LL2TL39 404280CG2 2600000.000000000000 PA USD 2701770.840000000000 0.2281840395 Long DBT CORP GB N 2 2026-06-04 Variable 2.099000000000 N N N N N N N/A N/A N/A 1.000000000000 NC USD -5960.830000000000 -0.0005034351 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -43210000.000000000000 INR 584029.580000000000 USD 2021-01-20 -5960.830000000000 N N N N/A N/A N/A 1.000000000000 NC USD 76978.760000000000 0.0065014117 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -5696216.020000000000 USD 422820000.000000000000 INR 2021-01-20 76978.760000000000 N N N N/A N/A N/A -93.000000000000 NC 98433.840000000000 0.0083134479 N/A DIR JP N 1 Osaka Exchange 3538001249AILNPRUX57 Osaka Exchange 3538001249AILNPRUX57 Short Japanese 10 Year Government Bonds Japanese 10 Year Government Bonds 2021-03-15 -14138723786.999999999978 JPY 98433.840000000000 N N N N/A N/A N/A 10.000000000000 NC -3235.770000000000 -0.0002732841 N/A DIR JP N 1 Osaka Exchange 3538001249AILNPRUX57 Osaka Exchange 3538001249AILNPRUX57 Long Japanese 10 Year Government Bonds Japanese 10 Year Government Bonds 2021-03-15 1519534110.000000000004 JPY -3235.770000000000 N N N HIGHWOODS REALTY LP JUJNVZX73BIYHLR58F51 431282AN2 474000.000000000000 PA USD 477301.460000000000 0.0403115518 Long DBT CORP US N 2 2021-06-15 Fixed 3.200000000000 N N N N N N Hilton Grand Vacations Trust N/A 43284HAA7 2514874.460000000000 PA USD 2603627.650000000000 0.2198951391 Long ABS-O CORP US N 2 2033-07-25 Fixed 2.340000000000 N N N N N N N/A N/A N/A 1.000000000000 NC USD -24996.340000000000 -0.0021111213 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -643000000.000000000000 JPY 6202649.630000000000 USD 2021-01-04 -24996.340000000000 N N N N/A N/A N/A 1.000000000000 NC USD 16868.760000000000 0.0014246885 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -6210777.240000000000 USD 643000000.000000000000 JPY 2021-01-04 16868.760000000000 N N N Honda Auto Receivables Owner T N/A 43813KAC6 6550000.000000000000 PA USD 6561075.400000000000 0.5541301528 Long ABS-O CORP US N 2 2024-10-18 Fixed .370000000000 N N N N N N Honda Auto Receivables Owner T N/A 43814WAC9 4538820.430000000000 PA USD 4616007.160000000000 0.3898551071 Long ABS-O CORP US N 2 2023-03-20 Fixed 2.830000000000 N N N N N N HUNTINGTON NATIONAL BANK 2WHM8VNJH63UN14OL754 44644AAH0 1735000.000000000000 PA USD 1791104.920000000000 0.1512717325 Long DBT CORP US N 2 2022-04-01 Fixed 3.125000000000 N N N N N N Hyundai Auto Receivables Trust N/A 44891RAC4 5520000.000000000000 PA USD 5529600.380000000000 0.4670146457 Long ABS-O CORP US N 2 2025-05-15 Fixed .380000000000 N N N N N N N/A N/A N/A 1.000000000000 NC USD -645.840000000000 -0.0000545458 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -8368858.240000000000 USD 864000000.000000000000 JPY 2021-01-05 -645.840000000000 N N N N/A N/A N/A 1.000000000000 NC USD 673.400000000000 0.0000568735 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -864000000.000000000000 JPY 8368885.800000000000 USD 2021-01-05 673.400000000000 N N N N/A N/A N/A 1.000000000000 NC USD -91292.960000000000 -0.0077103491 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -1646000000.000000000000 JPY 15853907.900000000000 USD 2021-01-20 -91292.960000000000 N N N N/A N/A N/A 1.000000000000 NC USD 230177.660000000000 0.0194401640 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -33394240.440000000000 USD 3471000000.000000000000 JPY 2021-01-20 230177.660000000000 N N N ING GROEP NV 549300NYKK9MWM7GGW15 456837AP8 3095000.000000000000 PA USD 3381502.480000000000 0.2855922805 Long DBT CORP NL N 2 2024-04-09 Fixed 3.550000000000 N N N N N N Invitation Homes Trust N/A 46185HAA0 2406174.210000000000 PA USD 2411475.250000000000 0.2036664826 Long ABS-O CORP US N 2 2037-06-17 Floating 1.059000000000 N N N N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 05964HAE5 2800000.000000000000 PA USD 2948104.960000000000 0.2489887332 Long DBT CORP ES N 2 2023-02-23 Fixed 3.125000000000 N N N N N N BANCO SANTANDER SA 5493006QMFDDMYWIAM13 05971KAE9 1015000.000000000000 PA USD 1083537.580000000000 0.0915125659 Long DBT CORP ES N 2 2025-05-28 Fixed 2.746000000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GEU9 4240000.000000000000 PA USD 4495290.400000000000 0.3796597058 Long DBT CORP US N 2 2023-01-11 Fixed 3.300000000000 N N N N N N N/A N/A N/A 1.000000000000 NC USD 1447278.560000000000 0.1222331159 N/A DFE US N 2 BOFA SECURITIES INC. 549300HN4UKV1E2R3U73 BOFA SECURITIES INC. 549300HN4UKV1E2R3U73 -173792672.390000000000 USD 18077869000.000000000000 JPY 2021-03-19 1447278.560000000000 N N N N/A N/A N/A 1.000000000000 NC USD -180371.290000000000 -0.0152336567 N/A DFE US N 2 BOFA SECURITIES INC. 549300HN4UKV1E2R3U73 BOFA SECURITIES INC. 549300HN4UKV1E2R3U73 -8574378000.000000000000 JPY 82936371.090000000000 USD 2021-03-19 -180371.290000000000 N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GFZ7 3680000.000000000000 PA USD 3745887.710000000000 0.3163672420 Long DBT CORP US N 2 2022-10-21 Fixed 2.503000000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GGQ6 2150000.000000000000 PA USD 2232626.690000000000 0.1885614314 Long DBT CORP US N 2 2023-07-21 Variable 2.816000000000 N N N N N N N/A N/A N/A 136.000000000000 NC USD 123105.630000000000 0.0103971586 N/A DCO US N 1 ICE Futures US Softs 5493004R83R1LVX2IL36 ICE Futures US Softs 5493004R83R1LVX2IL36 Long Arabica Coffee Arabica Coffee 2021-03-19 6417644.370000000000 USD 123105.630000000000 N N N N/A N/A N/A -17.000000000000 NC USD -26499.860000000000 -0.0022381044 N/A DCO US N 1 ICE Futures US Softs 5493004R83R1LVX2IL36 ICE Futures US Softs 5493004R83R1LVX2IL36 Short Arabica Coffee Arabica Coffee 2021-03-19 -791093.890000000000 USD -26499.860000000000 N N N N/A N/A N/A 1.000000000000 NC USD -16916.870000000000 -0.0014287517 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -5149000000.000000000000 KRW 4724145.540000000000 USD 2021-01-20 -16916.870000000000 N N N N/A N/A N/A 1.000000000000 NC USD 2341.270000000000 0.0001977371 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Long LMNIDP LMNIDP 2021-02-19 97200.890000000000 USD 2341.270000000000 N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJD2 6095000.000000000000 PA USD 6225012.260000000000 0.5257471961 Long DBT CORP US N 2 2026-06-19 Variable 1.319000000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJH3 5500000.000000000000 PA USD 5551393.160000000000 0.4688552032 Long DBT CORP US N 2 2024-10-24 Variable .810000000000 N N N N N N Invitation Homes Trust N/A 46187BAA1 1448293.720000000000 PA USD 1444761.040000000000 0.1220204931 Long ABS-O CORP US N 2 2036-12-17 Floating 1.003000000000 N N N N N N Invitation Homes Trust N/A 46187VAA7 2780103.130000000000 PA USD 2780102.570000000000 0.2347997193 Long ABS-O CORP US N 2 2037-07-17 Floating 1.153000000000 N N N N N N Invitation Homes Trust N/A 46187XAA3 922785.870000000000 PA USD 929658.410000000000 0.0785163598 Long ABS-O CORP US N 2 2038-01-17 Floating 1.253000000000 N N N N N N Invitation Homes Trust N/A 46187XAG0 2275000.000000000000 PA USD 2269472.890000000000 0.1916733588 Long ABS-O CORP US N 2 2038-01-17 Floating 1.803000000000 N N N N N N BANK OF AMERICA CORP 9DJT3UXIJIZJI4WXO774 06051GJK6 1000000.000000000000 PA USD 1013314.730000000000 0.0855817396 Long DBT CORP US N 2 2026-10-24 Variable 1.197000000000 N N N N N N BANK OF MONTREAL NQQ6HPCNCCU6TUTQYE16 06367WJM6 1770000.000000000000 PA USD 1827528.120000000000 0.1543479345 Long DBT CORP CA N 2 2022-03-26 Fixed 2.900000000000 N N N N N N N/A N/A N/A -1.000000000000 NC USD -3379.910000000000 -0.0002854578 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Short LMNIDP LMNIDP 2021-02-19 -96162.250000000000 USD -3379.910000000000 N N N N/A N/A N/A -1.000000000000 NC USD -2841.110000000000 -0.0002399522 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Short LMNIDP LMNIDP 2021-02-24 -96713.890000000000 USD -2841.110000000000 N N N JP Morgan Chase Commercial Mor N/A 46590RAE9 1000000.000000000000 PA USD 1090874.200000000000 0.0921321964 Long ABS-MBS CORP US N 2 2049-08-15 Fixed 2.870400000000 N N N N N N JP Morgan Chase Commercial Mor N/A 46590WAA6 3630000.000000000000 PA USD 3775655.930000000000 0.3188813830 Long ABS-MBS CORP US N 2 2031-01-05 Fixed 3.734500000000 N N N N N N N/A N/A N/A 1.000000000000 NC USD 2238.250000000000 0.0001890364 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Long LMNIDP LMNIDP 2021-02-24 97316.750000000000 USD 2238.250000000000 N N N N/A N/A N/A -1.000000000000 NC USD -302.990000000000 -0.0000255897 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Short LMNIDP LMNIDP 2021-03-05 -99307.030000000000 USD -302.990000000000 N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46625HJE1 1565000.000000000000 PA USD 1645926.070000000000 0.1390103312 Long DBT CORP US N 2 2022-09-23 Fixed 3.250000000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46625HJH4 8345000.000000000000 PA USD 8834122.900000000000 0.7461054132 Long DBT CORP US N 2 2023-01-25 Fixed 3.200000000000 N N N N N N N/A N/A N/A 1.000000000000 NC USD -839.630000000000 -0.0000709128 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Long LMNIDP LMNIDP 2021-03-05 100449.650000000000 USD -839.630000000000 N N N N/A N/A N/A -1.000000000000 NC USD 1737.010000000000 0.0001467030 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Short LMNIDP LMNIDP 2021-03-18 -101391.010000000000 USD 1737.010000000000 N N N JP Morgan Chase Commercial Mor N/A 46635GAE0 1923558.140000000000 PA USD 1921678.630000000000 0.1622996244 Long ABS-MBS CORP US N 2 2043-11-15 Fixed 4.069800000000 N N N N N N JP Morgan Chase Commercial Mor N/A 46639JAH3 200000.000000000000 PA USD 208833.540000000000 0.0176374991 Long ABS-MBS CORP US N 2 2047-12-15 Fixed 3.371500000000 N N N N N N BANK OF NY MELLON CORP WFLLPEPC7FZXENRZV188 06406RAA5 1000000.000000000000 PA USD 1023703.160000000000 0.0864591174 Long DBT CORP US N 2 2022-02-07 Fixed 2.600000000000 N N N N N N BANK OF NY MELLON CORP WFLLPEPC7FZXENRZV188 06406RAL1 1200000.000000000000 PA USD 1274452.790000000000 0.1076367327 Long DBT CORP US N 2 2024-10-24 Fixed 2.100000000000 N N N N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738EBQ7 3025000.000000000000 PA USD 3046447.250000000000 0.2572944490 Long DBT CORP GB N 2 2024-12-10 Variable 1.007000000000 N N N N N N BERKSHIRE HATHAWAY INC 5493000C01ZX7D35SD85 084670BQ0 2835000.000000000000 PA USD 2841140.750000000000 0.2399548339 Long DBT CORP US N 2 2021-03-15 Fixed 2.200000000000 N N N N N N JP Morgan Chase Commercial Mor N/A 46640JAR8 513180.390000000000 PA USD 550035.830000000000 0.0464544941 Long ABS-MBS CORP US N 2 2046-01-15 Variable 3.993600000000 N N N N N N JPMBB Commercial Mortgage Secu 549300UOGMFS1M8XVM16 46640NAJ7 3325000.000000000000 PA USD 3626665.280000000000 0.3062980477 Long ABS-MBS CORP US N 2 2045-11-15 Fixed 4.419600000000 N N N N N N BIRMINGHAM AL WTRWKS BRD WTR R N/A 091096ND5 695000.000000000000 PA USD 729444.200000000000 0.0616068253 Long DBT MUN US N 2 2024-01-01 Fixed 2.201000000000 N N N N N N BNP PARIBAS R0MUWSFPU8MPRO8K5P83 09659W2J2 3640000.000000000000 PA USD 3879959.870000000000 0.3276906032 Long DBT CORP FR N 2 2025-11-19 Variable 2.819000000000 N N N N N N JPMBB Commercial Mortgage Secu N/A 46642NBH8 3650000.000000000000 PA USD 3968805.970000000000 0.3351942974 Long ABS-MBS CORP US N 2 2047-09-15 Fixed 4.109500000000 N N N N N N JPMBB Commercial Mortgage Secu N/A 46643ABF9 2210982.220000000000 PA USD 2328608.240000000000 0.1966677658 Long ABS-MBS CORP US N 2 2047-09-15 Fixed 3.657000000000 N N N N N N BRISTOL-MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122CZ9 915000.000000000000 PA USD 962571.520000000000 0.0812961094 Long DBT CORP US N 2 2023-02-20 Fixed 3.250000000000 N N N N N N BRISTOL-MYERS SQUIBB CO HLYYNH7UQUORYSJQCN42 110122DT2 1855000.000000000000 PA USD 1858359.000000000000 0.1569518248 Long DBT CORP US N 2 2023-11-13 Fixed .537000000000 N N N N N N JP Morgan Mortgage Trust N/A 46646BAE8 61217.600000000000 PA USD 61236.780000000000 0.0051718879 Long ABS-MBS CORP US N 2 2046-05-25 Variable 3.500000000000 N N N N N N JPMORGAN CHASE & CO 8I5DZWZKVSZI1NUHU748 46647PBT2 2000000.000000000000 PA USD 2022600.000000000000 0.1708231622 Long DBT CORP US N 2 2026-11-19 Variable 1.045000000000 N N N N N N JP Morgan Mortgage Trust N/A 46648HAE3 407731.580000000000 PA USD 409218.050000000000 0.0345614167 Long ABS-MBS CORP US N 2 2047-05-25 Variable 3.500000000000 N N N N N N JP Morgan Mortgage Trust N/A 46648RAE1 426889.810000000000 PA USD 428100.470000000000 0.0361561732 Long ABS-MBS CORP US N 2 2048-06-25 Variable 3.500000000000 N N N N N N JP Morgan Mortgage Trust N/A 46649KAE5 540141.430000000000 PA USD 541947.450000000000 0.0457713721 Long ABS-MBS CORP US N 2 2048-10-25 Variable 3.500000000000 N N N N N N JP Morgan Mortgage Trust N/A 46650MAE7 35266.910000000000 PA USD 35236.380000000000 0.0029759665 Long ABS-MBS CORP US N 2 2049-01-25 Variable 4.000000000000 N N N N N N KKR Industrial Portfolio Trust N/A 48253QAL9 1398098.320000000000 PA USD 1387586.020000000000 0.1171916502 Long ABS-MBS CORP US N 2 2037-03-15 Floating 2.188630000000 N N N N N N KILROY REALTY LP 5493008CT3N3JR7P1552 49427RAJ1 1300000.000000000000 PA USD 1361288.890000000000 0.1149706679 Long DBT CORP US N 2 2023-01-15 Fixed 3.800000000000 N N N N N N N/A N/A N/A 1.000000000000 NC USD -2713.370000000000 -0.0002291637 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Long LMNIDP LMNIDP 2021-03-18 102367.370000000000 USD -2713.370000000000 N N N N/A N/A N/A -1.000000000000 NC USD -7448.100000000000 -0.0006290458 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Short LMZSDP LMZSDP 2021-01-06 -60816.400000000000 USD -7448.100000000000 N N N Ladder Capital Commercial Mort N/A 50184BAA6 2420628.140000000000 PA USD 2604876.910000000000 0.2200006481 Long ABS-MBS CORP US N 2 2036-02-15 Fixed 3.574600000000 N N N N N N MPLX LP 5493000CZJ19CK4P3G36 55336VBR0 2935000.000000000000 PA USD 3037447.230000000000 0.2565343324 Long DBT CORP US N 2 2026-03-01 Fixed 1.750000000000 N N N N N N MVW Owner Trust N/A 55389PAA7 1243683.160000000000 PA USD 1290544.270000000000 0.1089957743 Long ABS-O CORP US N 2 2036-11-20 Fixed 2.890000000000 N N N N N N MVW Owner Trust N/A 55400DAA9 1789438.130000000000 PA USD 1840646.840000000000 0.1554559051 Long ABS-O CORP US N 2 2038-10-20 Fixed 2.220000000000 N N N N N N N/A N/A N/A 1.000000000000 NC USD 7433.400000000000 0.0006278043 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Long LMZSDP LMZSDP 2021-01-06 60831.100000000000 USD 7433.400000000000 N N N N/A N/A N/A -1.000000000000 NC USD -7040.850000000000 -0.0005946506 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Short LMZSDP LMZSDP 2021-01-08 -61248.650000000000 USD -7040.850000000000 N N N MASSACHUSETTS ST WTR RESOURCES 549300GBS2G3YGHOYO19 576051VY9 4630000.000000000000 PA USD 4954794.500000000000 0.4184681422 Long DBT MUN US N 2 2025-08-01 Fixed 2.083000000000 N N N N N N Merit N/A 590027AA6 6300000.000000000000 PA USD 6311993.310000000000 0.5330933733 Long ABS-MBS CORP US N 2 2037-08-15 Floating 1.308630000000 N N N N N N MET LIFE GLOB FUNDING I 635400MMSOCXNNNZDZ82 59217GEJ4 3155000.000000000000 PA USD 3196832.330000000000 0.2699955540 Long DBT CORP US N 2 2025-07-02 Fixed .950000000000 N N N N N N MIAMI-DADE CNTY FL AVIATION RE N/A 59333PV21 1350000.000000000000 PA USD 1407820.500000000000 0.1189005980 Long DBT MUN US N 2 2023-10-01 Fixed 2.368000000000 N N N N N N MITSUBISHI UFJ FIN GRP 353800V2V8PUY9TK3E06 606822BV5 3025000.000000000000 PA USD 3043037.410000000000 0.2570064635 Long DBT CORP JP N 2 2024-09-15 Variable .848000000000 N N N N N N MONDELEZ INTERNATIONAL 549300DV9GIB88LZ5P30 609207AS4 1620000.000000000000 PA USD 1682609.010000000000 0.1421084702 Long DBT CORP US N 2 2023-04-13 Fixed 2.125000000000 N N N N N N N/A N/A N/A 1.000000000000 NC USD 6971.400000000000 0.0005887850 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Long LMZSDP LMZSDP 2021-01-08 61318.100000000000 USD 6971.400000000000 N N N N/A N/A N/A 1.000000000000 NC USD 7388.150000000000 0.0006239826 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Long LMZSDP LMZSDP 2021-01-13 60913.850000000000 USD 7388.150000000000 N N N N/A N/A N/A -1.000000000000 NC USD -7424.850000000000 -0.0006270821 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Short LMZSDP LMZSDP 2021-01-13 -60877.150000000000 USD -7424.850000000000 N N N N/A N/A N/A -1.000000000000 NC USD 517.250000000000 0.0000436855 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Short LMZSDP LMZSDP 2021-02-24 -69113.000000000000 USD 517.250000000000 N N N Morgan Stanley Capital I Trust N/A 61691LAA7 2785000.000000000000 PA USD 2783321.760000000000 0.2350716031 Long ABS-MBS CORP US N 2 2034-11-15 Floating .859000000000 N N N N N N Morgan Stanley Capital Inc N/A 61744CFB7 698136.910000000000 PA USD 689092.130000000000 0.0581988019 Long ABS-MBS CORP US N 2 2034-08-25 Floating .973000000000 N N N N N N N/A N/A N/A 1.000000000000 NC USD -829.000000000000 -0.0000700150 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Long LMZSDP LMZSDP 2021-02-24 69424.750000000000 USD -829.000000000000 N N N N/A N/A N/A -1.000000000000 NC USD 1442.500000000000 0.0001218295 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Short LMZSDP LMZSDP 2021-02-25 -70066.500000000000 USD 1442.500000000000 N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 61744YAN8 7925000.000000000000 PA USD 8363806.930000000000 0.7063838364 Long DBT CORP US N 2 2023-01-23 Fixed 3.125000000000 N N N N N N MORGAN STANLEY IGJSJL3JD5P30I6NJZ34 6174824M3 1900000.000000000000 PA USD 2047239.570000000000 0.1729041516 Long DBT CORP US N 2 2022-11-01 Fixed 4.875000000000 N N N N N N N/A N/A N/A 1.000000000000 NC USD -976.000000000000 -0.0000824302 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Long LMZSDP LMZSDP 2021-02-25 69600.000000000000 USD -976.000000000000 N N N N/A N/A N/A -1.000000000000 NC USD 2911.000000000000 0.0002458550 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Short LMZSDP LMZSDP 2021-03-16 -71625.500000000000 USD 2911.000000000000 N N N NATIONAL BANK OF CANADA BSGEFEIOM18Y80CKCV46 63307CAG6 1600000.000000000000 PA USD 1648963.570000000000 0.1392668700 Long DBT CORP CA N 2 2022-10-07 Fixed 2.150000000000 N N N N N N Natixis Commercial Mortgage Se N/A 63874FAA5 1000000.000000000000 PA USD 1029866.400000000000 0.0869796475 Long ABS-MBS CORP US N 2 2032-11-15 Variable 3.790400000000 N N N N N N NATWEST MARKETS PLC RR3QWICWWIPCS8A4S074 63906YAA6 3345000.000000000000 PA USD 3479711.580000000000 0.2938867475 Long DBT CORP GB N 2 2023-05-21 Fixed 2.375000000000 N N N N N N NEBRASKA ST PUBLIC PWR DIST RE 5493001J0BLQRMOJKP23 63968A2A2 1700000.000000000000 PA USD 1770057.000000000000 0.1494940838 Long DBT MUN US N 2 2024-01-01 Fixed 2.216000000000 N N N N N N N/A N/A N/A 1.000000000000 NC USD -2924.500000000000 -0.0002469951 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Long LMZSDP LMZSDP 2021-03-16 71639.000000000000 USD -2924.500000000000 N N N N/A N/A N/A -1.000000000000 NC USD 1820.250000000000 0.0001537332 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Short LMZSDP LMZSDP 2021-03-19 -70547.250000000000 USD 1820.250000000000 N N N New Residential Mortgage Loan N/A 64828YAR2 618302.250000000000 PA USD 659038.230000000000 0.0556605332 Long ABS-MBS CORP US N 2 2054-05-25 Variable 3.750000000000 N N N N N N New Residential Mortgage Loan 549300RCJSGOC0A85G53 64829CAD0 652211.060000000000 PA USD 693466.150000000000 0.0585682194 Long ABS-MBS CORP US N 2 2052-05-28 Variable 3.750000000000 N N N N N N N/A N/A N/A 1.000000000000 NC USD -1544.500000000000 -0.0001304442 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Long LMZSDP LMZSDP 2021-03-19 70271.500000000000 USD -1544.500000000000 N N N N/A N/A N/A 36.000000000000 NC USD 46788.480000000000 0.0039516247 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Long London Metals - Nickel London Metals - Nickel 2021-03-15 3540539.520000000000 USD 46788.480000000000 N N N New Residential Mortgage Loan N/A 64829FAA9 1277985.690000000000 PA USD 1354454.730000000000 0.1143934737 Long ABS-MBS CORP US N 2 2056-03-25 Variable 3.750000000000 N N N N N N New Residential Mortgage Loan N/A 64829JAA1 1734907.530000000000 PA USD 1874996.980000000000 0.1583570222 Long ABS-MBS CORP US N 2 2057-02-25 Variable 4.000000000000 N N N N N N New Residential Mortgage Loan N/A 64829KBV1 1899175.190000000000 PA USD 2053666.060000000000 0.1734469151 Long ABS-MBS CORP US N 2 2057-03-25 Variable 4.000000000000 N N N N N N NEW YORK NY 549300ABYZD2SFD5JB29 64966QCB4 4180000.000000000000 PA USD 4436234.000000000000 0.3746719668 Long DBT MUN US N 2 2025-08-01 Fixed 2.280000000000 N N N N N N NEXTERA ENERGY CAPITAL UMI46YPGBLUE4VGNNT48 65339KBF6 3100000.000000000000 PA USD 3198861.140000000000 0.2701669017 Long DBT CORP US N 2 2022-04-01 Fixed 2.900000000000 N N N N N N Onslow Bay Financial LLC N/A 67112FAD2 1235407.920000000000 PA USD 1232244.160000000000 0.1040719094 Long ABS-MBS CORP US N 2 2057-06-25 Floating .798000000000 N N N N N N OMERS FINANCE TRUST 529900M039WCPES03P17 682142AA2 1930000.000000000000 PA USD 2061150.740000000000 0.1740790503 Long DBT NUSS CA N 2 2024-05-02 Fixed 2.500000000000 N N N N N N ONEOK INC 2T3D6M0JSY48PSZI1Q41 682680AX1 775000.000000000000 PA USD 817732.070000000000 0.0690633729 Long DBT CORP US N 2 2024-09-01 Fixed 2.750000000000 N N N N N N PFS Financing Corp. N/A 69335PDV4 3150000.000000000000 PA USD 3168909.140000000000 0.2676372392 Long ABS-O CORP US N 2 2024-08-15 Fixed .930000000000 N N N N N N PFS Financing Corp. N/A 69335PDX0 2288000.000000000000 PA USD 2300015.890000000000 0.1942529355 Long ABS-O CORP US N 2 2026-02-15 Fixed .970000000000 N N N N N N N/A N/A N/A -35.000000000000 NC USD -12321.430000000000 -0.0010406337 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Short London Metals - Nickel London Metals - Nickel 2021-03-15 -3475358.570000000000 USD -12321.430000000000 N N N N/A N/A N/A 220.000000000000 NC USD 4578126.180000000000 0.3866557851 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Long London Metals - Copper London Metals - Copper 2021-03-15 38138998.820000000000 USD 4578126.180000000000 N N N N/A N/A N/A -106.000000000000 NC USD -250745.140000000000 -0.0211772361 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Short London Metals - Copper London Metals - Copper 2021-03-15 -20331142.360000000000 USD -250745.140000000000 N N N N/A N/A N/A 150.000000000000 NC USD 491997.970000000000 0.0415527781 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Long London Metals - Zinc London Metals - Zinc 2021-03-15 9817989.530000000000 USD 491997.970000000000 N N N PARKER-HANNIFIN CORP 5493002CONDB4N2HKI23 701094AM6 1540000.000000000000 PA USD 1651640.940000000000 0.1394929932 Long DBT CORP US N 2 2024-06-14 Fixed 2.700000000000 N N N N N N PENNSYLVANIA ST UNIV 549300QDK4O4XCJ47X56 709235S22 2945000.000000000000 PA USD 3004871.850000000000 0.2537831066 Long DBT MUN US N 2 2023-09-01 Fixed 1.353000000000 N N N N N N PHILLIPS 66 5493005JBO5YSIGK1814 718546AY0 2280000.000000000000 PA USD 2285522.000000000000 0.1930288219 Long DBT CORP US N 2 2024-02-15 Fixed .900000000000 N N N N N N Progress Residential Trust N/A 74331AAC6 1300000.000000000000 PA USD 1345189.430000000000 0.1136109523 Long ABS-O CORP US N 2 2036-10-17 Fixed 2.937000000000 N N N N N N Progress Residential Trust N/A 74333JAA9 3268809.270000000000 PA USD 3308303.020000000000 0.2794100580 Long ABS-O CORP US N 2 2034-08-17 Fixed 2.768000000000 N N N N N N ROYAL BANK OF CANADA ES7IP3U3RHIGC71XBU11 78015K7C2 1855000.000000000000 PA USD 1973362.880000000000 0.1666647322 Long DBT CORP CA N 2 2024-11-01 Fixed 2.250000000000 N N N N N N ROYALTY PHARMA PLC 549300FGFN7VOK8BZR03 78081BAA1 2975000.000000000000 PA USD 2989219.930000000000 0.2524611890 Long DBT CORP GB N 2 2023-09-02 Fixed .750000000000 N N N N N N Social Professional Loan Progr 549300MIP15HTYPHSM46 78469PAB0 1437756.460000000000 PA USD 1460502.200000000000 0.1233499477 Long ABS-O CORP US N 2 2036-12-26 Fixed 2.760000000000 N N N N N N N/A N/A N/A -17.000000000000 NC USD -7429.970000000000 -0.0006275146 N/A DCO GB N 1 London Metal Exchange 213800NB8G5VRT1DXC91 London Metal Exchange 213800NB8G5VRT1DXC91 Short London Metals - Zinc London Metals - Zinc 2021-03-15 -1161035.280000000000 USD -7429.970000000000 N N N N/A N/A N/A 458.000000000000 NC USD 547489.340000000000 0.0462394247 N/A DE US N 1 ICE Futures US Indices 5493004R83R1LVX2IL36 Long MSCI Emerging Markets Index MES_Index 2021-03-19 28952290.660000000000 USD 547489.340000000000 N N N SAN DIEGO CNTY CA WTR AUTH 549300Y0QN5OFKA1G520 797412DM2 920000.000000000000 PA USD 929172.400000000000 0.0784753128 Long DBT MUN US N 2 2025-05-01 Fixed .743000000000 N N N N N N SANTANDER UK PLC PTCQB104N23FMNK2RZ28 80283LAY9 2255000.000000000000 PA USD 2330054.700000000000 0.1967899297 Long DBT CORP GB N 2 2023-01-13 Fixed 2.100000000000 N N N N N N N/A N/A N/A 9.000000000000 NC USD -14065.210000000000 -0.0011879085 N/A DE US N 1 ICE Futures US Indices 5493004R83R1LVX2IL36 Long MSCI EAFE Index MFS_Index 2021-03-19 972925.210000000000 USD -14065.210000000000 N N N N/A N/A N/A 1.000000000000 NC USD 187725.240000000000 0.0158547509 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -29283880.380000000000 USD 587850000.000000000000 MXN 2021-01-20 187725.240000000000 N N N N/A N/A N/A 1.000000000000 NC USD -72370.400000000000 -0.0061122024 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -298800000.000000000000 MXN 14907838.430000000000 USD 2021-01-20 -72370.400000000000 N N N N/A N/A N/A 1.000000000000 NC USD -141319.940000000000 -0.0119354885 N/A DFE US N 2 BOFA SECURITIES INC. 549300HN4UKV1E2R3U73 BOFA SECURITIES INC. 549300HN4UKV1E2R3U73 -22755297.830000000000 USD 454024000.000000000000 MXN 2021-03-19 -141319.940000000000 N N N N/A N/A N/A 1.000000000000 NC USD -322.550000000000 -0.0000272417 N/A DFE US N 2 BOFA SECURITIES INC. 549300HN4UKV1E2R3U73 BOFA SECURITIES INC. 549300HN4UKV1E2R3U73 -999000.000000000000 MXN 49435.530000000000 USD 2021-03-19 -322.550000000000 N N N N/A N/A N/A -547.000000000000 NC USD 548128.700000000000 0.0462934232 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short Natural Gas Natural Gas 2021-01-27 -14436458.700000000000 USD 548128.700000000000 N N N N/A N/A N/A -89.000000000000 NC USD 41761.890000000000 0.0035270929 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short Natural Gas Natural Gas 2021-02-24 -2289901.890000000000 USD 41761.890000000000 N N N N/A N/A N/A -57.000000000000 NC USD 14580.590000000000 0.0012314360 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short Natural Gas Natural Gas 2021-03-29 -1461240.590000000000 USD 14580.590000000000 N N N N/A N/A N/A -36.000000000000 NC USD 26491.810000000000 0.0022374245 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short Natural Gas Natural Gas 2021-04-28 -946291.810000000000 USD 26491.810000000000 N N N N/A N/A N/A -8.000000000000 NC USD -4455.680000000000 -0.0003763143 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Short Natural Gas Natural Gas 2021-05-26 -204424.320000000000 USD -4455.680000000000 N N N Santander Drive Auto Receivabl N/A 80286WAD8 4640000.000000000000 PA USD 4653940.880000000000 0.3930588835 Long ABS-O CORP US N 2 2024-07-15 Fixed .480000000000 N N N N N N Synchrony Card Issuance Trust N/A 87166PAA9 2935000.000000000000 PA USD 2999261.530000000000 0.2533092746 Long ABS-O CORP US N 2 2024-09-15 Fixed 3.380000000000 N N N N N N T-MOBILE USA INC 549300V2JRLO5DIFGE82 87264ABA2 4240000.000000000000 PA USD 4685115.200000000000 0.3956917797 Long DBT CORP US N 2 2025-04-15 Fixed 3.500000000000 N N N N N N Tesla Auto Lease Trust N/A 88167HAB2 2902229.100000000000 PA USD 2907458.340000000000 0.2455558329 Long ABS-O CORP US N 2 2023-05-22 Fixed .550000000000 N N N N N N N/A N/A N/A 23.000000000000 NC 17254.250000000000 0.0014572459 N/A DE SG N 1 Singapore Exchange (was SIMEX) 549300IQ650PPXM76X03 Long Nikkei 225 Index NI_Index 2021-03-11 314353411.000000000042 JPY 17254.250000000000 N N N N/A N/A N/A 175.000000000000 NC 1235318.180000000000 0.1043315326 N/A DE JP N 1 Osaka Exchange 3538001249AILNPRUX57 Long Nikkei 225 Index NK_Index 2021-03-11 4674447225.000000000062 JPY 1235318.180000000000 N N N 321 Henderson Receivables LLC N/A 88576NAA6 384978.510000000000 PA USD 379957.930000000000 0.0320901884 Long ABS-O CORP US N 2 2041-03-15 Floating .358630000000 N N N N N N 321 Henderson Receivables LLC N/A 88576NAG3 429129.820000000000 PA USD 425455.140000000000 0.0359327560 Long ABS-O CORP US N 2 2041-12-15 Floating .358630000000 N N N N N N N/A N/A N/A 1.000000000000 NC USD -447823.090000000000 -0.0378218908 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -169880000.000000000000 NOK 19364826.770000000000 USD 2021-01-20 -447823.090000000000 N N N N/A N/A N/A 1.000000000000 NC USD 307176.850000000000 0.0259433011 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -19505473.020000000000 USD 169880000.000000000000 NOK 2021-01-20 307176.850000000000 N N N 321 Henderson Receivables LLC N/A 88576PAC7 88328.180000000000 PA USD 86692.060000000000 0.0073217699 Long ABS-O CORP US N 2 2045-09-15 Floating .508630000000 N N N N N N Toyota Auto Receivables Owner N/A 89239RAB2 4707634.720000000000 PA USD 4731285.880000000000 0.3995912267 Long ABS-O CORP US N 2 2022-12-15 Fixed 1.380000000000 N N N N N N N/A N/A N/A 1.000000000000 NC USD -125.630000000000 -0.0000106104 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -668323.280000000000 USD 5730000.000000000000 NOK 2021-02-17 -125.630000000000 N N N N/A N/A N/A 1.000000000000 NC USD 1939.000000000000 0.0001637625 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -9340000.000000000000 NOK 1091112.830000000000 USD 2021-02-17 1939.000000000000 N N N N/A N/A N/A 127.000000000000 NC USD 148772.570000000000 0.0125649169 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long Nasdaq 100 Index NQ_Index 2021-03-19 32580397.430000000000 USD 148772.570000000000 N N N N/A N/A N/A 1.000000000000 NC USD -7875.920000000000 -0.0006651783 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -6382910.300000000000 USD 8860000.000000000000 NZD 2021-01-05 -7875.920000000000 N N N TRANSCANADA PIPELINES 5BV01I6231JPDAPMGH09 893526DM2 1500000.000000000000 PA USD 1550066.390000000000 0.1309142897 Long DBT CORP CA N 2 2022-08-01 Fixed 2.500000000000 N N N N N N Tricon American Homes N/A 89613DAA1 2796486.840000000000 PA USD 2832120.510000000000 0.2391930096 Long ABS-O CORP US N 2 2034-09-17 Fixed 2.716000000000 N N N N N N N/A N/A N/A 1.000000000000 NC USD -5713.780000000000 -0.0004825699 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -8860000.000000000000 NZD 6369320.560000000000 USD 2021-01-05 -5713.780000000000 N N N N/A N/A N/A 1.000000000000 NC USD 270909.580000000000 0.0228802685 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -16603697.880000000000 USD 23450000.000000000000 NZD 2021-01-20 270909.580000000000 N N N TRUIST FINANCIAL CORP 549300DRQQI75D2JP341 89788MAA0 2565000.000000000000 PA USD 2632812.700000000000 0.2223600271 Long DBT CORP US N 2 2025-08-05 Fixed 1.200000000000 N N N N N N UBS GROUP AG 549300SZJ9VS8SGXAN81 902613AB4 600000.000000000000 PA USD 605801.440000000000 0.0511643022 Long DBT CORP CH N 2 2024-07-30 Variable 1.008000000000 N N N N N N N/A N/A N/A 1.000000000000 NC USD -628873.540000000000 -0.0531129075 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -52130000.000000000000 NZD 36883846.560000000000 USD 2021-01-20 -628873.540000000000 N N N N/A N/A N/A 1.000000000000 NC USD 644036.020000000000 0.0543934883 N/A DFE US N 2 BOFA SECURITIES INC. 549300HN4UKV1E2R3U73 BOFA SECURITIES INC. 549300HN4UKV1E2R3U73 -34506338.020000000000 USD 48838000.000000000000 NZD 2021-03-19 644036.020000000000 N N N N/A N/A N/A 1.000000000000 NC USD -853.870000000000 -0.0000721155 N/A DFE US N 2 BOFA SECURITIES INC. 549300HN4UKV1E2R3U73 BOFA SECURITIES INC. 549300HN4UKV1E2R3U73 -95000.000000000000 NZD 67520.870000000000 USD 2021-03-19 -853.870000000000 N N N N/A N/A N/A 256.000000000000 NC 16468.000000000000 0.0013908414 N/A DIR DE N 1 Eurex 529900UT4DG0LG5R9O07 Long French Government Bonds French Government Bonds 2021-03-08 42958679.729999999999 EUR 16468.000000000000 N N N N/A N/A N/A 1209.000000000000 NC 64532.260000000000 0.0054502149 N/A DIR DE N 1 Eurex 529900UT4DG0LG5R9O07 Long Euro-BOBL Euro-BOBL 2021-03-08 163379795.890000000000 EUR 64532.260000000000 N N N N/A N/A N/A 2.000000000000 NC USD 1356.020000000000 0.0001145257 N/A DCO US N 1 New York Mercantile Exchange 5493008GFNDTXFPHWI47 Long Platinum Platinum 2021-04-28 106563.980000000000 USD 1356.020000000000 N N N N/A N/A N/A 1.000000000000 NC USD 125858.790000000000 0.0106296828 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -30620000.000000000000 PLN 8323615.820000000000 USD 2021-01-20 125858.790000000000 N N N N/A N/A N/A 1.000000000000 NC USD -120037.280000000000 -0.0101380143 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -8542683.770000000000 USD 31460000.000000000000 PLN 2021-01-20 -120037.280000000000 N N N UBS AG LONDON BFM8T61CT2L1QCEMIK50 902674YA2 1750000.000000000000 PA USD 1781137.420000000000 0.1504299052 Long DBT CORP CH N 2 2022-04-21 Fixed 1.750000000000 N N N N N N UBS Commercial Mortgage Trust N/A 90269GAC5 1009920.810000000000 PA USD 1029386.120000000000 0.0869390844 Long ABS-MBS CORP US N 2 2045-05-10 Fixed 3.400000000000 N N N N N N N/A N/A N/A 64.000000000000 NC -65715.460000000000 -0.0055501447 N/A DE CA N 1 Montreal Exchange N/A Long S&P/Toronto Stock Exchange 60 Index PT_Index 2021-03-18 13253569.280000000000 CAD -65715.460000000000 N N N N/A N/A N/A 183.000000000000 NC 10173.970000000000 0.0008592652 N/A DE SE N 1 OMX Nordic Exchange Stockholm 549300KBQIVNEJEZVL96 Long OMXS30 Index QC_Index 2021-01-15 34288268.709999999998 SEK 10173.970000000000 N N N UBS-Barclays Commercial Mortga N/A 90270YAG4 265000.000000000000 PA USD 265664.040000000000 0.0224372448 Long ABS-MBS CORP US N 2 2046-03-10 Variable 3.648700000000 N N N N N N UBS-Barclays Commercial Mortga 549300G1IXWLFE766Q13 90349GAN5 700000.000000000000 PA USD 696190.320000000000 0.0587982952 Long ABS-MBS CORP US N 2 2046-04-10 Variable 3.875100000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912810ET1 1500000.000000000000 PA USD 1952402.340000000000 0.1648944633 Long DBT UST US N 2 2025-02-15 Fixed 7.625000000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 9128283C2 5210000.000000000000 PA USD 5388076.180000000000 0.4550619060 Long DBT UST US N 2 2022-10-31 Fixed 2.000000000000 N N N N N N N/A N/A N/A 70.000000000000 NC 80089.930000000000 0.0067641724 N/A DCO GB N 1 ICE Futures Europe Commodities 549300UF4R84F48NCH34 Long London Cocoa London Cocoa 2021-03-16 1157333.440000000000 GBP 80089.930000000000 N N N N/A N/A N/A 30.000000000000 NC USD -11363.840000000000 -0.0009597583 N/A DCO GB N 1 ICE Futures Europe Commodities 549300UF4R84F48NCH34 Long Low Sulphur Gas Oil Low Sulphur Gas Oil 2021-01-12 1273613.840000000000 USD -11363.840000000000 N N N US TREASURY N/B 254900HROIFWPRGM1V77 9128285D8 36730000.000000000000 PA USD 39457489.360000000000 3.3324696449 Long DBT UST US N 2 2023-09-30 Fixed 2.875000000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 9128285U0 13890000.000000000000 PA USD 14908419.110000000000 1.2591235515 Long DBT UST US N 2 2023-12-31 Fixed 2.625000000000 N N N N N N N/A N/A N/A -35.000000000000 NC USD 25508.650000000000 0.0021543895 N/A DCO GB N 1 ICE Futures Europe Commodities 549300UF4R84F48NCH34 ICE Futures Europe Commodities 549300UF4R84F48NCH34 Short Low Sulphur Gas Oil Low Sulphur Gas Oil 2021-02-11 -1506008.650000000000 USD 25508.650000000000 N N N N/A N/A N/A 70.000000000000 NC USD 6959.790000000000 0.0005878045 N/A DCO GB N 1 ICE Futures Europe Commodities 549300UF4R84F48NCH34 ICE Futures Europe Commodities 549300UF4R84F48NCH34 Long Low Sulphur Gas Oil Low Sulphur Gas Oil 2021-02-11 2954040.210000000000 USD 6959.790000000000 N N N US TREASURY N/B 254900HROIFWPRGM1V77 9128286G0 2265000.000000000000 PA USD 2421161.130000000000 0.2044845250 Long DBT UST US N 2 2024-02-29 Fixed 2.375000000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 9128286Z8 1885000.000000000000 PA USD 1986613.280000000000 0.1677838240 Long DBT UST US N 2 2024-06-30 Fixed 1.750000000000 N N N N N N N/A N/A N/A 21.000000000000 NC USD -1252.040000000000 -0.0001057438 N/A DCO GB N 1 ICE Futures Europe Commodities 549300UF4R84F48NCH34 Long Low Sulphur Gas Oil Low Sulphur Gas Oil 2021-03-11 893752.040000000000 USD -1252.040000000000 N N N N/A N/A N/A 370.000000000000 NC USD 47686.580000000000 0.0040274757 N/A DE US N 1 Chicago Mercantile Exchange SNZ2OJLFK8MNNCLQOF39 Long Russell 2000 Index RTY_Index 2021-03-19 36486113.420000000000 USD 47686.580000000000 N N N N/A N/A N/A 1.000000000000 NC USD 699718.840000000000 0.0590963042 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -44335550.220000000000 USD 3337470000.000000000000 RUB 2021-01-20 699718.840000000000 N N N N/A N/A N/A 1.000000000000 NC USD -115918.630000000000 -0.0097901646 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -3337470000.000000000000 RUB 44919350.390000000000 USD 2021-01-20 -115918.630000000000 N N N N/A N/A N/A 1.000000000000 NC USD -14675.360000000000 -0.0012394400 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -94800000.000000000000 RUB 1260959.110000000000 USD 2021-02-17 -14675.360000000000 N N N N/A N/A N/A 1.000000000000 NC USD 83641.670000000000 0.0070641425 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -11718802.920000000000 USD 877110000.000000000000 RUB 2021-02-17 83641.670000000000 N N N N/A N/A N/A 638.000000000000 NC 243052.840000000000 0.0205275659 N/A DIR DE N 1 Eurex 529900UT4DG0LG5R9O07 Long Euro-Bund Euro-Bund 2021-03-08 113135364.079999999999 EUR 243052.840000000000 N N N N/A N/A N/A 452.000000000000 NC USD 4555220.530000000000 0.3847212377 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long Soybeans Soybeans 2021-03-12 25073379.470000000000 USD 4555220.530000000000 N N N US TREASURY N/B 254900HROIFWPRGM1V77 9128287C8 14000000.000000000000 PA USD 14350000.000000000000 1.2119610290 Long DBT UST US N 2 2022-07-15 Fixed 1.750000000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912828B66 5000000.000000000000 PA USD 5400976.550000000000 0.4561514353 Long DBT UST US N 2 2024-02-15 Fixed 2.750000000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912828G38 12000000.000000000000 PA USD 12927187.440000000000 1.0917942433 Long DBT UST US N 2 2024-11-15 Fixed 2.250000000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912828Q29 3040000.000000000000 PA USD 3132625.000000000000 0.2645727818 Long DBT UST US N 2 2023-03-31 Fixed 1.500000000000 N N N N N N N/A N/A N/A 365.000000000000 NC USD 723668.130000000000 0.0611189945 N/A DCO US N 1 ICE Futures US Softs 5493004R83R1LVX2IL36 Long Sugar #11 Sugar #11 2021-02-26 5608643.870000000000 USD 723668.130000000000 N N N N/A N/A N/A 1.000000000000 NC USD -35.860000000000 -0.0000030286 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -2090000.000000000000 SEK 254004.920000000000 USD 2021-01-04 -35.860000000000 N N N US TREASURY N/B 254900HROIFWPRGM1V77 912828V80 20140000.000000000000 PA USD 21427071.880000000000 1.8096708072 Long DBT UST US N 2 2024-01-31 Fixed 2.250000000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912828W71 6295000.000000000000 PA USD 6688191.620000000000 0.5648660347 Long DBT UST US N 2 2024-03-31 Fixed 2.125000000000 N N N N N N N/A N/A N/A 1.000000000000 NC USD -1017.680000000000 -0.0000859504 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -255058.460000000000 USD 2090000.000000000000 SEK 2021-01-04 -1017.680000000000 N N N N/A N/A N/A 1.000000000000 NC USD -8738.180000000000 -0.0007380023 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -2227075.530000000000 USD 18250000.000000000000 SEK 2021-01-05 -8738.180000000000 N N N N/A N/A N/A 1.000000000000 NC USD 12020.470000000000 0.0010152154 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -18250000.000000000000 SEK 2230357.820000000000 USD 2021-01-05 12020.470000000000 N N N N/A N/A N/A 1.000000000000 NC USD -296747.870000000000 -0.0250624985 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -127000000.000000000000 SEK 15143210.340000000000 USD 2021-01-20 -296747.870000000000 N N N US TREASURY N/B 254900HROIFWPRGM1V77 912828W89 8130000.000000000000 PA USD 8307843.750000000000 0.7016573421 Long DBT UST US N 2 2022-03-31 Fixed 1.875000000000 N N N N N N US TREASURY N/B 254900HROIFWPRGM1V77 912828WJ5 19750000.000000000000 PA USD 21282167.870000000000 1.7974326181 Long DBT UST US N 2 2024-05-15 Fixed 2.500000000000 N N N N N N N/A N/A N/A 1.000000000000 NC USD 181811.250000000000 0.0153552718 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -12069248.510000000000 USD 100770000.000000000000 SEK 2021-01-20 181811.250000000000 N N N N/A N/A N/A 1.000000000000 NC USD 168678.210000000000 0.0142460918 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -16508389.970000000000 USD 22040000.000000000000 SGD 2021-01-20 168678.210000000000 N N N N/A N/A N/A 1.000000000000 NC USD -46102.440000000000 -0.0038936837 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -10420000.000000000000 SGD 7838427.970000000000 USD 2021-01-20 -46102.440000000000 N N N N/A N/A N/A 138.000000000000 NC USD 988859.100000000000 0.0835162852 N/A DCO US N 1 Commodity Exchange, Inc. N/A Long Silver Silver 2021-03-29 17235420.900000000000 USD 988859.100000000000 N N N N/A N/A N/A 253.000000000000 NC USD 724986.420000000000 0.0612303336 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long Soybean Meal Soybean Meal 2021-03-12 10138833.580000000000 USD 724986.420000000000 N N N N/A N/A N/A 20.000000000000 NC 94159.800000000000 0.0079524744 N/A DE IT N 1 Borsa Italiana (IDEM) 8156005391EE905D3124 Long FTSE/MIB Index ST_Index 2021-03-19 2135823.599999999999 EUR 94159.800000000000 N N N N/A N/A N/A 282.000000000000 NC 819431.980000000000 0.0692069426 N/A DE JP N 1 Osaka Exchange 3538001249AILNPRUX57 Long TOPIX Index TP_Index 2021-03-11 5004079554.000000000004 JPY 819431.980000000000 N N N N/A N/A N/A 2054.000000000000 NC USD 322030.220000000000 0.0271977754 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long U.S. Treasury 2 Year Notes U.S. Treasury 2 Year Notes 2021-03-31 453563827.245000000000 USD 322030.220000000000 N N N N/A N/A N/A 1415.000000000000 NC USD 195099.250000000000 0.0164775392 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long U.S. Treasury 10 Year Notes U.S. Treasury 10 Year Notes 2021-03-22 195185450.495000000000 USD 195099.250000000000 N N N N/A N/A N/A 37.000000000000 NC 3271.830000000000 0.0002763296 N/A DIR DE N 1 Eurex 529900UT4DG0LG5R9O07 Long Euro BUXL 30 Year Bonds Euro BUXL 30 Year Bonds 2021-03-08 8331201.769999999999 EUR 3271.830000000000 N N N N/A N/A N/A 1.000000000000 NC USD 328848.160000000000 0.0277735996 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -12812546.570000000000 USD 193690000.000000000000 ZAR 2021-01-20 328848.160000000000 N N N N/A N/A N/A 1.000000000000 NC USD -282641.240000000000 -0.0238710919 N/A DFE US N 2 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 DEUTSCHE BANK SECURITIES INC. 9J6MBOOO7BECTDTUZW19 -206920000.000000000000 ZAR 13756376.770000000000 USD 2021-01-20 -282641.240000000000 N N N N/A N/A N/A -164.000000000000 NC USD -54420.470000000000 -0.0045962013 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short U.S. Treasury Long Bonds U.S. Treasury Long Bonds 2021-03-22 -28348329.530000000000 USD -54420.470000000000 N N N N/A N/A N/A 402.000000000000 NC USD 117398.020000000000 0.0099151098 N/A DIR US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Long U.S. Treasury Long Bonds U.S. Treasury Long Bonds 2021-03-22 69503976.980000000000 USD 117398.020000000000 N N N N/A N/A N/A -128.000000000000 NC USD 166579.000000000000 0.0140687983 N/A DE US N 1 Cboe Futures Exchange 254900O9GJPIWCP8RH13 Short CBOE Volatility Index UX_Index 2021-01-20 -3196979.000000000000 USD 166579.000000000000 N N N N/A N/A N/A -47.000000000000 NC USD 44033.500000000000 0.0037189468 N/A DE US N 1 Cboe Futures Exchange 254900O9GJPIWCP8RH13 Short CBOE Volatility Index UX_Index 2021-02-17 -1246058.500000000000 USD 44033.500000000000 N N N N/A N/A N/A -9.000000000000 NC USD 5932.500000000000 0.0005010424 N/A DE US N 1 Cboe Futures Exchange 254900O9GJPIWCP8RH13 Short CBOE Volatility Index UX_Index 2021-03-17 -237907.500000000000 USD 5932.500000000000 N N N N/A N/A N/A 338.000000000000 NC -19823.700000000000 -0.0016742545 N/A DE DE N 1 Eurex 529900UT4DG0LG5R9O07 Long Euro STOXX 50 Quanto Index VG_Index 2021-03-19 12015227.329999999999 EUR -19823.700000000000 N N N N/A N/A N/A -21.000000000000 NC USD -32975.250000000000 -0.0027849978 N/A DCO US N 1 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Chicago Board of Trade 549300EX04Q2QBFQTQ27 Short Wheat Wheat 2021-03-12 -639549.750000000000 USD -32975.250000000000 N N N 2021-02-11 LoCorr Investment Trust Jon Essen Jon Essen Treasurer