0001752724-20-055225.txt : 20200320
0001752724-20-055225.hdr.sgml : 20200320
20200320111748
ACCESSION NUMBER: 0001752724-20-055225
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20200131
FILED AS OF DATE: 20200320
PERIOD START: 20200731
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: FIDELITY OXFORD STREET TRUST
CENTRAL INDEX KEY: 0000028540
IRS NUMBER: 000000000
STATE OF INCORPORATION: DE
FISCAL YEAR END: 0731
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-03480
FILM NUMBER: 20730853
BUSINESS ADDRESS:
STREET 1: 245 SUMMER STREET
CITY: BOSTON
STATE: MA
ZIP: 02210
BUSINESS PHONE: 617-563-7000
MAIL ADDRESS:
STREET 1: 245 SUMMER STREET
CITY: BOSTON
STATE: MA
ZIP: 02210
FORMER COMPANY:
FORMER CONFORMED NAME: DAILY MONEY FUND/MA/
DATE OF NAME CHANGE: 19920703
FORMER COMPANY:
FORMER CONFORMED NAME: DEVONSHIRE STREET FUND INC
DATE OF NAME CHANGE: 19821213
0000028540
S000042145
Fidelity Series Commodity Strategy Fund
C000130874
Fidelity Series Commodity Strategy Fund
FCSSX
NPORT-P
1
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2020-07-31
2020-01-31
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SOCIETE GENERALE
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2020-03-05
0
USD
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USD
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USD
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N
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CANADIAN IMPERIAL BANK OF COMMERCE
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-0.07536737638
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CANADIAN IMPERIAL BANK OF COMMERCE
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0
USD
0
USD
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USD
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N
N
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CITIBANK, N.A.
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NC
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DCO
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US
N
2
CITIBANK, N.A.
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EI09DJUBSTR
Y
2020-02-07
0
USD
0
USD
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USD
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N
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SOCIETE GENERALE
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COMMODITY EXCHANGE INC
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NC
USD
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0.031765992374
N/A
DCO
CORP
US
N
1
COMMODITY EXCHANGE INC
N/A
Long
SILVER BULLION (1 OZ BAR)
SILVER BULLION (1 OZ = 1 SHR)
2020-03-27
39448238
USD
2429662
N
N
N
CREDIT SUISSE INTERNATIONAL
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CREDIT SUISSE INTERNATIONAL
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0
USD
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USD
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N
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SOCIETE GENERALE
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SOCIETE GENERALE
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2020-03-26
0
USD
0
USD
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USD
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N
N
N
UST BILLS
N/A
UST BILLS 0% 02/20/2020
912796TG4
155000000.00000000
PA
USD
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2.025097804925
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DBT
UST
US
N
2
2020-02-20
Fixed
0.00000000
N
N
N
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GS @BCOMTR LG CM SWAP 02/21/20
N/A
148000000.00000000
NC
USD
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N/A
DCO
CORP
US
N
2
GOLDMAN SACHS BANK USA
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BBG COMMODITY INDEX
EI09DJUBSTR
Y
2020-02-21
0
USD
0
USD
148000000
USD
-8932468.03
N
N
N
GOLDMAN SACHS BANK USA
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GS @BCOMTR LG CM SWAP 03/27/20
N/A
135000000.00000000
NC
USD
-6052280.71000000
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N/A
DCO
CORP
US
N
2
GOLDMAN SACHS BANK USA
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BBG COMMODITY INDEX
EI09DJUBSTR
Y
2020-03-27
0
USD
0
USD
135000000
USD
-6052280.71
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
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JPM @BCOMTR LG CM SWAP 05/01/2020
N/A
145000000.00000000
NC
USD
-6291176.12000000
-0.08225236788
N/A
DCO
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
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BBG COMMODITY INDEX
EI09DJUBSTR
Y
2020-05-01
0
USD
0
USD
145000000
USD
-6291176.12
N
N
N
ICE FUTURES US
N/A
COTTON NO.2 FUTR MAR20 CTH0
N/A
484.00000000
NC
USD
160905.78000000
0.002103721332
N/A
DCO
CORP
US
N
1
ICE FUTURES US
N/A
Long
COTTON
COTTON
2020-03-09
16174094.22
USD
160905.78
N
N
N
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
CIBC@BCOMTR LG CM SWAP 3/12/20
N/A
96000000.00000000
NC
USD
-2857580.04000000
-0.03736069698
N/A
DCO
CORP
CA
N
2
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
BBG COMMODITY INDEX
EI09DJUBSTR
Y
2020-03-12
0
USD
0
USD
96000000
USD
-2857580.04
N
N
N
BARCLAYS BANK PLC
G5GSEF7VJP5I7OUK5573
BARC @BCOMTR LG CM SWAP 03/30/20
N/A
67000000.00000000
NC
USD
-3608755.13000000
-0.04718174295
N/A
DCO
CORP
GB
N
2
BARCLAYS BANK PLC
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BBG COMMODITY INDEX
EI09DJUBSTR
Y
2020-03-30
0
USD
0
USD
67000000
USD
-3608755.13
N
N
N
ICE-ICE FUTURES LTD
N/A
LOW SU GASOIL G FUT MAR20 QSH0
N/A
476.00000000
NC
USD
-3873532.14000000
-0.05064350202
N/A
DCO
CORP
GB
N
1
ICE-ICE FUTURES LTD
N/A
Long
GAS OIL
GAS OIL
2020-03-12
27792532.14
USD
-3873532.14
N
N
N
CHICAGO BOARD OF TRADE
N/A
CORN FUTURE MAR20 C H0
N/A
3436.00000000
NC
USD
-563318.05000000
-0.00736495729
N/A
DCO
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Long
CORN
CORN
2020-03-13
66062068.05
USD
-563318.05
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
RBC @BCOMTR LG CM SWAP 2/13/2020
N/A
100000000.00000000
NC
USD
-6035463.23000000
-0.07890911531
N/A
DCO
CORP
CA
N
2
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
BBG COMMODITY INDEX
EI09DJUBSTR
Y
2020-02-13
0
USD
0
USD
100000000
USD
-6035463.23
N
N
N
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
CIBC@BCOMTR LG CM SWAP 3/20/20
N/A
104000000.00000000
NC
USD
-4387189.68000000
-0.05735918572
N/A
DCO
CORP
CA
N
2
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
BBG COMMODITY INDEX
EI09DJUBSTR
Y
2020-03-20
0
USD
0
USD
104000000
USD
-4387189.68
N
N
N
LONDON METAL EXCHANGE
N/A
LME ZINC CMDY FWD 03/18/2020
N/A
660.00000000
NC
USD
-919879.75000000
-0.01202673175
N/A
DCO
CORP
GB
N
1
LONDON METAL EXCHANGE
N/A
Long
ZINC
ZINC
2020-03-18
37302379.75
USD
-919879.75
N
N
N
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
CIBC@BCOMTR LG CM SWAP 02/24/20
N/A
124000000.00000000
NC
USD
-8092213.55000000
-0.10579956961
N/A
DCO
CORP
CA
N
2
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
BBG COMMODITY INDEX
EI09DJUBSTR
Y
2020-02-24
0
USD
0
USD
124000000
USD
-8092213.55
N
N
N
CHICAGO BOARD OF TRADE
N/A
SOYBEAN MEAL FUTR MAR20 SMH0
N/A
1238.00000000
NC
USD
-1233483.76000000
-0.01612686691
N/A
DCO
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Long
SOYBEAN MEAL
SOYBEAN MEAL
2020-03-13
37259283.76
USD
-1233483.76
N
N
N
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
CIBC@BCOMTR LG CM SWAP 4/30/20
N/A
62000000.00000000
NC
USD
-835998.47000000
-0.01093004748
N/A
DCO
CORP
CA
N
2
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
BBG COMMODITY INDEX
EI09DJUBSTR
Y
2020-04-30
0
USD
0
USD
62000000
USD
-835998.47
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITI @BCOMTR LG CM SWAP 03/13/2020
N/A
127000000.00000000
NC
USD
-4150179.29000000
-0.05426045420
N/A
DCO
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
BBG COMMODITY INDEX
EI09DJUBSTR
Y
2020-03-13
0
USD
0
USD
127000000
USD
-4150179.29
N
N
N
FIDELITY REVERE STREET TRUST
549300BDV45LJNXBZC55
Fidelity Cash Central Fund
31635A105
7124041412.11600000
NS
USD
7125466220.40000000
93.16007972293
Long
STIV
RF
US
N
1
N
N
N
ICE-ICE FUTURES LTD
N/A
BRENT CRUDE FUTR MAY20 COK0
N/A
1163.00000000
NC
USD
-8250191.09000000
-0.10786500642
N/A
DCO
CORP
GB
N
1
ICE-ICE FUTURES LTD
N/A
Long
BRENT CRUDE OIL
BRENT CRUDE OIL
2020-03-31
73866651.09
USD
-8250191.09
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GS @BCOMTR LG CM SWAP 03/23/20
N/A
140000000.00000000
NC
USD
-9634633.86000000
-0.12596554818
N/A
DCO
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
BBG COMMODITY INDEX
EI09DJUBSTR
Y
2020-03-23
0
USD
0
USD
140000000
USD
-9634633.86
N
N
N
CHICAGO BOARD OF TRADE
N/A
WHEAT FUTURE(CBT) MAR20 W H0
N/A
1252.00000000
NC
USD
2281408.47000000
0.029827689637
N/A
DCO
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Long
WHEAT
WHEAT
2020-03-13
32383341.53
USD
2281408.47
N
N
N
NEW YORK MERCANTILE EXCHANGE
N/A
GASOLINE RBOB FUT MAR20 XBH0
N/A
351.00000000
NC
USD
-2200637.57000000
-0.02877167123
N/A
DE
CORP
US
N
1
NEW YORK MERCANTILE EXCHANGE
N/A
Long
REFORMULATED 84 OCT OXG INDEX
34T99S223
2020-02-28
24374079.77
USD
-2200637.57
N
N
N
LONDON METAL EXCHANGE
N/A
LME NICKEL CMDY FWD 03/18/2020
N/A
373.00000000
NC
USD
-1538835.05000000
-0.02011910400
N/A
DCO
CORP
GB
N
1
LONDON METAL EXCHANGE
N/A
Long
NICKEL
NICKEL
2020-03-18
30213210.05
USD
-1538835.05
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GS @BCOMTR LG CM SWAP 04/17/20
N/A
149000000.00000000
NC
USD
-8946956.02000000
-0.11697468071
N/A
DCO
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
BBG COMMODITY INDEX
EI09DJUBSTR
Y
2020-04-17
0
USD
0
USD
149000000
USD
-8946956.02
N
N
N
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
GS @BCOMTR LG CM SWAP 03/16/20
N/A
86000000.00000000
NC
USD
-3347087.66000000
-0.04376063875
N/A
DCO
CORP
US
N
2
GOLDMAN SACHS BANK USA
KD3XUN7C6T14HNAYLU02
BBG COMMODITY INDEX
EI09DJUBSTR
Y
2020-03-16
0
USD
0
USD
86000000
USD
-3347087.66
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
RBC @BCOMTR LG CM SWAP 2/21/20
N/A
149000000.00000000
NC
USD
-8552529.54000000
-0.11181785291
N/A
DCO
CORP
CA
N
2
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
BBG COMMODITY INDEX
EI09DJUBSTR
Y
2020-02-21
0
USD
0
USD
149000000
USD
-8552529.54
N
N
N
UST BILLS
N/A
UST BILLS 0% 02/06/2020
912796TE9
200000000.00000000
PA
USD
199975624.00000000
2.614529982774
Long
DBT
UST
US
N
2
2020-02-06
Fixed
0.00000000
N
N
N
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITI @BCOMTR LG CM SWAP 03/09/2020
N/A
107000000.00000000
NC
USD
-5172828.90000000
-0.06763082411
N/A
DCO
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
BBG COMMODITY INDEX
EI09DJUBSTR
Y
2020-03-09
0
USD
0
USD
107000000
USD
-5172828.9
N
N
N
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
CS @BCOMTR LG CM SWAP 03/20/20
N/A
141000000.00000000
NC
USD
-5950218.71000000
-0.07779460771
N/A
DCO
CORP
GB
N
2
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
BBG COMMODITY INDEX
EI09DJUBSTR
Y
2020-03-20
0
USD
0
USD
141000000
USD
-5950218.71
N
N
N
UST BILLS
N/A
UST BILLS 0% 04/30/2020
912796TS8
100000000.00000000
PA
USD
99631458.00000000
1.302605932453
Long
DBT
UST
US
N
2
2020-04-30
Fixed
0.00000000
N
N
N
N
N
N
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
CIBC@BCOMTR LG CM SWAP 3/30/20
N/A
111000000.00000000
NC
USD
-5977163.32000000
-0.07814688810
N/A
DCO
CORP
CA
N
2
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
BBG COMMODITY INDEX
EI09DJUBSTR
Y
2020-03-30
0
USD
0
USD
111000000
USD
-5977163.32
N
N
N
MACQUARIE BANK LTD
4ZHCHI4KYZG2WVRT8631
MCQ @BCOMTR LG CM SWAP 05/04/2020
N/A
111000000.00000000
NC
USD
-2156175.49000000
-0.02819036317
N/A
DCO
CORP
AU
N
2
MACQUARIE BANK LTD
4ZHCHI4KYZG2WVRT8631
BBG COMMODITY INDEX
EI09DJUBSTR
Y
2020-05-04
0
USD
0
USD
111000000
USD
-2156175.49
N
N
N
UST BILLS
N/A
UST BILLS 0% 03/19/2020
912796TL3
100000000.00000000
PA
USD
99809979.00000000
1.304939959460
Long
DBT
UST
US
N
2
2020-03-19
Fixed
0.00000000
N
N
N
N
N
N
MERRILL LYNCH INTERNATIONAL
GGDZP1UYGU9STUHRDP48
ML @BCOMTR LG CM SWAP 02/28/2020
N/A
148500000.00000000
NC
USD
-7914830.13000000
-0.10348041561
N/A
DCO
CORP
GB
N
2
MERRILL LYNCH INTERNATIONAL
GGDZP1UYGU9STUHRDP48
BBG COMMODITY INDEX
EI09DJUBSTR
Y
2020-02-28
0
USD
0
USD
148500000
USD
-7914830.13
N
N
N
NEW YORK MERCANTILE EXCHANGE
N/A
WTI CRUDE FUTURE MAR20 CLH0
N/A
1448.00000000
NC
USD
-10185062.71000000
-0.13316198894
N/A
DCO
CORP
US
N
1
NEW YORK MERCANTILE EXCHANGE
N/A
Long
WTI CRUDE
WTI CRUDE
2020-02-20
84843942.71
USD
-10185062.71
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
UBS @BCOMTR LG CM SWAP 04/16/20
N/A
168000000.00000000
NC
USD
-10916307.49000000
-0.14272246118
N/A
DCO
CORP
CH
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
BBG COMMODITY INDEX
EI09DJUBSTR
Y
2020-04-16
0
USD
0
USD
168000000
USD
-10916307.49
N
N
N
LONDON METAL EXCHANGE
N/A
LME ALUMINUM CMDY FWD 03/18/2020
N/A
1081.00000000
NC
USD
-1483620.10000000
-0.01939721030
N/A
DCO
CORP
GB
N
1
LONDON METAL EXCHANGE
N/A
Long
ALUMINUM
ALUMINUM
2020-03-18
47723395.1
USD
-1483620.1
N
N
N
MACQUARIE BANK LTD
4ZHCHI4KYZG2WVRT8631
MCQ @BCOMTR LG CM SWAP 3/13/20
N/A
96000000.00000000
NC
USD
-3132488.05000000
-0.04095491122
N/A
DCO
CORP
AU
N
2
MACQUARIE BANK LTD
4ZHCHI4KYZG2WVRT8631
BBG COMMODITY INDEX
EI09DJUBSTR
Y
2020-03-13
0
USD
0
USD
96000000
USD
-3132488.05
N
N
N
NEW YORK MERCANTILE EXCHANGE
N/A
NY HARB ULSD FUT MAR20 HOH0
N/A
280.00000000
NC
USD
-3604694.80000000
-0.04712865720
N/A
DCO
CORP
US
N
1
NEW YORK MERCANTILE EXCHANGE
N/A
Long
HEATING OIL
HEATING OIL
2020-02-28
22754678.8
USD
-3604694.8
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPM @BCOMTR LG CM SWAP 02/10/2020
N/A
73000000.00000000
NC
USD
-4407748.16000000
-0.05762797230
N/A
DCO
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
BBG COMMODITY INDEX
EI09DJUBSTR
Y
2020-02-10
0
USD
0
USD
73000000
USD
-4407748.16
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
UBS @BCOMTR LG CM SWAP 03/23/20
N/A
112000000.00000000
NC
USD
-7708366.81000000
-0.10078106391
N/A
DCO
CORP
CH
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
BBG COMMODITY INDEX
EI09DJUBSTR
Y
2020-03-23
0
USD
0
USD
112000000
USD
-7708366.81
N
N
N
COMMODITY EXCHANGE INC
N/A
COPPER FUTURE MAR20 HGH0
N/A
1129.00000000
NC
USD
-4188262.32000000
-0.05475836100
N/A
DCO
CORP
US
N
1
COMMODITY EXCHANGE INC
N/A
Long
COPPER
COPPER
2020-03-27
75230587.32
USD
-4188262.32
N
N
N
MERRILL LYNCH INTERNATIONAL
GGDZP1UYGU9STUHRDP48
ML @BCOMTR LG CM SWAP 04/30/20
N/A
102000000.00000000
NC
USD
-4978268.15000000
-0.06508708951
N/A
DCO
CORP
GB
N
2
MERRILL LYNCH INTERNATIONAL
GGDZP1UYGU9STUHRDP48
BBG COMMODITY INDEX
EI09DJUBSTR
Y
2020-04-30
0
USD
0
USD
102000000
USD
-4978268.15
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
RBC @BCOMTR LG CM SWAP 05/01/20
N/A
126000000.00000000
NC
USD
-5466538.94000000
-0.07147086067
N/A
DCO
CORP
CA
N
2
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
BBG COMMODITY INDEX
EI09DJUBSTR
Y
2020-05-01
0
USD
0
USD
126000000
USD
-5466538.94
N
N
N
CHICAGO BOARD OF TRADE
N/A
SOYBEAN FUTURE MAR20 S H0
N/A
1352.00000000
NC
USD
-2309734.69000000
-0.03019803353
N/A
DCO
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Long
SOYBEANS
SOYBEANS
2020-03-13
61290734.69
USD
-2309734.69
N
N
N
CHICAGO MERCANTILE EXCH INC
SNZ2OJLFK8MNNCLQOF39
LEAN HOGS FUTURE APR20 LHJ0
N/A
727.00000000
NC
USD
-3754964.32000000
-0.04909331748
N/A
DCO
CORP
US
N
1
CHICAGO MERCANTILE EXCH INC
SNZ2OJLFK8MNNCLQOF39
Long
LEAN HOGS
LEAN HOGS
2020-04-15
21668244.32
USD
-3754964.32
N
N
N
MERRILL LYNCH INTERNATIONAL
GGDZP1UYGU9STUHRDP48
ML @BCOMTR LG CM SWAP 4/13/20
N/A
90000000.00000000
NC
USD
-7446365.34000000
-0.09735559292
N/A
DCO
CORP
GB
N
2
MERRILL LYNCH INTERNATIONAL
GGDZP1UYGU9STUHRDP48
BBG COMMODITY INDEX
EI09DJUBSTR
Y
2020-04-13
0
USD
0
USD
90000000
USD
-7446365.34
N
N
N
ICE FUTURES US
N/A
COFFEE 'C' FUTURE MAR20 KCH0
N/A
669.00000000
NC
USD
-2067163.93000000
-0.02702660437
N/A
DCO
CORP
US
N
1
ICE FUTURES US
N/A
Long
COFFEE
COFFEE
2020-03-19
27819482.68
USD
-2067163.93
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
UBS @BCOMTR LG CM SWAP 04/16/2020
N/A
40000000.00000000
NC
USD
-1735365.36000000
-0.02268858910
N/A
DCO
CORP
CH
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
BBG COMMODITY INDEX
EI09DJUBSTR
Y
2020-04-16
0
USD
0
USD
40000000
USD
-1735365.36
N
N
N
MACQUARIE BANK LTD
4ZHCHI4KYZG2WVRT8631
MCQ @BCOMTR LG CM SWAP 02/13/20
N/A
88000000.00000000
NC
USD
-3969917.09000000
-0.05190366232
N/A
DCO
CORP
AU
N
2
MACQUARIE BANK LTD
4ZHCHI4KYZG2WVRT8631
BBG COMMODITY INDEX
EI09DJUBSTR
Y
2020-02-13
0
USD
0
USD
88000000
USD
-3969917.09
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
UBS @BCOMTR LG CM SWAP 3/27/20
N/A
133000000.00000000
NC
USD
-5963546.47000000
-0.07796885809
N/A
DCO
CORP
CH
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
BBG COMMODITY INDEX
EI09DJUBSTR
Y
2020-03-27
0
USD
0
USD
133000000
USD
-5963546.47
N
N
N
CHICAGO MERCANTILE EXCH INC
SNZ2OJLFK8MNNCLQOF39
LIVE CATTLE FUTR APR20 LCJ0
N/A
899.00000000
NC
USD
-2816706.33000000
-0.03682630415
N/A
DCO
CORP
US
N
1
CHICAGO MERCANTILE EXCH INC
SNZ2OJLFK8MNNCLQOF39
Long
LIVE CATTLE
LIVE CATTLE
2020-04-30
45851836.33
USD
-2816706.33
N
N
N
MACQUARIE BANK LTD
4ZHCHI4KYZG2WVRT8631
MCQ @BCOMTR LG CM SWAP 04/02/20
N/A
139000000.00000000
NC
USD
-9226834.26000000
-0.12063387695
N/A
DCO
CORP
AU
N
2
MACQUARIE BANK LTD
4ZHCHI4KYZG2WVRT8631
BBG COMMODITY INDEX
EI09DJUBSTR
Y
2020-04-02
0
USD
0
USD
139000000
USD
-9226834.26
N
N
N
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
CITI @BCOMTR LG CM SWAP 03/02/20
N/A
140000000.00000000
NC
USD
-7845200.16000000
-0.10257005643
N/A
DCO
CORP
US
N
2
CITIBANK, N.A.
E57ODZWZ7FF32TWEFA76
BBG COMMODITY INDEX
EI09DJUBSTR
Y
2020-03-02
0
USD
0
USD
140000000
USD
-7845200.16
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
RBC @BCOMTR LG CM SWAP 5/7/20
N/A
150000000.00000000
NC
USD
-2022576.94000000
-0.02644366321
N/A
DCO
CORP
CA
N
2
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
BBG COMMODITY INDEX
EI09DJUBSTR
Y
2020-05-07
0
USD
0
USD
150000000
USD
-2022576.94
N
N
N
COMMODITY EXCHANGE INC
N/A
GOLD 100 OZ FUTR APR20 GCJ0
N/A
980.00000000
NC
USD
2695099.60000000
0.035236388164
N/A
DCO
CORP
US
N
1
COMMODITY EXCHANGE INC
N/A
Long
GOLD BULLION
GOLD BULLION
2020-04-28
152919100.4
USD
2695099.6
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
UBS @BCOMTR LG CM SWAP 03/02/20
N/A
151000000.00000000
NC
USD
-10090003.50000000
-0.13191916169
N/A
DCO
CORP
CH
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
BBG COMMODITY INDEX
EI09DJUBSTR
Y
2020-03-02
0
USD
0
USD
151000000
USD
-10090003.5
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
RBC @BCOMTR LG CM SWAP 03/12/20
N/A
96200000.00000000
NC
USD
-2863533.34000000
-0.03743853187
N/A
DCO
CORP
CA
N
2
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
BBG COMMODITY INDEX
EI09DJUBSTR
Y
2020-03-12
0
USD
0
USD
96200000
USD
-2863533.34
N
N
N
MACQUARIE BANK LTD
4ZHCHI4KYZG2WVRT8631
MCQ @BCOMTR LG CM SWAP 2/7/20
N/A
138500000.00000000
NC
USD
-5550653.89000000
-0.07257060000
N/A
DCO
CORP
AU
N
2
MACQUARIE BANK LTD
4ZHCHI4KYZG2WVRT8631
BBG COMMODITY INDEX
EI09DJUBSTR
Y
2020-02-07
0
USD
0
USD
138500000
USD
-5550653.89
N
N
N
MACQUARIE BANK LTD
4ZHCHI4KYZG2WVRT8631
MCQ @BCOMTR LG CM SWAP 03/05/20
N/A
145000000.00000000
NC
USD
-7627018.75000000
-0.09971749957
N/A
DCO
CORP
AU
N
2
MACQUARIE BANK LTD
4ZHCHI4KYZG2WVRT8631
BBG COMMODITY INDEX
EI09DJUBSTR
Y
2020-03-05
0
USD
0
USD
145000000
USD
-7627018.75
N
N
N
MORGAN STANLEY CAPITAL GROUP, INC
VB7RXNZGO6KVDABYB880
MS @BCOMTR LG CM SWAP 02/14/20
N/A
95000000.00000000
NC
USD
-4449680.52000000
-0.05817620618
N/A
DCO
CORP
US
N
2
MORGAN STANLEY CAPITAL GROUP, INC
VB7RXNZGO6KVDABYB880
BBG COMMODITY INDEX
EI09DJUBSTR
Y
2020-02-14
0
USD
0
USD
95000000
USD
-4449680.52
N
N
N
UST BILLS
N/A
UST BILLS 0% 02/13/2020
912796TF6
125000000.00000000
PA
USD
124948930.00000000
1.633612723721
Long
DBT
UST
US
N
2
2020-02-13
Fixed
0.00000000
N
N
N
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
RBC @BCOMTR LG CM SWAP 4/16/20
N/A
148000000.00000000
NC
USD
-9617071.46000000
-0.12573593308
N/A
DCO
CORP
CA
N
2
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
BBG COMMODITY INDEX
EI09DJUBSTR
Y
2020-04-16
0
USD
0
USD
148000000
USD
-9617071.46
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPM @BCOMTR LG CM SWAP 02/10/20
N/A
100500000.00000000
NC
USD
-4847008.53000000
-0.06337096929
N/A
DCO
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
BBG COMMODITY INDEX
EI09DJUBSTR
Y
2020-02-10
0
USD
0
USD
100500000
USD
-4847008.53
N
N
N
MACQUARIE BANK LTD
4ZHCHI4KYZG2WVRT8631
MCQ @BCOMTR LG CM SWP 04/09/20
N/A
129500000.00000000
NC
USD
-10711937.84000000
-0.14005048263
N/A
DCO
CORP
AU
N
2
MACQUARIE BANK LTD
4ZHCHI4KYZG2WVRT8631
BBG COMMODITY INDEX
EI09DJUBSTR
Y
2020-04-09
0
USD
0
USD
129500000
USD
-10711937.84
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPM @BCOMTR LG CM SWAP 5/01/20
N/A
67000000.00000000
NC
USD
-1301695.57000000
-0.01701868471
N/A
DCO
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
BBG COMMODITY INDEX
EI09DJUBSTR
Y
2020-05-01
0
USD
0
USD
67000000
USD
-1301695.57
N
N
N
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
CIBC@BCOMTR LG CM SWAP 04/30/20
N/A
108000000.00000000
NC
USD
-5271107.45000000
-0.06891574180
N/A
DCO
CORP
CA
N
2
CANADIAN IMPERIAL BANK OF COMMERCE
2IGI19DL77OX0HC3ZE78
BBG COMMODITY INDEX
EI09DJUBSTR
Y
2020-04-30
0
USD
0
USD
108000000
USD
-5271107.45
N
N
N
MACQUARIE BANK LTD
4ZHCHI4KYZG2WVRT8631
MCQ @BCOMTR LG CM SWAP 4/17/20
N/A
131000000.00000000
NC
USD
-7865038.98000000
-0.10282943399
N/A
DCO
CORP
AU
N
2
MACQUARIE BANK LTD
4ZHCHI4KYZG2WVRT8631
BBG COMMODITY INDEX
EI09DJUBSTR
Y
2020-04-17
0
USD
0
USD
131000000
USD
-7865038.98
N
N
N
NEW YORK MERCANTILE EXCHANGE
N/A
NATURAL GAS FUT MAR20 NGH20
N/A
4187.00000000
NC
USD
-14761106.92000000
-0.19299030476
N/A
DCO
CORP
US
N
1
NEW YORK MERCANTILE EXCHANGE
N/A
Long
NATURAL GAS
NATURAL GAS
2020-02-26
91843776.92
USD
-14761106.92
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
RBC @BCOMTR LG CM SWAP 02/13/20
N/A
89000000.00000000
NC
USD
-4022856.92000000
-0.05259581054
N/A
DCO
CORP
CA
N
2
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
BBG COMMODITY INDEX
EI09DJUBSTR
Y
2020-02-13
0
USD
0
USD
89000000
USD
-4022856.92
N
N
N
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
CS @BCOMTR LG CM SWAP 03/09/20
N/A
102000000.00000000
NC
USD
-4933092.02000000
-0.06449644579
N/A
DCO
CORP
GB
N
2
CREDIT SUISSE INTERNATIONAL
E58DKGMJYYYJLN8C3868
BBG COMMODITY INDEX
EI09DJUBSTR
Y
2020-03-09
0
USD
0
USD
102000000
USD
-4933092.02
N
N
N
UST BILLS
N/A
UST BILLS 0% 04/09/2020
912796TQ2
200000000.00000000
PA
USD
199436862.00000000
2.607486077250
Long
DBT
UST
US
N
2
2020-04-09
Fixed
0.00000000
N
N
N
N
N
N
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
SG @BCOMTR LG CM SWAP 04/13/2020
N/A
151000000.00000000
NC
USD
-12492353.43000000
-0.16332806941
N/A
DCO
CORP
FR
N
2
SOCIETE GENERALE
O2RNE8IBXP4R0TD8PU41
BBG COMMODITY INDEX
EI09DJUBSTR
Y
2020-04-13
0
USD
0
USD
151000000
USD
-12492353.43
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
UBS @BCOMTR LG CM SWAP 02/24/20
N/A
100000000.00000000
NC
USD
-6036739.04000000
-0.07892579556
N/A
DCO
CORP
CH
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
BBG COMMODITY INDEX
EI09DJUBSTR
Y
2020-02-24
0
USD
0
USD
100000000
USD
-6036739.04
N
N
N
MACQUARIE BANK LTD
4ZHCHI4KYZG2WVRT8631
MCQ @BCOMTR LG CM SWAP 3/19/20
N/A
86000000.00000000
NC
USD
-3344354.52000000
-0.04372490501
N/A
DCO
CORP
AU
N
2
MACQUARIE BANK LTD
4ZHCHI4KYZG2WVRT8631
BBG COMMODITY INDEX
EI09DJUBSTR
Y
2020-03-19
0
USD
0
USD
86000000
USD
-3344354.52
N
N
N
CHICAGO BOARD OF TRADE
N/A
SOYBEAN OIL FUTR MAR20 BOH0
N/A
1575.00000000
NC
USD
-1455634.27000000
-0.01903131675
N/A
DCO
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Long
SOYBEAN OIL
SOYBEAN OIL
2020-03-13
29748934.27
USD
-1455634.27
N
N
N
MACQUARIE BANK LTD
4ZHCHI4KYZG2WVRT8631
MCQ @BCOMTR LG CM SWAP 2/28/20
N/A
127000000.00000000
NC
USD
-9316347.09000000
-0.12180418947
N/A
DCO
CORP
AU
N
2
MACQUARIE BANK LTD
4ZHCHI4KYZG2WVRT8631
BBG COMMODITY INDEX
EI09DJUBSTR
Y
2020-02-28
0
USD
0
USD
127000000
USD
-9316347.09
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
RBC @BCOMTR LG CM SWAP 3/26/20
N/A
135000000.00000000
NC
USD
-6361381.99000000
-0.08317025651
N/A
DCO
CORP
CA
N
2
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
BBG COMMODITY INDEX
EI09DJUBSTR
Y
2020-03-26
0
USD
0
USD
135000000
USD
-6361381.99
N
N
N
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
RBC @BCOMTR LG CM SWAP 03/06/20
N/A
147000000.00000000
NC
USD
-6519690.82000000
-0.08524002469
N/A
DCO
CORP
CA
N
2
ROYAL BANK OF CANADA
ES7IP3U3RHIGC71XBU11
BBG COMMODITY INDEX
EI09DJUBSTR
Y
2020-03-06
0
USD
0
USD
147000000
USD
-6519690.82
N
N
N
ICE FUTURES US
N/A
SUGAR FUT MAR20 SBH0
N/A
2239.00000000
NC
USD
6799230.72000000
0.088894797384
N/A
DCO
CORP
US
N
1
ICE FUTURES US
N/A
Long
SUGAR
SUGAR
2020-02-28
29837974.08
USD
6799230.72
N
N
N
MERRILL LYNCH INTERNATIONAL
GGDZP1UYGU9STUHRDP48
ML @BCOMTR LG CM SWAP 02/28/20
N/A
40000000.00000000
NC
USD
-2671434.91000000
-0.03492699024
N/A
DCO
CORP
GB
N
2
MERRILL LYNCH INTERNATIONAL
GGDZP1UYGU9STUHRDP48
BBG COMMODITY INDEX
EI09DJUBSTR
Y
2020-02-28
0
USD
0
USD
40000000
USD
-2671434.91
N
N
N
CHICAGO BOARD OF TRADE
N/A
KC HRW WHEAT FUT MAR20 KWH0
N/A
709.00000000
NC
USD
609790.30000000
0.007972546806
N/A
DCO
CORP
US
N
1
CHICAGO BOARD OF TRADE
N/A
Long
WHEAT
WHEAT
2020-03-13
15892184.7
USD
609790.3
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
UBS @BCOMTR LG CM SWAP 03/06/2020
N/A
121000000.00000000
NC
USD
-5365354.80000000
-0.07014795459
N/A
DCO
CORP
CH
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
BBG COMMODITY INDEX
EI09DJUBSTR
Y
2020-03-06
0
USD
0
USD
121000000
USD
-5365354.8
N
N
N
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
JPM @BCOMTR LG CM SWAP 02/28/2020
N/A
116000000.00000000
NC
USD
-7755360.68000000
-0.10139547320
N/A
DCO
CORP
US
N
2
JPMORGAN CHASE BANK NA NEW YORK NY
7H6GLXDRUGQFU57RNE97
BBG COMMODITY INDEX
EI09DJUBSTR
Y
2020-02-28
0
USD
0
USD
116000000
USD
-7755360.68
N
N
N
2020-03-01
Laura M. Del Prato
Laura M. Del Prato
Laura M. Del Prato
President and Treasurer