0001752724-22-053296.txt : 20220301
0001752724-22-053296.hdr.sgml : 20220301
20220301121512
ACCESSION NUMBER: 0001752724-22-053296
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20211231
FILED AS OF DATE: 20220301
PERIOD START: 20211231
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: Natixis Funds Trust II
CENTRAL INDEX KEY: 0000052136
IRS NUMBER: 041990692
STATE OF INCORPORATION: MA
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-00242
FILM NUMBER: 22695508
BUSINESS ADDRESS:
STREET 1: 888 BOYLSTON STREET
STREET 2: 8TH FLOOR
CITY: BOSTON
STATE: MA
ZIP: 02199
BUSINESS PHONE: 800-283-1155
MAIL ADDRESS:
STREET 1: 888 BOYLSTON STREET
STREET 2: 8TH FLOOR
CITY: BOSTON
STATE: MA
ZIP: 02199
FORMER COMPANY:
FORMER CONFORMED NAME: IXIS Advisor Funds Trust II
DATE OF NAME CHANGE: 20050502
FORMER COMPANY:
FORMER CONFORMED NAME: CDC NVEST FUNDS TRUST II
DATE OF NAME CHANGE: 20010503
FORMER COMPANY:
FORMER CONFORMED NAME: NVEST FUNDS TRUST II
DATE OF NAME CHANGE: 20000202
0000052136
S000029564
AlphaSimplex Managed Futures Strategy Fund
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Class A
AMFAX
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ASFCX
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Class Y
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C000190721
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AMFNX
NPORT-P
1
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617-449-2810
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2021-12-31
2021-12-31
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2022-03-15
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Skandinaviska Enskilda Banken AB/New York NY
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Skandinaviska Enskilda Banken AB/New York NY
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SE
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2022-02-18
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Hong Kong Futures Exchange Ltd.
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HK
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Hong Kong Futures Exchange Ltd.
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HKG Hang Seng China Enterprises Index Future
HCF2 INDEX
2022-01-28
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United States Treasury
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STIV
UST
US
N
2
2022-02-24
None
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N
N
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ICE Futures U.S., Inc.
5493004R83R1LVX2IL36
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000000000
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USD
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0.001230131534
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DCO
US
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ICE Futures U.S., Inc.
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NYBOT CTN Number 2 Cotton Future
CTH2 Comdty
2022-03-09
31002830.00000000
USD
18470.00000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
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000000000
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NC
21149.46000000
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DFE
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2022-03-16
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New York Mercantile Exchange
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USD
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0.097089147073
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DCO
US
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New York Mercantile Exchange
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NYMEX Light Sweet Crude Oil Future
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2022-01-20
36974550.00000000
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USD
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-0.11331063254
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Chicago Mercantile Exchange
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CDH2 CURNCY
2022-03-15
-242879380.00000000
USD
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Eurex Deutschland
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Eurex Stoxx Europe 600 Futures
SXOH2 INDEX
2022-03-18
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EUR
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NZD
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2022-03-16
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2022-06-06
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Euronext Amsterdam Index Future
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N
United States Treasury
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United States Treasury Bill
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STIV
UST
US
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2022-05-19
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N
N
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STIV
CORP
JP
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2022-05-16
Fixed
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N
N
N
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New York Mercantile Exchange
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2022-01-31
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UBS AG
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2022-06-08
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JP
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2022-05-18
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2022-06-23
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CME E-Mini NASDAQ 100 Index Future
NQH2 Index
2022-03-18
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UBS AG
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2022-03-16
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USD
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0.031602875023
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1
ICE Futures U.S., Inc.
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NYBOT CSC C Coffee Future
KCH2 Comdty
2022-03-21
28183668.75000000
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N
N
UBS AG
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-0.00541091637
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2
UBS AG
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17900000.00000000
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2022-03-16
-81243.04000000
N
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N
UBS AG
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PURCHASED USD / SOLD CNH
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NC
-45274.57000000
-0.00301535875
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DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
47000000.00000000
CNY
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2022-03-16
-45274.57000000
N
N
N
Euronext N.V.
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CAC40 10 EURO FUT JAN22
000000000
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NC
1328981.99000000
0.088512325681
N/A
DE
FR
N
2
Euronext N.V.
724500QJ4QSZ3H9QU415
Long
Euronext CAC 40 Index Future
CFF2 INDEX
2022-01-21
48369170.00000000
EUR
1328981.99000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
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-117400.70000000
-0.00781907435
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2
UBS AG
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45000000.00000000
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2022-03-16
-117400.70000000
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N
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-276968.41000000
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UBS AG
BFM8T61CT2L1QCEMIK50
947500000.00000000
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2022-03-16
-276968.41000000
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N
UBS AG
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2022-03-16
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USD
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0.095012176206
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DE
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
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CBOT $5 Mini Dow Jones Industrial Average e-CBOT Future
DMH2 INDEX
2022-03-18
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1426575.00000000
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N
N
UBS AG
BFM8T61CT2L1QCEMIK50
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UBS AG
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2022-03-16
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SUMITOMO MITSUI TRUST NY
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SUMITOMO MITSUI TRUST NY
86564G7L9
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USD
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STIV
CORP
JP
N
2
2022-04-12
Fixed
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N
N
N
N
N
Commodities Exchange Center
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-2011055.00000000
-0.13393947883
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US
N
1
Commodities Exchange Center
N/A
Short
COMEX Silver Future
SIH2 Comdty
2022-03-29
-39205225.00000000
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-2011055.00000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
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UBS AG
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85500000.00000000
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2022-03-16
119399.77000000
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N
N
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000000000
1.00000000
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-1125714.99000000
-0.07497441844
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US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
347500000.00000000
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84659668.13000000
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2022-03-16
-1125714.99000000
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N
N
UBS AG
BFM8T61CT2L1QCEMIK50
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000000000
1.00000000
NC
44356.34000000
0.002954203173
N/A
DFE
NZ
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
6865606.30000000
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2022-03-16
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N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796S26
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PA
USD
49997229.00000000
3.329895400925
Long
STIV
UST
US
N
2
2022-03-01
None
0.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796R76
30000000.00000000
PA
USD
29999137.50000000
1.997990528494
Long
STIV
UST
US
N
2
2022-02-08
None
0.00000000
N
N
N
N
N
N
SUMITOMO MITSUI TRUST NY
N/A
SUMITOMO MITSUI TRUST NY
86564G4S7
20000000.00000000
PA
USD
19997652.40000000
1.331875627668
Long
STIV
CORP
JP
N
2
2022-05-16
Fixed
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N
N
N
N
N
ICE Futures Europe
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000000000
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1800210.00000000
0.119896864678
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GB
N
1
ICE Futures Europe
549300UF4R84F48NCH34
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ICE Brent Crude Oil Future
COH2 Comdty
2022-01-31
49301250.00000000
USD
1800210.00000000
N
N
N
Eurex Deutschland
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EURO-BUXL 30Y BND MAR22
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DIR
DE
N
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Eurex Deutschland
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Long
Eurex 30 Year Euro BUXL Future
UBH2 COMDTY
2022-03-08
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EUR
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N
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Chicago Mercantile Exchange
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000000000
-2199.00000000
NC
USD
-3782393.75000000
-0.25191347209
N/A
DFE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
CME British Pound Currency Future
BPH2 CURNCY
2022-03-14
-182184287.50000000
USD
-3782393.75000000
N
N
N
COOPERATIEVE CENTRALE
N/A
COOPERATIEVE CENTRALE
21684XSU1
25000000.00000000
PA
USD
25000445.50000000
1.665069647990
Long
STIV
CORP
NL
N
2
2022-02-15
Fixed
0.12000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-105462.88000000
-0.00702399645
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
7500000.00000000
NZD
5025697.50000000
USD
2022-03-16
-105462.88000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
16667.66000000
0.001110092808
N/A
DFE
MX
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
2201762.11000000
USD
46000000.00000000
MXN
2022-03-16
16667.66000000
N
N
N
ICE Futures Europe
549300UF4R84F48NCH34
LOW SU GASOIL G FEB22
000000000
667.00000000
NC
USD
1354250.00000000
0.090195215552
N/A
DCO
GB
N
1
ICE Futures Europe
549300UF4R84F48NCH34
Long
ICE Gas Oil Future
QSG2 Comdty
2022-02-10
43084625.00000000
USD
1354250.00000000
N
N
N
Nasdaq Stockholm AB
549300KBQIVNEJEZVL96
OMXS30 IND FUTURE JAN22
000000000
1293.00000000
NC
982770.43000000
0.065454082165
N/A
DE
SE
N
2
Nasdaq Stockholm AB
549300KBQIVNEJEZVL96
Long
OML Stockholm OMXS30 Index Future
QCF2 INDEX
2022-01-21
302869625.00000000
SEK
982770.43000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US LONG BOND(CBT) MAR22
000000000
585.00000000
NC
USD
-1059593.75000000
-0.07057063812
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT US Long Bond Future
USH2 COMDTY
2022-03-22
94915531.25000000
USD
-1059593.75000000
N
N
N
TORONTO-DOMINION
N/A
TORONTO-DOMINION
89114WEC5
15000000.00000000
PA
USD
15000478.65000000
0.999055865042
Long
STIV
CORP
CA
N
2
2022-02-17
Fixed
0.14000000
N
N
N
N
N
N
ICE Futures U.S., Inc.
5493004R83R1LVX2IL36
MSCI EMGMKT MAR22
000000000
-678.00000000
NC
USD
-79812.50000000
-0.00531564012
N/A
DE
US
N
1
ICE Futures U.S., Inc.
5493004R83R1LVX2IL36
Short
ICE US MSCI Emerging Markets EM Index Futures
MESH2 INDEX
2022-03-18
-41491757.50000000
USD
-79812.50000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-92334.59000000
-0.00614963134
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
16700000.00000000
NZD
11333049.19000000
USD
2022-03-16
-92334.59000000
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BUND FUTURE MAR22
000000000
116.00000000
NC
-427051.21000000
-0.02844229347
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
Eurex 10 Year Euro BUND Future
RXH2 COMDTY
2022-03-08
20254020.00000000
EUR
-427051.21000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
77009.93000000
0.005128984482
N/A
DFE
MX
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
4311622.87000000
USD
91000000.00000000
MXN
2022-03-16
77009.93000000
N
N
N
New York Mercantile Exchange
5493008GFNDTXFPHWI47
GASOLINE RBOB FUT FEB22
000000000
516.00000000
NC
USD
2731029.00000000
0.181890898531
N/A
DCO
US
N
1
New York Mercantile Exchange
5493008GFNDTXFPHWI47
Long
NYMEX Reformulated Gasoline Blendstock for Oxygen Blending RBOB Futures
XBG2 COMDTY
2022-01-31
45480502.20000000
USD
2731029.00000000
N
N
N
SUMITOMO MITSUI BKG CORP
N/A
SUMITOMO MITSUI BKG CORP
86565C5V7
40000000.00000000
PA
USD
40000798.80000000
2.664117164522
Long
STIV
CORP
JP
N
2
2022-01-24
Fixed
0.13000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD SEK
000000000
1.00000000
NC
-1119600.43000000
-0.07456717896
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
1408000000.00000000
SEK
154789946.30000000
USD
2022-03-16
-1119600.43000000
N
N
N
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
AUST 10Y BOND FUT MAR22
000000000
-153.00000000
NC
40969.54000000
0.002728636877
N/A
DIR
AU
N
1
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
Short
SFE 10 Year Australian Bond Future
XMH2 COMDTY
2022-03-15
-21348913.14000000
AUD
40969.54000000
N
N
N
New York Mercantile Exchange
5493008GFNDTXFPHWI47
NATURAL GAS FUTR MAR22
000000000
-128.00000000
NC
USD
179040.00000000
0.011924350299
N/A
DCO
US
N
1
New York Mercantile Exchange
5493008GFNDTXFPHWI47
Short
NYMEX Henry Hub Natural Gas Futures
NGH22 Comdty
2022-02-24
-4732000.00000000
USD
179040.00000000
N
N
N
The Montreal Exchange / Bourse De Montreal
N/A
S+P/TSX 60 IX FUT MAR22
000000000
749.00000000
NC
2562910.79000000
0.170693956911
N/A
DE
CA
N
1
The Montreal Exchange / Bourse De Montreal
N/A
Long
Montreal Exchange S&P/TSX 60 Index Future
PTH2 INDEX
2022-03-17
188636866.00000000
CAD
2562910.79000000
N
N
N
MITSUBISHI TST&BNK C
N/A
MITSUBISHI TST&BNK C
60683B2U6
13000000.00000000
PA
USD
13000164.19000000
0.865831723345
Long
STIV
CORP
US
N
2
2022-01-13
Fixed
0.12000000
N
N
N
N
N
N
Hong Kong Futures Exchange Ltd.
213800YTVSXYQN17BW16
HANG SENG IDX FUT JAN22
000000000
-428.00000000
NC
-879824.22000000
-0.05859769996
N/A
DE
HK
N
2
Hong Kong Futures Exchange Ltd.
213800YTVSXYQN17BW16
Short
HKG Hang Seng Index Future
HIF2 INDEX
2022-01-28
-495403850.00000000
HKD
-879824.22000000
N
N
N
Meff Financial Derivatives
N/A
IBEX 35 INDX FUTR JAN22
000000000
-2.00000000
NC
-6560.47000000
-0.00043693779
N/A
DE
ES
N
2
Meff Financial Derivatives
N/A
Short
MEFF Madrid IBEX 35 Index Future
IBF2 INDEX
2022-01-21
-167120.00000000
EUR
-6560.47000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796P45
25000000.00000000
PA
USD
24993328.00000000
1.664595611109
Long
STIV
UST
US
N
2
2022-05-05
None
0.00000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796Q44
20000000.00000000
PA
USD
19991145.80000000
1.331442277704
Long
STIV
UST
US
N
2
2022-06-02
None
0.00000000
N
N
N
N
N
N
Commodities Exchange Center
N/A
GOLD 100 OZ FUTR FEB22
000000000
-30.00000000
NC
USD
-126810.00000000
-0.00844574877
N/A
DCO
US
N
1
Commodities Exchange Center
N/A
Short
COMEX Gold 100 Troy Ounces Future
GCG2 Comdty
2022-02-24
-5358990.00000000
USD
-126810.00000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
103874.55000000
0.006918211133
N/A
DFE
MX
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
3778377.55000000
USD
80500000.00000000
MXN
2022-03-16
103874.55000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796N47
40000000.00000000
PA
USD
39992375.60000000
2.663556165933
Long
STIV
UST
US
N
2
2022-04-07
None
0.00000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED CHF / SOLD USD
000000000
1.00000000
NC
28070.37000000
0.001869531528
N/A
DFE
CH
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
4369917.92000000
USD
4000000.00000000
CHF
2022-03-16
28070.37000000
N
N
N
The Montreal Exchange / Bourse De Montreal
N/A
CAN 10YR BOND FUT MAR22
000000000
369.00000000
NC
-173279.58000000
-0.01154069711
N/A
DIR
CA
N
1
The Montreal Exchange / Bourse De Montreal
N/A
Long
Montreal Exchange 10 Year Canadian Bond Future
CNH2 COMDTY
2022-03-22
52845970.00000000
CAD
-173279.58000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED SGD / SOLD USD
000000000
1.00000000
NC
68281.37000000
0.004547648429
N/A
DFE
SG
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
14489185.16000000
USD
19625000.00000000
SGD
2022-03-16
68281.37000000
N
N
N
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
SPI 200 FUTURES MAR22
000000000
414.00000000
NC
378828.64000000
0.025230593200
N/A
DE
AU
N
2
ASX Clear (Futures)
549300ZD7BBOVZFVHK49
Long
SFE S&P ASX Share Price Index 200 Future
XPH2 INDEX
2022-03-17
75543275.00000000
AUD
378828.64000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-111843.73000000
-0.00744897126
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
15800000.00000000
NZD
10697800.80000000
USD
2022-03-16
-111843.73000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796Q93
25000000.00000000
PA
USD
24999496.50000000
1.665006443073
Long
STIV
UST
US
N
2
2022-02-01
None
0.00000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD ZAR
000000000
1.00000000
NC
-10173.50000000
-0.00067757136
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
67500000.00000000
ZAR
4183134.01000000
USD
2022-03-16
-10173.50000000
N
N
N
ICE Futures Europe - Financial Products Division
N/A
FTSE 100 IDX FUT MAR22
000000000
634.00000000
NC
1043517.89000000
0.069499960141
N/A
DE
GB
N
2
ICE Futures Europe - Financial Products Division
N/A
Long
FTSE 100 Index Future
Z H2 INDEX
2022-03-18
45710690.00000000
GBP
1043517.89000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
3227.20000000
0.000214936680
N/A
DFE
NO
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
4532820.85000000
USD
40000000.00000000
NOK
2022-03-16
3227.20000000
N
N
N
South African Futures Exchange
N/A
FTSE/JSE TOP 40 MAR22
000000000
684.00000000
NC
519873.16000000
0.034624383774
N/A
DE
ZA
N
2
South African Futures Exchange
N/A
Long
SAFEX FTSE/JSE Top 40 Index Future
AIH2 Index
2022-03-17
450818740.00000000
ZAR
519873.16000000
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-SCHATZ FUT MAR22
000000000
1878.00000000
NC
-348056.41000000
-0.02318111347
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Long
Eurex 2 Year Euro SCHATZ Future
DUH2 COMDTY
2022-03-08
210698055.00000000
EUR
-348056.41000000
N
N
N
Bank of America NA
B4TYDEB6GKMZO031MB27
Bank of America NA
06052TQ52
25000000.00000000
PA
USD
25002817.50000000
1.665227626983
Long
STIV
CORP
US
N
2
2022-07-13
Fixed
0.33000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-OAT FUTURE MAR22
000000000
-16.00000000
NC
5100.48000000
0.000339700124
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
French Government Bond Futures
OATH2 COMDTY
2022-03-08
-2614880.00000000
EUR
5100.48000000
N
N
N
ICE Futures Europe - Financial Products Division
549300UF4R84F48NCH34
3MO EURO EURIBOR MAR22
000000000
2884.00000000
NC
64069.07000000
0.004267102513
N/A
DIR
GB
N
1
ICE Futures Europe - Financial Products Division
549300UF4R84F48NCH34
Long
3 Month Euro Euribor Future
ERH2 Comdty
2022-03-14
724873175.00000000
EUR
64069.07000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-258082.80000000
-0.01718872717
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
21200000.00000000
NZD
14245997.20000000
USD
2022-03-16
-258082.80000000
N
N
N
Singapore Exchange Derivatives Clearing Limited
549300ZLWT3FK3F0FW61
INR/USD JAN22
000000000
-218.00000000
NC
USD
-119464.00000000
-0.00795649343
N/A
DFE
SG
N
1
Singapore Exchange Derivatives Clearing Limited
549300ZLWT3FK3F0FW61
Short
SGX INR/USD Future
XIDF2 CURNCY
2022-01-27
-5730348.00000000
USD
-119464.00000000
N
N
N
ICE Futures U.S., Inc.
5493004R83R1LVX2IL36
SUGAR 11 (WORLD) MAR22
000000000
769.00000000
NC
USD
-1004012.80000000
-0.06686885797
N/A
DCO
US
N
1
ICE Futures U.S., Inc.
5493004R83R1LVX2IL36
Long
NYBOT CSC Number 11 World Sugar Future
SBH2 Comdty
2022-02-28
17264979.20000000
USD
-1004012.80000000
N
N
N
ICE Futures U.S., Inc.
5493004R83R1LVX2IL36
MSCI EAFE MAR22
000000000
228.00000000
NC
USD
210210.00000000
0.014000322142
N/A
DE
US
N
1
ICE Futures U.S., Inc.
5493004R83R1LVX2IL36
Long
ICE US mini MSCI EAFE Index Futures
MFSH2 INDEX
2022-03-18
26258310.00000000
USD
210210.00000000
N
N
N
Commonwealth Bank of Australia/New York NY
MSFSBD3QN1GSN7Q6C537
Commonwealth Bank of Australia/New York NY
20271EWR6
25000000.00000000
PA
USD
24995564.50000000
1.664744565585
Long
STIV
CORP
AU
N
2
2022-04-22
Fixed
0.16000000
N
N
N
N
N
N
Fixed Income Clearing Corp
549300H47WTHXPU08X20
FIXED INC CLEARING CORP.REPO
000000000
72335133.14000000
PA
USD
72335133.14000000
4.817635536725
Long
RA
CORP
US
N
2
Repurchase
N
0.00000000
2022-01-03
63115400.00000000
USD
73782018.61000000
USD
UST
N
N
N
SVENSKA HANDELSBANKEN NY
NHBDILHZTYCNBV5UYZ31
Svenska Handelsbanken/New York NY
86959RSW1
30000000.00000000
PA
USD
29998567.20000000
1.997952545602
Long
STIV
CORP
SE
N
2
2022-03-07
Fixed
0.12000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 2YR NOTE (CBT) MAR22
000000000
-4603.00000000
NC
USD
575889.20000000
0.038355141612
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
CBOT 2 Year US Treasury Note Future
TUH2 COMDTY
2022-03-31
-1004821034.43000000
USD
575889.20000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
LEAN HOGS FUTURE FEB22
000000000
113.00000000
NC
USD
-67850.00000000
-0.00451891849
N/A
DCO
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
CME Lean Hogs Future
LHG2 Comdty
2022-02-14
3750520.00000000
USD
-67850.00000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD SGD
000000000
1.00000000
NC
-2249886.88000000
-0.14984606395
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
214625000.00000000
SGD
156955017.81000000
USD
2022-03-16
-2249886.88000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED CNH / SOLD USD
000000000
1.00000000
NC
456047.96000000
0.030373523392
N/A
DFE
CN
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
93188221.51000000
USD
598000000.00000000
CNY
2022-03-16
456047.96000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
S+P500 EMINI FUT MAR22
000000000
748.00000000
NC
USD
3833632.50000000
0.255326054781
N/A
DE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
CME E-Mini Standard & Poor's 500 Index Future
ESH2 INDEX
2022-03-18
174134267.50000000
USD
3833632.50000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
AUDUSD CRNCY FUT MAR22
000000000
-2228.00000000
NC
USD
-6069974.00000000
-0.40426997476
N/A
DFE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
CME Australian Dollar Currency Future
ADH2 CURNCY
2022-03-14
-156083866.00000000
USD
-6069974.00000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-136574.70000000
-0.00909609341
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
13800000.00000000
NZD
9304760.40000000
USD
2022-03-16
-136574.70000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
LIVE CATTLE FUTR FEB22
000000000
57.00000000
NC
USD
-13750.00000000
-0.00091577198
N/A
DCO
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
CME Live Cattle Future
LCG2 Comdty
2022-02-28
3198910.00000000
USD
-13750.00000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-110707.23000000
-0.00737327854
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
15600000.00000000
NZD
10562106.36000000
USD
2022-03-16
-110707.23000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
E-MINI RUSS 2000 MAR22
000000000
61.00000000
NC
USD
33955.00000000
0.002261457296
N/A
DE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
CME E-mini Russell 2000 Index Futures
RTYH2 INDEX
2022-03-18
6806585.00000000
USD
33955.00000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED PLN / SOLD USD
000000000
1.00000000
NC
71570.38000000
0.004766701754
N/A
DFE
PL
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
4865717.86000000
USD
20000000.00000000
PLN
2022-03-16
71570.38000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD NZD
000000000
1.00000000
NC
-47813.95000000
-0.00318448552
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
8300000.00000000
NZD
5630670.20000000
USD
2022-03-16
-47813.95000000
N
N
N
Commodities Exchange Center
N/A
COPPER FUTURE MAR22
000000000
357.00000000
NC
USD
921325.00000000
0.061361718271
N/A
DCO
US
N
1
Commodities Exchange Center
N/A
Long
COMEX Copper Future
HGH2 Comdty
2022-03-29
38915412.50000000
USD
921325.00000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796K65
63000000.00000000
PA
USD
62999979.21000000
4.195899357337
Long
STIV
UST
US
N
2
2022-01-06
None
0.00000000
N
N
N
N
N
N
Singapore Exchange Derivatives Clearing Limited
549300ZLWT3FK3F0FW61
FTSE TAIWAN INDEX JAN22
000000000
1177.00000000
NC
USD
1138460.00000000
0.075823256487
N/A
DE
SG
N
1
Singapore Exchange Derivatives Clearing Limited
549300ZLWT3FK3F0FW61
Long
SGX FTSE Taiwan Index Futures
TWTF2 INDEX
2022-01-27
74354320.00000000
USD
1138460.00000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
79082.38000000
0.005267012966
N/A
DFE
MX
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
4381890.52000000
USD
92500000.00000000
MXN
2022-03-16
79082.38000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED NOK / SOLD USD
000000000
1.00000000
NC
51303.23000000
0.003416877155
N/A
DFE
NO
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
2897128.00000000
USD
26000000.00000000
NOK
2022-03-16
51303.23000000
N
N
N
New York Mercantile Exchange
5493008GFNDTXFPHWI47
PLATINUM FUTURE APR22
000000000
-294.00000000
NC
USD
-619675.00000000
-0.04127134590
N/A
DCO
US
N
1
New York Mercantile Exchange
5493008GFNDTXFPHWI47
Short
NYMEX Platinum Future
PLJ2 COMDTY
2022-04-27
-13583465.00000000
USD
-619675.00000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
JPN YEN CURR FUT MAR22
000000000
-2310.00000000
NC
USD
2817300.00000000
0.187636685085
N/A
DFE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
CME Japanese Yen Currency Future
JYH2 CURNCY
2022-03-14
-253972050.00000000
USD
2817300.00000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
WHEAT FUTURE(CBT) MAR22
000000000
520.00000000
NC
USD
-1609137.50000000
-0.10717113063
N/A
DCO
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT Wheat Future
W H2 Comdty
2022-03-14
21648637.50000000
USD
-1609137.50000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
41432.06000000
0.002759441449
N/A
DFE
MX
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
3093305.66000000
USD
65000000.00000000
MXN
2022-03-16
41432.06000000
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
DAX INDEX FUTURE MAR22
000000000
52.00000000
NC
128943.54000000
0.008587845954
N/A
DE
DE
N
2
Eurex Deutschland
529900LN3S50JPU47S06
Long
Eurex DAX Index Future
GXH2 INDEX
2022-03-18
20409275.00000000
EUR
128943.54000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR ULTRA FUT MAR22
000000000
699.00000000
NC
USD
-512047.05000000
-0.03410315233
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
Ultra 10-Year US Treasury Note Futures
UXYH2 COMDTY
2022-03-22
102871859.55000000
USD
-512047.05000000
N
N
N
London Metal Exchange
213800NB8G5VRT1DXC91
LME ZINC FUTURE MAR22
000000000
359.00000000
NC
USD
2000968.75000000
0.133267718457
N/A
DCO
GB
N
1
London Metal Exchange
213800NB8G5VRT1DXC91
Long
LME Zinc Future
LXH2 Comdty
2022-03-14
29842331.25000000
USD
2000968.75000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
SOYBEAN MEAL FUTR MAR22
000000000
899.00000000
NC
USD
307170.00000000
0.020458013189
N/A
DCO
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT Soybean Meal Future
SMH2 Comdty
2022-03-14
35571920.00000000
USD
307170.00000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED SGD / SOLD USD
000000000
1.00000000
NC
18374.27000000
0.001223755763
N/A
DFE
SG
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
8048502.09000000
USD
10875000.00000000
SGD
2022-03-16
18374.27000000
N
N
N
London Metal Exchange
213800NB8G5VRT1DXC91
LME PRI ALUM FUTR MAR22
000000000
543.00000000
NC
USD
1013068.75000000
0.067471998727
N/A
DCO
GB
N
1
London Metal Exchange
213800NB8G5VRT1DXC91
Long
LME Primary Aluminum Future
LAH22 Comdty
2022-03-14
37105531.25000000
USD
1013068.75000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD NOK
000000000
1.00000000
NC
-2412014.80000000
-0.16064404268
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
798000000.00000000
NOK
88082143.77000000
USD
2022-03-16
-2412014.80000000
N
N
N
Canadian Imperial Bank of Commerce/New York NY
549300H8L46OOZOFHU82
Canadian Imperial Bank of Commerce/New York NY
13606CW34
12000000.00000000
PA
USD
12000603.96000000
0.799259413651
Long
STIV
CORP
CA
N
2
2022-02-24
Fixed
0.14000000
N
N
N
N
N
N
BANK OF MONTREAL
N/A
BANK OF MONTREAL
06367CH42
50000000.00000000
PA
USD
49966135.00000000
3.327824490803
Long
STIV
CORP
CA
N
2
2022-06-23
Fixed
0.20000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796K99
72000000.00000000
PA
USD
71998140.24000000
4.795191270707
Long
STIV
UST
US
N
2
2022-02-03
None
0.00000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
14362.37000000
0.000956556808
N/A
DFE
NZ
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
10453204.80000000
USD
15300000.00000000
NZD
2022-03-16
14362.37000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
62920.81000000
0.004190626561
N/A
DFE
MX
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
2854796.60000000
USD
60500000.00000000
MXN
2022-03-16
62920.81000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED ZAR / SOLD USD
000000000
1.00000000
NC
-35152.11000000
-0.00234118673
N/A
DFE
ZA
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
2954936.60000000
USD
47000000.00000000
ZAR
2022-03-16
-35152.11000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED SGD / SOLD USD
000000000
1.00000000
NC
67121.11000000
0.004470373257
N/A
DFE
SG
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
14304899.99000000
USD
19375000.00000000
SGD
2022-03-16
67121.11000000
N
N
N
New York Mercantile Exchange
5493008GFNDTXFPHWI47
PALLADIUM FUTURE MAR22
000000000
-34.00000000
NC
USD
-239410.00000000
-0.01594508883
N/A
DCO
US
N
1
New York Mercantile Exchange
5493008GFNDTXFPHWI47
Short
NYMEX Palladium Future
PAH2 COMDTY
2022-03-29
-6261730.00000000
USD
-239410.00000000
N
N
N
Singapore Exchange Derivatives Clearing Limited
549300ZLWT3FK3F0FW61
SGX IRON ORE 62 FEB22
000000000
-39.00000000
NC
USD
-23946.00000000
-0.00159484189
N/A
DCO
SG
N
1
Singapore Exchange Derivatives Clearing Limited
549300ZLWT3FK3F0FW61
Short
SGX Asiaclear TSI Iron Ore CFR China 62% FE Fines Index Futures
SCOG2 COMDTY
2022-02-28
-446940.00000000
USD
-23946.00000000
N
N
N
COOPERATIEVE CENTRALE
N/A
COOPERATIEVE CENTRALE
21684XSJ6
15000000.00000000
PA
USD
15000267.15000000
0.999041778804
Long
STIV
CORP
NL
N
2
2022-02-15
Fixed
0.12000000
N
N
N
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
BRAZIL REAL FUT FEB22
000000000
-314.00000000
NC
USD
-139730.00000000
-0.00930624143
N/A
DFE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
CME Brazilian Real Currency Future
BRG2 CURNCY
2022-01-31
-5449470.00000000
USD
-139730.00000000
N
N
N
ROYAL BK OF CANADA
N/A
ROYAL BK OF CANADA
78012UN43
30000000.00000000
PA
USD
30000258.30000000
1.998065175566
Long
STIV
CORP
CA
N
2
2022-02-08
Fixed
0.10000000
N
N
N
N
N
N
BANK OF NOVA SCOTIA
N/A
BANK OF NOVA SCOTIA
06417MNN1
30000000.00000000
PA
USD
29998755.30000000
1.997965073363
Long
STIV
CORP
CA
N
2
2022-04-14
Fixed
0.22000000
N
N
N
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BOBL FUTURE MAR22
000000000
-847.00000000
NC
160926.92000000
0.010717990206
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
CME 1 Year Mid-Curve 3 Month Eurodollar Option
OEH2 COMDTY
2022-03-08
-112995630.00000000
EUR
160926.92000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
3 MONTH SOFR FUT MAR22
000000000
-623.00000000
NC
USD
146812.50000000
0.009777947264
N/A
DIR
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
Three-Month SOFR Futures
SFRH2 Comdty
2022-06-14
-155523012.50000000
USD
146812.50000000
N
N
N
London Metal Exchange
213800NB8G5VRT1DXC91
LME NICKEL FUTURE MAR22
000000000
202.00000000
NC
USD
1216914.00000000
0.081048418341
N/A
DCO
GB
N
1
London Metal Exchange
213800NB8G5VRT1DXC91
Long
LME Nickel Future
LNH2 Comdty
2022-03-14
23984808.00000000
USD
1216914.00000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796Q28
4000000.00000000
PA
USD
3998710.00000000
0.266320480253
Long
STIV
UST
US
N
2
2022-05-12
None
0.00000000
N
N
N
N
N
N
Canadian Imperial Bank of Commerce/New York NY
549300H8L46OOZOFHU82
Canadian Imperial Bank of Commerce/New York NY
13606CSA3
20000000.00000000
PA
USD
20001760.20000000
1.332149213717
Long
STIV
CORP
CA
N
2
2022-01-26
Fixed
0.21000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796Q36
20000000.00000000
PA
USD
19992532.20000000
1.331534614161
Long
STIV
UST
US
N
2
2022-05-26
None
0.00000000
N
N
N
N
N
N
ICE Futures Europe - Financial Products Division
549300UF4R84F48NCH34
LONG GILT FUTURE MAR22
000000000
202.00000000
NC
-683190.80000000
-0.04550159975
N/A
DIR
GB
N
1
ICE Futures Europe - Financial Products Division
549300UF4R84F48NCH34
Long
Long Gilt Future
G H2 COMDTY
2022-03-29
25734540.00000000
GBP
-683190.80000000
N
N
N
London Metal Exchange
213800NB8G5VRT1DXC91
LME COPPER FUTURE MAR22
000000000
73.00000000
NC
USD
312257.50000000
0.020796848824
N/A
DCO
GB
N
1
London Metal Exchange
213800NB8G5VRT1DXC91
Long
LME Copper Future
LPH22 COMDTY
2022-03-14
17447730.00000000
USD
312257.50000000
N
N
N
ICE Futures U.S., Inc.
5493004R83R1LVX2IL36
COCOA FUTURE MAR22
000000000
-378.00000000
NC
USD
-240930.00000000
-0.01604632326
N/A
DCO
US
N
1
ICE Futures U.S., Inc.
5493004R83R1LVX2IL36
Short
NYBOT CSC Cocoa Future
CCH2 Comdty
2022-03-16
-9284670.00000000
USD
-240930.00000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD CHF
000000000
1.00000000
NC
-1012047.40000000
-0.06740397518
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
64500000.00000000
CHF
69905513.76000000
USD
2022-03-16
-1012047.40000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796P37
16000000.00000000
PA
USD
15996102.72000000
1.065366020186
Long
STIV
UST
US
N
2
2022-04-28
None
0.00000000
N
N
N
N
N
N
TORONTO-DOMINION
N/A
TORONTO-DOMINION
89114WDT9
20000000.00000000
PA
USD
20000555.00000000
1.332068945470
Long
STIV
CORP
CA
N
2
2022-01-20
Fixed
0.13000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Cash Management Bill
912796S91
25000000.00000000
PA
USD
24996316.75000000
1.664794666638
Long
STIV
UST
US
N
2
2022-03-22
None
0.00000000
N
N
N
N
N
N
London Metal Exchange
213800NB8G5VRT1DXC91
LME PRI ALUM FUTR MAR22
000000000
-101.00000000
NC
USD
-564752.50000000
-0.03761341958
N/A
DCO
GB
N
1
London Metal Exchange
213800NB8G5VRT1DXC91
Short
LME Primary Aluminum Future
LAH22 Comdty
2022-03-14
-6525447.50000000
USD
-564752.50000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
S+P MID 400 EMINI MAR22
000000000
179.00000000
NC
USD
1200680.00000000
0.079967207982
N/A
DE
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Long
CME E-Mini Standard & Poor's MidCap 400 Index Future
FAH2 INDEX
2022-03-18
49594150.00000000
USD
1200680.00000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
CORN FUTURE MAR22
000000000
1522.00000000
NC
USD
575500.00000000
0.038329220270
N/A
DCO
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT Corn Future
C H2 Comdty
2022-03-14
44570825.00000000
USD
575500.00000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796L98
30000000.00000000
PA
USD
29997664.50000000
1.997892424339
Long
STIV
UST
US
N
2
2022-03-03
None
0.00000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED NZD / SOLD USD
000000000
1.00000000
NC
19593.88000000
0.001304983740
N/A
DFE
NZ
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
2922271.40000000
USD
4300000.00000000
NZD
2022-03-16
19593.88000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796Q77
30000000.00000000
PA
USD
29999812.50000000
1.998035484574
Long
STIV
UST
US
N
2
2022-01-18
None
0.00000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 5YR NOTE (CBT) MAR22
000000000
-4672.00000000
NC
USD
-393840.11000000
-0.02623038110
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
CBOT 5 Year US Treasury Note
FVH2 COMDTY
2022-03-31
-564808662.23000000
USD
-393840.11000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD SEK
000000000
1.00000000
NC
-85228.01000000
-0.00567632175
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
96000000.00000000
SEK
10544968.36000000
USD
2022-03-16
-85228.01000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796K73
10000000.00000000
PA
USD
9999958.30000000
0.666013213504
Long
STIV
UST
US
N
2
2022-01-13
None
0.00000000
N
N
N
N
N
N
WESTPAC BKING CORP N
N/A
WESTPAC BKING CORP N
96130AKV9
9000000.00000000
PA
USD
8999218.89000000
0.599362368537
Long
STIV
CORP
AU
N
2
2022-04-14
Fixed
0.15000000
N
N
N
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796C31
40000000.00000000
PA
USD
39999266.80000000
2.664015130872
Long
STIV
UST
US
N
2
2022-01-27
None
0.00000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
SOYBEAN FUTURE MAR22
000000000
699.00000000
NC
USD
-201962.50000000
-0.01345102545
N/A
DCO
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CBOT Soybean Future
S H2 Comdty
2022-03-14
47008750.00000000
USD
-201962.50000000
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
SHORT EURO-BTP FU MAR22
000000000
-832.00000000
NC
37547.72000000
0.002500738193
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
EUX Short term Euro-BTP Futures
BTSH2 COMDTY
2022-03-08
-93974100.00000000
EUR
37547.72000000
N
N
N
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
90DAY EUR FUTR MAR22
000000000
-10041.00000000
NC
USD
1259600.00000000
0.083891374200
N/A
DIR
US
N
1
Chicago Mercantile Exchange
SNZ2OJLFK8MNNCLQOF39
Short
CME 3 Month Eurodollar Future
EDH2 Comdty
2022-03-14
-2502849237.50000000
USD
1259600.00000000
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO-BTP FUTURE MAR22
000000000
-297.00000000
NC
444151.47000000
0.029581198135
N/A
DIR
DE
N
1
Eurex Deutschland
529900LN3S50JPU47S06
Short
Euro-BTP Italian Bond Futures
IKH2 COMDTY
2022-03-08
-44052090.00000000
EUR
444151.47000000
N
N
N
OVERSEA CHINESE BANKING
N/A
OVERSEA CHINESE BANKING
69033MD95
25000000.00000000
PA
USD
25001248.50000000
1.665123129074
Long
STIV
CORP
GB
N
2
2022-03-01
Fixed
0.14000000
N
N
N
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US ULTRA BOND CBT MAR22
000000000
325.00000000
NC
USD
-980031.25000000
-0.06527164839
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Long
CME Ultra Long Term US Treasury Bond Future
WNH2 COMDTY
2022-03-22
65045656.25000000
USD
-980031.25000000
N
N
N
ICE Futures Europe - Financial Products Division
549300UF4R84F48NCH34
ICE 3MTH SONIA FU MAR22
000000000
-657.00000000
NC
424337.91000000
0.028261583355
N/A
DIR
GB
N
1
ICE Futures Europe - Financial Products Division
549300UF4R84F48NCH34
Short
Three Month SONIA Index Futures
SFIH2 Index
2022-06-14
-163569787.50000000
GBP
424337.91000000
N
N
N
Singapore Exchange Derivatives Clearing Limited
549300ZLWT3FK3F0FW61
FTSE CHINA A50 JAN22
000000000
-123.00000000
NC
USD
13870.10000000
0.000923770839
N/A
DE
SG
N
2
Singapore Exchange Derivatives Clearing Limited
549300ZLWT3FK3F0FW61
Short
SGX FTSE China A50 Futures Contract
XUF2 INDEX
2022-01-28
-1945096.00000000
USD
13870.10000000
N
N
N
Italian Derivatives Market
N/A
FTSE/MIB IDX FUT MAR22
000000000
239.00000000
NC
688790.97000000
0.045874580033
N/A
DE
IT
N
2
Italian Derivatives Market
N/A
Long
FTSE/MIB Index Future
STH2 INDEX
2022-03-18
31841400.00000000
EUR
688790.97000000
N
N
N
United States Treasury
254900HROIFWPRGM1V77
United States Treasury Bill
912796L72
25000000.00000000
PA
USD
24999142.25000000
1.664982849456
Long
STIV
UST
US
N
2
2022-02-10
None
0.00000000
N
N
N
N
N
N
Osaka Exchange
3538001249AILNPRUX57
TOPIX INDX FUTR MAR22
000000000
120.00000000
NC
438332.11000000
0.029193619453
N/A
DE
JP
N
2
Osaka Exchange
3538001249AILNPRUX57
Long
TSE TOPIX (Tokyo Price Index) Future
TPH2 INDEX
2022-03-10
2343384500.00000000
JPY
438332.11000000
N
N
N
Eurex Deutschland
529900LN3S50JPU47S06
EURO STOXX 50 MAR22
000000000
639.00000000
NC
679522.56000000
0.045257289106
N/A
DE
DE
N
2
Eurex Deutschland
529900LN3S50JPU47S06
Long
Eurex EURO STOXX 50 Future
VGH2 INDEX
2022-03-18
26721382.50000000
EUR
679522.56000000
N
N
N
SUMITOMO MITSUI BKG CORP
N/A
SUMITOMO MITSUI BKG CORP
86565C5B1
15000000.00000000
PA
USD
15000232.20000000
0.999039451078
Long
STIV
CORP
JP
N
2
2022-01-18
Fixed
0.12000000
N
N
N
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED USD / SOLD SEK
000000000
1.00000000
NC
-137845.51000000
-0.00918073139
N/A
DFE
US
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
98000000.00000000
SEK
10713813.28000000
USD
2022-03-16
-137845.51000000
N
N
N
UBS AG
BFM8T61CT2L1QCEMIK50
PURCHASED MXN / SOLD USD
000000000
1.00000000
NC
54026.89000000
0.003598277267
N/A
DFE
MX
N
2
UBS AG
BFM8T61CT2L1QCEMIK50
9663660.03000000
USD
201500000.00000000
MXN
2022-03-16
54026.89000000
N
N
N
Chicago Board of Trade
549300EX04Q2QBFQTQ27
US 10YR NOTE (CBT)MAR22
000000000
-490.00000000
NC
USD
-323828.12000000
-0.02156747061
N/A
DIR
US
N
1
Chicago Board of Trade
549300EX04Q2QBFQTQ27
Short
CBOT 10 Year US Treasury Note
TYH2 COMDTY
2022-03-22
-63605859.38000000
USD
-323828.12000000
N
N
N
2022-02-25
Natixis Funds Trust II
John Sgroi
John Sgroi
Assistant Treasurer