0001145549-24-003069.txt : 20240125
0001145549-24-003069.hdr.sgml : 20240125
20240125110005
ACCESSION NUMBER: 0001145549-24-003069
CONFORMED SUBMISSION TYPE: NPORT-P
PUBLIC DOCUMENT COUNT: 1
CONFORMED PERIOD OF REPORT: 20231130
FILED AS OF DATE: 20240125
DATE AS OF CHANGE: 20240125
PERIOD START: 20240531
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: COLUMBIA FUNDS SERIES TRUST I
CENTRAL INDEX KEY: 0000773757
ORGANIZATION NAME:
IRS NUMBER: 363376651
STATE OF INCORPORATION: MA
FISCAL YEAR END: 0630
FILING VALUES:
FORM TYPE: NPORT-P
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-04367
FILM NUMBER: 24559932
BUSINESS ADDRESS:
STREET 1: 290 CONGRESS STREET
CITY: BOSTON
STATE: MA
ZIP: 02210
BUSINESS PHONE: 800-345-6611
MAIL ADDRESS:
STREET 1: 290 CONGRESS STREET
CITY: BOSTON
STATE: MA
ZIP: 02210
FORMER COMPANY:
FORMER CONFORMED NAME: COLUMBIA FUNDS TRUST IX
DATE OF NAME CHANGE: 20031107
FORMER COMPANY:
FORMER CONFORMED NAME: LIBERTY STEIN ROE FUNDS MUNICIPAL TRUST
DATE OF NAME CHANGE: 19991025
FORMER COMPANY:
FORMER CONFORMED NAME: STEINROE MUNICIPAL TRUST
DATE OF NAME CHANGE: 19920703
0000773757
S000048058
Columbia Multi Strategy Alternatives Fund
C000151801
Columbia Multi Strategy Alternatives Fund Class A
CLAAX
C000151802
Columbia Multi Strategy Alternatives Fund Class C
CLABX
C000151804
Columbia Multi Strategy Alternatives Fund Class R
CRRLX
C000151805
Columbia Multi Strategy Alternatives Fund Advisor Class
CLFUX
C000151806
Columbia Multi Strategy Alternatives Fund Institutional 2 Class
CLIVX
C000151808
Columbia Multi Strategy Alternatives Fund Institutional 3 Class
CLAYX
C000151809
Columbia Multi Strategy Alternatives Fund Institutional Class
CLAZX
NPORT-P
1
primary_doc.xml
NPORT-P
false
0000773757
XXXXXXXX
S000048058
C000151805
C000151801
C000151802
C000151804
C000151809
C000151806
C000151808
Columbia Funds Series Trust I
811-04367
0000773757
549300W5GIE6ZOZOTD82
290 Congress Street
Boston
02110
800-345-6611
Columbia Multi Strategy Alternatives Fund
S000048058
549300OOVBIZEI3EBX59
2024-05-31
2023-11-30
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6938066.360000000000
ZAR
BRL
SGD
IDR
INR
EUR
TRY
NZD
CHF
THB
GBP
TWD
ILS
AUD
MYR
JPY
HUF
PHP
KRW
COP
USD
SEK
CAD
PLN
CZK
NOK
MXN
CLP
CNY
N
N/A
N/A
JPMorgan
ZBUT11V806EZRVTWT807
COPPER JUL 24
000000000
56.000000000000
NC
USD
243051.340000000000
0.0404196538
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
COPPER JUL 24
COPPER JUL 24
2024-07-29
5212048.660000000000
USD
243051.340000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
NY HARBOR ULSD (HEAT OIL) JAN 24
000000000
-2.000000000000
NC
USD
-2654.550000000000
-0.0004414540
N/A
DCO
CORP
US
N
1
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Short
NY HARBOR ULSD (HEAT OIL) JAN 24
NY HARBOR ULSD (HEAT OIL) JAN 24
2023-12-29
-228698.250000000000
USD
-2654.550000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
NY HARBOR ULSD (HEAT OIL) JAN 24
000000000
-11.000000000000
NC
USD
17733.900000000000
0.0029491633
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
NY HARBOR ULSD (HEAT OIL) JAN 24
NY HARBOR ULSD (HEAT OIL) JAN 24
2023-12-29
-1290174.300000000000
USD
17733.900000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
NY HARBOR ULSD (HEAT OIL) JAN 24
000000000
-14.000000000000
NC
USD
17672.900000000000
0.0029390190
N/A
DCO
CORP
US
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Short
NY HARBOR ULSD (HEAT OIL) JAN 24
NY HARBOR ULSD (HEAT OIL) JAN 24
2023-12-29
-1637142.500000000000
USD
17672.900000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
NY HARBOR ULSD (HEAT OIL) MAR 24
000000000
6.000000000000
NC
USD
24812.040000000000
0.0041262643
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
NY HARBOR ULSD (HEAT OIL) MAR 24
NY HARBOR ULSD (HEAT OIL) MAR 24
2024-02-29
649489.560000000000
USD
24812.040000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
NY HARBOR ULSD (HEAT OIL) MAR 24
000000000
1.000000000000
NC
USD
-4517.800000000000
-0.0007513142
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
NY HARBOR ULSD (HEAT OIL) MAR 24
NY HARBOR ULSD (HEAT OIL) MAR 24
2024-02-29
116901.400000000000
USD
-4517.800000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
NY HARBOR ULSD (HEAT OIL) MAY 24
000000000
7.000000000000
NC
USD
-70967.540000000000
-0.0118019650
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
NY HARBOR ULSD (HEAT OIL) MAY 24
NY HARBOR ULSD (HEAT OIL) MAY 24
2024-04-30
834338.540000000000
USD
-70967.540000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
NY HARBOR ULSD (HEAT OIL) JUL 24
000000000
1.000000000000
NC
USD
425.600000000000
0.0000707777
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
NY HARBOR ULSD (HEAT OIL) JUL 24
NY HARBOR ULSD (HEAT OIL) JUL 24
2024-06-28
107485.000000000000
USD
425.600000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
NY HARBOR ULSD (HEAT OIL) JUL 24
000000000
14.000000000000
NC
USD
-8457.670000000000
-0.0014065180
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
NY HARBOR ULSD (HEAT OIL) JUL 24
NY HARBOR ULSD (HEAT OIL) JUL 24
2024-06-28
1519206.070000000000
USD
-8457.670000000000
N
N
N
HSBC
CYYGQCGNHMHPSMRL3R97
US DOLLARS
000000000
-61331000.000000000000
OU
Notional Amount
N/A
-629072.080000000000
-0.1046152459
N/A
DFE
CORP
AU
N
2
HSBC
CYYGQCGNHMHPSMRL3R97
61331000.000000000000000
AUD
39908081.700000002980232
USD
2023-12-13
-629072.080000000000
N
N
N
HSBC
CYYGQCGNHMHPSMRL3R97
US DOLLARS
000000000
-250000.000000000000
OU
Notional Amount
N/A
-979.540000000000
-0.0001628984
N/A
DFE
CORP
CA
N
2
HSBC
CYYGQCGNHMHPSMRL3R97
250000.000000000000000
CAD
183286.920000000012806
USD
2023-12-13
-979.540000000000
N
N
N
HSBC
CYYGQCGNHMHPSMRL3R97
AUSTRALIA DOLLAR
000000000
64031000.000000000000
OU
Notional Amount
N/A
1451710.840000000000
0.2414208027
N/A
DFE
CORP
AU
N
2
HSBC
CYYGQCGNHMHPSMRL3R97
40870026.840000003576279
USD
64031000.000000000000000
AUD
2023-12-13
1451710.840000000000
N
N
N
HSBC
CYYGQCGNHMHPSMRL3R97
SWISS FRANC
000000000
1253000.000000000000
OU
Notional Amount
N/A
47544.330000000000
0.0079066643
N/A
DFE
CORP
CH
N
2
HSBC
CYYGQCGNHMHPSMRL3R97
1384875.459999999962747
USD
1253000.000000000000000
CHF
2023-12-13
47544.330000000000
N
N
N
HSBC
CYYGQCGNHMHPSMRL3R97
EURO COUNTRIES
000000000
2971000.000000000000
OU
Notional Amount
N/A
-12305.880000000000
-0.0020464788
N/A
DFE
CORP
XX
N
2
HSBC
CYYGQCGNHMHPSMRL3R97
3247647.640000000130385
USD
2971000.000000000000000
EUR
2023-12-13
-12305.880000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
IBEX 35 INDEX DEC 23
000000000
43.000000000000
NC
116646.400000000000
0.0193984000
N/A
DE
CORP
ES
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
IBEX 35 INDEX DEC 23
IBEX 35 INDEX DEC 23
2023-12-15
4223823.410000000000
EUR
116646.400000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
EURO-BTP (ITALY GOVT) DEC 23
000000000
-19.000000000000
NC
-118251.430000000000
-0.0196653179
N/A
DIR
CORP
DE
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
EURO-BTP (ITALY GOVT) DEC 23
EURO-BTP (ITALY GOVT) DEC 23
2023-12-07
-2074814.210000000000
EUR
-118251.430000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
KL COMPOSITE INDX DEC 23
000000000
-134.000000000000
NC
5378.820000000000
0.0008945025
N/A
DE
CORP
MY
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
KL COMPOSITE INDX DEC 23
KL COMPOSITE INDX DEC 23
2023-12-29
-9746692.340000000000
MYR
5378.820000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
MEXICAN BOLSA INDEX FUTURE DEC 23
000000000
13.000000000000
NC
13054.000000000000
0.0021708918
N/A
DE
CORP
MX
N
1
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Long
MEXICAN BOLSA INDEX FUTURE DEC 23
MEXICAN BOLSA INDEX FUTURE DEC 23
2023-12-15
6815140.710000000000
MXN
13054.000000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
MEXICAN BOLSA INDEX FUTURE DEC 23
000000000
-271.000000000000
NC
-430295.370000000000
-0.0715585024
N/A
DE
CORP
MX
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Short
MEXICAN BOLSA INDEX FUTURE DEC 23
MEXICAN BOLSA INDEX FUTURE DEC 23
2023-12-15
-139287888.900000000000
MXN
-430295.370000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
JPN 10YR BOND (OSE) DEC 23
000000000
59.000000000000
NC
188685.860000000000
0.0313786262
N/A
DIR
CORP
JP
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
JPN 10YR BOND (OSE) DEC 23
JPN 10YR BOND (OSE) DEC 23
2023-12-13
8613251810.000000000000
JPY
188685.860000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
JPN 10YR BOND (OSE) DEC 23
000000000
4.000000000000
NC
15109.520000000000
0.0025127266
N/A
DIR
CORP
JP
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Long
JPN 10YR BOND (OSE) DEC 23
JPN 10YR BOND (OSE) DEC 23
2023-12-13
583601320.000000000000
JPY
15109.520000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
IFSC NIFTY 50 DEC 23
000000000
5.000000000000
NC
USD
970.630000000000
0.0001614166
N/A
DE
CORP
IN
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
IFSC NIFTY 50 DEC 23
IFSC NIFTY 50 DEC 23
2023-12-28
201619.370000000000
USD
970.630000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
IFSC NIFTY 50 DEC 23
000000000
158.000000000000
NC
USD
90177.820000000000
0.0149966516
N/A
DE
CORP
IN
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Long
IFSC NIFTY 50 DEC 23
IFSC NIFTY 50 DEC 23
2023-12-28
6311666.180000000000
USD
90177.820000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
US DOLLARS
000000000
-179815000.000000000000
OU
Notional Amount
N/A
133050.430000000000
0.0221264047
N/A
DFE
CORP
MX
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
179815000.000000000000000
MXN
10458782.949999999254942
USD
2023-12-20
133050.430000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
US DOLLARS
000000000
-62570000.000000000000
OU
Notional Amount
N/A
-55205.660000000000
-0.0091807503
N/A
DFE
CORP
MX
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
62570000.000000000000000
MXN
3537826.529999999795109
USD
2023-12-20
-55205.660000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
US DOLLARS
000000000
-201500000.000000000000
OU
Notional Amount
N/A
181714.160000000000
0.0302192263
N/A
DFE
CORP
NO
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
201500000.000000000000000
NOK
18814157.210000000894070
USD
2023-12-20
181714.160000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
US DOLLARS
000000000
-17750000.000000000000
OU
Notional Amount
N/A
-17390.890000000000
-0.0028921205
N/A
DFE
CORP
NO
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
17750000.000000000000000
NOK
1623928.530000000027940
USD
2023-12-20
-17390.890000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
US DOLLARS
000000000
-50150000.000000000000
OU
Notional Amount
N/A
-860810.990000000000
-0.1431536325
N/A
DFE
CORP
NZ
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
50150000.000000000000000
NZD
30024233.650000002235174
USD
2023-12-20
-860810.990000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
US DOLLARS
000000000
-58120000.000000000000
OU
Notional Amount
N/A
55906.480000000000
0.0092972973
N/A
DFE
CORP
PL
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
58120000.000000000000000
PLN
14573721.160000000149012
USD
2023-12-20
55906.480000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
US DOLLARS
000000000
-47200000.000000000000
OU
Notional Amount
N/A
-978065.030000000000
-0.1626530836
N/A
DFE
CORP
PL
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
47200000.000000000000000
PLN
10812039.109999999403954
USD
2023-12-20
-978065.030000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
US DOLLARS
000000000
-454459000.000000000000
OU
Notional Amount
N/A
-2424297.170000000000
-0.4031627736
N/A
DFE
CORP
SE
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
454459000.000000000000000
SEK
40863103.000000000000000
USD
2023-12-13
-2424297.170000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
US DOLLARS
000000000
-274750000.000000000000
OU
Notional Amount
N/A
-1024902.610000000000
-0.1704422148
N/A
DFE
CORP
SE
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
274750000.000000000000000
SEK
25155329.230000000447035
USD
2023-12-20
-1024902.610000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
US DOLLARS
000000000
-125900000.000000000000
OU
Notional Amount
N/A
-77655.190000000000
-0.0129141271
N/A
DFE
CORP
TR
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
125900000.000000000000000
TRY
4218377.250000000000000
USD
2023-12-20
-77655.190000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
AUSTRALIA DOLLAR
000000000
15300000.000000000000
OU
Notional Amount
N/A
269685.950000000000
0.0448490131
N/A
DFE
CORP
AU
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
9845419.449999999254942
USD
15300000.000000000000000
AUD
2023-12-20
269685.950000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
BRAZIL REAL
000000000
84520000.000000000000
OU
Notional Amount
N/A
414326.380000000000
0.0689028452
N/A
DFE
CORP
BR
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
16724380.160000000149012
USD
84520000.000000000000000
BRL
2023-12-20
414326.380000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
BRAZIL REAL
000000000
4065000.000000000000
OU
Notional Amount
N/A
-7374.270000000000
-0.0012263477
N/A
DFE
CORP
BR
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
831662.510000000009313
USD
4065000.000000000000000
BRL
2023-12-20
-7374.270000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
CANADIAN DOLLAR
000000000
54632000.000000000000
OU
Notional Amount
N/A
268844.710000000000
0.0447091142
N/A
DFE
CORP
CA
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
39998535.710000000894070
USD
54632000.000000000000000
CAD
2023-12-13
268844.710000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
CANADIAN DOLLAR
000000000
15950000.000000000000
OU
Notional Amount
N/A
94242.150000000000
0.0156725533
N/A
DFE
CORP
CA
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
11663434.099999999627471
USD
15950000.000000000000000
CAD
2023-12-20
94242.150000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
CANADIAN DOLLAR
000000000
7750000.000000000000
OU
Notional Amount
N/A
-47294.010000000000
-0.0078650359
N/A
DFE
CORP
CA
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
5760271.500000000000000
USD
7750000.000000000000000
CAD
2023-12-20
-47294.010000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SWISS FRANC
000000000
33850000.000000000000
OU
Notional Amount
N/A
975334.370000000000
0.1621989724
N/A
DFE
CORP
CH
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
37754593.070000000298023
USD
33850000.000000000000000
CHF
2023-12-20
975334.370000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
EURO COUNTRIES
000000000
33600000.000000000000
OU
Notional Amount
N/A
442971.190000000000
0.0736665025
N/A
DFE
CORP
XX
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
36158942.399999998509884
USD
33600000.000000000000000
EUR
2023-12-20
442971.190000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
BRITISH POUND
000000000
20150000.000000000000
OU
Notional Amount
N/A
402720.630000000000
0.0669727986
N/A
DFE
CORP
GB
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
25039730.600000001490116
USD
20150000.000000000000000
GBP
2023-12-20
402720.630000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
INDIAN RUPEE
000000000
2925545000.000000000000
OU
Notional Amount
N/A
-62972.100000000000
-0.0104723162
N/A
DFE
CORP
IN
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
35137070.730000004172325
USD
2925545000.000000000000000
INR
2023-12-20
-62972.100000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
JAPANESE YEN
000000000
3160000000.000000000000
OU
Notional Amount
N/A
-216372.120000000000
-0.0359828758
N/A
DFE
CORP
JP
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
21588409.609999999403954
USD
3160000000.000000000000000
JPY
2023-12-20
-216372.120000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
KOREAN WON
000000000
29257655000.000000000000
OU
Notional Amount
N/A
616724.630000000000
0.1025618540
N/A
DFE
CORP
KW
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
21985077.179999999701977
USD
29257655000.000000000000000
KRW
2023-12-20
616724.630000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
SOYBEAN JAN 24
000000000
-8.000000000000
NC
USD
-17609.180000000000
-0.0029284223
N/A
DCO
CORP
US
N
1
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Short
SOYBEAN JAN 24
SOYBEAN JAN 24
2024-01-12
-519490.820000000000
USD
-17609.180000000000
N
N
N
Morgan Stanley International
4PQUHN3JPFGFNF3BB653
SYN BOVESPA (IBOVESPA) INDEX DEC 2
000000000
535.000000000000
NC
500065.880000000000
0.0831614002
N/A
DE
CORP
BR
N
2
Morgan Stanley International
4PQUHN3JPFGFNF3BB653
Morgan Stanley International
4PQUHN3JPFGFNF3BB653
SYN BOVESPA (IBOVESPA) INDEX DEC 2
9R7GPTSO7KV3UQJZQ078
SYN BOVESPA (IBOVESPA) INDEX DEC 2
000000000
N/A
NC
N/A
N/A
0.000000000000
DE
CORP
Long
SYN BOVESPA (IBOVESPA) INDEX DEC 2
SYN BOVESPA (IBOVESPA) INDEX DEC 2
2023-12-13
65955751.530000000000
BRL
Y
Appreciation on SYN BOVESPA (IBOVESPA) INDEX DEC 2
Depreciation on SYN BOVESPA (IBOVESPA) INDEX DEC 2
2023-12-13
0.000000000000
USD
0.000000000000
USD
65955751.530000000000
BRL
500065.880000000000
N
N
N
Morgan Stanley International
4PQUHN3JPFGFNF3BB653
SYN BOVESPA (IBOVESPA) INDEX DEC 2
000000000
-6.000000000000
NC
-12141.080000000000
-0.0020190724
N/A
DE
CORP
BR
N
2
Morgan Stanley International
4PQUHN3JPFGFNF3BB653
Morgan Stanley International
4PQUHN3JPFGFNF3BB653
SYN BOVESPA (IBOVESPA) INDEX DEC 2
9R7GPTSO7KV3UQJZQ078
SYN BOVESPA (IBOVESPA) INDEX DEC 2
000000000
N/A
NC
N/A
N/A
0.000000000000
DE
CORP
Short
SYN BOVESPA (IBOVESPA) INDEX DEC 2
SYN BOVESPA (IBOVESPA) INDEX DEC 2
2023-12-13
-708157.940000000000
BRL
Y
Depreciation on SYN BOVESPA (IBOVESPA) INDEX DEC 2
Appreciation on SYN BOVESPA (IBOVESPA) INDEX DEC 2
2023-12-13
0.000000000000
USD
0.000000000000
USD
-708157.940000000000
BRL
-12141.080000000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
SYN DTOP INDEX DEC 23
000000000
6.000000000000
NC
-3334.740000000000
-0.0005545702
N/A
DE
CORP
ZA
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Goldman Sachs International
W22LROWP2IHZNBB6K528
SYN DTOP INDEX DEC 23
FOR8UP27PHTHYVLBNG30
SYN DTOP INDEX DEC 23
000000000
N/A
NC
N/A
N/A
0.000000000000
DE
CORP
Long
SYN DTOP INDEX DEC 23
SYN DTOP INDEX DEC 23
2023-12-21
835628.960000000000
ZAR
Y
Appreciation on SYN DTOP INDEX DEC 23
Depreciation on SYN DTOP INDEX DEC 23
2023-12-21
0.000000000000
USD
0.000000000000
USD
835628.960000000000
ZAR
-3334.740000000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
SYN TAIEX DEC 23
000000000
92.000000000000
NC
274603.210000000000
0.0456667578
N/A
DE
CORP
TW
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Goldman Sachs International
W22LROWP2IHZNBB6K528
SYN TAIEX DEC 23
FOR8UP27PHTHYVLBNG30
SYN TAIEX DEC 23
000000000
N/A
NC
N/A
N/A
0.000000000000
DE
CORP
Long
SYN TAIEX DEC 23
SYN TAIEX DEC 23
2023-12-20
311308550.200000000000
TWD
Y
Appreciation on SYN TAIEX DEC 23
Depreciation on SYN TAIEX DEC 23
2023-12-20
0.000000000000
USD
0.000000000000
USD
311308550.200000000000
TWD
274603.210000000000
N
N
N
Morgan Stanley International
4PQUHN3JPFGFNF3BB653
SYN KOSPI2 INDEX DEC 23
000000000
191.000000000000
NC
299269.150000000000
0.0497687256
N/A
DE
CORP
KR
N
2
Morgan Stanley International
4PQUHN3JPFGFNF3BB653
Morgan Stanley International
4PQUHN3JPFGFNF3BB653
SYN KOSPI2 INDEX DEC 23
9R7GPTSO7KV3UQJZQ078
SYN KOSPI2 INDEX DEC 23
000000000
N/A
NC
N/A
N/A
0.000000000000
DE
CORP
Long
SYN KOSPI2 INDEX DEC 23
SYN KOSPI2 INDEX DEC 23
2023-12-14
15845161488.750000000000
KRW
Y
Appreciation on SYN KOSPI2 INDEX DEC 23
Depreciation on SYN KOSPI2 INDEX DEC 23
2023-12-14
0.000000000000
USD
0.000000000000
USD
15845161488.750000000000
KRW
299269.150000000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
SYN WIG20(PLN20) INDEX DEC 23
000000000
-39.000000000000
NC
-8067.830000000000
-0.0013416873
N/A
DE
CORP
PL
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
Goldman Sachs International
W22LROWP2IHZNBB6K528
SYN WIG20(PLN20) INDEX DEC 23
FOR8UP27PHTHYVLBNG30
SYN WIG20(PLN20) INDEX DEC 23
000000000
N/A
NC
N/A
N/A
0.000000000000
DE
CORP
Short
SYN WIG20(PLN20) INDEX DEC 23
SYN WIG20(PLN20) INDEX DEC 23
2023-12-15
-1700522.150000000000
PLN
Y
Depreciation on SYN WIG20(PLN20) INDEX DEC 23
Appreciation on SYN WIG20(PLN20) INDEX DEC 23
2023-12-15
0.000000000000
USD
0.000000000000
USD
-1700522.150000000000
PLN
-8067.830000000000
N
N
N
Morgan Stanley International
4PQUHN3JPFGFNF3BB653
SYN SWISS MKT IX DEC 23
000000000
-155.000000000000
NC
-38741.300000000000
-0.0064427126
N/A
DE
CORP
DE
N
2
Morgan Stanley International
4PQUHN3JPFGFNF3BB653
Morgan Stanley International
4PQUHN3JPFGFNF3BB653
SYN SWISS MKT IX DEC 23
9R7GPTSO7KV3UQJZQ078
SYN SWISS MKT IX DEC 23
000000000
N/A
NC
N/A
N/A
0.000000000000
DE
CORP
Short
SYN SWISS MKT IX DEC 23
SYN SWISS MKT IX DEC 23
2023-12-15
-16823281.560000000000
CHF
Y
Depreciation on SYN SWISS MKT IX DEC 23
Appreciation on SYN SWISS MKT IX DEC 23
2023-12-15
0.000000000000
USD
0.000000000000
USD
-16823281.560000000000
CHF
-38741.300000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TOPIX INDEX DEC 23
000000000
244.000000000000
NC
444645.410000000000
0.0739449268
N/A
DE
CORP
JP
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
TOPIX INDEX DEC 23
TOPIX INDEX DEC 23
2023-12-07
5727876306.630000000000
JPY
444645.410000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
TOPIX INDEX DEC 23
000000000
80.000000000000
NC
99455.270000000000
0.0165394998
N/A
DE
CORP
JP
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Long
TOPIX INDEX DEC 23
TOPIX INDEX DEC 23
2023-12-07
1885525800.000000000000
JPY
99455.270000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
US 2YR NOTE MAR 24
000000000
612.000000000000
NC
USD
419534.570000000000
0.0697689718
N/A
DIR
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
US 2YR NOTE MAR 24
US 2YR NOTE MAR 24
2024-03-28
124710559.490000000000
USD
419534.570000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
US 2YR NOTE MAR 24
000000000
-49.000000000000
NC
USD
-36884.680000000000
-0.0061339551
N/A
DIR
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
US 2YR NOTE MAR 24
US 2YR NOTE MAR 24
2024-03-28
-9981701.280000000000
USD
-36884.680000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
FTSE TAIWAN DEC 23
000000000
1.000000000000
NC
USD
397.720000000000
0.0000661412
N/A
DE
CORP
SG
N
1
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Long
FTSE TAIWAN DEC 23
FTSE TAIWAN DEC 23
2023-12-28
59612.280000000000
USD
397.720000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FTSE TAIWAN DEC 23
000000000
97.000000000000
NC
USD
31617.320000000000
0.0052579884
N/A
DE
CORP
SG
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
FTSE TAIWAN DEC 23
FTSE TAIWAN DEC 23
2023-12-28
5789352.680000000000
USD
31617.320000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
FTSE TAIWAN DEC 23
000000000
49.000000000000
NC
USD
21029.550000000000
0.0034972329
N/A
DE
CORP
SG
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Long
FTSE TAIWAN DEC 23
FTSE TAIWAN DEC 23
2023-12-28
2919460.450000000000
USD
21029.550000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
US 10YR NOTE MAR 24
000000000
329.000000000000
NC
USD
333433.280000000000
0.0554502508
N/A
DIR
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
US 10YR NOTE MAR 24
US 10YR NOTE MAR 24
2024-03-19
35789738.600000000000
USD
333433.280000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SPI 200 DEC 23
000000000
-40.000000000000
NC
-70915.080000000000
-0.0117932408
N/A
DE
CORP
AU
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Short
SPI 200 DEC 23
SPI 200 DEC 23
2023-12-21
-6990671.350000000000
AUD
-70915.080000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
FTSE CHINA A50 DEC 23
000000000
-409.000000000000
NC
USD
6013.650000000000
0.0010000753
N/A
DE
CORP
SG
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Short
FTSE CHINA A50 DEC 23
FTSE CHINA A50 DEC 23
2023-12-28
-4815853.650000000000
USD
6013.650000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
AUST 3YR BOND DEC 23
000000000
-11.000000000000
NC
-855.910000000000
-0.0001423386
N/A
DIR
CORP
AU
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
AUST 3YR BOND DEC 23
AUST 3YR BOND DEC 23
2023-12-15
-1159965.450000000000
AUD
-855.910000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FTSE 100 INDEX DEC 23
000000000
75.000000000000
NC
62766.000000000000
0.0104380416
N/A
DE
CORP
GB
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
FTSE 100 INDEX DEC 23
FTSE 100 INDEX DEC 23
2023-12-15
5543521.750000000000
GBP
62766.000000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FTSE 100 INDEX DEC 23
000000000
59.000000000000
NC
-104382.940000000000
-0.0173589757
N/A
DE
CORP
GB
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
FTSE 100 INDEX DEC 23
FTSE 100 INDEX DEC 23
2023-12-15
4489235.170000000000
GBP
-104382.940000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
FTSE 100 INDEX DEC 23
000000000
125.000000000000
NC
-6079.930000000000
-0.0010110978
N/A
DE
CORP
GB
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Long
FTSE 100 INDEX DEC 23
FTSE 100 INDEX DEC 23
2023-12-15
9330298.270000000000
GBP
-6079.930000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
FTSE 100 INDEX DEC 23
000000000
-14.000000000000
NC
1227.820000000000
0.0002041876
N/A
DE
CORP
GB
N
1
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Short
FTSE 100 INDEX DEC 23
FTSE 100 INDEX DEC 23
2023-12-15
-1045424.250000000000
GBP
1227.820000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
NEW ZEALAND DOLLAR
000000000
44300000.000000000000
OU
Notional Amount
N/A
813351.490000000000
0.1352610755
N/A
DFE
CORP
NZ
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
26468951.149999998509884
USD
44300000.000000000000000
NZD
2023-12-20
813351.490000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
POLISH ZLOTY
000000000
87840000.000000000000
OU
Notional Amount
N/A
1837032.650000000000
0.3055001621
N/A
DFE
CORP
PL
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
20104550.989999998360872
USD
87840000.000000000000000
PLN
2023-12-20
1837032.650000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SWEDISH KRONA
000000000
16768000.000000000000
OU
Notional Amount
N/A
91911.110000000000
0.0152848993
N/A
DFE
CORP
SE
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
1505247.550000000046566
USD
16768000.000000000000000
SEK
2023-12-13
91911.110000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SWEDISH KRONA
000000000
536750000.000000000000
OU
Notional Amount
N/A
2261370.250000000000
0.3760678820
N/A
DFE
CORP
SE
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
48884178.210000000894070
USD
536750000.000000000000000
SEK
2023-12-20
2261370.250000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SOUTH AFRICA COMM. RD
000000000
197575000.000000000000
OU
Notional Amount
N/A
39386.860000000000
0.0065500698
N/A
DFE
CORP
ZA
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
10426121.369999999180436
USD
197575000.000000000000000
ZAR
2023-12-20
39386.860000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
GAS OIL MAR 24
000000000
10.000000000000
NC
USD
35756.000000000000
0.0059462546
N/A
DCO
CORP
GB
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
GAS OIL MAR 24
GAS OIL MAR 24
2024-03-12
739744.000000000000
USD
35756.000000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
GAS OIL MAR 24
000000000
3.000000000000
NC
USD
-11482.200000000000
-0.0019095001
N/A
DCO
CORP
GB
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
GAS OIL MAR 24
GAS OIL MAR 24
2024-03-12
244132.200000000000
USD
-11482.200000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
GAS OIL MAY 24
000000000
14.000000000000
NC
USD
-91216.440000000000
-0.0151693750
N/A
DCO
CORP
GB
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
GAS OIL MAY 24
GAS OIL MAY 24
2024-05-10
1157316.440000000000
USD
-91216.440000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
GAS OIL JUL 24
000000000
27.000000000000
NC
USD
-37796.060000000000
-0.0062855184
N/A
DCO
CORP
GB
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
GAS OIL JUL 24
GAS OIL JUL 24
2024-07-11
2076971.060000000000
USD
-37796.060000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: AUD 4.500000 09-MAR-2034 AUD
000000000
6600000.000000000000
OU
Notional Amount
107259.250000000000
0.0178373086
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
ASX Australian Bank Bill Short Term Rates 6 Month Mid
CT1917385
Y
2034-03-09
59511.330000000000
USD
0.000000000000
USD
6600000.000000000000
AUD
47747.920000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: EUR 3.250000 20-MAR-2026 EUR
000000000
210800000.000000000000
OU
Notional Amount
-779642.620000000000
-0.1296552605
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
Euribor 6 Month ACT/360
EURIBOR65
Y
2026-03-20
587295.260000000000
USD
0.000000000000
USD
210800000.000000000000
EUR
-1366937.880000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: EUR 3.000000 20-MAR-2034 EUR
000000000
36100000.000000000000
OU
Notional Amount
294762.070000000000
0.0490191942
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
Euribor 6 Month ACT/360
EURIBOR65
Y
2034-03-20
0.000000000000
USD
-605766.300000000000
USD
36100000.000000000000
EUR
900528.370000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP: MSCI JAPAN INDEX 12/20/23
000000000
-464285032.806600000000
OU
Notional Amount
-3576.400000000000
-0.0005947585
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI Japan Net Return JPY Index
CT2065571
Y
MSCI Japan Net Return JPY Index
2023-12-20
0.000000000000
USD
0.000000000000
USD
-464285032.806600000000
JPY
-3559.440000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: SEK 3.500000 21-MAR-2029 3M
000000000
1000000.000000000000
OU
Notional Amount
-2749.030000000000
-0.0004571661
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
Stockholm Interbank Offered Ra
STIB3MIN4
Y
2029-03-21
0.000000000000
USD
-54.630000000000
USD
1000000.000000000000
SEK
-2694.400000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: NOK 4.500000 21-MAR-2029 6M
000000000
3000000.000000000000
OU
Notional Amount
-10153.880000000000
-0.0016885993
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
Norway Interbank Offered Rate
NIBOR6MO4
Y
2029-03-21
0.000000000000
USD
-1385.440000000000
USD
3000000.000000000000
NOK
-8768.440000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP: MSCI SINGAPORE 12/20/2023
000000000
480954.110000000000
OU
Notional Amount
7491.160000000000
0.0012457866
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI Singapore Net Return SGD Index
CT1578265
Y
MSCI Singapore Net Return SGD Index
2023-12-20
0.000000000000
USD
0.000000000000
USD
480954.110000000000
SGD
7927.090000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP: MSCI SINGAPORE 12/20/2023
000000000
597228.730000000000
OU
Notional Amount
9302.200000000000
0.0015469641
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI Singapore Net Return SGD Index
CT1578265
Y
MSCI Singapore Net Return SGD Index
2023-12-20
0.000000000000
USD
0.000000000000
USD
597228.730000000000
SGD
9843.520000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: NZD 5.000000 14-MAR-2029 3M
000000000
6000000.000000000000
OU
Notional Amount
45082.430000000000
0.0074972482
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
NZD - 3M NEW ZEALAND BANK BILL RATE
NDBB3MIN1
Y
2029-03-14
0.000000000000
USD
-22917.830000000000
USD
6000000.000000000000
NZD
68000.260000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: NZD 5.000000 14-MAR-2029 3M
000000000
400000.000000000000
OU
Notional Amount
3005.500000000000
0.0004998173
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
NZD - 3M NEW ZEALAND BANK BILL RATE
NDBB3MIN1
Y
2029-03-14
4227.010000000000
USD
0.000000000000
USD
400000.000000000000
NZD
-1221.510000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: AUD 5.000000 09-MAR-2034 AUD
000000000
27000000.000000000000
OU
Notional Amount
-270598.950000000000
-0.0450008458
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
ASX Australian Bank Bill Short Term Rates 6 Month Mid
CT1917385
Y
2034-03-09
162783.410000000000
USD
0.000000000000
USD
27000000.000000000000
AUD
-433382.360000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP : MSCI SOUTH AFRICA INDEX
000000000
2180996.640000000000
OU
Notional Amount
-991.270000000000
-0.0001648491
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI South Africa Net Return ZAR Index
CT1578246
Y
MSCI South Africa Net Return ZAR Index
2023-12-20
0.000000000000
USD
0.000000000000
USD
2180996.640000000000
ZAR
-572.090000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP: MSCI ITALY INDEX 12/20/23
000000000
-1129538.340000000000
OU
Notional Amount
22284.890000000000
0.0037059970
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI Italy Net Return EUR Index
CT1578294
Y
MSCI Italy Net Return EUR Index
2023-12-20
0.000000000000
USD
0.000000000000
USD
-1129538.340000000000
EUR
21516.040000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: AUD 4.500000 12-MAR-2026 AUD
000000000
120900000.000000000000
OU
Notional Amount
261006.400000000000
0.0434055962
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
ASX Australian Bank Bill Short Term Rates 3 Month Mid
CT1622425
Y
2026-03-12
0.000000000000
USD
-53674.010000000000
USD
120900000.000000000000
AUD
314680.410000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP: MSCI SOUTH AFRICA 12/20/23
000000000
5298780.960000000000
OU
Notional Amount
-2408.320000000000
-0.0004005058
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI South Africa Net Return ZAR Index
CT1578246
Y
MSCI South Africa Net Return ZAR Index
2023-12-20
0.000000000000
USD
0.000000000000
USD
5298780.960000000000
ZAR
-1406.710000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP: MSCI POLAND 12/20/2023
000000000
460725.300000000000
OU
Notional Amount
-275.240000000000
-0.0000457727
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI Emerging Poland
MSCIPOTR4
Y
MSCI Emerging Poland
2023-12-20
0.000000000000
USD
0.000000000000
USD
460725.300000000000
PLN
-68.530000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP: MSCI NETHERLAND 12/20/2023
000000000
686651.130000000000
OU
Notional Amount
-718.090000000000
-0.0001194190
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI Netherlands Net Return EUR Index
CT1629808
Y
MSCI Netherlands Net Return EUR Index
2023-12-20
0.000000000000
USD
0.000000000000
USD
686651.130000000000
EUR
497.170000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: AUD 4.000000 11-DEC-2025 AUD
000000000
10900000.000000000000
OU
Notional Amount
-49723.030000000000
-0.0082689841
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
ASX Australian Bank Bill Short Term Rates 6 Month Mid
CT1917385
Y
2025-12-11
0.000000000000
USD
-73308.460000000000
USD
10900000.000000000000
AUD
23585.430000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP: MSCI SOUTH AFRICA 12/20/23
000000000
2187048.240000000000
OU
Notional Amount
-994.020000000000
-0.0001653064
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI South Africa Net Return ZAR Index
CT1578246
Y
MSCI South Africa Net Return ZAR Index
2023-12-20
0.000000000000
USD
0.000000000000
USD
2187048.240000000000
ZAR
-573.640000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SWP: SEK 3.396500 03-NOV-2033 3M
000000000
48000000.000000000000
OU
Notional Amount
-191910.840000000000
-0.0319149432
N/A
DIR
CORP
US
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Stockholm Interbank Offered Ra
STIB3MIN4
Y
2033-11-03
0.000000000000
USD
0.000000000000
USD
48000000.000000000000
SEK
-189449.540000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SWP: NZD 5.223000 03-NOV-2033 3M
000000000
43800000.000000000000
OU
Notional Amount
813241.800000000000
0.1352428340
N/A
DIR
CORP
US
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
NZD - 3M NEW ZEALAND BANK BILL RATE
NDBB3MIN1
Y
2033-11-03
0.000000000000
USD
0.000000000000
USD
43800000.000000000000
NZD
805117.490000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 0.015000 19-JUN-2026 SAR
000000000
300000.000000000000
OU
Notional Amount
2625.970000000000
0.0004367011
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
Swiss Average Rate O/N Intraday Value
CT1870898
Y
2026-06-19
1686.850000000000
USD
0.000000000000
USD
300000.000000000000
CHF
939.120000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: SEK 0.035000 17-JUN-2026 3M
000000000
1000000.000000000000
OU
Notional Amount
-822.980000000000
-0.0001368623
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
Stockholm Interbank Offered Ra
STIB3MIN4
Y
2026-06-17
0.000000000000
USD
-493.440000000000
USD
1000000.000000000000
SEK
-329.540000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: NZD 5.000000 10-JUN-2026 3M
000000000
14700000.000000000000
OU
Notional Amount
11567.790000000000
0.0019237338
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
NZD - 3M NEW ZEALAND BANK BILL RATE
NDBB3MIN1
Y
2026-06-10
1542.490000000000
USD
0.000000000000
USD
14700000.000000000000
NZD
10025.300000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 0.500000 19-JUN-2026 FTO
000000000
530000000.000000000000
OU
Notional Amount
9882.140000000000
0.0016434087
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
Bank of Japan Final Result: Unsecured Overnight Call Rate TONAR
CT1862899
Y
2026-06-19
7132.580000000000
USD
0.000000000000
USD
530000000.000000000000
JPY
2749.560000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: AUD 4.500000 07-JUN-2029 AUD
000000000
600000.000000000000
OU
Notional Amount
367.180000000000
0.0000610624
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
ASX Australian Bank Bill Short Term Rates 6 Month Mid
CT1917385
Y
2029-06-07
2456.690000000000
USD
0.000000000000
USD
600000.000000000000
AUD
-2089.510000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-2299024.000000000000
OU
Notional Amount
N/A
8786.750000000000
0.0014612443
N/A
DFE
CORP
AU
N
2
Citi
MBNUM2BPBDO7JBLYG310
2299024.000000000000000
AUD
1528712.899999999906868
USD
2023-12-20
8786.750000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-132650286.000000000000
OU
Notional Amount
N/A
-2719378.230000000000
-0.4522350161
N/A
DFE
CORP
AU
N
2
Citi
MBNUM2BPBDO7JBLYG310
132650286.000000000000000
AUD
84978113.539999991655350
USD
2023-12-20
-2719378.230000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-13799000.000000000000
OU
Notional Amount
N/A
57662.910000000000
0.0095893932
N/A
DFE
CORP
AU
N
2
Citi
MBNUM2BPBDO7JBLYG310
13799000.000000000000000
AUD
9203302.810000000521541
USD
2024-03-20
57662.910000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-3681332.000000000000
OU
Notional Amount
N/A
3209.860000000000
0.0005338026
N/A
DFE
CORP
BR
N
2
Citi
MBNUM2BPBDO7JBLYG310
3681332.000000000000000
BRL
749699.080000000074506
USD
2023-12-20
3209.860000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-105811668.000000000000
OU
Notional Amount
N/A
-542083.660000000000
-0.0901489944
N/A
DFE
CORP
BR
N
2
Citi
MBNUM2BPBDO7JBLYG310
105811668.000000000000000
BRL
20914082.050000000745058
USD
2023-12-20
-542083.660000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-22725000.000000000000
OU
Notional Amount
N/A
31606.780000000000
0.0052562356
N/A
DFE
CORP
BR
N
2
Citi
MBNUM2BPBDO7JBLYG310
22725000.000000000000000
BRL
4594932.470000000670552
USD
2024-03-20
31606.780000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-12102000.000000000000
OU
Notional Amount
N/A
52906.990000000000
0.0087984794
N/A
DFE
CORP
CA
N
2
Citi
MBNUM2BPBDO7JBLYG310
12102000.000000000000000
CAD
8973997.780000001192093
USD
2023-12-20
52906.990000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-97063485.000000000000
OU
Notional Amount
N/A
-793196.540000000000
-0.1319092894
N/A
DFE
CORP
CA
N
2
Citi
MBNUM2BPBDO7JBLYG310
97063485.000000000000000
CAD
70757965.370000004768372
USD
2023-12-20
-793196.540000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-9612500.000000000000
OU
Notional Amount
N/A
-16706.140000000000
-0.0027782459
N/A
DFE
CORP
CA
N
2
Citi
MBNUM2BPBDO7JBLYG310
9612500.000000000000000
CAD
7078899.139999999664724
USD
2024-03-20
-16706.140000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-21318142.000000000000
OU
Notional Amount
N/A
63087.000000000000
0.0104914242
N/A
DFE
CORP
CH
N
2
Citi
MBNUM2BPBDO7JBLYG310
21318142.000000000000000
CHF
24454522.539999999105930
USD
2023-12-20
63087.000000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
CHILEAN PESO
000000000
3783457355.000000000000
OU
Notional Amount
N/A
-61294.210000000000
-0.0101932816
N/A
DFE
CORP
CL
N
2
Citi
MBNUM2BPBDO7JBLYG310
4394268.479999999515712
USD
3783457355.000000000000000
CLP
2023-12-20
-61294.210000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
CHINESE OFFSHORE YUAN (HONG KONG)
000000000
111242765.000000000000
OU
Notional Amount
N/A
287364.790000000000
0.0477890199
N/A
DFE
CORP
CN
N
2
Citi
MBNUM2BPBDO7JBLYG310
15299476.959999997168779
USD
111242765.000000000000000
CNY
2023-12-20
287364.790000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
COLOMBIAN PESO
000000000
49070668000.000000000000
OU
Notional Amount
N/A
414012.030000000000
0.0688505685
N/A
DFE
CORP
CO
N
2
Citi
MBNUM2BPBDO7JBLYG310
11759390.209999999031425
USD
49070668000.000000000000000
COP
2023-12-20
414012.030000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
COLOMBIAN PESO
000000000
2067901234.000000000000
OU
Notional Amount
N/A
-3375.530000000000
-0.0005613536
N/A
DFE
CORP
CO
N
2
Citi
MBNUM2BPBDO7JBLYG310
516378.399999999965075
USD
2067901234.000000000000000
COP
2023-12-20
-3375.530000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
COLOMBIAN PESO
000000000
9798650716.000000000000
OU
Notional Amount
N/A
-26572.090000000000
-0.0044189622
N/A
DFE
CORP
CO
N
2
Citi
MBNUM2BPBDO7JBLYG310
2414268.100000000093132
USD
9798650716.000000000000000
COP
2024-03-20
-26572.090000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
CZECH KORUNA
000000000
331148000.000000000000
OU
Notional Amount
N/A
303806.490000000000
0.0505232892
N/A
DFE
CORP
CZ
N
2
Citi
MBNUM2BPBDO7JBLYG310
14517645.509999999776483
USD
331148000.000000000000000
CZK
2023-12-20
303806.490000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
CZECH KORUNA
000000000
4000000.000000000000
OU
Notional Amount
N/A
-2084.530000000000
-0.0003466592
N/A
DFE
CORP
CZ
N
2
Citi
MBNUM2BPBDO7JBLYG310
180704.970000000001164
USD
4000000.000000000000000
CZK
2024-03-20
-2084.530000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
EURO COUNTRIES
000000000
1407000.000000000000
OU
Notional Amount
N/A
44306.010000000000
0.0073681288
N/A
DFE
CORP
XX
N
2
Citi
MBNUM2BPBDO7JBLYG310
1487880.409999999916181
USD
1407000.000000000000000
EUR
2023-12-13
44306.010000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
EURO COUNTRIES
000000000
110450226.000000000000
OU
Notional Amount
N/A
1871831.010000000000
0.3112871603
N/A
DFE
CORP
XX
N
2
Citi
MBNUM2BPBDO7JBLYG310
118446312.680000051856041
USD
110450226.000000000000000
EUR
2023-12-20
1871831.010000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
EURO COUNTRIES
000000000
54186985.000000000000
OU
Notional Amount
N/A
-161034.780000000000
-0.0267802270
N/A
DFE
CORP
XX
N
2
Citi
MBNUM2BPBDO7JBLYG310
59189229.509999997913837
USD
54186985.000000000000000
EUR
2023-12-20
-161034.780000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
EURO COUNTRIES
000000000
12567513.000000000000
OU
Notional Amount
N/A
-130009.190000000000
-0.0216206438
N/A
DFE
CORP
XX
N
2
Citi
MBNUM2BPBDO7JBLYG310
13874507.479999998584390
USD
12567513.000000000000000
EUR
2024-03-20
-130009.190000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
BRITISH POUND
000000000
58411650.000000000000
OU
Notional Amount
N/A
1481891.000000000000
0.2464397901
N/A
DFE
CORP
GB
N
2
Citi
MBNUM2BPBDO7JBLYG310
72271734.649999976158142
USD
58411650.000000000000000
GBP
2023-12-20
1481891.000000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
BRITISH POUND
000000000
8895350.000000000000
OU
Notional Amount
N/A
-46797.530000000000
-0.0077824708
N/A
DFE
CORP
GB
N
2
Citi
MBNUM2BPBDO7JBLYG310
11278534.929999999701977
USD
8895350.000000000000000
GBP
2023-12-20
-46797.530000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
BRITISH POUND
000000000
639000.000000000000
OU
Notional Amount
N/A
550.840000000000
0.0000916052
N/A
DFE
CORP
GB
N
2
Citi
MBNUM2BPBDO7JBLYG310
806725.760000000009313
USD
639000.000000000000000
GBP
2024-03-20
550.840000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
BRITISH POUND
000000000
14270722.000000000000
OU
Notional Amount
N/A
-61825.080000000000
-0.0102815657
N/A
DFE
CORP
GB
N
2
Citi
MBNUM2BPBDO7JBLYG310
18090651.339999999850988
USD
14270722.000000000000000
GBP
2024-03-20
-61825.080000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
HUNGARIAN FURINT
000000000
5004026000.000000000000
OU
Notional Amount
N/A
493174.620000000000
0.0820153775
N/A
DFE
CORP
HU
N
2
Citi
MBNUM2BPBDO7JBLYG310
13812960.419999998062849
USD
5004026000.000000000000000
HUF
2023-12-20
493174.620000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
HUNGARIAN FURINT
000000000
1692104401.000000000000
OU
Notional Amount
N/A
-39977.100000000000
-0.0066482273
N/A
DFE
CORP
HU
N
2
Citi
MBNUM2BPBDO7JBLYG310
4877576.679999999701977
USD
1692104401.000000000000000
HUF
2023-12-20
-39977.100000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
HUNGARIAN FURINT
000000000
1211341999.000000000000
OU
Notional Amount
N/A
-45547.180000000000
-0.0075745365
N/A
DFE
CORP
HU
N
2
Citi
MBNUM2BPBDO7JBLYG310
3474587.459999999962747
USD
1211341999.000000000000000
HUF
2024-03-20
-45547.180000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
INDONESIAN RUPIA
000000000
85000000000.000000000000
OU
Notional Amount
N/A
28297.990000000000
0.0047059809
N/A
DFE
CORP
ID
N
2
Citi
MBNUM2BPBDO7JBLYG310
5442047.009999999776483
USD
85000000000.000000000000000
IDR
2023-12-20
28297.990000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
INDONESIAN RUPIA
000000000
140278029010.000000000000
OU
Notional Amount
N/A
-76580.160000000000
-0.0127353487
N/A
DFE
CORP
ID
N
2
Citi
MBNUM2BPBDO7JBLYG310
9104453.280000001192093
USD
140278029010.000000000000000
IDR
2023-12-20
-76580.160000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
INDONESIAN RUPIA
000000000
22197530864.000000000000
OU
Notional Amount
N/A
-11518.060000000000
-0.0019154636
N/A
DFE
CORP
ID
N
2
Citi
MBNUM2BPBDO7JBLYG310
1437243.270000000018626
USD
22197530864.000000000000000
IDR
2024-03-20
-11518.060000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
ISRAELI SHEKEL
000000000
84585000.000000000000
OU
Notional Amount
N/A
552593.560000000000
0.0918968001
N/A
DFE
CORP
IL
N
2
Citi
MBNUM2BPBDO7JBLYG310
22134069.250000000000000
USD
84585000.000000000000000
ILS
2023-12-20
552593.560000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
ISRAELI SHEKEL
000000000
20663000.000000000000
OU
Notional Amount
N/A
-47987.780000000000
-0.0079804105
N/A
DFE
CORP
IL
N
2
Citi
MBNUM2BPBDO7JBLYG310
5590040.310000000521541
USD
20663000.000000000000000
ILS
2023-12-20
-47987.780000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
COCOA MAR 24
000000000
96.000000000000
NC
USD
322482.790000000000
0.0536291745
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
COCOA MAR 24
COCOA MAR 24
2024-03-13
3783437.210000000000
USD
322482.790000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
CAC40 10 EURO DEC 23
000000000
-140.000000000000
NC
-193273.730000000000
-0.0321415930
N/A
DE
CORP
FR
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
CAC40 10 EURO DEC 23
CAC40 10 EURO DEC 23
2023-12-15
-10063517.410000000000
EUR
-193273.730000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
CAC40 10 EURO DEC 23
000000000
-117.000000000000
NC
-250981.410000000000
-0.0417384315
N/A
DE
CORP
FR
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Short
CAC40 10 EURO DEC 23
CAC40 10 EURO DEC 23
2023-12-15
-8327751.090000000000
EUR
-250981.410000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
WTI CRUDE JAN 24
000000000
47.000000000000
NC
USD
-128082.810000000000
-0.0213002851
N/A
DCO
CORP
US
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Long
WTI CRUDE JAN 24
WTI CRUDE JAN 24
2023-12-19
3698202.810000000000
USD
-128082.810000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
WTI CRUDE JAN 24
000000000
-14.000000000000
NC
USD
-8949.300000000000
-0.0014882765
N/A
DCO
CORP
US
N
1
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Short
WTI CRUDE JAN 24
WTI CRUDE JAN 24
2023-12-19
-1054490.700000000000
USD
-8949.300000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
WTI CRUDE JAN 24
000000000
-208.000000000000
NC
USD
943659.810000000000
0.1569314649
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
WTI CRUDE JAN 24
WTI CRUDE JAN 24
2023-12-19
-16743339.810000000000
USD
943659.810000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
WTI CRUDE MAR 24
000000000
37.000000000000
NC
USD
115477.670000000000
0.0192040391
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
WTI CRUDE MAR 24
WTI CRUDE MAR 24
2024-02-20
2696152.330000000000
USD
115477.670000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
WTI CRUDE MAR 24
000000000
5.000000000000
NC
USD
-13324.000000000000
-0.0022157930
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
WTI CRUDE MAR 24
WTI CRUDE MAR 24
2024-02-20
393274.000000000000
USD
-13324.000000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
WTI CRUDE MAY 24
000000000
42.000000000000
NC
USD
-276788.040000000000
-0.0460300970
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
WTI CRUDE MAY 24
WTI CRUDE MAY 24
2024-04-22
3455348.040000000000
USD
-276788.040000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
WTI CRUDE JUL 24
000000000
84.000000000000
NC
USD
-62061.950000000000
-0.0103209574
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
WTI CRUDE JUL 24
WTI CRUDE JUL 24
2024-06-20
6378861.950000000000
USD
-62061.950000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
COTTON NO.2 MAR 24
000000000
-89.000000000000
NC
USD
-32987.540000000000
-0.0054858572
N/A
DCO
CORP
US
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Short
COTTON NO.2 MAR 24
COTTON NO.2 MAR 24
2024-03-06
-3529682.460000000000
USD
-32987.540000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
COTTON NO.2 MAY 24
000000000
19.000000000000
NC
USD
-62221.040000000000
-0.0103474142
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
COTTON NO.2 MAY 24
COTTON NO.2 MAY 24
2024-05-08
828871.040000000000
USD
-62221.040000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
COTTON NO.2 JUL 24
000000000
39.000000000000
NC
USD
-42797.860000000000
-0.0071173221
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
COTTON NO.2 JUL 24
COTTON NO.2 JUL 24
2024-07-09
1627757.860000000000
USD
-42797.860000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 4.250000 20-MAR-2029 SON
000000000
2000000.000000000000
OU
Notional Amount
-18516.580000000000
-0.0030793237
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
GBP SONIA OVERNIGHT RATE
CT1240964
Y
2029-03-20
20543.120000000000
USD
0.000000000000
USD
2000000.000000000000
GBP
-39059.700000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: EUR 3.000000 20-MAR-2029 EUR
000000000
51100000.000000000000
OU
Notional Amount
421828.220000000000
0.0701504078
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
Euribor 6 Month ACT/360
EURIBOR65
Y
2029-03-20
0.000000000000
USD
-389698.620000000000
USD
51100000.000000000000
EUR
811526.840000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP: MSCI SOUTH AFRICA 12/20/23
000000000
4151397.600000000000
OU
Notional Amount
-1886.830000000000
-0.0003137815
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI South Africa Net Return ZAR Index
CT1578246
Y
MSCI South Africa Net Return ZAR Index
2023-12-20
0.000000000000
USD
0.000000000000
USD
4151397.600000000000
ZAR
-1088.880000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP: MSCI SINGAPORE 12/20/2023
000000000
343538.650000000000
OU
Notional Amount
5350.830000000000
0.0008898478
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI Singapore Net Return SGD Index
CT1578265
Y
MSCI Singapore Net Return SGD Index
2023-12-20
0.000000000000
USD
0.000000000000
USD
343538.650000000000
SGD
5736.800000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP: MSCI CANADA 12/20/2023
000000000
1567117.040000000000
OU
Notional Amount
-13127.830000000000
-0.0021831698
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI Canada Net Return CAD Index
CT1629248
Y
MSCI Canada Net Return CAD Index
2023-12-20
0.000000000000
USD
0.000000000000
USD
1567117.040000000000
CAD
-11458.150000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
MSCI SING IX ETS DEC 23
000000000
-147.000000000000
NC
37428.740000000000
0.0062244327
N/A
DE
CORP
SG
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
MSCI SING IX ETS DEC 23
MSCI SING IX ETS DEC 23
2023-12-28
-4030754.760000000000
SGD
37428.740000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
RUSSELL 2000 EMINI CME DEC 23
000000000
-44.000000000000
NC
USD
-231100.990000000000
-0.0384323000
N/A
DE
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
RUSSELL 2000 EMINI CME DEC 23
RUSSELL 2000 EMINI CME DEC 23
2023-12-15
-3755739.010000000000
USD
-231100.990000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP : MSCI SOUTH AFRICA INDEX
000000000
4515703.920000000000
OU
Notional Amount
-2052.410000000000
-0.0003413176
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI South Africa Net Return ZAR Index
CT1578246
Y
MSCI South Africa Net Return ZAR Index
2023-12-20
0.000000000000
USD
0.000000000000
USD
4515703.920000000000
ZAR
-1184.440000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP: MSCI SINGAPORE 12/20/2023
000000000
385820.330000000000
OU
Notional Amount
6009.390000000000
0.0009993669
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI Singapore Net Return SGD Index
CT1578265
Y
MSCI Singapore Net Return SGD Index
2023-12-20
0.000000000000
USD
0.000000000000
USD
385820.330000000000
SGD
6359.090000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 4.000000 18-MAR-2034 CAD
000000000
12200000.000000000000
OU
Notional Amount
-333047.910000000000
-0.0553861634
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
Canadian Overnight Repo Rate Average CORRA
CT2073686
Y
2034-03-18
0.000000000000
USD
-30996.590000000000
USD
12200000.000000000000
CAD
-302051.320000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
OTC (GENERIC) 1 YEAR
000000000
20000000.000000000000
OU
Notional Amount
USD
516910.000000000000
0.0859625923
N/A
DIR
CORP
US
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Call
Purchased
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY CAPITAL SERVICES
9R7GPTSO7KV3UQJZQ078
FSWP: OIS 3.750000 24-SEP-2034 SOF
000000000
N/A
OU
Notional
N/A
N/A
0.000000000000
DIR
CORP
United States SOFR Secured Overnight Financing Rate
CT1403743
2034-09-24
N/A
N/A
N/A
N/A
20000000.000000000000
USD
20000000.000000000000000
USD
3.750000000000
USD
2024-09-20
XXXX
-83090.000000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP: MSCI NETHERLAND 12/20/2023
000000000
420155.010000000000
OU
Notional Amount
-439.390000000000
-0.0000730709
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI Netherlands Net Return EUR Index
CT1629808
Y
MSCI Netherlands Net Return EUR Index
2023-12-20
0.000000000000
USD
0.000000000000
USD
420155.010000000000
EUR
304.210000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP: MSCI ITALY INDEX 12/20/23
000000000
-252137.340000000000
OU
Notional Amount
4974.470000000000
0.0008272588
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI Italy Net Return EUR Index
CT1578294
Y
MSCI Italy Net Return EUR Index
2023-12-20
0.000000000000
USD
0.000000000000
USD
-252137.340000000000
EUR
4574.010000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP: MSCI SWEDEN 12/20/2023
000000000
5502420.480000000000
OU
Notional Amount
-8329.250000000000
-0.0013851617
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI Sweden Net Return SEK Index
CT1578287
Y
MSCI SWEDEN NR
2023-12-20
0.000000000000
USD
0.000000000000
USD
5502420.480000000000
SEK
-7649.850000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
OTC (GENERIC) 1 YEAR
000000000
25000000.000000000000
OU
Notional Amount
USD
969355.000000000000
0.1612045979
N/A
DIR
CORP
US
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Call
Purchased
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY CAPITAL SERVICES
9R7GPTSO7KV3UQJZQ078
FSWP: OIS 4.000000 08-NOV-2034 SOF
000000000
N/A
OU
Notional
N/A
N/A
0.000000000000
DIR
CORP
United States SOFR Secured Overnight Financing Rate
CT1403743
2034-11-08
N/A
N/A
N/A
N/A
25000000.000000000000
USD
25000000.000000000000000
USD
4.000000000000
USD
2024-11-06
XXXX
219355.000000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP: MSCI NETHERLAND 12/20/2023
000000000
160590.870000000000
OU
Notional Amount
-167.950000000000
-0.0000279302
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI Netherlands Net Return EUR Index
CT1629808
Y
MSCI Netherlands Net Return EUR Index
2023-12-20
0.000000000000
USD
0.000000000000
USD
160590.870000000000
EUR
116.270000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP: MSCI JAPAN INDEX 12/20/23
000000000
-129651605.600000000000
OU
Notional Amount
-998.710000000000
-0.0001660864
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI Japan Net Return JPY Index
CT2065571
Y
MSCI Japan Net Return JPY Index
2023-12-20
0.000000000000
USD
0.000000000000
USD
-129651605.600000000000
JPY
-992.950000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP: MSCI NETHERLAND 12/20/2023
000000000
2765860.020000000000
OU
Notional Amount
-2892.520000000000
-0.0004810286
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI Netherlands Net Return EUR Index
CT1629808
Y
MSCI Netherlands Net Return EUR Index
2023-12-20
0.000000000000
USD
0.000000000000
USD
2765860.020000000000
EUR
2002.560000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP: MSCI SOUTH AFRICA 12/20/23
000000000
5054009.840000000000
OU
Notional Amount
-6715.660000000000
-0.0011168202
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI South Africa Net Return ZAR Index
CT1578246
Y
MSCI South Africa Net Return ZAR Index
2023-12-20
0.000000000000
USD
0.000000000000
USD
5054009.840000000000
ZAR
-5744.220000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: NZD 5.000000 11-MAR-2026 3M
000000000
42600000.000000000000
OU
Notional Amount
43648.960000000000
0.0072588608
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
NZD - 3M NEW ZEALAND BANK BILL RATE
NDBB3MIN1
Y
2026-03-11
3651.700000000000
USD
0.000000000000
USD
42600000.000000000000
NZD
39997.260000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP: MSCI SINGAPORE 12/20/2023
000000000
459148.590000000000
OU
Notional Amount
6664.990000000000
0.0011083938
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI Singapore Net Return SGD Index
CT1578265
Y
MSCI Singapore Net Return SGD Index
2023-12-20
0.000000000000
USD
0.000000000000
USD
459148.590000000000
SGD
7089.410000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
GASOLINE RBOB JAN 24
000000000
1.000000000000
NC
USD
291.200000000000
0.0000484268
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
GASOLINE RBOB JAN 24
GASOLINE RBOB JAN 24
2023-12-29
91092.400000000000
USD
291.200000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
GASOLINE RBOB JAN 24
000000000
53.000000000000
NC
USD
-13827.610000000000
-0.0022995438
N/A
DCO
CORP
US
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Long
GASOLINE RBOB JAN 24
GASOLINE RBOB JAN 24
2023-12-29
4857158.410000000000
USD
-13827.610000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
GASOLINE RBOB JAN 24
000000000
-9.000000000000
NC
USD
-2071.040000000000
-0.0003444158
N/A
DCO
CORP
US
N
1
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Short
GASOLINE RBOB JAN 24
GASOLINE RBOB JAN 24
2023-12-29
-820381.360000000000
USD
-2071.040000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
GASOLINE RBOB MAR 24
000000000
9.000000000000
NC
USD
-12843.730000000000
-0.0021359237
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
GASOLINE RBOB MAR 24
GASOLINE RBOB MAR 24
2024-02-29
841495.330000000000
USD
-12843.730000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP: MSCI SINGAPORE INDEX
000000000
465098.480000000000
OU
Notional Amount
7244.190000000000
0.0012047152
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI Singapore Net Return SGD Index
CT1578265
Y
MSCI Singapore Net Return SGD Index
2023-12-20
0.000000000000
USD
0.000000000000
USD
465098.480000000000
SGD
7674.110000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
OTC (GENERIC) 1 YEAR
000000000
7000000.000000000000
OU
Notional Amount
USD
202218.100000000000
0.0336290497
N/A
DIR
CORP
US
N
2
Citi
MBNUM2BPBDO7JBLYG310
Call
Purchased
Citi
MBNUM2BPBDO7JBLYG310
CITIBANK NA
MBNUM2BPBDO7JBLYG310
FSWP: OIS 3.750000 20-NOV-2034 SOF
000000000
N/A
OU
Notional
N/A
N/A
0.000000000000
DIR
CORP
United States SOFR Secured Overnight Financing Rate
CT1403743
2034-11-20
N/A
N/A
N/A
N/A
7000000.000000000000
USD
7000000.000000000000000
USD
3.750000000000
USD
2024-11-18
XXXX
16018.100000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP: MSCI SINGAPORE 12/20/2023
000000000
437600.270000000000
OU
Notional Amount
6031.100000000000
0.0010029773
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI Singapore Net Return SGD Index
CT1578265
Y
MSCI Singapore Net Return SGD Index
2023-12-20
0.000000000000
USD
0.000000000000
USD
437600.270000000000
SGD
6330.140000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP: MSCI BRAZIL 12/20/2023
000000000
-909700.370000000000
OU
Notional Amount
4559.750000000000
0.0007582905
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI BRAZIL NET BRL
CT1628428
Y
MSCI BRAZIL NET BRL
2023-12-20
0.000000000000
USD
0.000000000000
USD
-909700.370000000000
BRL
3718.810000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
GASOLINE RBOB MAY 24
000000000
9.000000000000
NC
USD
-97245.600000000000
-0.0161720297
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
GASOLINE RBOB MAY 24
GASOLINE RBOB MAY 24
2024-04-30
999040.200000000000
USD
-97245.600000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
GASOLINE RBOB JUL 24
000000000
5.000000000000
NC
USD
809.790000000000
0.0001346688
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
GASOLINE RBOB JUL 24
GASOLINE RBOB JUL 24
2024-06-28
493215.210000000000
USD
809.790000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
GASOLINE RBOB JUL 24
000000000
12.000000000000
NC
USD
-1096.800000000000
-0.0001823988
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
GASOLINE RBOB JUL 24
GASOLINE RBOB JUL 24
2024-06-28
1186756.800000000000
USD
-1096.800000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
AUST 10YR BOND DEC 23
000000000
988.000000000000
NC
-560447.110000000000
-0.0932028524
N/A
DIR
CORP
AU
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
AUST 10YR BOND DEC 23
AUST 10YR BOND DEC 23
2023-12-15
112302618.460000000000
AUD
-560447.110000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
BRENT CRUDE (ICE) JUL 24
000000000
75.000000000000
NC
USD
-266728.900000000000
-0.0443572531
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
BRENT CRUDE (ICE) JUL 24
BRENT CRUDE (ICE) JUL 24
2024-05-31
6223228.900000000000
USD
-266728.900000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
BRENT CRUDE (ICE) SEP 24
000000000
23.000000000000
NC
USD
5888.620000000000
0.0009792827
N/A
DCO
CORP
GB
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
BRENT CRUDE (ICE) SEP 24
BRENT CRUDE (ICE) SEP 24
2024-07-31
1806281.380000000000
USD
5888.620000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
BRENT CRUDE (ICE) SEP 24
000000000
15.000000000000
NC
USD
-5910.450000000000
-0.0009829131
N/A
DCO
CORP
GB
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
BRENT CRUDE (ICE) SEP 24
BRENT CRUDE (ICE) SEP 24
2024-07-31
1187760.450000000000
USD
-5910.450000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
COTTON NO.2 MAR 24
000000000
3.000000000000
NC
USD
659.700000000000
0.0001097087
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
COTTON NO.2 MAR 24
COTTON NO.2 MAR 24
2024-03-06
119430.300000000000
USD
659.700000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
COTTON NO.2 MAR 24
000000000
-27.000000000000
NC
USD
2326.610000000000
0.0003869173
N/A
DCO
CORP
US
N
1
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Short
COTTON NO.2 MAR 24
COTTON NO.2 MAR 24
2024-03-06
-1083136.610000000000
USD
2326.610000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
BRAZIL REAL
000000000
62908000.000000000000
OU
Notional Amount
N/A
343447.420000000000
0.0571156111
N/A
DFE
CORP
BR
N
2
Citi
MBNUM2BPBDO7JBLYG310
12412844.009999999776483
USD
62908000.000000000000000
BRL
2023-12-20
343447.420000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
BRAZIL REAL
000000000
70984000.000000000000
OU
Notional Amount
N/A
-64609.950000000000
-0.0107446921
N/A
DFE
CORP
BR
N
2
Citi
MBNUM2BPBDO7JBLYG310
14458527.899999998509884
USD
70984000.000000000000000
BRL
2023-12-20
-64609.950000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
CANADIAN DOLLAR
000000000
90851985.000000000000
OU
Notional Amount
N/A
394280.520000000000
0.0655692008
N/A
DFE
CORP
CA
N
2
Citi
MBNUM2BPBDO7JBLYG310
66578022.079999990761280
USD
90851985.000000000000000
CAD
2023-12-20
394280.520000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
KOREAN WON
000000000
1650000000.000000000000
OU
Notional Amount
N/A
-7599.490000000000
-0.0012638019
N/A
DFE
CORP
KW
N
2
Citi
MBNUM2BPBDO7JBLYG310
1284209.439999999944121
USD
1650000000.000000000000000
KRW
2024-03-20
-7599.490000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
MEXICAN PESO
000000000
710928000.000000000000
OU
Notional Amount
N/A
1666193.250000000000
0.2770894180
N/A
DFE
CORP
MX
N
2
Citi
MBNUM2BPBDO7JBLYG310
39158278.400000013411045
USD
710928000.000000000000000
MXN
2023-12-20
1666193.250000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
MEXICAN PESO
000000000
227897000.000000000000
OU
Notional Amount
N/A
-161943.540000000000
-0.0269313546
N/A
DFE
CORP
MX
N
2
Citi
MBNUM2BPBDO7JBLYG310
13248746.439999999478459
USD
227897000.000000000000000
MXN
2023-12-20
-161943.540000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
MEXICAN PESO
000000000
204897000.000000000000
OU
Notional Amount
N/A
-140654.300000000000
-0.0233909351
N/A
DFE
CORP
MX
N
2
Citi
MBNUM2BPBDO7JBLYG310
11732829.939999999478459
USD
204897000.000000000000000
MXN
2024-03-20
-140654.300000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
NORWAY KRONA
000000000
182997540.000000000000
OU
Notional Amount
N/A
378791.920000000000
0.0629934329
N/A
DFE
CORP
NO
N
2
Citi
MBNUM2BPBDO7JBLYG310
16542752.710000000894070
USD
182997540.000000000000000
NOK
2023-12-20
378791.920000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
NORWAY KRONA
000000000
429068320.000000000000
OU
Notional Amount
N/A
-591783.080000000000
-0.0984140521
N/A
DFE
CORP
NO
N
2
Citi
MBNUM2BPBDO7JBLYG310
40267172.849999994039536
USD
429068320.000000000000000
NOK
2023-12-20
-591783.080000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
NORWAY KRONA
000000000
86684833.000000000000
OU
Notional Amount
N/A
-84153.260000000000
-0.0139947619
N/A
DFE
CORP
NO
N
2
Citi
MBNUM2BPBDO7JBLYG310
8119712.190000000409782
USD
86684833.000000000000000
NOK
2024-03-20
-84153.260000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
NEW ZEALAND DOLLAR
000000000
108967338.000000000000
OU
Notional Amount
N/A
2098005.920000000000
0.3489002488
N/A
DFE
CORP
NZ
N
2
Citi
MBNUM2BPBDO7JBLYG310
65009892.370000004768372
USD
108967338.000000000000000
NZD
2023-12-20
2098005.920000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
NEW ZEALAND DOLLAR
000000000
30389667.000000000000
OU
Notional Amount
N/A
-117160.190000000000
-0.0194838437
N/A
DFE
CORP
NZ
N
2
Citi
MBNUM2BPBDO7JBLYG310
18832737.899999998509884
USD
30389667.000000000000000
NZD
2023-12-20
-117160.190000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
PHILIPPINE PESO
000000000
170000000.000000000000
OU
Notional Amount
N/A
61033.150000000000
0.0101498671
N/A
DFE
CORP
PH
N
2
Citi
MBNUM2BPBDO7JBLYG310
3002390.479999999981374
USD
170000000.000000000000000
PHP
2023-12-20
61033.150000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
PHILIPPINE PESO
000000000
256668000.000000000000
OU
Notional Amount
N/A
-10743.940000000000
-0.0017867268
N/A
DFE
CORP
PH
N
2
Citi
MBNUM2BPBDO7JBLYG310
4635936.980000000447035
USD
256668000.000000000000000
PHP
2023-12-20
-10743.940000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
PHILIPPINE PESO
000000000
15000000.000000000000
OU
Notional Amount
N/A
-878.750000000000
-0.0001461369
N/A
DFE
CORP
PH
N
2
Citi
MBNUM2BPBDO7JBLYG310
271173.440000000002328
USD
15000000.000000000000000
PHP
2024-03-20
-878.750000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
POLISH ZLOTY
000000000
214253250.000000000000
OU
Notional Amount
N/A
2766997.710000000000
0.4601541779
N/A
DFE
CORP
PL
N
2
Citi
MBNUM2BPBDO7JBLYG310
50751394.869999982416630
USD
214253250.000000000000000
PLN
2023-12-20
2766997.710000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
POLISH ZLOTY
000000000
9062000.000000000000
OU
Notional Amount
N/A
-2924.100000000000
-0.0004862804
N/A
DFE
CORP
PL
N
2
Citi
MBNUM2BPBDO7JBLYG310
2266524.180000000167638
USD
9062000.000000000000000
PLN
2023-12-20
-2924.100000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
POLISH ZLOTY
000000000
21527319.000000000000
OU
Notional Amount
N/A
-84748.860000000000
-0.0140938107
N/A
DFE
CORP
PL
N
2
Citi
MBNUM2BPBDO7JBLYG310
5452660.759999999776483
USD
21527319.000000000000000
PLN
2024-03-20
-84748.860000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
SWEDISH KRONA
000000000
145000000.000000000000
OU
Notional Amount
N/A
481627.390000000000
0.0800950629
N/A
DFE
CORP
SE
N
2
Citi
MBNUM2BPBDO7JBLYG310
13335055.470000000670552
USD
145000000.000000000000000
SEK
2023-12-20
481627.390000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
SWEDISH KRONA
000000000
26000000.000000000000
OU
Notional Amount
N/A
-20952.260000000000
-0.0034843795
N/A
DFE
CORP
SE
N
2
Citi
MBNUM2BPBDO7JBLYG310
2498426.419999999925494
USD
26000000.000000000000000
SEK
2023-12-20
-20952.260000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
SINGAPORE DOLLAR
000000000
2855000.000000000000
OU
Notional Amount
N/A
40471.910000000000
0.0067305146
N/A
DFE
CORP
SG
N
2
Citi
MBNUM2BPBDO7JBLYG310
2095475.699999999720603
USD
2855000.000000000000000
SGD
2023-12-20
40471.910000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
SINGAPORE DOLLAR
000000000
20665270.000000000000
OU
Notional Amount
N/A
-56034.190000000000
-0.0093185356
N/A
DFE
CORP
SG
N
2
Citi
MBNUM2BPBDO7JBLYG310
15516606.550000000745058
USD
20665270.000000000000000
SGD
2023-12-20
-56034.190000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
TAIWAN NEW DOLLAR
000000000
965131000.000000000000
OU
Notional Amount
N/A
498251.950000000000
0.0828597420
N/A
DFE
CORP
TW
N
2
Citi
MBNUM2BPBDO7JBLYG310
30416685.269999999552965
USD
965131000.000000000000000
TWD
2023-12-20
498251.950000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
WHEAT KCBT FUTURE MAR 24
000000000
-51.000000000000
NC
USD
21878.930000000000
0.0036384855
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
WHEAT KCBT FUTURE MAR 24
WHEAT KCBT FUTURE MAR 24
2024-03-14
-1661528.930000000000
USD
21878.930000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
WHEAT KCBT FUTURE MAY 24
000000000
22.000000000000
NC
USD
-80580.380000000000
-0.0134005888
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
WHEAT KCBT FUTURE MAY 24
WHEAT KCBT FUTURE MAY 24
2024-05-14
792830.380000000000
USD
-80580.380000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
WHEAT KCBT FUTURE JUL 24
000000000
44.000000000000
NC
USD
-46192.780000000000
-0.0076819004
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
WHEAT KCBT FUTURE JUL 24
WHEAT KCBT FUTURE JUL 24
2024-07-12
1481692.780000000000
USD
-46192.780000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
LME PRI ALUM JAN 24
000000000
-179.000000000000
NC
USD
178367.530000000000
0.0296626787
N/A
DCO
CORP
GB
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
LME PRI ALUM JAN 24
LME PRI ALUM JAN 24
2024-01-16
-9926036.280000000000
USD
178367.530000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
LME PRI ALUM MAR 24
000000000
29.000000000000
NC
USD
-23134.720000000000
-0.0038473245
N/A
DCO
CORP
GB
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
LME PRI ALUM MAR 24
LME PRI ALUM MAR 24
2024-03-19
1619040.970000000000
USD
-23134.720000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
LME PRI ALUM MAR 24
000000000
-46.000000000000
NC
USD
24782.860000000000
0.0041214116
N/A
DCO
CORP
GB
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
LME PRI ALUM MAR 24
LME PRI ALUM MAR 24
2024-03-19
-2556220.360000000000
USD
24782.860000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
LME PRI ALUM MAY 24
000000000
28.000000000000
NC
USD
-36235.290000000000
-0.0060259609
N/A
DCO
CORP
GB
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
LME PRI ALUM MAY 24
LME PRI ALUM MAY 24
2024-05-14
1594435.290000000000
USD
-36235.290000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
LME PRI ALUM JUL 24
000000000
56.000000000000
NC
USD
-60923.080000000000
-0.0101315623
N/A
DCO
CORP
GB
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
LME PRI ALUM JUL 24
LME PRI ALUM JUL 24
2024-07-16
3217223.080000000000
USD
-60923.080000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
LME PRI ALUM DEC 23
000000000
98.000000000000
NC
USD
-192197.110000000000
-0.0319625502
N/A
DCO
CORP
GB
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Long
LME PRI ALUM DEC 23
LME PRI ALUM DEC 23
2023-12-19
5498921.610000000000
USD
-192197.110000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
LME PRI ALUM DEC 23
000000000
-50.000000000000
NC
USD
41884.980000000000
0.0069655094
N/A
DCO
CORP
GB
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
LME PRI ALUM DEC 23
LME PRI ALUM DEC 23
2023-12-19
-2749397.480000000000
USD
41884.980000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
LIVE CATTLE FEB 24
000000000
30.000000000000
NC
USD
-50367.000000000000
-0.0083760769
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
LIVE CATTLE FEB 24
LIVE CATTLE FEB 24
2024-02-29
2112267.000000000000
USD
-50367.000000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
LIVE CATTLE FEB 24
000000000
3.000000000000
NC
USD
2291.150000000000
0.0003810203
N/A
DCO
CORP
US
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Long
LIVE CATTLE FEB 24
LIVE CATTLE FEB 24
2024-02-29
203898.850000000000
USD
2291.150000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
LIVE CATTLE FEB 24
000000000
-4.000000000000
NC
USD
7250.650000000000
0.0012057895
N/A
DCO
CORP
US
N
1
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Short
LIVE CATTLE FEB 24
LIVE CATTLE FEB 24
2024-02-29
-282170.650000000000
USD
7250.650000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
LIVE CATTLE APR 24
000000000
21.000000000000
NC
USD
-143931.890000000000
-0.0239360012
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
LIVE CATTLE APR 24
LIVE CATTLE APR 24
2024-04-30
1609101.890000000000
USD
-143931.890000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
LIVE CATTLE JUN 24
000000000
43.000000000000
NC
USD
-307825.970000000000
-0.0511917323
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
LIVE CATTLE JUN 24
LIVE CATTLE JUN 24
2024-06-28
3235265.970000000000
USD
-307825.970000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
LIVE CATTLE AUG 24
000000000
21.000000000000
NC
USD
-32494.450000000000
-0.0054038559
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
LIVE CATTLE AUG 24
LIVE CATTLE AUG 24
2024-08-30
1463854.450000000000
USD
-32494.450000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
LEAN HOGS FEB 24
000000000
-24.000000000000
NC
USD
-19590.650000000000
-0.0032579425
N/A
DCO
CORP
US
N
1
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Short
LEAN HOGS FEB 24
LEAN HOGS FEB 24
2024-02-14
-666569.350000000000
USD
-19590.650000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
LEAN HOGS FEB 24
000000000
-24.000000000000
NC
USD
34238.210000000000
0.0056938447
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
LEAN HOGS FEB 24
LEAN HOGS FEB 24
2024-02-14
-720398.210000000000
USD
34238.210000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
LEAN HOGS APR 24
000000000
20.000000000000
NC
USD
-59873.840000000000
-0.0099570728
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
LEAN HOGS APR 24
LEAN HOGS APR 24
2024-04-12
678673.840000000000
USD
-59873.840000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
LEAN HOGS JUN 24
000000000
33.000000000000
NC
USD
-38119.880000000000
-0.0063393699
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
LEAN HOGS JUN 24
LEAN HOGS JUN 24
2024-06-14
1259119.880000000000
USD
-38119.880000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
LEAN HOGS JUL 24
000000000
16.000000000000
NC
USD
-9960.810000000000
-0.0016564916
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
LEAN HOGS JUL 24
LEAN HOGS JUL 24
2024-07-15
615240.810000000000
USD
-9960.810000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
LEAN HOGS DEC 23
000000000
82.000000000000
NC
USD
-162369.510000000000
-0.0270021938
N/A
DCO
CORP
US
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Long
LEAN HOGS DEC 23
LEAN HOGS DEC 23
2023-12-14
2418189.510000000000
USD
-162369.510000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
LME LEAD JAN 24
000000000
203.000000000000
NC
USD
-551329.290000000000
-0.0916865508
N/A
DCO
CORP
GB
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
LME LEAD JAN 24
LME LEAD JAN 24
2024-01-16
11283685.540000000000
USD
-551329.290000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SOUTH AFRICA COMM. RD
000000000
167715000.000000000000
OU
Notional Amount
N/A
-227219.680000000000
-0.0377868347
N/A
DFE
CORP
ZA
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
9111049.689999999478459
USD
167715000.000000000000000
ZAR
2023-12-20
-227219.680000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
US DOLLARS
000000000
-374495000.000000000000
OU
Notional Amount
N/A
-194899.890000000000
-0.0324120249
N/A
DFE
CORP
ZA
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
374495000.000000000000000
ZAR
19642025.359999999403954
USD
2023-12-20
-194899.890000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
EURO-BUND DEC 23
000000000
-262.000000000000
NC
-801736.200000000000
-0.1333294425
N/A
DIR
CORP
DE
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
EURO-BUND DEC 23
EURO-BUND DEC 23
2023-12-07
-33925284.410000000000
EUR
-801736.200000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
EURO-BUND DEC 23
000000000
-227.000000000000
NC
-592469.330000000000
-0.0985281760
N/A
DIR
CORP
DE
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Short
EURO-BUND DEC 23
EURO-BUND DEC 23
2023-12-07
-29491016.510000000000
EUR
-592469.330000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
NATURAL GAS JAN 24
000000000
98.000000000000
NC
USD
-502594.800000000000
-0.0835819618
N/A
DCO
CORP
US
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Long
NATURAL GAS JAN 24
NATURAL GAS JAN 24
2023-12-27
3248554.800000000000
USD
-502594.800000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
NATURAL GAS JAN 24
000000000
-95.000000000000
NC
USD
333798.080000000000
0.0555109173
N/A
DCO
CORP
US
N
1
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Short
NATURAL GAS JAN 24
NATURAL GAS JAN 24
2023-12-27
-2995698.080000000000
USD
333798.080000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
US 10YR NOTE MAR 24
000000000
-2192.000000000000
NC
USD
-2160078.000000000000
-0.3592228908
N/A
DIR
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
US 10YR NOTE MAR 24
US 10YR NOTE MAR 24
2024-03-19
-238514672.000000000000
USD
-2160078.000000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
US 10YR NOTE MAR 24
000000000
-61.000000000000
NC
USD
-63006.900000000000
-0.0104781035
N/A
DIR
CORP
US
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Short
US 10YR NOTE MAR 24
US 10YR NOTE MAR 24
2024-03-19
-6634602.480000000000
USD
-63006.900000000000
N
N
N
BRAVO RESIDENTIAL FUNDING TRUST BRAVO_20-NQM1
N/A
BRAVO_20-NQM1
105699AE2
300000.000000000000
PA
USD
277612.770000000000
0.0461672503
Long
ABS-CBDO
CORP
US
N
2
2060-05-25
Variable
5.086000000000
N
N
N
N
N
N
BRAVO RESIDENTIAL FUNDING TRUST BRAVO_20-NQM1
N/A
BRAVO_20-NQM1
105699AF9
430000.000000000000
PA
USD
412483.430000000000
0.0685963609
Long
ABS-CBDO
CORP
US
N
2
2060-05-25
Variable
5.768300000000
N
N
N
N
N
N
BRAVO RESIDENTIAL FUNDING TRUST BRAVO_21-HE2
N/A
BRAVO_21-HE2
10569CAJ4
338000.000000000000
PA
USD
321205.520000000000
0.0534167634
Long
ABS-CBDO
CORP
US
N
2
2069-11-25
Variable
7.720600000000
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES TRUST CAS_22-R01
N/A
CAS_22-R01
20754LAJ8
3500000.000000000000
PA
USD
3555264.300000000000
0.5912436123
Long
ABS-CBDO
CORP
US
N
2
2041-12-25
Variable
11.328100000000
N
N
N
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
NATURAL GAS JAN 24
000000000
-608.000000000000
NC
USD
5847051.000000000000
0.9723697770
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
NATURAL GAS JAN 24
NATURAL GAS JAN 24
2023-12-27
-22883211.000000000000
USD
5847051.000000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
NATURAL GAS MAR 24
000000000
103.000000000000
NC
USD
-785333.390000000000
-0.1306016406
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
NATURAL GAS MAR 24
NATURAL GAS MAR 24
2024-02-27
3501443.390000000000
USD
-785333.390000000000
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES TRUST CAS_22-R07
N/A
CAS_22-R07
20754MAL1
550000.000000000000
PA
USD
657232.840000000000
0.1092984053
Long
ABS-CBDO
CORP
US
N
2
2042-06-25
Variable
17.328100000000
N
N
N
N
N
N
FANNIE MAE CONNECTICUT AVENUE SECURITIES CAS_23-R05
N/A
CAS_23-R05
207942AC7
390000.000000000000
PA
USD
408600.890000000000
0.0679506911
Long
ABS-CBDO
CORP
US
N
2
2043-06-25
Variable
10.078100000000
N
N
N
N
N
N
CONN FUNDING II LP CONN_23-A
N/A
CONN_23-A
20824CAA3
295695.200000000000
PA
USD
296238.420000000000
0.0492647125
Long
ABS-MBS
CORP
US
N
2
2028-01-17
Fixed
8.010000000000
N
N
N
N
N
N
CONSUMER LOAN UNDERLYING BOND CLUB_18-P1
N/A
CLUB_18-P1
21051U107
100000.000000000000
PA
USD
3000.000000000000
0.0004989027
Long
ABS-MBS
CORP
US
N
3
2025-07-15
Fixed
0.000000000000
N
N
N
N
N
N
CONSUMER LOAN UNDERLYING BOND CLUB_18-P2
N/A
CLUB_18-P2
21052N102
100000.000000000000
PA
USD
16000.000000000000
0.0026608142
Long
ABS-MBS
CORP
US
N
3
2025-10-15
Fixed
0.000000000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2
N/A
GNMA2 30YR TBA(REG C)
21H0426C8
20000000.000000000000
PA
USD
18913167.600000000000
3.1452765780
Long
ABS-MBS
USGA
US
N
2
2053-12-20
Fixed
4.500000000000
N
N
N
N
N
N
CREDIT SUISSE MORTGAGE CAPITAL CSMC_20-RPL2
N/A
CSMC_20-RPL2
22946BAP1
1291155.530000000000
PA
USD
1346017.120000000000
0.2238438431
Long
ABS-CBDO
CORP
US
N
2
2060-02-25
Variable
3.524800000000
N
N
N
N
N
N
EXETER AUTOMOBILE RECEIVABLES TRUST EART_21-2A
N/A
EART_21-2A
30165XAG0
900000.000000000000
PA
USD
830678.310000000000
0.1381425411
Long
ABS-MBS
CORP
US
N
2
2028-07-17
Fixed
2.900000000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE CORPORATION
S6XOOCT0IEG5ABCC6L87
FHLMC 30YR UMBS SUPER
3132DPQD3
2877368.580000000000
PA
USD
2524777.530000000000
0.4198727467
Long
ABS-MBS
USGA
US
N
2
2052-08-01
Fixed
3.500000000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE CORPORATION
S6XOOCT0IEG5ABCC6L87
FHLMC 30YR UMBS SUPER
3132E0KZ4
1979397.160000000000
PA
USD
1960437.860000000000
0.3260225582
Long
ABS-MBS
USGA
US
N
2
2053-09-01
Fixed
5.500000000000
N
N
N
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
NATURAL GAS MAY 24
000000000
103.000000000000
NC
USD
-473015.500000000000
-0.0786628980
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
NATURAL GAS MAY 24
NATURAL GAS MAY 24
2024-04-26
3210755.500000000000
USD
-473015.500000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
NATURAL GAS JUL 24
000000000
185.000000000000
NC
USD
-821785.400000000000
-0.1366636423
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
NATURAL GAS JUL 24
NATURAL GAS JUL 24
2024-06-26
6275585.400000000000
USD
-821785.400000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
NIKKEI 225 (OSE) DEC 23
000000000
15.000000000000
NC
24983.550000000000
0.0041547866
N/A
DE
CORP
US
N
1
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Long
NIKKEI 225 (OSE) DEC 23
NIKKEI 225 (OSE) DEC 23
2023-12-07
498668631.670000000000
JPY
24983.550000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
NASDAQ 100 E-MINI DEC 23
000000000
9.000000000000
NC
USD
15842.040000000000
0.0026345453
N/A
DE
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
NASDAQ 100 E-MINI DEC 23
NASDAQ 100 E-MINI DEC 23
2023-12-15
2861547.960000000000
USD
15842.040000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
EURO-OAT DEC 23
000000000
-140.000000000000
NC
-408289.210000000000
-0.0678988584
N/A
DIR
CORP
DE
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
EURO-OAT DEC 23
EURO-OAT DEC 23
2023-12-07
-17422948.960000000000
EUR
-408289.210000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
EURO-OAT DEC 23
000000000
-4.000000000000
NC
-6522.010000000000
-0.0010846161
N/A
DIR
CORP
DE
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Short
EURO-OAT DEC 23
EURO-OAT DEC 23
2023-12-07
-502503.320000000000
EUR
-6522.010000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
EURO-BOBL DEC 23
000000000
-30.000000000000
NC
-28798.900000000000
-0.0047892827
N/A
DIR
CORP
DE
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
EURO-BOBL DEC 23
EURO-BOBL DEC 23
2023-12-07
-3498907.910000000000
EUR
-28798.900000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
PALLADIUM MAR 24
000000000
-5.000000000000
NC
USD
25029.350000000000
0.0041624031
N/A
DCO
CORP
US
N
1
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Short
PALLADIUM MAR 24
PALLADIUM MAR 24
2024-03-26
-535229.350000000000
USD
25029.350000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
PLATINUM JAN 24
000000000
-16.000000000000
NC
USD
-2687.120000000000
-0.0004468704
N/A
DCO
CORP
US
N
1
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Short
PLATINUM JAN 24
PLATINUM JAN 24
2024-01-29
-746032.880000000000
USD
-2687.120000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
S&P/TSE 60 INDEX DEC 23
000000000
-76.000000000000
NC
-251851.400000000000
-0.0418831116
N/A
DE
CORP
CA
N
1
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Short
S&P/TSE 60 INDEX DEC 23
S&P/TSE 60 INDEX DEC 23
2023-12-14
-18198803.400000000000
CAD
-251851.400000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
S&P/TSE 60 INDEX DEC 23
000000000
-52.000000000000
NC
-112790.460000000000
-0.0187571537
N/A
DE
CORP
CA
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
S&P/TSE 60 INDEX DEC 23
S&P/TSE 60 INDEX DEC 23
2023-12-14
-12528858.990000000000
CAD
-112790.460000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
S&P/TSE 60 INDEX DEC 23
000000000
-65.000000000000
NC
-114383.870000000000
-0.0190221392
N/A
DE
CORP
CA
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Short
S&P/TSE 60 INDEX DEC 23
S&P/TSE 60 INDEX DEC 23
2023-12-14
-15702050.250000000000
CAD
-114383.870000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
COCOA FUTURE (LIFFE) MAR 24
000000000
11.000000000000
NC
23815.770000000000
0.0039605837
N/A
DCO
CORP
GB
N
1
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Long
COCOA FUTURE (LIFFE) MAR 24
COCOA FUTURE (LIFFE) MAR 24
2024-03-13
372160.530000000000
GBP
23815.770000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
OMXS30 INDEX DEC 23
000000000
220.000000000000
NC
137830.000000000000
0.0229212515
N/A
DE
CORP
SE
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Long
OMXS30 INDEX DEC 23
OMXS30 INDEX DEC 23
2023-12-15
47723203.090000000000
SEK
137830.000000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
OMXS30 INDEX DEC 23
000000000
-730.000000000000
NC
-443661.040000000000
-0.0737812252
N/A
DE
CORP
SE
N
1
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Short
OMXS30 INDEX DEC 23
OMXS30 INDEX DEC 23
2023-12-15
-158503105.580000000000
SEK
-443661.040000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
GAS OIL JAN 24
000000000
6.000000000000
NC
USD
-2894.570000000000
-0.0004813696
N/A
DCO
CORP
GB
N
1
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Long
GAS OIL JAN 24
GAS OIL JAN 24
2024-01-11
474794.570000000000
USD
-2894.570000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
GAS OIL JAN 24
000000000
-45.000000000000
NC
USD
99376.810000000000
0.0165264518
N/A
DCO
CORP
GB
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
GAS OIL JAN 24
GAS OIL JAN 24
2024-01-11
-3638626.810000000000
USD
99376.810000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
WHEAT JUL 24
000000000
77.000000000000
NC
USD
-25029.510000000000
-0.0041624298
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
WHEAT JUL 24
WHEAT JUL 24
2024-07-12
2430317.010000000000
USD
-25029.510000000000
N
N
N
Wells Fargo
VYVVCKR63DVZZN70PB21
US DOLLARS
000000000
-2700000.000000000000
OU
Notional Amount
N/A
-56267.460000000000
-0.0093573286
N/A
DFE
CORP
AU
N
2
Wells Fargo
VYVVCKR63DVZZN70PB21
2700000.000000000000000
AUD
1728316.439999999944121
USD
2023-12-13
-56267.460000000000
N
N
N
Wells Fargo
VYVVCKR63DVZZN70PB21
US DOLLARS
000000000
-3636000.000000000000
OU
Notional Amount
N/A
-29930.860000000000
-0.0049775286
N/A
DFE
CORP
CA
N
2
Wells Fargo
VYVVCKR63DVZZN70PB21
3636000.000000000000000
CAD
2650040.500000000000000
USD
2023-12-13
-29930.860000000000
N
N
N
Wells Fargo
VYVVCKR63DVZZN70PB21
US DOLLARS
000000000
-9500000.000000000000
OU
Notional Amount
N/A
60998.220000000000
0.0101440582
N/A
DFE
CORP
XX
N
2
Wells Fargo
VYVVCKR63DVZZN70PB21
9500000.000000000000000
EUR
10410253.900000000372529
USD
2023-12-21
60998.220000000000
N
N
N
Wells Fargo
VYVVCKR63DVZZN70PB21
US DOLLARS
000000000
-42284000.000000000000
OU
Notional Amount
N/A
30083.210000000000
0.0050028646
N/A
DFE
CORP
NO
N
2
Wells Fargo
VYVVCKR63DVZZN70PB21
42284000.000000000000000
NOK
3939163.359999999869615
USD
2023-12-13
30083.210000000000
N
N
N
Wells Fargo
VYVVCKR63DVZZN70PB21
US DOLLARS
000000000
-15998000.000000000000
OU
Notional Amount
N/A
-45793.190000000000
-0.0076154482
N/A
DFE
CORP
NO
N
2
Wells Fargo
VYVVCKR63DVZZN70PB21
15998000.000000000000000
NOK
1433193.290000000037253
USD
2023-12-13
-45793.190000000000
N
N
N
Wells Fargo
VYVVCKR63DVZZN70PB21
US DOLLARS
000000000
-3016000.000000000000
OU
Notional Amount
N/A
-90454.670000000000
-0.0150426920
N/A
DFE
CORP
NZ
N
2
Wells Fargo
VYVVCKR63DVZZN70PB21
3016000.000000000000000
NZD
1766888.610000000102445
USD
2023-12-13
-90454.670000000000
N
N
N
Wells Fargo
VYVVCKR63DVZZN70PB21
EURO COUNTRIES
000000000
1646000.000000000000
OU
Notional Amount
N/A
33570.830000000000
0.0055828589
N/A
DFE
CORP
XX
N
2
Wells Fargo
VYVVCKR63DVZZN70PB21
1758880.379999999888241
USD
1646000.000000000000000
EUR
2023-12-13
33570.830000000000
N
N
N
Wells Fargo
VYVVCKR63DVZZN70PB21
EURO COUNTRIES
000000000
35000.000000000000
OU
Notional Amount
N/A
-170.620000000000
-0.0000283743
N/A
DFE
CORP
XX
N
2
Wells Fargo
VYVVCKR63DVZZN70PB21
38284.709999999999127
USD
35000.000000000000000
EUR
2023-12-13
-170.620000000000
N
N
N
Wells Fargo
VYVVCKR63DVZZN70PB21
JAPANESE YEN
000000000
16050000.000000000000
OU
Notional Amount
N/A
381.950000000000
0.0000635186
N/A
DFE
CORP
JP
N
2
Wells Fargo
VYVVCKR63DVZZN70PB21
108039.889999999999418
USD
16050000.000000000000000
JPY
2023-12-13
381.950000000000
N
N
N
Wells Fargo
VYVVCKR63DVZZN70PB21
NORWAY KRONA
000000000
453760000.000000000000
OU
Notional Amount
N/A
1070020.940000000000
0.1779454331
N/A
DFE
CORP
NO
N
2
Wells Fargo
VYVVCKR63DVZZN70PB21
40879279.280000001192093
USD
453760000.000000000000000
NOK
2023-12-13
1070020.940000000000
N
N
N
Wells Fargo
VYVVCKR63DVZZN70PB21
SWEDISH KRONA
000000000
24582000.000000000000
OU
Notional Amount
N/A
77241.360000000000
0.0128453068
N/A
DFE
CORP
SE
N
2
Wells Fargo
VYVVCKR63DVZZN70PB21
2264203.899999999906868
USD
24582000.000000000000000
SEK
2023-12-13
77241.360000000000
N
N
N
Wells Fargo
VYVVCKR63DVZZN70PB21
SWEDISH KRONA
000000000
39971000.000000000000
OU
Notional Amount
N/A
-11042.670000000000
-0.0018364058
N/A
DFE
CORP
SE
N
2
Wells Fargo
VYVVCKR63DVZZN70PB21
3818296.290000000037253
USD
39971000.000000000000000
SEK
2023-12-13
-11042.670000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
US ULTRA T-BOND MAR 24
000000000
-45.000000000000
NC
USD
-62627.150000000000
-0.0104149507
N/A
DIR
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
US ULTRA T-BOND MAR 24
US ULTRA T-BOND MAR 24
2024-03-19
-5472372.850000000000
USD
-62627.150000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
US ULTRA T-BOND MAR 24
000000000
-81.000000000000
NC
USD
-50227.370000000000
-0.0083528563
N/A
DIR
CORP
US
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Short
US ULTRA T-BOND MAR 24
US ULTRA T-BOND MAR 24
2024-03-19
-9912772.630000000000
USD
-50227.370000000000
N
N
N
UBS
T6FIZBDPKLYJKFCRVK44
US DOLLARS
000000000
-36824000.000000000000
OU
Notional Amount
N/A
-1122623.210000000000
-0.1866932374
N/A
DFE
CORP
CH
N
2
UBS
T6FIZBDPKLYJKFCRVK44
36824000.000000000000000
CHF
40974285.359999999403954
USD
2023-12-13
-1122623.210000000000
N
N
N
UBS
T6FIZBDPKLYJKFCRVK44
US DOLLARS
000000000
-66936000.000000000000
OU
Notional Amount
N/A
-1262078.280000000000
-0.2098847394
N/A
DFE
CORP
NZ
N
2
UBS
T6FIZBDPKLYJKFCRVK44
66936000.000000000000000
NZD
39959118.600000001490116
USD
2023-12-13
-1262078.280000000000
N
N
N
FEDERAL HOME LOAN MORTGAGE CORPORATION
S6XOOCT0IEG5ABCC6L87
FHLMC 30YR UMBS
3133KPYY8
4709202.330000000000
PA
USD
4412502.570000000000
0.7338030983
Long
ABS-MBS
USGA
US
N
2
2052-09-01
Fixed
4.500000000000
N
N
N
N
N
N
FANNIE MAE FNMA_13-101
N/A
FNMA_13-101
3136AGZK1
675970.270000000000
PA
USD
75937.080000000000
0.0126284039
Long
ABS-CBDO
USGA
US
N
2
2043-10-25
Variable
1.057400000000
N
N
N
N
N
N
FANNIE MAE FNMA_16-53
N/A
FNMA_16-53
3136AS4Y9
13218986.440000000000
PA
USD
1306042.470000000000
0.2171960233
Long
ABS-CBDO
USGA
US
N
2
2046-08-25
Variable
0.557400000000
N
N
N
N
N
N
FANNIE MAE FNMA_17-81
N/A
FNMA_17-81
3136AX4E2
1959156.200000000000
PA
USD
199105.520000000000
0.0331114249
Long
ABS-CBDO
USGA
US
N
2
2047-10-25
Variable
0.757400000000
N
N
N
N
N
N
FANNIE MAE FNMA_20-22
N/A
FNMA_20-22
3136B9HD2
3108860.760000000000
PA
USD
336818.640000000000
0.0560132391
Long
ABS-CBDO
USGA
US
N
2
2050-04-25
Variable
0.657400000000
N
N
N
N
N
N
FANNIE MAE FNMA_20-38
N/A
FNMA_20-38
3136BACZ5
2913376.300000000000
PA
USD
190500.720000000000
0.0316804390
Long
ABS-CBDO
USGA
US
N
2
2050-06-25
Variable
0.000000000000
N
N
N
N
N
N
FEDERAL NATIONAL MORTGAGE ASSOCIATION FNMA_20-34
N/A
FNMA_20-34
3136BAHY3
3080184.520000000000
PA
USD
347485.160000000000
0.0577870909
Long
ABS-CBDO
USGA
US
N
2
2050-06-25
Variable
0.607400000000
N
N
N
N
N
N
FANNIE MAE FNMA_20-54
N/A
FNMA_20-54
3136BBGH9
2020562.280000000000
PA
USD
244410.650000000000
0.0406457083
Long
ABS-CBDO
USGA
US
N
2
2050-08-25
Variable
0.707400000000
N
N
N
N
N
N
UBS
T6FIZBDPKLYJKFCRVK44
SWISS FRANC
000000000
1568000.000000000000
OU
Notional Amount
N/A
53402.610000000000
0.0088809015
N/A
DFE
CORP
CH
N
2
UBS
T6FIZBDPKLYJKFCRVK44
1739122.719999999972060
USD
1568000.000000000000000
CHF
2023-12-13
53402.610000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
EURO BUXL 30YR BOND DEC 23
000000000
4.000000000000
NC
16583.960000000000
0.0027579273
N/A
DIR
CORP
DE
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
EURO BUXL 30YR BOND DEC 23
EURO BUXL 30YR BOND DEC 23
2023-12-07
505262.740000000000
EUR
16583.960000000000
N
N
N
FREDDIE MAC FHLMC_4606
N/A
FHLMC_4606
3137BR5P6
3431175.190000000000
PA
USD
317725.450000000000
0.0528380247
Long
ABS-CBDO
USGA
US
N
2
2044-12-15
Variable
0.561500000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_4987
N/A
FHLMC_4987
3137FTRP4
1245960.310000000000
PA
USD
155257.370000000000
0.0258194386
Long
ABS-CBDO
USGA
US
N
2
2050-06-25
Variable
0.637400000000
N
N
N
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
US LONG BOND MAR 24
000000000
26.000000000000
NC
USD
20289.390000000000
0.0033741436
N/A
DIR
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
US LONG BOND MAR 24
US LONG BOND MAR 24
2024-03-19
3007085.610000000000
USD
20289.390000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
US LONG BOND MAR 24
000000000
-17.000000000000
NC
USD
13252.350000000000
0.0022038776
N/A
DIR
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
US LONG BOND MAR 24
US LONG BOND MAR 24
2024-03-19
-1992689.850000000000
USD
13252.350000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
US LONG BOND MAR 24
000000000
-141.000000000000
NC
USD
-113175.200000000000
-0.0188211363
N/A
DIR
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
US LONG BOND MAR 24
US LONG BOND MAR 24
2024-03-19
-16304512.300000000000
USD
-113175.200000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
EURO STOXX 50 DEC 23
000000000
114.000000000000
NC
195132.880000000000
0.0324507713
N/A
DE
CORP
DE
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
EURO STOXX 50 DEC 23
EURO STOXX 50 DEC 23
2023-12-15
4827228.180000000000
EUR
195132.880000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
EURO STOXX 50 DEC 23
000000000
10.000000000000
NC
7297.580000000000
0.0012135940
N/A
DE
CORP
DE
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Long
EURO STOXX 50 DEC 23
EURO STOXX 50 DEC 23
2023-12-15
432426.080000000000
EUR
7297.580000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
WHEAT MAR 24
000000000
-83.000000000000
NC
USD
-27933.640000000000
-0.0046453892
N/A
DCO
CORP
US
N
1
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Short
WHEAT MAR 24
WHEAT MAR 24
2024-03-14
-2453766.360000000000
USD
-27933.640000000000
N
N
N
FREDDIE MAC FHLMC_4993
N/A
FHLMC_4993
3137FU6V1
1833097.110000000000
PA
USD
233035.220000000000
0.0387539642
Long
ABS-CBDO
USGA
US
N
2
2050-07-25
Variable
0.607400000000
N
N
N
N
N
N
STACR_19-CS02
N/A
STACR_19-CS02
3137G0VX4
4114049.170000000000
PA
USD
4044624.590000000000
0.6726246633
Long
ABS-CBDO
CORP
US
N
3
2032-02-25
Variable
4.505900000000
N
N
N
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
WHEAT MAR 24
000000000
-184.000000000000
NC
USD
62363.540000000000
0.0103711121
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
WHEAT MAR 24
WHEAT MAR 24
2024-03-14
-5563963.540000000000
USD
62363.540000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
WHEAT MAR 24
000000000
-178.000000000000
NC
USD
-243041.200000000000
-0.0404179675
N/A
DCO
CORP
US
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Short
WHEAT MAR 24
WHEAT MAR 24
2024-03-14
-5079158.800000000000
USD
-243041.200000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
WHEAT MAY 24
000000000
39.000000000000
NC
USD
-24323.740000000000
-0.0040450596
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
WHEAT MAY 24
WHEAT MAY 24
2024-05-14
1219186.240000000000
USD
-24323.740000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
AUST 10YR BOND DEC 23
000000000
386.000000000000
NC
-531044.140000000000
-0.0883131124
N/A
DIR
CORP
AU
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Long
AUST 10YR BOND DEC 23
AUST 10YR BOND DEC 23
2023-12-15
44366071.860000000000
AUD
-531044.140000000000
N
N
N
MARLETTE FUNDING TRUST MFT_21-1A
N/A
MFT_21-1A
57110NAD8
100000.000000000000
PA
USD
95805.620000000000
0.0159325597
Long
ABS-MBS
CORP
US
N
2
2031-06-16
Fixed
2.470000000000
N
N
N
N
N
N
MORGAN STANLEY CAPITAL I TRUST MSC_19-MEAD
N/A
MSC_19-MEAD
61771LAL6
600000.000000000000
PA
USD
470997.000000000000
0.0783272196
Long
ABS-MBS
CORP
US
N
2
2036-11-10
Variable
3.283000000000
N
N
N
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
SPI 200 DEC 23
000000000
-361.000000000000
NC
244674.390000000000
0.0406895685
N/A
DE
CORP
AU
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
SPI 200 DEC 23
SPI 200 DEC 23
2023-12-21
-64473686.140000000000
AUD
244674.390000000000
N
N
N
ENVA_23-A
N/A
ENVA_23-A
64110XAA8
646343.530000000000
PA
USD
643111.810000000000
0.1069500655
Long
ABS-MBS
CORP
US
N
3
2027-12-20
Fixed
7.780000000000
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST NRZT_19-RPL3
N/A
NRZT_19-RPL3
64830NAK7
750000.000000000000
PA
USD
459810.080000000000
0.0764668249
Long
ABS-CBDO
CORP
US
N
2
2059-07-25
Variable
4.011800000000
N
N
N
N
N
N
NEW RESIDENTIAL MORTGAGE LOAN TRUST NRZT_22-NQM2
N/A
NRZT_22-NQM2
64831MAB8
2570000.000000000000
PA
USD
1857139.050000000000
0.3088438743
Long
ABS-CBDO
CORP
US
N
2
2062-03-27
Variable
3.699000000000
N
N
N
N
N
N
OAKTOWN RE LTD OMIR_21-1A
N/A
OMIR_21-1A
67401FAE0
500000.000000000000
PA
USD
511526.300000000000
0.0850672782
Long
ABS-CBDO
CORP
US
N
2
2033-10-25
Variable
9.278100000000
N
N
N
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-378704166.000000000000
OU
Notional Amount
N/A
185287.700000000000
0.0308135092
N/A
DFE
CORP
MX
N
2
Citi
MBNUM2BPBDO7JBLYG310
378704166.000000000000000
MXN
21932071.460000000894070
USD
2023-12-20
185287.700000000000
N
N
N
OAKTOWN RE LTD OMIR_20-2A
N/A
OMIR_20-2A
67401JAC6
586540.620000000000
PA
USD
604727.190000000000
0.1005666691
Long
ABS-CBDO
CORP
US
N
2
2030-10-25
Variable
10.692600000000
N
N
N
N
N
N
OCTAGON INVESTMENT PARTNERS 48 OCT47_20-1A
N/A
OCT47_20-1A
67576YAE8
750000.000000000000
PA
USD
679494.750000000000
0.1130005807
Long
ABS-MBS
CORP
KY
N
2
2034-07-20
Variable
11.927400000000
N
N
N
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-355223834.000000000000
OU
Notional Amount
N/A
-580708.180000000000
-0.0965722863
N/A
DFE
CORP
MX
N
2
Citi
MBNUM2BPBDO7JBLYG310
355223834.000000000000000
MXN
19817736.309999998658895
USD
2023-12-20
-580708.180000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-104434833.000000000000
OU
Notional Amount
N/A
107070.140000000000
0.0178058594
N/A
DFE
CORP
NO
N
2
Citi
MBNUM2BPBDO7JBLYG310
104434833.000000000000000
NOK
9764023.370000001043081
USD
2023-12-20
107070.140000000000
N
N
N
OPORTUN FUNDING LLC OPTN_22-3
N/A
OPTN_22-3
68378PAA3
248342.400000000000
PA
USD
248355.390000000000
0.0413017220
Long
ABS-MBS
CORP
US
N
2
2030-01-08
Fixed
7.451000000000
N
N
N
N
N
N
PMT CREDIT RISK TRANSFER TRUST PMTCR_19-2R
N/A
PMTCR_19-2R
69345WAA6
638933.600000000000
PA
USD
637851.890000000000
0.1060753361
Long
ABS-CBDO
CORP
US
N
2
2025-05-30
Variable
9.216000000000
N
N
N
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-271997540.000000000000
OU
Notional Amount
N/A
-473777.520000000000
-0.0787896226
N/A
DFE
CORP
NO
N
2
Citi
MBNUM2BPBDO7JBLYG310
271997540.000000000000000
NOK
24677481.410000007599592
USD
2023-12-20
-473777.520000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-17529320.000000000000
OU
Notional Amount
N/A
22094.520000000000
0.0036743383
N/A
DFE
CORP
NO
N
2
Citi
MBNUM2BPBDO7JBLYG310
17529320.000000000000000
NOK
1647037.189999999944121
USD
2024-03-20
22094.520000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-169746672.000000000000
OU
Notional Amount
N/A
-3910264.430000000000
-0.6502804493
N/A
DFE
CORP
NZ
N
2
Citi
MBNUM2BPBDO7JBLYG310
169746672.000000000000000
NZD
100628789.259999990463257
USD
2023-12-20
-3910264.430000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-30389667.000000000000
OU
Notional Amount
N/A
117800.180000000000
0.0195902746
N/A
DFE
CORP
NZ
N
2
Citi
MBNUM2BPBDO7JBLYG310
30389667.000000000000000
NZD
18836004.929999999701977
USD
2024-03-20
117800.180000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-4047383205.000000000000
OU
Notional Amount
N/A
-547466.490000000000
-0.0910441638
N/A
DFE
CORP
HU
N
2
Citi
MBNUM2BPBDO7JBLYG310
4047383205.000000000000000
HUF
11023698.539999999105930
USD
2023-12-20
-547466.490000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-492639401.000000000000
OU
Notional Amount
N/A
25102.610000000000
0.0041745863
N/A
DFE
CORP
HU
N
2
Citi
MBNUM2BPBDO7JBLYG310
492639401.000000000000000
HUF
1419655.389999999897555
USD
2024-03-20
25102.610000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-30389666.000000000000
OU
Notional Amount
N/A
-170452.030000000000
-0.0283463241
N/A
DFE
CORP
NZ
N
2
Citi
MBNUM2BPBDO7JBLYG310
30389666.000000000000000
NZD
18547752.100000001490116
USD
2024-03-20
-170452.030000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-205000000.000000000000
OU
Notional Amount
N/A
9543.740000000000
0.0015871324
N/A
DFE
CORP
PH
N
2
Citi
MBNUM2BPBDO7JBLYG310
205000000.000000000000000
PHP
3703672.239999999757856
USD
2023-12-20
9543.740000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-624448000.000000000000
OU
Notional Amount
N/A
-182451.110000000000
-0.0303417817
N/A
DFE
CORP
PH
N
2
Citi
MBNUM2BPBDO7JBLYG310
624448000.000000000000000
PHP
11070188.650000000372529
USD
2023-12-20
-182451.110000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-256668000.000000000000
OU
Notional Amount
N/A
13473.480000000000
0.0022406517
N/A
DFE
CORP
PH
N
2
Citi
MBNUM2BPBDO7JBLYG310
256668000.000000000000000
PHP
4638539.980000000447035
USD
2024-03-20
13473.480000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-20681319.000000000000
OU
Notional Amount
N/A
85682.570000000000
0.0142490875
N/A
DFE
CORP
PL
N
2
Citi
MBNUM2BPBDO7JBLYG310
20681319.000000000000000
PLN
5251676.309999999590218
USD
2023-12-20
85682.570000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-85596000.000000000000
OU
Notional Amount
N/A
-1286543.110000000000
-0.2139532624
N/A
DFE
CORP
PL
N
2
Citi
MBNUM2BPBDO7JBLYG310
85596000.000000000000000
PLN
20094511.019999999552965
USD
2023-12-20
-1286543.110000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-283134000.000000000000
OU
Notional Amount
N/A
-1222637.270000000000
-0.2033256644
N/A
DFE
CORP
SE
N
2
Citi
MBNUM2BPBDO7JBLYG310
283134000.000000000000000
SEK
25756484.679999995976686
USD
2023-12-20
-1222637.270000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-3924000.000000000000
OU
Notional Amount
N/A
7353.270000000000
0.0012228553
N/A
DFE
CORP
SG
N
2
Citi
MBNUM2BPBDO7JBLYG310
3924000.000000000000000
SGD
2943065.500000000000000
USD
2023-12-20
7353.270000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-64867000.000000000000
OU
Notional Amount
N/A
-646984.000000000000
-0.1075940141
N/A
DFE
CORP
SG
N
2
Citi
MBNUM2BPBDO7JBLYG310
64867000.000000000000000
SGD
47882793.120000004768372
USD
2023-12-20
-646984.000000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-19591270.000000000000
OU
Notional Amount
N/A
55201.300000000000
0.0091800252
N/A
DFE
CORP
SG
N
2
Citi
MBNUM2BPBDO7JBLYG310
19591270.000000000000000
SGD
14774164.629999998956919
USD
2024-03-20
55201.300000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-141197530864.000000000000
OU
Notional Amount
N/A
78162.700000000000
0.0129985265
N/A
DFE
CORP
ID
N
2
Citi
MBNUM2BPBDO7JBLYG310
141197530864.000000000000000
IDR
9165212.200000001117587
USD
2023-12-20
78162.700000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-86000000000.000000000000
OU
Notional Amount
N/A
-57437.200000000000
-0.0095518574
N/A
DFE
CORP
ID
N
2
Citi
MBNUM2BPBDO7JBLYG310
86000000000.000000000000000
IDR
5477264.799999999813735
USD
2023-12-20
-57437.200000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-26051622010.000000000000
OU
Notional Amount
N/A
13792.560000000000
0.0022937150
N/A
DFE
CORP
ID
N
2
Citi
MBNUM2BPBDO7JBLYG310
26051622010.000000000000000
IDR
1687062.189999999944121
USD
2024-03-20
13792.560000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-149492000.000000000000
OU
Notional Amount
N/A
-1585441.920000000000
-0.2636604001
N/A
DFE
CORP
IL
N
2
Citi
MBNUM2BPBDO7JBLYG310
149492000.000000000000000
ILS
38510019.380000002682209
USD
2023-12-20
-1585441.920000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-74764235.000000000000
OU
Notional Amount
N/A
7171.680000000000
0.0011926568
N/A
DFE
CORP
TW
N
2
Citi
MBNUM2BPBDO7JBLYG310
74764235.000000000000000
TWD
2402008.890000000130385
USD
2023-12-20
7171.680000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-654784890.000000000000
OU
Notional Amount
N/A
-349387.530000000000
-0.0581034567
N/A
DFE
CORP
TW
N
2
Citi
MBNUM2BPBDO7JBLYG310
654784890.000000000000000
TWD
20624587.759999997913837
USD
2023-12-20
-349387.530000000000
N
N
N
PNMAC GMSR ISSUER TRUST PNMSR_18-GT1
N/A
PNMSR_18-GT1
69354WAC0
2150000.000000000000
PA
USD
2150020.860000000000
0.3575503795
Long
ABS-CBDO
CORP
US
N
2
2025-02-25
Variable
8.307400000000
N
N
N
N
N
N
PNMAC GMSR ISSUER TRUST PNMSR_18-GT2
N/A
PNMSR_18-GT2
69354WAD8
2000000.000000000000
PA
USD
2000600.000000000000
0.3327015577
Long
ABS-CBDO
CORP
US
N
2
2025-08-25
Variable
8.107400000000
N
N
N
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-3800000.000000000000
OU
Notional Amount
N/A
-290.070000000000
-0.0000482389
N/A
DFE
CORP
TW
N
2
Citi
MBNUM2BPBDO7JBLYG310
3800000.000000000000000
TWD
122848.889999999999418
USD
2024-03-20
-290.070000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
AUSTRALIA DOLLAR
000000000
101228334.000000000000
OU
Notional Amount
N/A
1675007.580000000000
0.2785552490
N/A
DFE
CORP
AU
N
2
Citi
MBNUM2BPBDO7JBLYG310
65248866.119999989867210
USD
101228334.000000000000000
AUD
2023-12-20
1675007.580000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
AUSTRALIA DOLLAR
000000000
22221000.000000000000
OU
Notional Amount
N/A
-65381.810000000000
-0.0108730531
N/A
DFE
CORP
AU
N
2
Citi
MBNUM2BPBDO7JBLYG310
14756084.879999998956919
USD
22221000.000000000000000
AUD
2023-12-20
-65381.810000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
AUSTRALIA DOLLAR
000000000
2341024.000000000000
OU
Notional Amount
N/A
-9210.890000000000
-0.0015317792
N/A
DFE
CORP
AU
N
2
Citi
MBNUM2BPBDO7JBLYG310
1560784.370000000111759
USD
2341024.000000000000000
AUD
2024-03-20
-9210.890000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-530585461.000000000000
OU
Notional Amount
N/A
16292.830000000000
0.0027095121
N/A
DFE
CORP
IN
N
2
Citi
MBNUM2BPBDO7JBLYG310
530585461.000000000000000
INR
6377434.679999999701977
USD
2023-12-20
16292.830000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-839534460.000000000000
OU
Notional Amount
N/A
-10308.310000000000
-0.0017142811
N/A
DFE
CORP
IN
N
2
Citi
MBNUM2BPBDO7JBLYG310
839534460.000000000000000
INR
10054795.610000001266599
USD
2023-12-20
-10308.310000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
TAIWAN NEW DOLLAR
000000000
17000000.000000000000
OU
Notional Amount
N/A
-91.310000000000
-0.0000151849
N/A
DFE
CORP
TW
N
2
Citi
MBNUM2BPBDO7JBLYG310
544632.859999999986030
USD
17000000.000000000000000
TWD
2023-12-20
-91.310000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
TAIWAN NEW DOLLAR
000000000
85784890.000000000000
OU
Notional Amount
N/A
6105.880000000000
0.0010154133
N/A
DFE
CORP
TW
N
2
Citi
MBNUM2BPBDO7JBLYG310
2773752.619999999646097
USD
85784890.000000000000000
TWD
2024-03-20
6105.880000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
TAIWAN NEW DOLLAR
000000000
74764235.000000000000
OU
Notional Amount
N/A
-14162.970000000000
-0.0023553145
N/A
DFE
CORP
TW
N
2
Citi
MBNUM2BPBDO7JBLYG310
2436897.259999999776483
USD
74764235.000000000000000
TWD
2024-03-20
-14162.970000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
SOUTH AFRICA COMM. RD
000000000
335112500.000000000000
OU
Notional Amount
N/A
343144.890000000000
0.0570653001
N/A
DFE
CORP
ZA
N
2
Citi
MBNUM2BPBDO7JBLYG310
17407697.210000000894070
USD
335112500.000000000000000
ZAR
2023-12-20
343144.890000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
SOUTH AFRICA COMM. RD
000000000
270081500.000000000000
OU
Notional Amount
N/A
-135401.100000000000
-0.0225173232
N/A
DFE
CORP
ZA
N
2
Citi
MBNUM2BPBDO7JBLYG310
14441564.139999996870756
USD
270081500.000000000000000
ZAR
2023-12-20
-135401.100000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
SOUTH AFRICA COMM. RD
000000000
25612500.000000000000
OU
Notional Amount
N/A
-23088.130000000000
-0.0038395765
N/A
DFE
CORP
ZA
N
2
Citi
MBNUM2BPBDO7JBLYG310
1369297.909999999916181
USD
25612500.000000000000000
ZAR
2024-03-20
-23088.130000000000
N
N
N
PRESTON RIDGE PARTNERS MORTGAGE PRPM_21-1
N/A
PRPM_21-1
693577AA6
587247.170000000000
PA
USD
566081.960000000000
0.0941399330
Long
ABS-CBDO
CORP
US
N
2
2026-01-25
Variable
2.115000000000
N
N
N
N
N
N
PRESTON RIDGE PARTNERS MORTGAGE PRPM_21-1
N/A
PRPM_21-1
693577AB4
3250000.000000000000
PA
USD
3010490.280000000000
0.5006472087
Long
ABS-CBDO
CORP
US
N
2
2026-01-25
Variable
3.720000000000
N
N
N
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-302146416.000000000000
OU
Notional Amount
N/A
236914.930000000000
0.0393991634
N/A
DFE
CORP
ZA
N
2
Citi
MBNUM2BPBDO7JBLYG310
302146416.000000000000000
ZAR
16241550.149999998509884
USD
2023-12-20
236914.930000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-343935084.000000000000
OU
Notional Amount
N/A
-259499.710000000000
-0.0431550324
N/A
DFE
CORP
ZA
N
2
Citi
MBNUM2BPBDO7JBLYG310
343935084.000000000000000
ZAR
17958672.910000000149012
USD
2023-12-20
-259499.710000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-11005839512.000000000000
OU
Notional Amount
N/A
1822981.730000000000
0.3031634816
N/A
DFE
CORP
JP
N
2
Citi
MBNUM2BPBDO7JBLYG310
11005839512.000000000000000
JPY
76258809.100000008940697
USD
2023-12-20
1822981.730000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-5721502400.000000000000
OU
Notional Amount
N/A
-370218.320000000000
-0.0615676356
N/A
DFE
CORP
JP
N
2
Citi
MBNUM2BPBDO7JBLYG310
5721502400.000000000000000
JPY
38326036.030000001192093
USD
2023-12-20
-370218.320000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-2030000000.000000000000
OU
Notional Amount
N/A
97068.680000000000
0.0161426077
N/A
DFE
CORP
JP
N
2
Citi
MBNUM2BPBDO7JBLYG310
2030000000.000000000000000
JPY
14029076.419999999925494
USD
2024-03-21
97068.680000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-2050000000.000000000000
OU
Notional Amount
N/A
3397.450000000000
0.0005649990
N/A
DFE
CORP
KW
N
2
Citi
MBNUM2BPBDO7JBLYG310
2050000000.000000000000000
KRW
1587040.899999999906868
USD
2023-12-20
3397.450000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-105500000.000000000000
OU
Notional Amount
N/A
69346.570000000000
0.0115323962
N/A
DFE
CORP
ZA
N
2
Citi
MBNUM2BPBDO7JBLYG310
105500000.000000000000000
ZAR
5614495.669999999925494
USD
2024-03-20
69346.570000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
DJIA MINI e-CBOT DEC 23
000000000
-2.000000000000
NC
USD
-12722.970000000000
-0.0021158412
N/A
DE
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
DJIA MINI e-CBOT DEC 23
DJIA MINI e-CBOT DEC 23
2023-12-15
-347377.030000000000
USD
-12722.970000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-44516787000.000000000000
OU
Notional Amount
N/A
-940176.470000000000
-0.1563521824
N/A
DFE
CORP
KW
N
2
Citi
MBNUM2BPBDO7JBLYG310
44516787000.000000000000000
KRW
33449442.130000002682209
USD
2023-12-20
-940176.470000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-1289866500.000000000000
OU
Notional Amount
N/A
6410.080000000000
0.0010660020
N/A
DFE
CORP
KW
N
2
Citi
MBNUM2BPBDO7JBLYG310
1289866500.000000000000000
KRW
1004383.660000000032596
USD
2024-03-20
6410.080000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
EURO-SCHATZ DEC 23
000000000
-212.000000000000
NC
-76701.260000000000
-0.0127554877
N/A
DIR
CORP
DE
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
EURO-SCHATZ DEC 23
EURO-SCHATZ DEC 23
2023-12-07
-22271778.650000000000
EUR
-76701.260000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
S&P500 EMINI DEC 23
000000000
54.000000000000
NC
USD
694578.040000000000
0.1155089452
N/A
DE
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
S&P500 EMINI DEC 23
S&P500 EMINI DEC 23
2023-12-15
11662646.960000000000
USD
694578.040000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
S&P500 EMINI DEC 23
000000000
40.000000000000
NC
USD
226594.850000000000
0.0376829249
N/A
DE
CORP
US
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Long
S&P500 EMINI DEC 23
S&P500 EMINI DEC 23
2023-12-15
8926905.150000000000
USD
226594.850000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
S&P500 EMINI DEC 23
000000000
-104.000000000000
NC
USD
-1449902.850000000000
-0.2411201323
N/A
DE
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
S&P500 EMINI DEC 23
S&P500 EMINI DEC 23
2023-12-15
-22349197.150000000000
USD
-1449902.850000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
CATTLE FEEDER JAN 24
000000000
11.000000000000
NC
USD
-68179.900000000000
-0.0113383780
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
CATTLE FEEDER JAN 24
CATTLE FEEDER JAN 24
2024-01-25
1277904.900000000000
USD
-68179.900000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
US 5YR NOTE MAR 24
000000000
757.000000000000
NC
USD
425247.620000000000
0.0707190571
N/A
DIR
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
US 5YR NOTE MAR 24
US 5YR NOTE MAR 24
2024-03-28
80461385.570000000000
USD
425247.620000000000
N
N
N
PRESTON RIDGE PARTNERS MORTGAGE PRPM_21-3
N/A
PRPM_21-3
69357PAA6
512448.080000000000
PA
USD
488213.540000000000
0.0811903455
Long
ABS-CBDO
CORP
US
N
2
2026-04-25
Variable
1.867000000000
N
N
N
N
N
N
PRKCM_21-AFC1 TRUST
N/A
PRKCM_21-AFC1
69357TAD2
2000000.000000000000
PA
USD
1140289.200000000000
0.1896311072
Long
ABS-CBDO
CORP
US
N
2
2056-08-25
Variable
3.114000000000
N
N
N
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
LONG GILT MAR 24
000000000
76.000000000000
NC
-76696.330000000000
-0.0127546678
N/A
DIR
CORP
GB
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Long
LONG GILT MAR 24
LONG GILT MAR 24
2024-03-26
7410072.200000000000
GBP
-76696.330000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
LONG GILT MAR 24
000000000
-138.000000000000
NC
109672.370000000000
0.0182386126
N/A
DIR
CORP
GB
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
LONG GILT MAR 24
LONG GILT MAR 24
2024-03-26
-13430009.580000000000
GBP
109672.370000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
LONG GILT MAR 24
000000000
-96.000000000000
NC
-88108.420000000000
-0.0146525085
N/A
DIR
CORP
GB
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
LONG GILT MAR 24
LONG GILT MAR 24
2024-03-26
-9212334.850000000000
GBP
-88108.420000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
GOLD 100 OZ FEB 24
000000000
27.000000000000
NC
USD
128994.420000000000
0.0214518867
N/A
DCO
CORP
US
N
1
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Long
GOLD 100 OZ FEB 24
GOLD 100 OZ FEB 24
2024-02-27
5425445.580000000000
USD
128994.420000000000
N
N
N
PRPM_21-4
N/A
PRPM_21-4
693583AB2
400000.000000000000
PA
USD
358131.720000000000
0.0595576233
Long
ABS-CBDO
CORP
US
N
2
2026-04-25
Variable
3.474000000000
N
N
N
N
N
N
PRESTON RIDGE PARTNERS MORTGAGE PRPM_20-6
N/A
PRPM_20-6
693587AB3
200783.830000000000
PA
USD
190828.020000000000
0.0317348693
Long
ABS-CBDO
CORP
US
N
2
2025-11-25
Variable
4.703000000000
N
N
N
N
N
N
PRPM LLC PRPM_21-5
N/A
PRPM_21-5
69358DAB0
700000.000000000000
PA
USD
635750.150000000000
0.1057258149
Long
ABS-CBDO
CORP
US
N
2
2026-06-25
Variable
3.721000000000
N
N
N
N
N
N
PRESTON RIDGE PARTNERS MORTGAGE PRPM_21-2
N/A
PRPM_21-2
69359UAB1
1000000.000000000000
PA
USD
934001.800000000000
0.1553253293
Long
ABS-CBDO
CORP
US
N
2
2026-03-25
Variable
3.770000000000
N
N
N
N
N
N
PRESTON RIDGE PARTNERS MORTGAGE PRPM_21-10
N/A
PRPM_21-10
69360HAA9
787498.940000000000
PA
USD
739807.140000000000
0.1230305848
Long
ABS-CBDO
CORP
US
N
2
2026-10-25
Variable
2.487000000000
N
N
N
N
N
N
PRESTON RIDGE PARTNERS MORTGAGE TRUST PRPM_21-7
N/A
PRPM_21-7
69360LAA0
1064500.630000000000
PA
USD
995761.460000000000
0.1655960156
Long
ABS-CBDO
CORP
US
N
2
2026-08-25
Variable
1.867000000000
N
N
N
N
N
N
ACHV ABS TRUST ACHV_23-1PL
N/A
ACHV_23-1PL
00091XAC1
200000.000000000000
PA
USD
201074.880000000000
0.0334389312
Long
ABS-MBS
CORP
US
N
2
2030-03-18
Fixed
7.420000000000
N
N
N
N
N
N
AJAX MORTGAGE LOAN TRUST AJAXM_21-C
N/A
AJAXM_21-C
009733AA4
256949.650000000000
PA
USD
242139.610000000000
0.0402680323
Long
ABS-CBDO
CORP
US
N
2
2061-01-25
Variable
2.115000000000
N
N
N
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: EUR 3.550000 20-DEC-2025
000000000
194600000.000000000000
OU
Notional Amount
-1113673.750000000000
-0.1852049342
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
Euribor 6 Month ACT/360
EURIBOR65
Y
2025-12-20
59471.180000000000
USD
0.000000000000
USD
194600000.000000000000
EUR
-1173144.930000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: EUR 3.130000 20-DEC-2033
000000000
43500000.000000000000
OU
Notional Amount
762377.850000000000
0.1267841139
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
Euribor 6 Month ACT/360
EURIBOR65
Y
2033-12-20
164200.280000000000
USD
0.000000000000
USD
43500000.000000000000
EUR
598177.570000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
COPPER MAR 24
000000000
-7.000000000000
NC
USD
-11796.360000000000
-0.0019617452
N/A
DCO
CORP
US
N
1
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Short
COPPER MAR 24
COPPER MAR 24
2024-03-26
-662041.140000000000
USD
-11796.360000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
COPPER MAR 24
000000000
-153.000000000000
NC
USD
-502891.650000000000
-0.0836313283
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
COPPER MAR 24
COPPER MAR 24
2024-03-26
-14225270.850000000000
USD
-502891.650000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
COPPER MAY 24
000000000
28.000000000000
NC
USD
41783.100000000000
0.0069485667
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
COPPER MAY 24
COPPER MAY 24
2024-05-29
2669666.900000000000
USD
41783.100000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
COFFEE MAR 24
000000000
29.000000000000
NC
USD
136489.450000000000
0.0226983168
N/A
DCO
CORP
US
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Long
COFFEE MAR 24
COFFEE MAR 24
2024-03-18
1872123.050000000000
USD
136489.450000000000
N
N
N
UMBS
N/A
UMBS 30YR TBA(REG A)
01F0306C7
34000000.000000000000
PA
USD
28653422.480000000000
4.7650896197
Long
ABS-MBS
USGA
US
N
2
2053-12-13
Fixed
3.0000
N
N
N
N
N
N
UMBS
N/A
UMBS 30YR TBA(REG A)
01F0326C3
30595420.000000000000
PA
USD
26825248.280000000000
4.4610626257
Long
ABS-MBS
USGA
US
N
2
2053-12-13
Fixed
3.5000
N
N
N
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
OTC (GENERIC) 0 YEAR
000000000
40000000.000000000000
OU
Notional Amount
USD
4.000000000000
0.0000006652
N/A
DIR
CORP
US
N
2
Citi
MBNUM2BPBDO7JBLYG310
Call
Purchased
Citi
MBNUM2BPBDO7JBLYG310
CITIBANK NA
MBNUM2BPBDO7JBLYG310
FSWP: OIS 3.300000 04-DEC-2033
000000000
N/A
OU
Notional
N/A
N/A
0.000000000000
DIR
CORP
United States SOFR Secured Overnight Financing Rate
CT1403743
2033-12-04
N/A
N/A
N/A
N/A
40000000.000000000000
USD
40000000.000000000000000
USD
3.300000000000
USD
2023-11-30
XXXX
-1059996.000000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: AUD 4.000000 07-DEC-2028
000000000
800000.000000000000
OU
Notional Amount
11839.360000000000
0.0019688961
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
ASX Australian Bank Bill Short Term Rates 6 Month Mid
CT1917385
Y
2028-12-07
7537.910000000000
USD
0.000000000000
USD
800000.000000000000
AUD
4301.450000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
COFFEE MAR 24
000000000
-3.000000000000
NC
USD
-15364.410000000000
-0.0025551150
N/A
DCO
CORP
US
N
1
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Short
COFFEE MAR 24
COFFEE MAR 24
2024-03-18
-192423.090000000000
USD
-15364.410000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
COFFEE MAR 24
000000000
-97.000000000000
NC
USD
-440382.590000000000
-0.0732360160
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
COFFEE MAR 24
COFFEE MAR 24
2024-03-18
-6278079.910000000000
USD
-440382.590000000000
N
N
N
UMBS
N/A
UMBS 30YR TBA(REG A)
01F0406C6
52500000.000000000000
PA
USD
47659130.930000000000
7.9257558233
Long
ABS-MBS
USGA
US
N
2
2053-12-13
Fixed
4.0000
N
N
N
N
N
N
UMBS
N/A
UMBS 30YR TBA(REG A)
01F0426C2
62000000.000000000000
PA
USD
58049569.560000000000
9.6536950003
Long
ABS-MBS
USGA
US
N
2
2053-12-13
Fixed
4.5000
N
N
N
N
N
N
UMBS
N/A
UMBS 30YR TBA(REG A)
01F0506C5
23000000.000000000000
PA
USD
22132034.970000000000
3.6805770819
Long
ABS-MBS
USGA
US
N
2
2053-12-13
Fixed
5.0000
N
N
N
N
N
N
UMBS
N/A
UMBS 30YR TBA(REG A)
01F0606C4
25000000.000000000000
PA
USD
25069411.750000000000
4.1690654506
Long
ABS-MBS
USGA
US
N
2
2053-12-13
Fixed
6.0000
N
N
N
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
COFFEE MAY 24
000000000
26.000000000000
NC
USD
221689.690000000000
0.0368671924
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
COFFEE MAY 24
COFFEE MAY 24
2024-05-20
1540622.810000000000
USD
221689.690000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
COFFEE JUL 24
000000000
52.000000000000
NC
USD
288121.870000000000
0.0479149230
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
COFFEE JUL 24
COFFEE JUL 24
2024-07-19
3235528.130000000000
USD
288121.870000000000
N
N
N
ANGEL OAK MORTGAGE TRUST AOMT_19-2
N/A
AOMT_19-2
03463WAF0
2700000.000000000000
PA
USD
2676797.010000000000
0.4451537213
Long
ABS-CBDO
CORP
US
N
2
2049-03-25
Variable
6.286000000000
N
N
N
N
N
N
ANGEL OAK MORTGAGE TRUST AOMT_21-5
N/A
AOMT_21-5
03465HAC8
346932.010000000000
PA
USD
281970.380000000000
0.0468919248
Long
ABS-CBDO
CORP
US
N
2
2066-07-25
Variable
1.311000000000
N
N
N
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
KOSPI2 INDEX DEC 23
000000000
133.000000000000
NC
225530.260000000000
0.0375058826
N/A
DE
CORP
KR
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
KOSPI2 INDEX DEC 23
KOSPI2 INDEX DEC 23
2023-12-14
10985521816.750000000000
KRW
225530.260000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
WIG20(PLN20) INDEX DEC 23
000000000
210.000000000000
NC
237629.460000000000
0.0395179904
N/A
DE
CORP
PL
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Long
WIG20(PLN20) INDEX DEC 23
WIG20(PLN20) INDEX DEC 23
2023-12-15
8351088.060000000000
PLN
237629.460000000000
N
N
N
ARES CLO LTD ARES_17-44A
N/A
ARES_17-44A
04016NAZ6
1500000.000000000000
PA
USD
1394803.500000000000
0.2319570615
Long
ABS-MBS
CORP
US
N
2
2034-04-15
Variable
12.525500000000
N
N
N
N
N
N
ARROYO MORTGAGE TRUST ARRW_20-1
N/A
ARRW_20-1
04285CAD3
1870000.000000000000
PA
USD
1474788.590000000000
0.2452586530
Long
ABS-CBDO
CORP
US
N
2
2055-03-25
Fixed
4.277000000000
N
N
N
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
WHEAT KCBT FUTURE MAR 24
000000000
-48.000000000000
NC
USD
-3616.910000000000
-0.0006014953
N/A
DCO
CORP
US
N
1
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Short
WHEAT KCBT FUTURE MAR 24
WHEAT KCBT FUTURE MAR 24
2024-03-14
-1539583.090000000000
USD
-3616.910000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
LME LEAD MAR 24
000000000
7.000000000000
NC
USD
3442.740000000000
0.0005725307
N/A
DCO
CORP
GB
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
LME LEAD MAR 24
LME LEAD MAR 24
2024-03-19
368651.010000000000
USD
3442.740000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
LME LEAD MAY 24
000000000
7.000000000000
NC
USD
-14444.760000000000
-0.0024021764
N/A
DCO
CORP
GB
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
LME LEAD MAY 24
LME LEAD MAY 24
2024-05-14
387107.260000000000
USD
-14444.760000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
LME LEAD JUL 24
000000000
14.000000000000
NC
USD
-10815.770000000000
-0.0017986722
N/A
DCO
CORP
GB
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
LME LEAD JUL 24
LME LEAD JUL 24
2024-07-16
757540.770000000000
USD
-10815.770000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 3.500000 18-DEC-2028
000000000
200000.000000000000
OU
Notional Amount
790.430000000000
0.0001314492
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
Canadian Overnight Repo Rate Average CORRA
CT2073686
Y
2028-12-18
580.420000000000
USD
0.000000000000
USD
200000.000000000000
CAD
210.010000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 3.500000 18-DEC-2028
000000000
400000.000000000000
OU
Notional Amount
1580.860000000000
0.0002628984
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
Canadian Overnight Repo Rate Average CORRA
CT2073686
Y
2028-12-18
3222.850000000000
USD
0.000000000000
USD
400000.000000000000
CAD
-1641.990000000000
N
N
N
BARCLAYS COMMERCIAL MORTGAGE SECUIRITIES LLC BBCMS_18-BXH
N/A
BBCMS_18-BXH
05491RAA3
10700.960000000000
PA
USD
10547.780000000000
0.0017541052
Long
ABS-MBS
CORP
US
N
2
2037-10-15
Variable
6.437400000000
N
N
N
N
N
N
BANC OF AMERICA MERRILL LYNCH LARGE LOAN INC BAMLL_19-RLJ
N/A
BAMLL_19-RLJ
05492HAJ5
1250000.000000000000
PA
USD
1239855.880000000000
0.2061891346
Long
ABS-MBS
CORP
US
N
2
2036-04-15
Variable
6.969900000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-131
N/A
GNMA_19-131
38380NPW3
2662428.410000000000
PA
USD
139915.410000000000
0.0232680570
Long
ABS-MBS
USGA
US
N
2
2061-07-16
Variable
0.802200000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-92
N/A
GNMA_19-92
38381WR67
2501189.430000000000
PA
USD
244295.670000000000
0.0406265870
Long
ABS-CBDO
USGA
US
N
2
2049-07-20
Variable
0.654400000000
N
N
N
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 3.500000 18-DEC-2033
000000000
1000000.000000000000
OU
Notional Amount
5495.260000000000
0.0009138666
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
Canadian Overnight Repo Rate Average CORRA
CT2073686
Y
2033-12-18
19888.470000000000
USD
0.000000000000
USD
1000000.000000000000
CAD
-14393.210000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: NOK 3.500000 20-DEC-2028
000000000
2000000.000000000000
OU
Notional Amount
2280.770000000000
0.0003792941
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
Norway Interbank Offered Rate
NIBOR6MO4
Y
2028-12-20
3458.330000000000
USD
0.000000000000
USD
2000000.000000000000
NOK
-1177.560000000000
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-103
N/A
GNMA_19-103
38381XW44
2019272.730000000000
PA
USD
211013.800000000000
0.0350917824
Long
ABS-CBDO
USGA
US
N
2
2049-08-20
Variable
0.604500000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-98
N/A
GNMA_19-98
38381YAH7
7430475.150000000000
PA
USD
670485.210000000000
0.1115022862
Long
ABS-CBDO
USGA
US
N
2
2049-08-20
Variable
0.654400000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-120
N/A
GNMA_19-120
38381YSZ8
18918819.000000000000
PA
USD
152606.760000000000
0.0253786398
Long
ABS-CBDO
USGA
US
N
2
2049-09-20
Variable
0.000000000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-3
N/A
GNMA_20-3
38382BN66
1953737.660000000000
PA
USD
82841.410000000000
0.0137766001
Long
ABS-MBS
USGA
US
N
2
2062-02-16
Variable
0.615300000000
N
N
N
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
LME NICKEL JAN 24
000000000
-39.000000000000
NC
USD
466823.730000000000
0.0776332011
N/A
DCO
CORP
GB
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
LME NICKEL JAN 24
LME NICKEL JAN 24
2024-01-16
-4341161.730000000000
USD
466823.730000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
LME NICKEL MAR 24
000000000
6.000000000000
NC
USD
-141941.580000000000
-0.0236050109
N/A
DCO
CORP
GB
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
LME NICKEL MAR 24
LME NICKEL MAR 24
2024-03-19
743465.580000000000
USD
-141941.580000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
LME NICKEL MAR 24
000000000
-9.000000000000
NC
USD
-8305.830000000000
-0.0013812669
N/A
DCO
CORP
GB
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
LME NICKEL MAR 24
LME NICKEL MAR 24
2024-03-19
-893980.170000000000
USD
-8305.830000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
LME NICKEL MAY 24
000000000
6.000000000000
NC
USD
-137405.580000000000
-0.0228506701
N/A
DCO
CORP
GB
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
LME NICKEL MAY 24
LME NICKEL MAY 24
2024-05-14
744761.580000000000
USD
-137405.580000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
LME NICKEL JUL 24
000000000
12.000000000000
NC
USD
-108005.160000000000
-0.0179613541
N/A
DCO
CORP
GB
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
LME NICKEL JUL 24
LME NICKEL JUL 24
2024-07-16
1334957.160000000000
USD
-108005.160000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
LME NICKEL DEC 23
000000000
10.000000000000
NC
USD
-67960.000000000000
-0.0113018084
N/A
DCO
CORP
GB
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Long
LME NICKEL DEC 23
LME NICKEL DEC 23
2023-12-19
1057120.000000000000
USD
-67960.000000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
LME NICKEL DEC 23
000000000
-15.000000000000
NC
USD
90975.770000000000
0.0151293514
N/A
DCO
CORP
GB
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
LME NICKEL DEC 23
LME NICKEL DEC 23
2023-12-19
-1574715.770000000000
USD
90975.770000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
LME COPPER MAR 24
000000000
-3.000000000000
NC
USD
-8096.640000000000
-0.0013464784
N/A
DCO
CORP
GB
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Short
LME COPPER MAR 24
LME COPPER MAR 24
2024-03-19
-627809.610000000000
USD
-8096.640000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: NOK 3.500000 21-DEC-2033
000000000
1000000.000000000000
OU
Notional Amount
1364.380000000000
0.0002268976
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
Norway Interbank Offered Rate
NIBOR6MO4
Y
2033-12-21
1117.310000000000
USD
0.000000000000
USD
1000000.000000000000
NOK
247.070000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: NOK 3.500000 21-DEC-2033
000000000
6000000.000000000000
OU
Notional Amount
8186.250000000000
0.0013613806
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
Norway Interbank Offered Rate
NIBOR6MO4
Y
2033-12-21
13659.630000000000
USD
0.000000000000
USD
6000000.000000000000
NOK
-5473.380000000000
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-34
N/A
GNMA_20-34
38382DG94
1972352.370000000000
PA
USD
214935.720000000000
0.0357440012
Long
ABS-CBDO
USGA
US
N
2
2050-03-20
Variable
0.604500000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-78
N/A
GNMA_20-78
38382FW34
2238288.430000000000
PA
USD
229589.750000000000
0.0381809794
Long
ABS-CBDO
USGA
US
N
2
2050-06-20
Variable
0.704500000000
N
N
N
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
LME COPPER DEC 23
000000000
-3.000000000000
NC
USD
-13270.390000000000
-0.0022068776
N/A
DCO
CORP
GB
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Short
LME COPPER DEC 23
LME COPPER DEC 23
2023-12-19
-617442.110000000000
USD
-13270.390000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
LME ZINC JAN 24
000000000
-23.000000000000
NC
USD
47455.610000000000
0.0078919101
N/A
DCO
CORP
GB
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
LME ZINC JAN 24
LME ZINC JAN 24
2024-01-16
-1467849.360000000000
USD
47455.610000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
LME ZINC MAR 24
000000000
15.000000000000
NC
USD
27908.550000000000
0.0046412167
N/A
DCO
CORP
GB
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
LME ZINC MAR 24
LME ZINC MAR 24
2024-03-19
901247.700000000000
USD
27908.550000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
LME ZINC MAR 24
000000000
-21.000000000000
NC
USD
29602.410000000000
0.0049229071
N/A
DCO
CORP
GB
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
LME ZINC MAR 24
LME ZINC MAR 24
2024-03-19
-1330421.160000000000
USD
29602.410000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
LME ZINC MAY 24
000000000
15.000000000000
NC
USD
-16447.700000000000
-0.0027352671
N/A
DCO
CORP
GB
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
LME ZINC MAY 24
LME ZINC MAY 24
2024-05-14
948322.700000000000
USD
-16447.700000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
LME ZINC JUL 24
000000000
31.000000000000
NC
USD
-45165.330000000000
-0.0075110345
N/A
DCO
CORP
GB
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
LME ZINC JUL 24
LME ZINC JUL 24
2024-07-16
1977240.330000000000
USD
-45165.330000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
LME ZINC DEC 23
000000000
11.000000000000
NC
USD
-24550.520000000000
-0.0040827733
N/A
DCO
CORP
GB
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Long
LME ZINC DEC 23
LME ZINC DEC 23
2023-12-19
705106.770000000000
USD
-24550.520000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
LME ZINC DEC 23
000000000
-36.000000000000
NC
USD
38311.650000000000
0.0063712614
N/A
DCO
CORP
GB
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
LME ZINC DEC 23
LME ZINC DEC 23
2023-12-19
-2265586.650000000000
USD
38311.650000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
MSCI EMER MKT INDEX (ICE) DEC 23
000000000
147.000000000000
NC
USD
116100.340000000000
0.0193075897
N/A
DE
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
MSCI EMER MKT INDEX (ICE) DEC 23
MSCI EMER MKT INDEX (ICE) DEC 23
2023-12-15
7139084.660000000000
USD
116100.340000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
MSCI EAFE INDEX DEC 23
000000000
-2.000000000000
NC
USD
-853.080000000000
-0.0001418680
N/A
DE
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
MSCI EAFE INDEX DEC 23
MSCI EAFE INDEX DEC 23
2023-12-15
-211806.920000000000
USD
-853.080000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
US DOLLARS
000000000
-57300000.000000000000
OU
Notional Amount
N/A
-940687.090000000000
-0.1564370990
N/A
DFE
CORP
AU
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
57300000.000000000000000
AUD
36941374.299999997019768
USD
2023-12-20
-940687.090000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
US DOLLARS
000000000
-155195000.000000000000
OU
Notional Amount
N/A
-724258.630000000000
-0.1204448537
N/A
DFE
CORP
BR
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
155195000.000000000000000
BRL
30745707.789999999105930
USD
2023-12-20
-724258.630000000000
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-104
N/A
GNMA_20-104
38382HGQ7
1303351.080000000000
PA
USD
129079.200000000000
0.0214659857
Long
ABS-CBDO
USGA
US
N
2
2050-07-20
Variable
0.754400000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-104
N/A
GNMA_20-104
38382HGX2
2369811.570000000000
PA
USD
377066.170000000000
0.0627064391
Long
ABS-CBDO
USGA
US
N
2
2050-07-20
Fixed
3.000000000000
N
N
N
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
US DOLLARS
000000000
-30750000.000000000000
OU
Notional Amount
N/A
7915.940000000000
0.0013164279
N/A
DFE
CORP
CA
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
30750000.000000000000000
CAD
22675536.300000000745058
USD
2023-12-20
7915.940000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
US DOLLARS
000000000
-20650000.000000000000
OU
Notional Amount
N/A
-177313.210000000000
-0.0294873444
N/A
DFE
CORP
CA
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
20650000.000000000000000
CAD
15045007.459999999031425
USD
2023-12-20
-177313.210000000000
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-138
N/A
GNMA_20-138
38382J3F1
4415658.090000000000
PA
USD
578072.350000000000
0.0961339455
Long
ABS-CBDO
USGA
US
N
2
2050-09-20
Fixed
2.500000000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-133
N/A
GNMA_20-133
38382JC46
5313048.850000000000
PA
USD
548591.420000000000
0.0912312406
Long
ABS-CBDO
USGA
US
N
2
2050-09-20
Variable
0.854500000000
N
N
N
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
US DOLLARS
000000000
-48150000.000000000000
OU
Notional Amount
N/A
-636465.740000000000
-0.1058448181
N/A
DFE
CORP
CH
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
48150000.000000000000000
CHF
54454996.780000001192093
USD
2023-12-20
-636465.740000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
US DOLLARS
000000000
-29750000.000000000000
OU
Notional Amount
N/A
-465592.530000000000
-0.0774284515
N/A
DFE
CORP
XX
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
29750000.000000000000000
EUR
31942351.800000000745058
USD
2023-12-20
-465592.530000000000
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-160
N/A
GNMA_20-160
38382KE58
7719916.150000000000
PA
USD
984351.840000000000
0.1636985857
Long
ABS-CBDO
USGA
US
N
2
2050-10-20
Variable
0.854500000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-146
N/A
GNMA_20-146
38382KWM1
18780224.400000000000
PA
USD
2145693.220000000000
0.3568306891
Long
ABS-CBDO
USGA
US
N
2
2050-10-20
Fixed
2.000000000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-164
N/A
GNMA_20-164
38382LGD7
2061320.590000000000
PA
USD
328326.730000000000
0.0546010269
Long
ABS-CBDO
USGA
US
N
2
2050-11-20
Fixed
3.000000000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-175
N/A
GNMA_20-175
38382LNR8
3103737.480000000000
PA
USD
422657.040000000000
0.0702882413
Long
ABS-CBDO
USGA
US
N
2
2050-11-20
Fixed
2.500000000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-7
N/A
GNMA_21-7
38382M5E5
1760443.240000000000
PA
USD
346463.680000000000
0.0576172178
Long
ABS-CBDO
USGA
US
N
2
2051-01-16
Fixed
3.000000000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-191
N/A
GNMA_20-191
38382MRY7
2143644.950000000000
PA
USD
371078.660000000000
0.0617107109
Long
ABS-CBDO
USGA
US
N
2
2050-12-20
Fixed
4.000000000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-24
N/A
GNMA_21-24
38382NPZ4
1947941.210000000000
PA
USD
311513.200000000000
0.0518049220
Long
ABS-CBDO
USGA
US
N
2
2051-02-20
Fixed
3.000000000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-25
N/A
GNMA_21-25
38382NTM9
4056767.900000000000
PA
USD
612586.960000000000
0.1018737558
Long
ABS-CBDO
USGA
US
N
2
2051-02-20
Fixed
2.500000000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-42
N/A
GNMA_21-42
38382PZY1
3449043.790000000000
PA
USD
426109.360000000000
0.0708623652
Long
ABS-CBDO
USGA
US
N
2
2050-11-20
Variable
0.854500000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-119
N/A
GNMA_21-119
38382UM24
3096297.450000000000
PA
USD
342930.110000000000
0.0570295820
Long
ABS-CBDO
USGA
US
N
2
2051-07-20
Variable
0.854500000000
N
N
N
N
N
N
PROGRESS RESIDENTIAL TRUST PROG_20-SFR2
N/A
PROG_20-SFR2
74333LAL0
500000.000000000000
PA
USD
489549.700000000000
0.0814125501
Long
ABS-MBS
CORP
US
N
2
2037-06-17
Fixed
6.152000000000
N
N
N
N
N
N
RR LTD RRAM_21-16A
N/A
RRAM_21-16A
74971JAA6
266667.000000000000
PA
USD
249612.050000000000
0.0415107057
Long
ABS-MBS
CORP
KY
N
2
2036-07-15
Variable
11.905500000000
N
N
N
N
N
N
REACH FINANCIAL LLC REACH_22-2
N/A
REACH_22-2A
75526GAC5
1000000.000000000000
PA
USD
1013810.100000000000
0.1685975205
Long
ABS-MBS
CORP
US
N
2
2030-05-15
Fixed
8.400000000000
N
N
N
N
N
N
RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST I RPM_21-2A
N/A
RPM_21-2A
76088LAA6
512353.190000000000
PA
USD
462700.790000000000
0.0769475525
Long
ABS-MBS
CORP
US
N
2
2030-03-25
Fixed
2.650000000000
N
N
N
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
US DOLLARS
000000000
-18850000.000000000000
OU
Notional Amount
N/A
-393924.860000000000
-0.0655100543
N/A
DFE
CORP
GB
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
18850000.000000000000000
GBP
23407077.899999998509884
USD
2023-12-20
-393924.860000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
US DOLLARS
000000000
-1917225000.000000000000
OU
Notional Amount
N/A
-10904.240000000000
-0.0018133848
N/A
DFE
CORP
IN
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
1917225000.000000000000000
INR
22974535.649999998509884
USD
2023-12-20
-10904.240000000000
N
N
N
RESIDENTIAL MORTGAGE LOAN TRUST RMLT_19-3
N/A
RMLT_19-3
76119NAD9
700000.000000000000
PA
USD
660210.320000000000
0.1097935629
Long
ABS-CBDO
CORP
US
N
2
2059-09-25
Variable
3.257000000000
N
N
N
N
N
N
SALUDA GRADE ALTERNATIVE MORTGAGE TRUST GRADE_23-FIG3
N/A
GRADE_23-FIG3
79582AAD9
729457.970000000000
PA
USD
889938.720000000000
0.1479975999
Long
ABS-CBDO
CORP
US
N
3
2053-08-25
Variable
29.141900000000
N
N
N
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
US DOLLARS
000000000
-580000000.000000000000
OU
Notional Amount
N/A
60215.340000000000
0.0100138645
N/A
DFE
CORP
JP
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
580000000.000000000000000
JPY
3982931.080000000074506
USD
2023-12-20
60215.340000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
US DOLLARS
000000000
-375000000.000000000000
OU
Notional Amount
N/A
-15102.040000000000
-0.0025114827
N/A
DFE
CORP
JP
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
375000000.000000000000000
JPY
2521136.589999999850988
USD
2023-12-20
-15102.040000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
US DOLLARS
000000000
-23107840000.000000000000
OU
Notional Amount
N/A
-628207.480000000000
-0.1044714621
N/A
DFE
CORP
KW
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
23107840000.000000000000000
KRW
17222806.890000000596046
USD
2023-12-20
-628207.480000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
KOREAN WON
000000000
4205000000.000000000000
OU
Notional Amount
N/A
-16604.700000000000
-0.0027613764
N/A
DFE
CORP
KW
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
3265005.049999999813735
USD
4205000000.000000000000000
KRW
2023-12-20
-16604.700000000000
N
N
N
STANWICH MORTGAGE LOAN COMPANY STWH_21-NPB1
N/A
STWH_21-NPB1
85501YAA8
1531914.900000000000
PA
USD
1410802.320000000000
0.2346176794
Long
ABS-CBDO
CORP
US
N
2
2026-10-16
Variable
2.735000000000
N
N
N
N
N
N
STARWOOD MORTGAGE RESIDENTIAL TRUST STAR_21-3
N/A
STAR_21-3
85573JAA4
312512.730000000000
PA
USD
246665.890000000000
0.0410207567
Long
ABS-CBDO
CORP
US
N
2
2056-06-25
Variable
1.127000000000
N
N
N
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
MEXICAN PESO
000000000
306895000.000000000000
OU
Notional Amount
N/A
234871.830000000000
0.0390593940
N/A
DFE
CORP
MX
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
17388328.030000001192093
USD
306895000.000000000000000
MXN
2023-12-20
234871.830000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
NORWAY KRONA
000000000
162750000.000000000000
OU
Notional Amount
N/A
178990.000000000000
0.0297661960
N/A
DFE
CORP
NO
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
14870290.919999999925494
USD
162750000.000000000000000
NOK
2023-12-20
178990.000000000000
N
N
N
STAR_20-3
N/A
STAR_20-3
85573MAE9
250000.000000000000
PA
USD
208229.700000000000
0.0346287841
Long
ABS-CBDO
CORP
US
N
2
2065-04-25
Variable
4.750000000000
N
N
N
N
N
N
STONN_20-1
N/A
STONN_20-1
86207LAA1
47110.250000000000
PA
USD
46403.600000000000
0.0077169599
Long
ABS-CBDO
CORP
US
N
3
2024-07-28
Variable
5.500000000000
N
N
N
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
NORWAY KRONA
000000000
208750000.000000000000
OU
Notional Amount
N/A
-293269.320000000000
-0.0487709485
N/A
DFE
CORP
NO
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
19596110.439999997615814
USD
208750000.000000000000000
NOK
2023-12-20
-293269.320000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
SOYBEAN JAN 24
000000000
-2.000000000000
NC
USD
481.000000000000
0.0000799907
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
SOYBEAN JAN 24
SOYBEAN JAN 24
2024-01-12
-134756.000000000000
USD
481.000000000000
N
N
N
THEOREM FUNDING TRUST THRM_21-1
N/A
THRM_21-1A
88339VAB4
636571.180000000000
PA
USD
630188.920000000000
0.1048009774
Long
ABS-MBS
CORP
US
N
2
2027-12-15
Fixed
1.840000000000
N
N
N
N
N
N
THEOREM FUNDING TRUST THRM_22-1
N/A
THRM_22-1A
88339XAB0
2000000.000000000000
PA
USD
1957443.200000000000
0.3255245435
Long
ABS-MBS
CORP
US
N
2
2028-02-15
Fixed
3.100000000000
N
N
N
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
SOYBEAN JAN 24
000000000
-211.000000000000
NC
USD
-298764.690000000000
-0.0496848334
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
SOYBEAN JAN 24
SOYBEAN JAN 24
2024-01-12
-13867247.810000000000
USD
-298764.690000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SOYBEAN JAN 24
000000000
-63.000000000000
NC
USD
-117520.200000000000
-0.0195437137
N/A
DCO
CORP
US
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Short
SOYBEAN JAN 24
SOYBEAN JAN 24
2024-01-12
-4112142.300000000000
USD
-117520.200000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
SOYBEAN MAR 24
000000000
31.000000000000
NC
USD
32939.020000000000
0.0054777883
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
SOYBEAN MAR 24
SOYBEAN MAR 24
2024-03-14
2078548.480000000000
USD
32939.020000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
SOYBEAN MAY 24
000000000
15.000000000000
NC
USD
1043.750000000000
0.0001735766
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
SOYBEAN MAY 24
SOYBEAN MAY 24
2024-05-14
1030393.750000000000
USD
1043.750000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
SOYBEAN MAY 24
000000000
15.000000000000
NC
USD
-14786.800000000000
-0.0024590580
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
SOYBEAN MAY 24
SOYBEAN MAY 24
2024-05-14
1046224.300000000000
USD
-14786.800000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
SOYBEAN JUL 24
000000000
49.000000000000
NC
USD
78675.620000000000
0.0130838255
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
SOYBEAN JUL 24
SOYBEAN JUL 24
2024-07-12
3304161.880000000000
USD
78675.620000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: NZD 4.500000 14-DEC-2033
000000000
400000.000000000000
OU
Notional Amount
6589.380000000000
0.0010958197
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
NZD - 3M NEW ZEALAND BANK BILL RATE
NDBB3MIN1
Y
2033-12-14
14817.110000000000
USD
0.000000000000
USD
400000.000000000000
NZD
-8227.730000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: SEK 3.000000 20-DEC-2028
000000000
4000000.000000000000
OU
Notional Amount
-967.030000000000
-0.0001608179
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
Stockholm Interbank Offered Ra
STIB3MIN4
Y
2028-12-20
5967.050000000000
USD
0.000000000000
USD
4000000.000000000000
SEK
-6934.080000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
SOYBEAN JUL 24
000000000
12.000000000000
NC
USD
-632.180000000000
-0.0001051321
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
SOYBEAN JUL 24
SOYBEAN JUL 24
2024-07-12
829082.180000000000
USD
-632.180000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
SUGAR #11 MAR 24
000000000
21.000000000000
NC
USD
-24592.820000000000
-0.0040898078
N/A
DCO
CORP
US
N
1
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Long
SUGAR #11 MAR 24
SUGAR #11 MAR 24
2024-02-29
637053.620000000000
USD
-24592.820000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: SEK 3.000000 21-DEC-2033
000000000
4000000.000000000000
OU
Notional Amount
-3424.210000000000
-0.0005694492
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
Stockholm Interbank Offered Ra
STIB3MIN4
Y
2033-12-21
0.000000000000
USD
-871.710000000000
USD
4000000.000000000000
SEK
-2552.500000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 4.250000 20-DEC-2025
000000000
9500000.000000000000
OU
Notional Amount
-105604.250000000000
-0.0175620806
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
GBP SONIA OVERNIGHT RATE
CT1240964
Y
2025-12-20
0.000000000000
USD
-229898.190000000000
USD
9500000.000000000000
GBP
124293.940000000000
N
N
N
TOORAK MORTGAGE TRUST TRK_21-1
N/A
TRK_21-1
89053BAA2
496591.990000000000
PA
USD
488906.730000000000
0.0813056236
Long
ABS-CBDO
CORP
US
N
2
2024-06-25
Variable
2.239500000000
N
N
N
N
N
N
GENWORTH MORTGAGE INSURANCE CORPORATION TMIR_21-1
N/A
TMIR_21-1
89600FAE3
1500000.000000000000
PA
USD
1508287.950000000000
0.2508296263
Long
ABS-CBDO
CORP
US
N
2
2033-08-25
Variable
9.957400000000
N
N
N
N
N
N
GENWORTH MORTGAGE INSURANCE CORPORATION TMIR_21-2
N/A
TMIR_21-2
89600GAE1
650000.000000000000
PA
USD
690461.270000000000
0.1148243227
Long
ABS-CBDO
CORP
BM
N
2
2033-10-25
Variable
12.957400000000
N
N
N
N
N
N
GENWORTH MORTGAGE INSURANCE CORPORATION TMIR_21-3
N/A
TMIR_21-3
89600HAC3
2000000.000000000000
PA
USD
2006218.400000000000
0.3336359026
Long
ABS-CBDO
CORP
US
N
2
2034-02-25
Variable
8.220600000000
N
N
N
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 3.820000 20-DEC-2028
000000000
200000.000000000000
OU
Notional Amount
3884.580000000000
0.0006460091
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
GBP SONIA OVERNIGHT RATE
CT1240964
Y
2028-12-20
7482.330000000000
USD
0.000000000000
USD
200000.000000000000
GBP
-3597.750000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 3.620000 20-DEC-2033
000000000
100000.000000000000
OU
Notional Amount
3996.540000000000
0.0006646282
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
GBP SONIA OVERNIGHT RATE
CT1240964
Y
2033-12-20
7395.590000000000
USD
0.000000000000
USD
100000.000000000000
GBP
-3399.050000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
SUGAR #11 MAR 24
000000000
-239.000000000000
NC
USD
393969.000000000000
0.0655173948
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
SUGAR #11 MAR 24
SUGAR #11 MAR 24
2024-02-29
-7364356.200000000000
USD
393969.000000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SUGAR #11 MAR 24
000000000
-126.000000000000
NC
USD
198921.880000000000
0.0330808854
N/A
DCO
CORP
US
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Short
SUGAR #11 MAR 24
SUGAR #11 MAR 24
2024-02-29
-3873686.680000000000
USD
198921.880000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 3.630000 20-DEC-2028
000000000
500000.000000000000
OU
Notional Amount
USD
8263.390000000000
0.0013742091
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
United States SOFR Secured Overnight Financing Rate
CT1403743
Y
2028-12-20
3337.460000000000
USD
0.000000000000
USD
500000.000000000000
USD
4925.930000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 3.480000 20-DEC-2033
000000000
500000.000000000000
OU
Notional Amount
USD
-20191.190000000000
-0.0033578128
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
United States SOFR Secured Overnight Financing Rate
CT1403743
Y
2033-12-20
0.000000000000
USD
-32389.450000000000
USD
500000.000000000000
USD
12198.260000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
SUGAR #11 MAY 24
000000000
69.000000000000
NC
USD
-65090.760000000000
-0.0108246512
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
SUGAR #11 MAY 24
SUGAR #11 MAY 24
2024-04-30
2000181.960000000000
USD
-65090.760000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
SUGAR #11 JUL 24
000000000
143.000000000000
NC
USD
-88435.400000000000
-0.0147068856
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
SUGAR #11 JUL 24
SUGAR #11 JUL 24
2024-06-28
3970713.800000000000
USD
-88435.400000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 3.480000 20-DEC-2033
000000000
3200000.000000000000
OU
Notional Amount
USD
-129223.650000000000
-0.0214900078
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
United States SOFR Secured Overnight Financing Rate
CT1403743
Y
2033-12-20
0.000000000000
USD
-101959.310000000000
USD
3200000.000000000000
USD
-27264.340000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: CHF 1.500000 20-DEC-2025
000000000
37500000.000000000000
OU
Notional Amount
195134.890000000000
0.0324511056
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
Swiss Average Rate O/N Intraday Value
CT1870898
Y
2025-12-20
0.000000000000
USD
-180302.370000000000
USD
37500000.000000000000
CHF
375437.260000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 2.000000 20-DEC-2025
000000000
150100000.000000000000
OU
Notional Amount
2488826.670000000000
0.4138940868
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
Swiss Average Rate O/N Intraday Value
CT1870898
Y
2025-12-20
458666.080000000000
USD
0.000000000000
USD
150100000.000000000000
CHF
2030160.590000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 2.000000 20-DEC-2033
000000000
25700000.000000000000
OU
Notional Amount
-1925662.520000000000
-0.3202393882
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
Swiss Average Rate O/N Intraday Value
CT1870898
Y
2033-12-20
0.000000000000
USD
-322650.870000000000
USD
25700000.000000000000
CHF
-1603011.650000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 0.500000 20-DEC-2033
000000000
50000000.000000000000
OU
Notional Amount
14201.880000000000
0.0023617853
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
Bank of Japan Final Result: Unsecured Overnight Call Rate TONAR
CT1862899
Y
2033-12-20
19562.890000000000
USD
0.000000000000
USD
50000000.000000000000
JPY
-5361.010000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
SILVER MAR 24
000000000
4.000000000000
NC
USD
30721.320000000000
0.0051089828
N/A
DCO
CORP
US
N
1
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Long
SILVER MAR 24
SILVER MAR 24
2024-03-26
482478.680000000000
USD
30721.320000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SILVER MAR 24
000000000
-9.000000000000
NC
USD
-75261.600000000000
-0.0125160710
N/A
DCO
CORP
US
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Short
SILVER MAR 24
SILVER MAR 24
2024-03-26
-1079438.400000000000
USD
-75261.600000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
SOYBEAN MEAL (CBT) JAN 24
000000000
15.000000000000
NC
USD
-28924.550000000000
-0.0048101784
N/A
DCO
CORP
US
N
1
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Long
SOYBEAN MEAL (CBT) JAN 24
SOYBEAN MEAL (CBT) JAN 24
2024-01-12
664924.550000000000
USD
-28924.550000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
SOYBEAN MEAL (CBT) JAN 24
000000000
-102.000000000000
NC
USD
193836.260000000000
0.0322351423
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
SOYBEAN MEAL (CBT) JAN 24
SOYBEAN MEAL (CBT) JAN 24
2024-01-12
-4518636.260000000000
USD
193836.260000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
SOYBEAN MEAL (CBT) MAR 24
000000000
31.000000000000
NC
USD
95259.440000000000
0.0158417295
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
SOYBEAN MEAL (CBT) MAR 24
SOYBEAN MEAL (CBT) MAR 24
2024-03-14
1188760.560000000000
USD
95259.440000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
SOYBEAN MEAL (CBT) MAY 24
000000000
32.000000000000
NC
USD
52273.700000000000
0.0086931628
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
SOYBEAN MEAL (CBT) MAY 24
SOYBEAN MEAL (CBT) MAY 24
2024-05-14
1253326.300000000000
USD
52273.700000000000
N
N
N
GENWORTH MORTGAGE INSURANCE CORPORATION TMIR_21-3
N/A
TMIR_21-3
89600HAG4
500000.000000000000
PA
USD
502653.750000000000
0.0835917653
Long
ABS-CBDO
CORP
US
N
2
2034-02-25
Variable
10.270600000000
N
N
N
N
N
N
USASF RECEIVABLES LLC USAUT_21-1A
N/A
USAUT_21-1A
90355EAD3
1125000.000000000000
PA
USD
650759.740000000000
0.1082219230
Long
ABS-MBS
CORP
US
N
2
2027-03-15
Fixed
4.360000000000
N
N
N
N
N
N
UNITED STATES TREASURY
254900HROIFWPRGM1V77
TREASURY BILL
912797GC5
65000000.000000000000
PA
USD
64614575.350000000000
10.7454612968
Long
DBT
UST
US
N
2
2024-01-11
Fixed
0.000000000000
N
N
N
N
N
N
UNITED STATES TREASURY
254900HROIFWPRGM1V77
TREASURY BILL
912797JF5
39000000.000000000000
PA
USD
38500137.780000000000
6.4026071238
Long
DBT
UST
US
N
2
2024-02-27
Fixed
0.000000000000
N
N
N
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
SOYBEAN MEAL (CBT) JUL 24
000000000
51.000000000000
NC
USD
59177.390000000000
0.0098412525
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
SOYBEAN MEAL (CBT) JUL 24
SOYBEAN MEAL (CBT) JUL 24
2024-07-12
2015502.610000000000
USD
59177.390000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
SOYBEAN MEAL (CBT) JUL 24
000000000
13.000000000000
NC
USD
-13731.340000000000
-0.0022835340
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
SOYBEAN MEAL (CBT) JUL 24
SOYBEAN MEAL (CBT) JUL 24
2024-07-12
542571.340000000000
USD
-13731.340000000000
N
N
N
UPSTART SECURITIZATION TRUST UPST_23-1
N/A
UPST_23-1
91679AAB2
1500000.000000000000
PA
USD
1501320.900000000000
0.2496709997
Long
ABS-MBS
CORP
US
N
2
2033-02-20
Fixed
8.350000000000
N
N
N
N
N
N
UPSTART PASS-THROUGH TRUST UPSPT_21-ST1
N/A
UPSPT_21-ST1
91681MAA4
129058.660000000000
PA
USD
126280.540000000000
0.0210005660
Long
ABS-MBS
CORP
US
N
2
2027-02-20
Fixed
2.750000000000
N
N
N
N
N
N
UPSTART PASS-THROUGH TRUST UPSPT_21-ST7
N/A
UPSPT_21-ST7
91683KAA6
46250.180000000000
PA
USD
45959.530000000000
0.0076431107
Long
ABS-MBS
CORP
US
N
2
2029-09-20
Fixed
1.850000000000
N
N
N
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
OTC (GENERIC) 0 YEAR
000000000
65000000.000000000000
OU
Notional Amount
USD
6760.000000000000
0.0011241940
N/A
DIR
CORP
US
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Call
Purchased
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY CAPITAL SERVICES
9R7GPTSO7KV3UQJZQ078
FSWP: OIS 3.500000 14-DEC-2033
000000000
N/A
OU
Notional
N/A
N/A
0.000000000000
DIR
CORP
United States SOFR Secured Overnight Financing Rate
CT1403743
2033-12-14
N/A
N/A
N/A
N/A
65000000.000000000000
USD
65000000.000000000000000
USD
3.500000000000
USD
2023-12-12
XXXX
-1953965.000000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: AUD 4.500000 08-DEC-2033
000000000
1000000.000000000000
OU
Notional Amount
15415.290000000000
0.0025635764
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
ASX Australian Bank Bill Short Term Rates 6 Month Mid
CT1917385
Y
2033-12-08
1100.160000000000
USD
0.000000000000
USD
1000000.000000000000
AUD
14315.130000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 0.500000 20-DEC-2028 FTO
000000000
100000000.000000000000
OU
Notional Amount
1241.050000000000
0.0002063877
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
Bank of Japan Final Result: Unsecured Overnight Call Rate TONAR
CT1862899
Y
2028-12-20
0.000000000000
USD
-3232.860000000000
USD
100000000.000000000000
JPY
4473.910000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: NOK 4.000000 20-DEC-2028 6M
000000000
2000000.000000000000
OU
Notional Amount
-1889.440000000000
-0.0003142156
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
Norway Interbank Offered Rate
NIBOR6MO4
Y
2028-12-20
705.860000000000
USD
0.000000000000
USD
2000000.000000000000
NOK
-2595.300000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: AUD 4.500000 11-DEC-2025 AUD
000000000
12800000.000000000000
OU
Notional Amount
22679.810000000000
0.0037716726
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
ASX Australian Bank Bill Short Term Rates 3 Month Mid
CT1622425
Y
2025-12-11
30398.860000000000
USD
0.000000000000
USD
12800000.000000000000
AUD
-7719.050000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
OTC (GENERIC) 1 YEAR
000000000
25000000.000000000000
OU
Notional Amount
USD
62350.000000000000
0.0103688604
N/A
DIR
CORP
US
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Call
Purchased
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY CAPITAL SERVICES
9R7GPTSO7KV3UQJZQ078
FSWP: OIS 3.600000 11-JAN-2024 SOF
000000000
N/A
OU
Notional
N/A
N/A
0.000000000000
DIR
CORP
United States SOFR Secured Overnight Financing Rate
CT1403743
2024-01-11
N/A
N/A
N/A
N/A
25000000.000000000000
USD
25000000.000000000000000
USD
3.600000000000
USD
2024-01-11
XXXX
-623900.000000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: NZD 5.500000 10-DEC-2025 3M
000000000
7900000.000000000000
OU
Notional Amount
24342.050000000000
0.0040481045
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
NZD - 3M NEW ZEALAND BANK BILL RATE
NDBB3MIN1
Y
2025-12-10
19899.420000000000
USD
0.000000000000
USD
7900000.000000000000
NZD
4442.630000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 1.000000 20-DEC-2033 FTO
000000000
2630000000.000000000000
OU
Notional Amount
-108353.830000000000
-0.0180193382
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
Bank of Japan Final Result: Unsecured Overnight Call Rate TONAR
CT1862899
Y
2033-12-20
0.000000000000
USD
-159472.860000000000
USD
2630000000.000000000000
JPY
51119.030000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 1.000000 20-DEC-2033 FTO
000000000
660000000.000000000000
OU
Notional Amount
-27191.460000000000
-0.0045219640
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
Bank of Japan Final Result: Unsecured Overnight Call Rate TONAR
CT1862899
Y
2033-12-20
26832.420000000000
USD
0.000000000000
USD
660000000.000000000000
JPY
-54023.880000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: NZD 5.000000 15-MAR-2034 3M
000000000
13800000.000000000000
OU
Notional Amount
120583.720000000000
0.0200531798
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
NZD - 3M NEW ZEALAND BANK BILL RATE
NDBB3MIN1
Y
2034-03-15
47866.620000000000
USD
0.000000000000
USD
13800000.000000000000
NZD
72717.100000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: NZD 5.000000 15-MAR-2034 3M
000000000
2300000.000000000000
OU
Notional Amount
20097.270000000000
0.0033421939
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
NZD - 3M NEW ZEALAND BANK BILL RATE
NDBB3MIN1
Y
2034-03-15
26858.050000000000
USD
0.000000000000
USD
2300000.000000000000
NZD
-6760.780000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 0.000000 20-DEC-2025 FTO
000000000
15490000000.000000000000
OU
Notional Amount
-492646.990000000000
-0.0819276322
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
Bank of Japan Final Result: Unsecured Overnight Call Rate TONAR
CT1862899
Y
2025-12-20
0.000000000000
USD
-552554.300000000000
USD
15490000000.000000000000
JPY
59907.310000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 1.000000 20-MAR-2034 FTO
000000000
8460000000.000000000000
OU
Notional Amount
-119384.380000000000
-0.0198537285
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
Bank of Japan Final Result: Unsecured Overnight Call Rate TONAR
CT1862899
Y
2034-03-20
421343.280000000000
USD
0.000000000000
USD
8460000000.000000000000
JPY
-540727.660000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: NOK 5.000000 18-MAR-2026 6M
000000000
98000000.000000000000
OU
Notional Amount
-157374.870000000000
-0.0261715807
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
Norway Interbank Offered Rate
NIBOR6MO4
Y
2026-03-18
0.000000000000
USD
-51985.860000000000
USD
98000000.000000000000
NOK
-105389.010000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: NOK 4.000000 15-MAR-2034 6M
000000000
345000000.000000000000
OU
Notional Amount
976784.650000000000
0.1624401553
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
Norway Interbank Offered Rate
NIBOR6MO4
Y
2034-03-15
0.000000000000
USD
-176254.110000000000
USD
345000000.000000000000
NOK
1153038.760000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: SEK 4.000000 18-MAR-2026 3M
000000000
951000000.000000000000
OU
Notional Amount
-1297496.310000000000
-0.2157747893
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
Stockholm Interbank Offered Ra
STIB3MIN4
Y
2026-03-18
0.000000000000
USD
-305921.930000000000
USD
951000000.000000000000
SEK
-991574.380000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: SEK 3.500000 15-MAR-2034 3M
000000000
37000000.000000000000
OU
Notional Amount
191862.850000000000
0.0319069624
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
Stockholm Interbank Offered Ra
STIB3MIN4
Y
2034-03-15
30442.180000000000
USD
0.000000000000
USD
37000000.000000000000
SEK
161420.670000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 2.000000 20-MAR-2026 SAR
000000000
109200000.000000000000
OU
Notional Amount
2017137.370000000000
0.3354517370
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
Swiss Average Rate O/N Intraday Value
CT1870898
Y
2026-03-20
395885.110000000000
USD
0.000000000000
USD
109200000.000000000000
CHF
1621252.260000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 2.000000 20-MAR-2034 SAR
000000000
25300000.000000000000
OU
Notional Amount
-1900481.280000000000
-0.3160517256
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
Swiss Average Rate O/N Intraday Value
CT1870898
Y
2034-03-20
0.000000000000
USD
-429650.610000000000
USD
25300000.000000000000
CHF
-1470830.670000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: AUD 4.000000 12-MAR-2026 AUD
000000000
48100000.000000000000
OU
Notional Amount
-197661.940000000000
-0.0328713563
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
ASX Australian Bank Bill Short Term Rates 3 Month Mid
CT1622425
Y
2026-03-12
0.000000000000
USD
-136699.400000000000
USD
48100000.000000000000
AUD
-60962.540000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FTSE/MIB INDEX DEC 23
000000000
131.000000000000
NC
1295964.960000000000
0.2155201244
N/A
DE
CORP
IT
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
FTSE/MIB INDEX DEC 23
FTSE/MIB INDEX DEC 23
2023-12-15
18312567.810000000000
EUR
1295964.960000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
FTSE/MIB INDEX DEC 23
000000000
44.000000000000
NC
249443.670000000000
0.0414827040
N/A
DE
CORP
IT
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Long
FTSE/MIB INDEX DEC 23
FTSE/MIB INDEX DEC 23
2023-12-15
6328419.600000000000
EUR
249443.670000000000
N
N
N
BELLEMEADE RE LTD BMIR_19-4A
N/A
BMIR_19-4A
07876LAE9
950000.000000000000
PA
USD
964665.820000000000
0.1604247831
Long
ABS-CBDO
CORP
US
N
2
2029-10-25
Variable
9.307400000000
N
N
N
N
N
N
BELLEMEADE RE LTD BMIR_20-4
N/A
BMIR_20-4A
07876UAB5
103609.980000000000
PA
USD
103610.340000000000
0.0172304916
Long
ABS-CBDO
CORP
US
N
2
2030-06-25
Variable
9.057400000000
N
N
N
N
N
N
BELLEMEADE RE LTD BMIR_20-4
N/A
BMIR_20-4A
07876UAC3
800000.000000000000
PA
USD
802310.720000000000
0.1334249857
Long
ABS-CBDO
CORP
US
N
2
2030-06-25
Variable
10.457400000000
N
N
N
N
N
N
BELLEMEAD RE LTD BMIR_20-3A
N/A
BMIR_20-3A
07877KAG5
650000.000000000000
PA
USD
651989.910000000000
0.1084265014
Long
ABS-CBDO
CORP
US
N
2
2030-10-25
Variable
10.292600000000
N
N
N
N
N
N
BRAVO RESIDENTIAL FUNDING TRUST BRAVO_21-A
N/A
BRAVO_21-A
105693AA3
1912733.980000000000
PA
USD
1839376.810000000000
0.3058899980
Long
ABS-CBDO
CORP
US
N
2
2059-10-25
Variable
1.991000000000
N
N
N
N
N
N
BFLD TRUST BFLD_19-DPLO
N/A
BFLD_19-DPLO
054970AS7
1000000.000000000000
PA
USD
981941.100000000000
0.1632976775
Long
ABS-MBS
CORP
US
N
2
2034-10-15
Variable
8.627400000000
N
N
N
N
N
N
BAMLL_13-WBRK
N/A
BAMLL_13-WBRK
05525BAN0
500000.000000000000
PA
USD
317015.600000000000
0.0527199760
Long
ABS-MBS
CORP
US
N
2
2037-03-10
Variable
3.534300000000
N
N
N
N
N
N
BXP TRUST BXP_21-601L
N/A
BXP_21-601L
05607TAL6
1500000.000000000000
PA
USD
769640.100000000000
0.1279918325
Long
ABS-MBS
CORP
US
N
2
2044-01-15
Variable
2.868000000000
N
N
N
N
N
N
BVRT FINANCING TRUST BVRT_21-3F
N/A
BVRT_21-3F
07335NAB6
2702624.040000000000
PA
USD
2702624.040000000000
0.4494487794
Long
ABS-CBDO
CORP
US
N
3
2033-07-12
Variable
4.186600000000
N
N
N
N
N
N
BELLEMEADE RE LTD BMIR_19-4A
N/A
BMIR_19-4A
07876LAC3
80598.110000000000
PA
USD
80786.590000000000
0.0134348817
Long
ABS-CBDO
CORP
US
N
2
2029-10-25
Variable
7.957400000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5183
N/A
FHLMC_5183
3137H4ZL7
4509208.440000000000
PA
USD
719843.270000000000
0.1197105754
Long
ABS-CBDO
USGA
US
N
2
2052-01-25
Fixed
3.000000000000
N
N
N
N
N
N
FEDERAL NATIONAL MORTGAGE ASSOCIATION
B1V7KEBTPIMZEU4LTD58
FNMA 30YR UMBS
3140MP6G1
3711457.610000000000
PA
USD
3257659.800000000000
0.5417517195
Long
ABS-MBS
USGA
US
N
2
2052-05-01
Fixed
3.500000000000
N
N
N
N
N
N
510 ASSETS BACKED TRUST FTAB_21-NPL2
N/A
FTAB_21-NPL2
33835JAA8
559657.270000000000
PA
USD
526740.020000000000
0.0875973334
Long
ABS-CBDO
CORP
US
N
2
2061-06-25
Variable
2.115600000000
N
N
N
N
N
N
STRUCTURED AGENCY CREDIT RISK STACR_21-DNA1
N/A
STACR_21-DNA1
35564KBE8
1750000.000000000000
PA
USD
1732274.430000000000
0.2880787770
Long
ABS-CBDO
CORP
US
N
2
2051-01-25
Variable
10.078100000000
N
N
N
N
N
N
STRUCTURED AGENCY CREDIT RISK STACR_21-HQA2
N/A
STACR_21-HQA2
35564KGS2
800000.000000000000
PA
USD
800968.160000000000
0.1332017167
Long
ABS-CBDO
CORP
US
N
2
2033-12-25
Variable
10.778100000000
N
N
N
N
N
N
STRUCTURED AGENCY CREDIT RISK STACR_21-DNA5
N/A
STACR_21-DNA5
35564KJB6
3250000.000000000000
PA
USD
3268769.400000000000
0.5435992558
Long
ABS-CBDO
CORP
US
N
2
2034-01-25
Variable
10.828100000000
N
N
N
N
N
N
STRUCTURED AGENCY CREDIT RISK STACR_21-DNA6
N/A
STACR_21-DNA6
35564KLV9
900000.000000000000
PA
USD
942288.570000000000
0.1567034265
Long
ABS-CBDO
CORP
US
N
2
2041-10-25
Variable
12.828100000000
N
N
N
N
N
N
STRUCTURED AGENCY CREDIT RISK STACR_21-DNA7
N/A
STACR_21-DNA7
35564KNE5
2950000.000000000000
PA
USD
3151465.240000000000
0.5240914698
Long
ABS-CBDO
CORP
US
N
2
2041-11-25
Variable
13.120600000000
N
N
N
N
N
N
FREDDIE MAC STACR REMIC TRUST STACR_22-DNA1
N/A
STACR_22-DNA1
35564KQZ5
1650000.000000000000
PA
USD
1680562.290000000000
0.2794790022
Long
ABS-CBDO
CORP
US
N
2
2042-01-25
Variable
12.428100000000
N
N
N
N
N
N
STRUCTURED AGENCY CREDIT RISK STACR_22-DNA2
N/A
STACR_22-DNA2
35564KSQ3
1560000.000000000000
PA
USD
1644304.430000000000
0.2734492878
Long
ABS-CBDO
CORP
US
N
2
2042-02-25
Variable
13.828100000000
N
N
N
N
N
N
STRUCTURED AGENCY CREDIT RISK STACR_22-HQA1
N/A
STACR_22-HQA1
35564KTJ8
800000.000000000000
PA
USD
848606.800000000000
0.1411240649
Long
ABS-CBDO
CORP
US
N
2
2042-03-25
Variable
10.578100000000
N
N
N
N
N
N
FREDDIE MAC STACR REMIC TRUST STACR_20-HQA3
N/A
STACR_20-HQA3
35565MBD5
852952.120000000000
PA
USD
938808.400000000000
0.1561246711
Long
ABS-CBDO
CORP
US
N
2
2050-07-25
Variable
11.192600000000
N
N
N
N
N
N
STRUCTURED AGENCY CREDIT RISK STACR_20-HQA4
N/A
STACR_20-HQA4
35565RBD4
2105719.650000000000
PA
USD
2273966.860000000000
0.3781627095
Long
ABS-CBDO
CORP
US
N
2
2050-09-25
Variable
10.692600000000
N
N
N
N
N
N
STRUCTURED AGENCY CREDIT RISK STACR_20-HQA5
N/A
STACR_20-HQA5
35565TBE8
1800000.000000000000
PA
USD
2003513.580000000000
0.3331860887
Long
ABS-CBDO
CORP
US
N
2
2050-11-25
Variable
12.728100000000
N
N
N
N
N
N
FREDDIE MAC - STACR_20-DNA6
N/A
STACR_20-DNA6
35566CBE4
1000000.000000000000
PA
USD
1051287.000000000000
0.1748299623
Long
ABS-CBDO
CORP
US
N
2
2050-12-25
Variable
10.978100000000
N
N
N
N
N
N
GCAT_19-NQM3
N/A
GCAT_19-NQM3
36167VAD6
600000.000000000000
PA
USD
446937.240000000000
0.0743260602
Long
ABS-CBDO
CORP
US
N
2
2059-11-25
Variable
3.450000000000
N
N
N
N
N
N
GLS AUTO RECEIVABLES TRUST GCAR_22-1A
N/A
GCAR_22-1A-B
36263XAC7
450000.000000000000
PA
USD
445224.290000000000
0.0740411951
Long
ABS-MBS
CORP
US
N
2
2026-05-15
Fixed
2.840000000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_20-19
N/A
GNMA_20-19
38380N3D9
1618583.330000000000
PA
USD
80475.320000000000
0.0133831172
Long
ABS-MBS
USGA
US
N
2
2061-12-16
Variable
0.717200000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_19-102
N/A
GNMA_19-102
38380NKM0
1325768.880000000000
PA
USD
68909.090000000000
0.0114596429
Long
ABS-MBS
USGA
US
N
2
2060-03-16
Variable
0.834400000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-96
N/A
GNMA_21-96
38382UZE4
3378547.570000000000
PA
USD
28634.540000000000
0.0047619494
Long
ABS-CBDO
USGA
US
N
2
2051-06-20
Variable
0.000000000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-97
N/A
GNMA_21-97
38382VEF2
3302790.750000000000
PA
USD
368868.550000000000
0.0613431676
Long
ABS-CBDO
USGA
US
N
2
2051-06-20
Variable
0.854500000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-122
N/A
GNMA_21-122
38382WAQ0
3648769.240000000000
PA
USD
389593.320000000000
0.0647897153
Long
ABS-CBDO
USGA
US
N
2
2051-07-20
Variable
0.854500000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-122
N/A
GNMA_21-122
38382WAW7
7286734.360000000000
PA
USD
44497.170000000000
0.0073999189
Long
ABS-CBDO
USGA
US
N
2
2051-07-20
Variable
0.000000000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-117
N/A
GNMA_21-117
38382WEU7
2249802.680000000000
PA
USD
258608.290000000000
0.0430067884
Long
ABS-CBDO
USGA
US
N
2
2051-07-20
Variable
0.854500000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-158
N/A
GNMA_21-158
38382X7G4
2416531.440000000000
PA
USD
394164.790000000000
0.0655499548
Long
ABS-CBDO
USGA
US
N
2
2051-09-20
Fixed
3.000000000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-142
N/A
GNMA_21-142
38382XSW6
4802181.980000000000
PA
USD
560462.660000000000
0.0932054384
Long
ABS-CBDO
USGA
US
N
2
2051-08-20
Variable
0.854500000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-161
N/A
GNMA_21-161
38383A6U3
3295865.890000000000
PA
USD
407918.440000000000
0.0678371990
Long
ABS-CBDO
USGA
US
N
2
2051-09-20
Variable
0.854500000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-156
N/A
GNMA_21-156
38383ANE0
3595571.840000000000
PA
USD
401939.270000000000
0.0668428578
Long
ABS-CBDO
USGA
US
N
2
2051-09-20
Variable
0.854500000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-160
N/A
GNMA_21-160
38383AUH5
5727320.060000000000
PA
USD
35097.020000000000
0.0058366656
Long
ABS-CBDO
USGA
US
N
2
2051-09-20
Variable
0.000000000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-160
N/A
GNMA_21-160
38383AZY3
4877666.640000000000
PA
USD
637008.140000000000
0.1059350197
Long
ABS-CBDO
USGA
US
N
2
2051-09-20
Fixed
2.500000000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_21-193
N/A
GNMA_21-193
38383DTZ1
20106221.520000000000
PA
USD
69889.230000000000
0.0116226411
Long
ABS-CBDO
USGA
US
N
2
2051-11-20
Variable
0.000000000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-46
N/A
GNMA_22-46
38383PRL7
3078283.480000000000
PA
USD
42035.810000000000
0.0069905926
Long
ABS-CBDO
USGA
US
N
2
2052-03-20
Variable
0.000000000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_22-90
N/A
GNMA_22-90
38383RH83
3005751.560000000000
PA
USD
324810.230000000000
0.0540162299
Long
ABS-CBDO
USGA
US
N
2
2050-01-20
Variable
0.604500000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-47
N/A
GNMA_23-47
38383WJ31
2222808.830000000000
PA
USD
184268.180000000000
0.0306439621
Long
ABS-CBDO
USGA
US
N
2
2053-03-20
Variable
1.024900000000
N
N
N
N
N
N
PAGAYA AI DEBT SELECTION TRUST PAID_21-1
N/A
PAID_21-1
69547JAD5
696200.000000000000
PA
USD
5221.500000000000
0.0008683401
Long
ABS-MBS
CORP
US
N
3
2027-11-15
Variable
0.000000000000
N
N
N
N
N
N
PAGAYA AI DEBT SELECTION TRUST PAID_22-3
N/A
PAID_22-3
69547MAB2
799922.380000000000
PA
USD
801543.980000000000
0.1332974761
Long
ABS-MBS
CORP
US
N
2
2030-03-15
Fixed
8.050000000000
N
N
N
N
N
N
PAGAYA AI DEBT SELECTION TRUST PAID_23-6
N/A
PAID_23-6
69547UAC2
600000.000000000000
PA
USD
602949.060000000000
0.1002709645
Long
ABS-MBS
CORP
US
N
2
2031-06-16
Fixed
8.491000000000
N
N
N
N
N
N
PAGAYA AI DEBT SELECTION TRUST PAID_22-5
N/A
PAID_22-5
69548HAB2
439983.680000000000
PA
USD
437065.400000000000
0.0726843644
Long
ABS-MBS
CORP
US
N
2
2030-06-17
Fixed
10.310000000000
N
N
N
N
N
N
PAGAYA AI DEBT SELECTION TRUST PAID_23-1
N/A
PAID_23-1
69548JAB8
2849603.920000000000
PA
USD
2895850.430000000000
0.4815824997
Long
ABS-MBS
CORP
US
N
2
2030-07-15
Fixed
9.435000000000
N
N
N
N
N
N
PALMER SQUARE LOAN FUNDING LTD PSTAT_20-4A
N/A
PSTAT_20-4A
69701QAA7
1000000.000000000000
PA
USD
996908.000000000000
0.1657866862
Long
ABS-MBS
CORP
US
N
2
2028-11-25
Variable
12.691300000000
N
N
N
N
N
N
PNT_21-1
N/A
PNT_21-1
73090AAA3
830453.080000000000
PA
USD
763562.330000000000
0.1269810940
Long
ABS-CBDO
CORP
US
N
2
2052-02-25
Variable
3.228200000000
N
N
N
N
N
N
PRET LLC PRET_21-RN2
N/A
PRET_21-RN2
74143FAA7
365159.470000000000
PA
USD
341837.790000000000
0.0568479282
Long
ABS-CBDO
CORP
US
N
2
2051-07-25
Variable
1.743600000000
N
N
N
N
N
N
PROGRESS RESIDENTIAL TRUST PROG_20-SFR1
N/A
PROG_20-SFR1
74331CAF5
575000.000000000000
PA
USD
544415.410000000000
0.0905367664
Long
ABS-MBS
CORP
US
N
2
2037-04-17
Fixed
3.431000000000
N
N
N
N
N
N
VCAT VCAT_21-NPL3
N/A
VCAT_21-NPL3
91824MAB0
300000.000000000000
PA
USD
250411.890000000000
0.0416437198
Long
ABS-CBDO
CORP
US
N
2
2051-05-25
Variable
3.967000000000
N
N
N
N
N
N
VWH CAPITAL VCAT_21-NPL6
N/A
VCAT_21-NPL6
91824WAA0
791336.220000000000
PA
USD
749611.750000000000
0.1246611001
Long
ABS-CBDO
CORP
US
N
2
2051-09-25
Variable
1.917300000000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST VERUS_19-4
N/A
VERUS_19-4
92537KAE4
500000.000000000000
PA
USD
415186.550000000000
0.0690458922
Long
ABS-CBDO
CORP
US
N
2
2059-11-25
Variable
3.860000000000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST VERUS_20-INV1
N/A
VERUS_20-INV1
92537TAF2
550000.000000000000
PA
USD
518589.170000000000
0.0862418398
Long
ABS-CBDO
CORP
US
N
2
2060-03-25
Fixed
5.500000000000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST VERUS_20-INV1
N/A
VERUS_20-INV1
92537TAG0
150000.000000000000
PA
USD
135745.260000000000
0.0225745574
Long
ABS-CBDO
CORP
US
N
2
2060-03-25
Fixed
5.750000000000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST VERUS_20-INV1
N/A
VERUS_20-INV1
92537TAH8
150000.000000000000
PA
USD
136766.870000000000
0.0227444520
Long
ABS-CBDO
CORP
US
N
2
2060-03-25
Fixed
6.000000000000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST VERUS_21-R2
N/A
VERUS_21-R2
92538DAE9
500000.000000000000
PA
USD
394131.850000000000
0.0655444769
Long
ABS-CBDO
CORP
US
N
2
2064-02-25
Fixed
2.244000000000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST VERUS_21-5
N/A
VERUS_21-5
92538KAE3
300000.000000000000
PA
USD
172348.740000000000
0.0286617486
Long
ABS-CBDO
CORP
US
N
2
2066-09-25
Variable
3.037000000000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST VERUS_21-5
N/A
VERUS_21-5
92538KAF0
250000.000000000000
PA
USD
150416.550000000000
0.0250144059
Long
ABS-CBDO
CORP
US
N
2
2066-09-25
Variable
3.941000000000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST VERUS_20-4
N/A
VERUS_20-4
92538LAF8
327000.000000000000
PA
USD
277162.420000000000
0.0460923567
Long
ABS-CBDO
CORP
US
N
2
2065-05-25
Variable
5.600000000000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST VERUS_23-1
N/A
VERUS_23-1
92539BAD4
2500000.000000000000
PA
USD
2428562.250000000000
0.4038720602
Long
ABS-CBDO
CORP
US
N
2
2067-12-25
Variable
6.971900000000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST VERUS_23-1
N/A
VERUS_23-1
92539BAE2
1750000.000000000000
PA
USD
1621119.150000000000
0.2695935552
Long
ABS-CBDO
CORP
US
N
2
2067-12-25
Variable
6.971900000000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST VERUS_23-INV1
N/A
VERUS_23-INV1
92539FAD5
800000.000000000000
PA
USD
786404.640000000000
0.1307797904
Long
ABS-CBDO
CORP
US
N
2
2068-02-25
Variable
7.594200000000
N
N
N
N
N
N
VERUS SECURITIZATION TRUST VERUS_23-INV1
N/A
VERUS_23-INV1
92539FAE3
450000.000000000000
PA
USD
420971.090000000000
0.0700078663
Long
ABS-CBDO
CORP
US
N
2
2068-02-25
Variable
7.594200000000
N
N
N
N
N
N
VISIO_19-2
N/A
VISIO_19-2
92837DAD9
200000.000000000000
PA
USD
168382.820000000000
0.0280022126
Long
ABS-CBDO
CORP
US
N
2
2054-11-25
Variable
3.260000000000
N
N
N
N
N
N
VISIO_19-2
N/A
VISIO_19-2
92837DAE7
100000.000000000000
PA
USD
85429.720000000000
0.0142070383
Long
ABS-CBDO
CORP
US
N
2
2054-11-25
Variable
3.910000000000
N
N
N
N
N
N
VSTA_20-1
N/A
VSTA_20-1
92838WAE4
800000.000000000000
PA
USD
735133.520000000000
0.1222533576
Long
ABS-CBDO
CORP
US
N
2
2065-03-25
Variable
5.342300000000
N
N
N
N
N
N
VERICREST OPPORTUNITY LOAN TRANSFEREE VOLT_21-NPL4
N/A
VOLT_21-NPL4
92873BAA4
497244.590000000000
PA
USD
478721.230000000000
0.0796117659
Long
ABS-CBDO
CORP
US
N
2
2051-03-27
Variable
2.239600000000
N
N
N
N
N
N
WELLS FARGO COMMERCIAL MORTGAGE TRUST WFCM_17-SMP
N/A
WFCM_17-SMP
95001CAA0
1000000.000000000000
PA
USD
929324.600000000000
0.1545475068
Long
ABS-MBS
CORP
US
N
2
2034-12-15
Variable
6.369900000000
N
N
N
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
BIST 30 FUTURES DEC 23
000000000
1358.000000000000
NC
-49010.450000000000
-0.0081504814
N/A
DE
CORP
TR
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Long
BIST 30 FUTURES DEC 23
BIST 30 FUTURES DEC 23
2023-12-29
120876476.960000000000
TRY
-49010.450000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FTSE/JSE TOP 40 DEC 23
000000000
164.000000000000
NC
225828.800000000000
0.0375555301
N/A
DE
CORP
ZA
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
FTSE/JSE TOP 40 DEC 23
FTSE/JSE TOP 40 DEC 23
2023-12-21
110590371.290000000000
ZAR
225828.800000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
FTSE/JSE TOP 40 DEC 23
000000000
-203.000000000000
NC
-95131.750000000000
-0.0158204946
N/A
DE
CORP
ZA
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Short
FTSE/JSE TOP 40 DEC 23
FTSE/JSE TOP 40 DEC 23
2023-12-21
-140542482.500000000000
ZAR
-95131.750000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: EUR 2.500000 20-MAR-2054 EUR
000000000
11000000.000000000000
OU
Notional Amount
505028.940000000000
0.0839867615
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
Euribor 6 Month ACT/360
EURIBOR65
Y
2054-03-20
1000279.450000000000
USD
0.000000000000
USD
11000000.000000000000
EUR
-495250.510000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: NOK 4.500000 18-MAR-2026 6M
000000000
2202400000.000000000000
OU
Notional Amount
-1637536.740000000000
-0.2723238150
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
Norway Interbank Offered Rate
NIBOR6MO4
Y
2026-03-18
343819.280000000000
USD
0.000000000000
USD
2202400000.000000000000
NOK
-1981356.020000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: SEK 3.000000 15-MAR-2034 3M
000000000
82000000.000000000000
OU
Notional Amount
93147.780000000000
0.0154905586
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
Stockholm Interbank Offered Ra
STIB3MIN4
Y
2034-03-15
0.000000000000
USD
-30475.390000000000
USD
82000000.000000000000
SEK
123623.170000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 4.000000 20-MAR-2034 SON
000000000
3400000.000000000000
OU
Notional Amount
-8547.280000000000
-0.0014214203
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
GBP SONIA OVERNIGHT RATE
CT1240964
Y
2034-03-20
110480.100000000000
USD
0.000000000000
USD
3400000.000000000000
GBP
-119027.380000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 3.000000 20-MAR-2054 SOF
000000000
1600000.000000000000
OU
Notional Amount
USD
-220545.580000000000
-0.0366769259
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
United States SOFR Secured Overnight Financing Rate
CT1403743
Y
2054-03-20
0.000000000000
USD
-254657.280000000000
USD
1600000.000000000000
USD
34111.700000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 3.500000 20-MAR-2026 SOF
000000000
161900000.000000000000
OU
Notional Amount
USD
2293635.680000000000
0.3814336517
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
United States SOFR Secured Overnight Financing Rate
CT1403743
Y
2026-03-20
3118756.660000000000
USD
0.000000000000
USD
161900000.000000000000
USD
-825120.980000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 4.500000 18-MAR-2026 CAD
000000000
50900000.000000000000
OU
Notional Amount
371654.580000000000
0.0618064869
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
Canadian Overnight Repo Rate Average CORRA
CT2073686
Y
2026-03-18
26737.190000000000
USD
0.000000000000
USD
50900000.000000000000
CAD
344917.390000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 3.750000 20-MAR-2054 SON
000000000
1800000.000000000000
OU
Notional Amount
-81539.280000000000
-0.0135600547
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
GBP SONIA OVERNIGHT RATE
CT1240964
Y
2054-03-20
0.000000000000
USD
-91285.590000000000
USD
1800000.000000000000
GBP
9746.310000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 3.750000 20-MAR-2054 SON
000000000
500000.000000000000
OU
Notional Amount
-22649.790000000000
-0.0037666802
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
GBP SONIA OVERNIGHT RATE
CT1240964
Y
2054-03-20
0.000000000000
USD
-21039.190000000000
USD
500000.000000000000
GBP
-1610.600000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP : MSCI SOUTH AFRICA INDEX
000000000
4513283.280000000000
OU
Notional Amount
-2051.310000000000
-0.0003411347
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI South Africa Net Return ZAR Index
CT1578246
Y
MSCI South Africa Net Return ZAR Index
2023-12-20
0.000000000000
USD
0.000000000000
USD
4513283.280000000000
ZAR
-1183.810000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 0.500000 20-MAR-2026 FTO
000000000
38380000000.000000000000
OU
Notional Amount
1033352.890000000000
0.1718475038
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
Bank of Japan Final Result: Unsecured Overnight Call Rate TONAR
CT1862899
Y
2026-03-20
617441.800000000000
USD
0.000000000000
USD
38380000000.000000000000
JPY
415911.090000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP: MSCI SINGAPORE 12/20/2023
000000000
391105.540000000000
OU
Notional Amount
6091.710000000000
0.0010130568
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI Singapore Net Return SGD Index
CT1578265
Y
MSCI Singapore Net Return SGD Index
2023-12-20
0.000000000000
USD
0.000000000000
USD
391105.540000000000
SGD
6446.200000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP: MSCI SINGAPORE 12/20/2023
000000000
375249.910000000000
OU
Notional Amount
5844.740000000000
0.0009719855
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI Singapore Net Return SGD Index
CT1578265
Y
MSCI Singapore Net Return SGD Index
2023-12-20
0.000000000000
USD
0.000000000000
USD
375249.910000000000
SGD
6266.340000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP : MSCI SOUTH AFRICA INDEX
000000000
3955325.760000000000
OU
Notional Amount
-1797.720000000000
-0.0002989624
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI South Africa Net Return ZAR Index
CT1578246
Y
MSCI South Africa Net Return ZAR Index
2023-12-20
0.000000000000
USD
0.000000000000
USD
3955325.760000000000
ZAR
-1037.460000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP: MSCI SINGAPORE 12/20/2023
000000000
417531.590000000000
OU
Notional Amount
6503.310000000000
0.0010815062
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI Singapore Net Return SGD Index
CT1578265
Y
MSCI Singapore Net Return SGD Index
2023-12-20
0.000000000000
USD
0.000000000000
USD
417531.590000000000
SGD
6881.750000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP: MSCI SINGAPORE 12/20/2023
000000000
412246.380000000000
OU
Notional Amount
6420.990000000000
0.0010678163
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI Singapore Net Return SGD Index
CT1578265
Y
MSCI Singapore Net Return SGD Index
2023-12-20
0.000000000000
USD
0.000000000000
USD
412246.380000000000
SGD
6884.150000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP: MSCI SINGAPORE 12/20/2023
000000000
412246.380000000000
OU
Notional Amount
6420.990000000000
0.0010678163
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI Singapore Net Return SGD Index
CT1578265
Y
MSCI Singapore Net Return SGD Index
2023-12-20
0.000000000000
USD
0.000000000000
USD
412246.380000000000
SGD
6884.150000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 4.250000 20-MAR-2034 SON
000000000
700000.000000000000
OU
Notional Amount
-19358.740000000000
-0.0032193757
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
GBP SONIA OVERNIGHT RATE
CT1240964
Y
2034-03-20
0.000000000000
USD
-28471.720000000000
USD
700000.000000000000
GBP
9112.980000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 4.250000 20-MAR-2034 SON
000000000
9800000.000000000000
OU
Notional Amount
-271022.360000000000
-0.0450712593
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
GBP SONIA OVERNIGHT RATE
CT1240964
Y
2034-03-20
0.000000000000
USD
-17348.090000000000
USD
9800000.000000000000
GBP
-253674.270000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 5.250000 20-MAR-2026 SON
000000000
52000000.000000000000
OU
Notional Amount
842649.370000000000
0.1401333390
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
GBP SONIA OVERNIGHT RATE
CT1240964
Y
2026-03-20
512565.130000000000
USD
0.000000000000
USD
52000000.000000000000
GBP
330084.240000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 3.250000 20-MAR-2034 SOF
000000000
33000000.000000000000
OU
Notional Amount
USD
-1819517.370000000000
-0.3025873554
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
United States SOFR Secured Overnight Financing Rate
CT1403743
Y
2034-03-20
0.000000000000
USD
-2877389.540000000000
USD
33000000.000000000000
USD
1057872.170000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP: MSCI SINGAPORE 12/20/2023
000000000
465098.480000000000
OU
Notional Amount
7244.190000000000
0.0012047152
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI Singapore Net Return SGD Index
CT1578265
Y
MSCI Singapore Net Return SGD Index
2023-12-20
0.000000000000
USD
0.000000000000
USD
465098.480000000000
SGD
7766.730000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP: MSCI SWEDEN 12/20/2023
000000000
5617054.240000000000
OU
Notional Amount
-8502.780000000000
-0.0014140199
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI Sweden Net Return SEK Index
CT1578287
Y
MSCI SWEDEN NR
2023-12-20
0.000000000000
USD
0.000000000000
USD
5617054.240000000000
SEK
-7908.310000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 3.750000 19-JUN-2034 SOF
000000000
13700000.000000000000
OU
Notional Amount
USD
-159252.770000000000
-0.0264838772
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
United States SOFR Secured Overnight Financing Rate
CT1403743
Y
2034-06-19
0.000000000000
USD
-233432.360000000000
USD
13700000.000000000000
USD
74179.590000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 5.000000 19-JUN-2026 SON
000000000
66100000.000000000000
OU
Notional Amount
947742.520000000000
0.1576104232
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
GBP SONIA OVERNIGHT RATE
CT1240964
Y
2026-06-19
745319.360000000000
USD
0.000000000000
USD
66100000.000000000000
GBP
202423.160000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 4.250000 19-JUN-2034 SON
000000000
13800000.000000000000
OU
Notional Amount
-428924.780000000000
-0.0713305721
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
GBP SONIA OVERNIGHT RATE
CT1240964
Y
2034-06-19
0.000000000000
USD
-328302.650000000000
USD
13800000.000000000000
GBP
-100622.130000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: NOK 4.000000 17-JUN-2026 6M
000000000
5000000.000000000000
OU
Notional Amount
-934.850000000000
-0.0001554664
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
Norway Interbank Offered Rate
NIBOR6MO4
Y
2026-06-17
744.720000000000
USD
0.000000000000
USD
5000000.000000000000
NOK
-1679.570000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP: MSCI SPAIN INDEX 12/20/23
000000000
-359485.500000000000
OU
Notional Amount
2915.260000000000
0.0004848103
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI Spain Net Return EUR Index
CT1585851
Y
MSCI SPAIN NR
2023-12-20
0.000000000000
USD
0.000000000000
USD
-359485.500000000000
EUR
2872.820000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: AUD 4.500000 11-JUN-2026 AUD
000000000
17200000.000000000000
OU
Notional Amount
47143.770000000000
0.0078400508
N/A
DIR
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
ASX Australian Bank Bill Short Term Rates 3 Month Mid
CT1622425
Y
2026-06-11
62044.940000000000
USD
0.000000000000
USD
17200000.000000000000
AUD
-14901.170000000000
N
N
N
Barclays
AC28XWWI3WIBK2824319
US DOLLARS
000000000
-696883000.000000000000
OU
Notional Amount
N/A
-33013.800000000000
-0.0054902243
N/A
DFE
CORP
JP
N
2
Barclays
AC28XWWI3WIBK2824319
696883000.000000000000000
JPY
4674608.570000000298023
USD
2023-12-13
-33013.800000000000
N
N
N
Barclays
AC28XWWI3WIBK2824319
NEW ZEALAND DOLLAR
000000000
69952000.000000000000
OU
Notional Amount
N/A
2255812.100000000000
0.3751435567
N/A
DFE
CORP
NZ
N
2
Barclays
AC28XWWI3WIBK2824319
40822728.060000002384186
USD
69952000.000000000000000
NZD
2023-12-13
2255812.100000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
SET50 FUTURES DEC 23
000000000
-895.000000000000
NC
179187.470000000000
0.0297990355
N/A
DE
CORP
TH
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
SET50 FUTURES DEC 23
SET50 FUTURES DEC 23
2023-12-28
-158914372.480000000000
THB
179187.470000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
10YR MINI JGB DEC 23
000000000
1.000000000000
NC
1159.000000000000
0.0001927427
N/A
DIR
CORP
SG
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Long
10YR MINI JGB DEC 23
10YR MINI JGB DEC 23
2023-12-12
14494207.000000000000
JPY
1159.000000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
SOYBEAN OIL JAN 24
000000000
215.000000000000
NC
USD
-18692.430000000000
-0.0031085677
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
SOYBEAN OIL JAN 24
SOYBEAN OIL JAN 24
2024-01-12
6760232.430000000000
USD
-18692.430000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
SOYBEAN OIL JAN 24
000000000
-23.000000000000
NC
USD
-25846.890000000000
-0.0042983608
N/A
DCO
CORP
US
N
1
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Short
SOYBEAN OIL JAN 24
SOYBEAN OIL JAN 24
2024-01-12
-695341.110000000000
USD
-25846.890000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SOYBEAN OIL JAN 24
000000000
-13.000000000000
NC
USD
106.300000000000
0.0000176778
N/A
DCO
CORP
US
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Short
SOYBEAN OIL JAN 24
SOYBEAN OIL JAN 24
2024-01-12
-407734.300000000000
USD
106.300000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
SOYBEAN OIL MAR 24
000000000
35.000000000000
NC
USD
-139453.410000000000
-0.0231912260
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
SOYBEAN OIL MAR 24
SOYBEAN OIL MAR 24
2024-03-14
1232503.410000000000
USD
-139453.410000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
SOYBEAN OIL MAY 24
000000000
35.000000000000
NC
USD
-139055.520000000000
-0.0231250565
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
SOYBEAN OIL MAY 24
SOYBEAN OIL MAY 24
2024-05-14
1230635.520000000000
USD
-139055.520000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
SOYBEAN OIL JUL 24
000000000
69.000000000000
NC
USD
36671.040000000000
0.0060984265
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
SOYBEAN OIL JUL 24
SOYBEAN OIL JUL 24
2024-07-12
2109918.960000000000
USD
36671.040000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
CORN MAR 24
000000000
-22.000000000000
NC
USD
1076.970000000000
0.0001791011
N/A
DCO
CORP
US
N
1
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Short
CORN MAR 24
CORN MAR 24
2024-03-14
-532101.970000000000
USD
1076.970000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
CORN MAR 24
000000000
-288.000000000000
NC
USD
97220.000000000000
0.0161677724
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
CORN MAR 24
CORN MAR 24
2024-03-14
-7048820.000000000000
USD
97220.000000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
CORN MAR 24
000000000
-80.000000000000
NC
USD
-15297.500000000000
-0.0025439878
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
CORN MAR 24
CORN MAR 24
2024-03-14
-1915702.500000000000
USD
-15297.500000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
CORN MAR 24
000000000
-113.000000000000
NC
USD
27922.300000000000
0.0046435033
N/A
DCO
CORP
US
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Short
CORN MAR 24
CORN MAR 24
2024-03-14
-2755459.800000000000
USD
27922.300000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
CORN MAY 24
000000000
88.000000000000
NC
USD
-38352.590000000000
-0.0063780698
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
CORN MAY 24
CORN MAY 24
2024-05-14
2216352.590000000000
USD
-38352.590000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
CORN JUL 24
000000000
174.000000000000
NC
USD
-55715.190000000000
-0.0092654856
N/A
DCO
CORP
US
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
CORN JUL 24
CORN JUL 24
2024-07-12
4442690.190000000000
USD
-55715.190000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-56469858.000000000000
OU
Notional Amount
N/A
-1333550.600000000000
-0.2217706498
N/A
DFE
CORP
CH
N
2
Citi
MBNUM2BPBDO7JBLYG310
56469858.000000000000000
CHF
63277188.030000001192093
USD
2023-12-20
-1333550.600000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-13145428.000000000000
OU
Notional Amount
N/A
-46874.480000000000
-0.0077952677
N/A
DFE
CORP
CH
N
2
Citi
MBNUM2BPBDO7JBLYG310
13145428.000000000000000
CHF
15142061.279999999329448
USD
2024-03-20
-46874.480000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-1830272750.000000000000
OU
Notional Amount
N/A
32166.790000000000
0.0053493658
N/A
DFE
CORP
CL
N
2
Citi
MBNUM2BPBDO7JBLYG310
1830272750.000000000000000
CLP
2128272.009999999776483
USD
2023-12-20
32166.790000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-14600000000.000000000000
OU
Notional Amount
N/A
-575087.630000000000
-0.0956375839
N/A
DFE
CORP
CL
N
2
Citi
MBNUM2BPBDO7JBLYG310
14600000000.000000000000000
CLP
16145445.570000000298023
USD
2023-12-20
-575087.630000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-1083457355.000000000000
OU
Notional Amount
N/A
6336.400000000000
0.0010537490
N/A
DFE
CORP
CL
N
2
Citi
MBNUM2BPBDO7JBLYG310
1083457355.000000000000000
CLP
1240186.300000000046566
USD
2024-03-20
6336.400000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-111242765.000000000000
OU
Notional Amount
N/A
-294732.930000000000
-0.0490143482
N/A
DFE
CORP
CN
N
2
Citi
MBNUM2BPBDO7JBLYG310
111242765.000000000000000
CNY
15292108.799999998882413
USD
2023-12-20
-294732.930000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-14798650716.000000000000
OU
Notional Amount
N/A
36490.650000000000
0.0060684275
N/A
DFE
CORP
CO
N
2
Citi
MBNUM2BPBDO7JBLYG310
14798650716.000000000000000
COP
3707725.120000000111759
USD
2023-12-20
36490.650000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-24400000000.000000000000
OU
Notional Amount
N/A
-263627.130000000000
-0.0438414260
N/A
DFE
CORP
CO
N
2
Citi
MBNUM2BPBDO7JBLYG310
24400000000.000000000000000
COP
5789500.450000000186265
USD
2023-12-20
-263627.130000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-267901234.000000000000
OU
Notional Amount
N/A
785.350000000000
0.0001306044
N/A
DFE
CORP
CO
N
2
Citi
MBNUM2BPBDO7JBLYG310
267901234.000000000000000
COP
66066.449999999997090
USD
2024-03-20
785.350000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-312954505.000000000000
OU
Notional Amount
N/A
-437191.720000000000
-0.0727053715
N/A
DFE
CORP
CZ
N
2
Citi
MBNUM2BPBDO7JBLYG310
312954505.000000000000000
CZK
13569959.660000002011657
USD
2023-12-20
-437191.720000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-38655000.000000000000
OU
Notional Amount
N/A
-1048425.950000000000
-0.1743541671
N/A
DFE
CORP
XX
N
2
Citi
MBNUM2BPBDO7JBLYG310
38655000.000000000000000
EUR
41045864.059999994933605
USD
2023-12-13
-1048425.950000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-13511437.000000000000
OU
Notional Amount
N/A
124353.790000000000
0.0206801458
N/A
DFE
CORP
XX
N
2
Citi
MBNUM2BPBDO7JBLYG310
13511437.000000000000000
EUR
14842938.599999999627471
USD
2023-12-20
124353.790000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-85013146.000000000000
OU
Notional Amount
N/A
-2280963.370000000000
-0.3793262353
N/A
DFE
CORP
XX
N
2
Citi
MBNUM2BPBDO7JBLYG310
85013146.000000000000000
EUR
90327483.780000001192093
USD
2023-12-20
-2280963.370000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-4947851.000000000000
OU
Notional Amount
N/A
49704.300000000000
0.0082658693
N/A
DFE
CORP
XX
N
2
Citi
MBNUM2BPBDO7JBLYG310
4947851.000000000000000
EUR
5460936.379999999888241
USD
2024-03-20
49704.300000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-2471499.000000000000
OU
Notional Amount
N/A
1085.750000000000
0.0001805612
N/A
DFE
CORP
GB
N
2
Citi
MBNUM2BPBDO7JBLYG310
2471499.000000000000000
GBP
3121730.550000000279397
USD
2023-12-20
1085.750000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-48599001.000000000000
OU
Notional Amount
N/A
-1101131.930000000000
-0.1831192184
N/A
DFE
CORP
GB
N
2
Citi
MBNUM2BPBDO7JBLYG310
48599001.000000000000000
GBP
60262526.290000006556511
USD
2023-12-20
-1101131.930000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
US DOLLARS
000000000
-1211341999.000000000000
OU
Notional Amount
N/A
43283.870000000000
0.0071981460
N/A
DFE
CORP
HU
N
2
Citi
MBNUM2BPBDO7JBLYG310
1211341999.000000000000000
HUF
3506419.790000000037253
USD
2023-12-20
43283.870000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
CANADIAN DOLLAR
000000000
26200000.000000000000
OU
Notional Amount
N/A
-144850.840000000000
-0.0240888234
N/A
DFE
CORP
CA
N
2
Citi
MBNUM2BPBDO7JBLYG310
19458400.550000000745058
USD
26200000.000000000000000
CAD
2023-12-20
-144850.840000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
CANADIAN DOLLAR
000000000
17499000.000000000000
OU
Notional Amount
N/A
30544.860000000000
0.0050796374
N/A
DFE
CORP
CA
N
2
Citi
MBNUM2BPBDO7JBLYG310
12886593.949999999254942
USD
17499000.000000000000000
CAD
2024-03-20
30544.860000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
SWISS FRANC
000000000
2955000.000000000000
OU
Notional Amount
N/A
30666.900000000000
0.0050999327
N/A
DFE
CORP
CH
N
2
Citi
MBNUM2BPBDO7JBLYG310
3347465.970000000204891
USD
2955000.000000000000000
CHF
2023-12-13
30666.900000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
SWISS FRANC
000000000
44924428.000000000000
OU
Notional Amount
N/A
695203.370000000000
0.1156129382
N/A
DFE
CORP
CH
N
2
Citi
MBNUM2BPBDO7JBLYG310
50705678.079999998211861
USD
44924428.000000000000000
CHF
2023-12-20
695203.370000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
SWISS FRANC
000000000
9160000.000000000000
OU
Notional Amount
N/A
67684.900000000000
0.0112560590
N/A
DFE
CORP
CH
N
2
Citi
MBNUM2BPBDO7JBLYG310
10414121.640000000596046
USD
9160000.000000000000000
CHF
2023-12-21
67684.900000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
CHILEAN PESO
000000000
10000000000.000000000000
OU
Notional Amount
N/A
614653.890000000000
0.1022174881
N/A
DFE
CORP
CL
N
2
Citi
MBNUM2BPBDO7JBLYG310
10837766.109999999403954
USD
10000000000.000000000000000
CLP
2023-12-20
614653.890000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
INDIAN RUPEE
000000000
180000000.000000000000
OU
Notional Amount
N/A
2308.540000000000
0.0003839123
N/A
DFE
CORP
IN
N
2
Citi
MBNUM2BPBDO7JBLYG310
2155695.439999999944121
USD
180000000.000000000000000
INR
2023-12-20
2308.540000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
INDIAN RUPEE
000000000
1930048000.000000000000
OU
Notional Amount
N/A
-65142.410000000000
-0.0108332407
N/A
DFE
CORP
IN
N
2
Citi
MBNUM2BPBDO7JBLYG310
23204316.109999999403954
USD
1930048000.000000000000000
INR
2023-12-20
-65142.410000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
INDIAN RUPEE
000000000
239012210.000000000000
OU
Notional Amount
N/A
979.800000000000
0.0001629416
N/A
DFE
CORP
IN
N
2
Citi
MBNUM2BPBDO7JBLYG310
2855371.709999999962747
USD
239012210.000000000000000
INR
2024-03-20
979.800000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
INDIAN RUPEE
000000000
219018711.000000000000
OU
Notional Amount
N/A
-2184.710000000000
-0.0003633192
N/A
DFE
CORP
IN
N
2
Citi
MBNUM2BPBDO7JBLYG310
2619600.890000000130385
USD
219018711.000000000000000
INR
2024-03-20
-2184.710000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
JAPANESE YEN
000000000
5991600000.000000000000
OU
Notional Amount
N/A
259871.390000000000
0.0432168431
N/A
DFE
CORP
JP
N
2
Citi
MBNUM2BPBDO7JBLYG310
40214914.469999998807907
USD
5991600000.000000000000000
JPY
2023-12-13
259871.390000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
JAPANESE YEN
000000000
4260000000.000000000000
OU
Notional Amount
N/A
93899.910000000000
0.0156156385
N/A
DFE
CORP
JP
N
2
Citi
MBNUM2BPBDO7JBLYG310
28717770.870000001043081
USD
4260000000.000000000000000
JPY
2023-12-20
93899.910000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
JAPANESE YEN
000000000
12467341912.000000000000
OU
Notional Amount
N/A
-549450.280000000000
-0.0913740698
N/A
DFE
CORP
JP
N
2
Citi
MBNUM2BPBDO7JBLYG310
84869861.229999989271164
USD
12467341912.000000000000000
JPY
2023-12-20
-549450.280000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
JAPANESE YEN
000000000
90000000.000000000000
OU
Notional Amount
N/A
3464.370000000000
0.0005761278
N/A
DFE
CORP
JP
N
2
Citi
MBNUM2BPBDO7JBLYG310
614210.849999999976717
USD
90000000.000000000000000
JPY
2024-03-21
3464.370000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
JAPANESE YEN
000000000
894144512.000000000000
OU
Notional Amount
N/A
-48036.940000000000
-0.0079885858
N/A
DFE
CORP
JP
N
2
Citi
MBNUM2BPBDO7JBLYG310
6184602.589999999850988
USD
894144512.000000000000000
JPY
2024-03-21
-48036.940000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
KOREAN WON
000000000
42557321000.000000000000
OU
Notional Amount
N/A
801089.850000000000
0.1332219539
N/A
DFE
CORP
KW
N
2
Citi
MBNUM2BPBDO7JBLYG310
32074823.639999993145466
USD
42557321000.000000000000000
KRW
2023-12-20
801089.850000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
KOREAN WON
000000000
6589866500.000000000000
OU
Notional Amount
N/A
-22481.570000000000
-0.0037387051
N/A
DFE
CORP
KW
N
2
Citi
MBNUM2BPBDO7JBLYG310
5113212.750000000931323
USD
6589866500.000000000000000
KRW
2023-12-20
-22481.570000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
COCOA MAR 24
000000000
12.000000000000
NC
USD
47056.840000000000
0.0078255943
N/A
DCO
CORP
US
N
1
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Long
COCOA MAR 24
COCOA MAR 24
2024-03-13
466183.160000000000
USD
47056.840000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
GOLD 100 OZ FEB 24
000000000
-8.000000000000
NC
USD
-37699.200000000000
-0.0062694105
N/A
DCO
CORP
US
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Short
GOLD 100 OZ FEB 24
GOLD 100 OZ FEB 24
2024-02-27
-1608060.800000000000
USD
-37699.200000000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
US DOLLARS
000000000
-2097000.000000000000
OU
Notional Amount
N/A
-27997.580000000000
-0.0046560224
N/A
DFE
CORP
CA
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
2097000.000000000000000
CAD
1517629.469999999972060
USD
2023-12-13
-27997.580000000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
US DOLLARS
000000000
-349000.000000000000
OU
Notional Amount
N/A
-9080.120000000000
-0.0015100320
N/A
DFE
CORP
CH
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
349000.000000000000000
CHF
389893.950000000011642
USD
2023-12-13
-9080.120000000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
US DOLLARS
000000000
-17480000.000000000000
OU
Notional Amount
N/A
-44812.410000000000
-0.0074523436
N/A
DFE
CORP
NO
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
17480000.000000000000000
NOK
1571182.320000000065193
USD
2023-12-13
-44812.410000000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
NORWAY KRONA
000000000
2890000.000000000000
OU
Notional Amount
N/A
4709.660000000000
0.0007832206
N/A
DFE
CORP
NO
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
262465.669999999983702
USD
2890000.000000000000000
NOK
2023-12-13
4709.660000000000
N
N
N
Goldman Sachs International
W22LROWP2IHZNBB6K528
SWEDISH KRONA
000000000
878000.000000000000
OU
Notional Amount
N/A
-363.690000000000
-0.0000604820
N/A
DFE
CORP
SE
N
2
Goldman Sachs International
W22LROWP2IHZNBB6K528
83993.539999999993597
USD
878000.000000000000000
SEK
2023-12-13
-363.690000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
DAX INDEX DEC 23
000000000
-14.000000000000
NC
-315450.770000000000
-0.0524597434
N/A
DE
CORP
DE
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
DAX INDEX DEC 23
DAX INDEX DEC 23
2023-12-15
-5399430.690000000000
EUR
-315450.770000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
DAX INDEX DEC 23
000000000
-5.000000000000
NC
-37672.040000000000
-0.0062648937
N/A
DE
CORP
DE
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Short
DAX INDEX DEC 23
DAX INDEX DEC 23
2023-12-15
-1997984.500000000000
EUR
-37672.040000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
COPPER MAR 24
000000000
40.000000000000
NC
USD
17764.500000000000
0.0029542521
N/A
DCO
CORP
US
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Long
COPPER MAR 24
COPPER MAR 24
2024-03-26
3832735.500000000000
USD
17764.500000000000
N
N
N
BRAVO RESIDENTIAL FUNDING TRUST BRAVO_21-HE2
N/A
BRAVO_21-HE2
10569CAL9
353000.000000000000
PA
USD
331912.840000000000
0.0551974002
Long
ABS-CBDO
CORP
US
N
2
2069-11-25
Variable
7.892500000000
N
N
N
N
N
N
BRAVO RESIDENTIAL FUNDING TRUST BRAVO_21-NQM2
N/A
BRAVO_21-NQM2
10569EAE1
200000.000000000000
PA
USD
165035.720000000000
0.0274455869
Long
ABS-CBDO
CORP
US
N
2
2060-03-25
Variable
3.044000000000
N
N
N
N
N
N
BRAVO RESIDENTIAL FUNDING TRUST BRAVO_21-NQM2
N/A
BRAVO_21-NQM2
10569EAF8
300000.000000000000
PA
USD
232355.130000000000
0.0386408646
Long
ABS-CBDO
CORP
US
N
2
2060-03-25
Variable
4.099000000000
N
N
N
N
N
N
CREDIT SUISSE MORTGAGE TRUST CSMC_22-JR1
N/A
CSMC_22-JR1
12546WAA3
1322120.140000000000
PA
USD
1289466.680000000000
0.2144394547
Long
ABS-CBDO
CORP
US
N
2
2066-10-25
Variable
4.267000000000
N
N
N
N
N
N
CHNGE MORTGAGE TRUST CHNGE_23-1
N/A
CHNGE_23-1
12547QAC1
473000.000000000000
PA
USD
444020.660000000000
0.0738410303
Long
ABS-CBDO
CORP
US
N
2
2058-03-25
Variable
8.333700000000
N
N
N
N
N
N
CHNGE MORTGAGE TRUST CHNGE_23-1
N/A
CHNGE_23-1
12547QAD9
300000.000000000000
PA
USD
263405.040000000000
0.0438044922
Long
ABS-CBDO
CORP
US
N
2
2058-03-25
Variable
8.333700000000
N
N
N
N
N
N
COLONY MORTGAGE CAPITAL LTD CLNY_19-IKPR
N/A
CLNY_19-IKPR
12564NAQ5
615000.000000000000
PA
USD
541879.640000000000
0.0901150656
Long
ABS-MBS
CORP
US
N
2
2038-11-15
Variable
8.853200000000
N
N
N
N
N
N
CIM TRUST CIM_21-NR1
N/A
CIM_21-NR1
12565YAA5
671551.580000000000
PA
USD
655519.020000000000
0.1090133955
Long
ABS-CBDO
CORP
US
N
2
2055-07-25
Variable
2.569000000000
N
N
N
N
N
N
CIM TRUST CIM_21-NR4
N/A
CIM_21-NR4
12566DAA0
412843.400000000000
PA
USD
393943.920000000000
0.0655132240
Long
ABS-CBDO
CORP
US
N
2
2061-10-25
Variable
2.816000000000
N
N
N
N
N
N
CSMC_14-USA
N/A
CSMC_14-USA
12649AAQ2
4600000.000000000000
PA
USD
2067189.860000000000
0.3437755106
Long
ABS-MBS
CORP
US
N
2
2037-09-15
Fixed
4.373300000000
N
N
N
N
N
N
CSMC_21-JR2
N/A
CSMC_21-JR2
12659NAA6
284707.540000000000
PA
USD
271677.240000000000
0.0451801664
Long
ABS-CBDO
CORP
US
N
2
2061-11-25
Variable
2.215000000000
N
N
N
N
N
N
CREDIT SUISSE MORTGAGE TRUST CSMC_22-RPL3
N/A
CSMC_22-RPL3
12659QAC5
833995.610000000000
PA
USD
814696.950000000000
0.1354848267
Long
ABS-CBDO
CORP
US
N
2
2061-03-25
Variable
3.613100000000
N
N
N
N
N
N
CHNGE MORTGAGE TRUST CHNGE_23-2
N/A
CHNGE_23-2
169926AF9
200000.000000000000
PA
USD
190682.600000000000
0.0317106858
Long
ABS-CBDO
CORP
US
N
2
2058-06-25
Variable
8.271200000000
N
N
N
N
N
N
CHNGE MORTGAGE TRUST CHNGE_23-3
N/A
CHNGE_23-3
17030AAE5
800000.000000000000
PA
USD
786715.760000000000
0.1308315300
Long
ABS-CBDO
CORP
US
N
2
2058-07-25
Variable
8.258100000000
N
N
N
N
N
N
CHNGE MORTGAGE TRUST CHNGE_23-3
N/A
CHNGE_23-3
17030AAF2
300000.000000000000
PA
USD
279718.320000000000
0.0465174052
Long
ABS-CBDO
CORP
US
N
2
2058-07-25
Variable
8.258100000000
N
N
N
N
N
N
COLT MORTGAGE LOAN TRUST COLT_21-3
N/A
COLT_21-3
19688FAC9
537593.820000000000
PA
USD
408971.330000000000
0.0680122956
Long
ABS-CBDO
CORP
US
N
2
2066-09-27
Variable
1.419000000000
N
N
N
N
N
N
COLT MORTGAGE LOAN TRUST COLT_21-3
N/A
COLT_21-3
19688FAE5
200000.000000000000
PA
USD
103399.420000000000
0.0171954154
Long
ABS-CBDO
CORP
US
N
2
2066-09-27
Variable
3.059000000000
N
N
N
N
N
N
COLT MORTGAGE LOAN TRUST COLT_21-4
N/A
COLT_21-4
19688GAE3
400000.000000000000
PA
USD
250748.960000000000
0.0416997749
Long
ABS-CBDO
CORP
US
N
2
2066-10-25
Variable
3.764000000000
N
N
N
N
N
N
COLT FUNDING LLC COLT_20-2
N/A
COLT_20-2
19688JAD9
200000.000000000000
PA
USD
188905.620000000000
0.0314151725
Long
ABS-CBDO
CORP
US
N
2
2065-03-25
Variable
5.250000000000
N
N
N
N
N
N
COLUMBIA SHORT TERM CASH FUND
N/A
COLUMBIA SHORT TERM CASH FUND
19766H239
259353062.733000000000
NS
USD
259301192.120000000000
43.1220186630
Long
STIV
CORP
US
N
1
N
N
N
COMM MORTGAGE TRUST COMM_20-CBM
N/A
COMM_20-CBM
20049AAJ7
2200000.000000000000
PA
USD
1992737.340000000000
0.3313939904
Long
ABS-MBS
CORP
US
N
2
2037-02-10
Variable
3.753800000000
N
N
N
N
N
N
CONNECTICUT AVENUE SECURITIES TRUST CAS_21-R03
N/A
CAS_21-R03
20754AAJ2
1200000.000000000000
PA
USD
1188994.200000000000
0.1977307920
Long
ABS-CBDO
CORP
US
N
2
2041-12-25
Variable
10.828100000000
N
N
N
N
N
N
CONNECTICUT AVENUE SECURITIES TRUST CAS_21-R02
N/A
CAS_21-R02
20754KAJ0
1100000.000000000000
PA
USD
1125447.730000000000
0.1871629576
Long
ABS-CBDO
CORP
US
N
2
2041-11-25
Variable
11.528100000000
N
N
N
N
N
N
FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES STACR_20-CS
N/A
STACR_20-CS02
3137G0WT2
1817958.260000000000
PA
USD
1723599.140000000000
0.2866360686
Long
ABS-CBDO
CORP
US
N
2
2033-06-25
Variable
4.617000000000
N
N
N
N
N
N
FEDERAL HOME LOAN MORTGAGE CORPORATION FHLMC_5105
N/A
FHLMC_5105
3137H06M5
2678832.640000000000
PA
USD
478586.850000000000
0.0795894184
Long
ABS-CBDO
USGA
US
N
2
2051-05-25
Fixed
3.000000000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-66
N/A
GNMA_23-66
38384AQY2
5803405.850000000000
PA
USD
308561.870000000000
0.0513141132
Long
ABS-CBDO
USGA
US
N
2
2053-05-20
Variable
0.074900000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-66
N/A
GNMA_23-66
38384ARD7
1938372.920000000000
PA
USD
178887.200000000000
0.0297491003
Long
ABS-CBDO
USGA
US
N
2
2053-05-20
Variable
0.824900000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATiON GNMA_23-115
N/A
GNMA_23-115
38384CL56
5590826.700000000000
PA
USD
227441.540000000000
0.0378237302
Long
ABS-CBDO
USGA
US
N
2
2053-08-20
Variable
0.574900000000
N
N
N
N
N
N
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION GNMA_23-173
N/A
GNMA_23-173
38384GBQ2
5530000.000000000000
PA
USD
358132.750000000000
0.0595577946
Long
ABS-CBDO
USGA
US
N
2
2053-11-20
Variable
0.328700000000
N
N
N
N
N
N
HILT_16-SFP
N/A
HILT_16-SFP
43289VAS2
1700000.000000000000
PA
USD
50907.010000000000
0.0084658810
Long
ABS-MBS
CORP
US
N
2
2035-11-05
Fixed
0.000000000000
Y
Y
N
N
N
N
HOME RE 2018-1 LTD HMIR_18-1
N/A
HMIR_18-1
43730MAB4
286887.740000000000
PA
USD
288702.620000000000
0.0480115022
Long
ABS-CBDO
CORP
US
N
2
2028-10-25
Variable
8.457400000000
N
N
N
N
N
N
HOME RE LTD HMIR_20-1
N/A
HMIR_20-1
43731WAD7
417593.940000000000
PA
USD
420885.710000000000
0.0699936676
Long
ABS-CBDO
CORP
US
N
2
2030-10-25
Variable
10.707400000000
N
N
N
N
N
N
HOME PARTNERS OF AMERICA TRUST HPA_19-2
N/A
HPA_19-2
43732TAL5
329821.440000000000
PA
USD
278713.300000000000
0.0463502695
Long
ABS-MBS
CORP
US
N
2
2039-10-19
Fixed
3.866000000000
N
N
N
N
N
N
HOMEWARD OPPORTUNITIES FUND I TRUST HOF_20-2
N/A
HOF_20-2
43789XAE4
250000.000000000000
PA
USD
223693.480000000000
0.0372004245
Long
ABS-CBDO
CORP
US
N
2
2065-05-25
Variable
5.450000000000
N
N
N
N
N
N
IMPERIAL FUND MORTGAGE TRUST IMPRL_21-NQM3
N/A
IMPRL_21-NQM3
452762AE7
500000.000000000000
PA
USD
324741.700000000000
0.0540048333
Long
ABS-CBDO
CORP
US
N
2
2056-11-25
Variable
4.146900000000
N
N
N
N
N
N
LPLMS_21-2
N/A
LPLMS_21-2A
50214JAA3
96885.970000000000
PA
USD
95967.990000000000
0.0159595620
Long
ABS-MBS
CORP
US
N
2
2029-01-15
Fixed
1.750000000000
N
N
N
N
N
N
LPLMS_21-2
N/A
LPLMS_21-2A
50214JAB1
500000.000000000000
PA
USD
471250.000000000000
0.0783692937
Long
ABS-MBS
CORP
US
N
3
2029-01-15
Fixed
2.330000000000
N
N
N
N
N
N
BVRT FINANCING TRUST BVRT_21-CRT1
N/A
BVRT_21-CRT1
512366AF2
1865740.530000000000
PA
USD
1795159.570000000000
0.2985366317
Long
ABS-CBDO
CORP
US
N
3
2032-07-10
Variable
8.926900000000
N
N
N
N
N
N
LEGACY MORTGAGE ASSET TRUST LMAT_21-GS1
N/A
LMAT_21-GS1
52474JAA4
357695.560000000000
PA
USD
340715.680000000000
0.0566613203
Long
ABS-CBDO
CORP
US
N
2
2066-10-25
Variable
1.892000000000
N
N
N
N
N
N
LEGACY MORTGAGE ASSET TRUST LMAT_21-SL2
N/A
LMAT_21-SL2
52476TAA0
598903.310000000000
PA
USD
558242.450000000000
0.0928362155
Long
ABS-CBDO
CORP
US
N
2
2068-10-25
Variable
1.875000000000
N
N
N
N
N
N
LENDINGPOINT ASSET SECURITIZATION TRUST LDPT_22-C
N/A
LDPT_22-C
525919AA4
290852.320000000000
PA
USD
290519.670000000000
0.0483136793
Long
ABS-MBS
CORP
US
N
2
2030-02-15
Fixed
6.560000000000
N
N
N
N
N
N
LENDING CLUB RECEIVABLES TRUST LCRT_20-2
N/A
LCRT_20-2
52605L103
85000.000000000000
PA
USD
195500.000000000000
0.0325118237
Long
ABS-MBS
CORP
US
N
3
2046-02-15
Fixed
0.000000000000
N
N
N
N
N
N
LENDINGPOINT ASSET SECURITIZATION TRUST LDPT_21-1
N/A
LDPT_21-1
52607DAD1
1000000.000000000000
PA
USD
976250.000000000000
0.1623512425
Long
ABS-MBS
CORP
US
N
3
2027-04-15
Fixed
7.226000000000
N
N
N
N
N
N
LENDINGPOINT ASSET SECURITIZATION TRUST LDPT_21-A
N/A
LDPT_21-A
52607FAC8
1153164.810000000000
PA
USD
1137341.660000000000
0.1891409287
Long
ABS-MBS
CORP
US
N
2
2028-12-15
Fixed
2.750000000000
N
N
N
N
N
N
LLEND_21-1A
N/A
LLEND_21-1A
53934QAA0
325604.360000000000
PA
USD
321307.160000000000
0.0534336662
Long
ABS-MBS
CORP
US
N
2
2029-05-15
Fixed
1.070000000000
N
N
N
N
N
N
LOANDEPOT GMSR MASTER TRUST LDMSR _18-GT1
N/A
LDMSR_18-GT1
53946TAB8
850000.000000000000
PA
USD
785061.110000000000
0.1305563602
Long
ABS-CBDO
CORP
US
N
2
2025-10-16
Variable
8.227100000000
N
N
N
N
N
N
MARLETTE FUNDING TRUST MFT_22-3
N/A
MFT_22-3A
57109NAB5
2000000.000000000000
PA
USD
1984675.600000000000
0.3300533159
Long
ABS-MBS
CORP
US
N
2
2032-11-15
Fixed
5.950000000000
N
N
N
N
N
N
PRETIUM MORTGAGE CREDIT PARTNERS LLC PRET_21-NPL6
N/A
PRET_21-NPL6
69362GAB7
900000.000000000000
PA
USD
787136.850000000000
0.1309015576
Long
ABS-CBDO
CORP
US
N
2
2051-07-25
Variable
5.071300000000
N
N
N
N
N
N
PRET LLC PRET_22-NPL1
N/A
PRET_22-NPL1
69362NAA4
613628.650000000000
PA
USD
589232.060000000000
0.0979898152
Long
ABS-CBDO
CORP
US
N
2
2052-01-25
Variable
2.981400000000
N
N
N
N
N
N
PRESTON RIDGE PARTNERS MORTGAGE TRUST PRPM_23-RCF1
N/A
PRPM_23-RCF1
69381AAE1
700000.000000000000
PA
USD
540340.360000000000
0.0898590820
Long
ABS-CBDO
CORP
US
N
2
2053-06-25
Variable
4.000000000000
N
N
N
N
N
N
PRPM LLC PRPM_23-NQM1
N/A
PRPM_23-NQM1
693965AD7
1780000.000000000000
PA
USD
1694278.940000000000
0.2817600932
Long
ABS-CBDO
CORP
US
N
2
2068-01-25
Variable
6.417700000000
N
N
N
N
N
N
PRPM LLC PRPM_23-NQM1
N/A
PRPM_23-NQM1
693965AE5
300000.000000000000
PA
USD
269146.140000000000
0.0447592422
Long
ABS-CBDO
CORP
US
N
2
2068-01-25
Variable
6.417700000000
N
N
N
N
N
N
PAGAYA AI DEBT SELECTION TRUST PAID_21-2
N/A
PAID_21-2
69546LAA7
205796.120000000000
PA
USD
197694.730000000000
0.0328768093
Long
ABS-MBS
CORP
US
N
2
2029-01-25
Fixed
3.000000000000
N
N
N
N
N
N
PAGAYA AI DEBT SELECTION TRUST PAID_22-1
N/A
PAID_22-1
69546MAA5
533931.390000000000
PA
USD
525287.410000000000
0.0873557631
Long
ABS-MBS
CORP
US
N
2
2029-10-15
Fixed
2.030000000000
N
N
N
N
N
N
PAGAYA AI DEBT SELECTION TRUST PAID_23-5
N/A
PAID_23-5
69546PAC4
849992.820000000000
PA
USD
856646.310000000000
0.1424610426
Long
ABS-MBS
CORP
US
N
2
2031-04-15
Fixed
9.099000000000
N
N
N
N
N
N
PAGAYA AI DEBT SELECTION TRUST PAID_20-3
N/A
PAID_20-3
69546T102
3200000.000000000000
PA
USD
272000.000000000000
0.0452338417
Long
ABS-MBS
CORP
US
N
3
2027-05-17
Variable
0.000000000000
N
N
N
N
N
N
PAGAYA AI DEBT SELECTION TRUST PAID_22-2
N/A
PAID_22-2
69546VAB3
399976.190000000000
PA
USD
380113.570000000000
0.0632132245
Long
ABS-MBS
CORP
US
N
2
2030-01-15
Fixed
6.630000000000
N
N
N
N
N
N
PAGAYA AI DEBT SELECTION TRUST PAID_21-5
N/A
PAID_21-5
69547EAA2
38521.280000000000
PA
USD
38264.430000000000
0.0063634087
Long
ABS-MBS
CORP
US
N
2
2029-08-15
Fixed
1.530000000000
N
N
N
N
N
N
PAGAYA AI DEBT SELECTION TRUST PAID_21-5
N/A
PAID_21-5
69547EAD6
865000.000000000000
PA
USD
64875.000000000000
0.0107887701
Long
ABS-MBS
CORP
US
N
3
2029-08-15
Fixed
0.000000000000
N
N
N
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
CDS: (CMBX.NA.10.BBB-)
000000000
-3500000.000000000000
OU
Notional Amount
USD
-1047291.000000000000
-0.1741654239
N/A
DCR
CORP
US
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
CMBX.NA.10.BBB-
CT1273316
Y
CMBX.NA.10.BBB-
2059-11-17
0.000000000000
USD
-631693.470000000000
USD
-3500000.000000000000
USD
-413847.530000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
CDS: (CMBX.NA.10.BBB-)
000000000
-500000.000000000000
OU
Notional Amount
USD
-149613.000000000000
-0.0248807748
N/A
DCR
CORP
US
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
CMBX.NA.10.BBB-
CT1273316
Y
CMBX.NA.10.BBB-
2059-11-17
0.000000000000
USD
-95341.590000000000
USD
-500000.000000000000
USD
-54021.410000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
CDS: (CMBX.NA.10.BBB-)
000000000
-2000000.000000000000
OU
Notional Amount
USD
-598452.000000000000
-0.0995230994
N/A
DCR
CORP
US
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
CMBX.NA.10.BBB-
CT1273316
Y
CMBX.NA.10.BBB-
2059-11-17
0.000000000000
USD
-303741.300000000000
USD
-2000000.000000000000
USD
-293710.700000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
CDS: (CMBX.NA.10.BBB-)
000000000
-5000000.000000000000
OU
Notional Amount
USD
-1496130.000000000000
-0.2488077485
N/A
DCR
CORP
US
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
CMBX.NA.10.BBB-
CT1273316
Y
CMBX.NA.10.BBB-
2059-11-17
0.000000000000
USD
-925226.020000000000
USD
-5000000.000000000000
USD
-568403.980000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
CDS: (CMBX.NA.10.BBB-)
000000000
-1200000.000000000000
OU
Notional Amount
USD
-359071.200000000000
-0.0597138596
N/A
DCR
CORP
US
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
CMBX.NA.10.BBB-
CT1273316
Y
CMBX.NA.10.BBB-
2059-11-17
0.000000000000
USD
-268111.650000000000
USD
-1200000.000000000000
USD
-90359.550000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
OTC (GENERIC) 1 YEAR
000000000
25000000.000000000000
OU
Notional Amount
USD
2.500000000000
0.0000004158
N/A
DIR
CORP
US
N
2
Citi
MBNUM2BPBDO7JBLYG310
Call
Purchased
Citi
MBNUM2BPBDO7JBLYG310
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
FSWP: OIS 3.000000 04-DEC-2033
000000000
N/A
OU
Notional
N/A
N/A
0.000000000000
DIR
CORP
United States SOFR Secured Overnight Financing Rate
CT1403743
2033-12-04
N/A
N/A
N/A
N/A
25000000.000000000000
USD
25000000.000000000000000
USD
3.000000000000
USD
2023-11-30
XXXX
-768747.500000000000
N
N
N
Citi
MBNUM2BPBDO7JBLYG310
OTC (GENERIC) 1 YEAR
000000000
20000000.000000000000
OU
Notional Amount
USD
2.000000000000
0.0000003326
N/A
DIR
CORP
US
N
2
Citi
MBNUM2BPBDO7JBLYG310
Call
Purchased
Citi
MBNUM2BPBDO7JBLYG310
CITIGROUP GLOBAL MARKETS INC
MBNUM2BPBDO7JBLYG310
FSWP: OIS 3.000000 05-DEC-2033
000000000
N/A
OU
Notional
N/A
N/A
0.000000000000
DIR
CORP
United States SOFR Secured Overnight Financing Rate
CT1403743
2033-12-05
N/A
N/A
N/A
N/A
20000000.000000000000
USD
20000000.000000000000000
USD
3.000000000000
USD
2023-12-01
XXXX
-689998.000000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
OTC (GENERIC) 1 YEAR
000000000
25000000.000000000000
OU
Notional Amount
USD
2690.000000000000
0.0004473494
N/A
DIR
CORP
US
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Call
Purchased
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
MORGAN STANLEY CAPITAL SERVICES
9R7GPTSO7KV3UQJZQ078
FSWP: OIS 3.000000 12-JAN-2034
000000000
N/A
OU
Notional
N/A
N/A
0.000000000000
DIR
CORP
United States SOFR Secured Overnight Financing Rate
CT1403743
2034-01-12
N/A
N/A
N/A
N/A
25000000.000000000000
USD
25000000.000000000000000
USD
3.000000000000
USD
2024-01-10
XXXX
-851060.000000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: AUD 3.500000 11-DEC-2025
000000000
9900000.000000000000
OU
Notional Amount
-107864.100000000000
-0.0179378957
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
ASX Australian Bank Bill Short Term Rates 3 Month Mid
CT1622425
Y
2025-12-11
0.000000000000
USD
-34601.480000000000
USD
9900000.000000000000
AUD
-73262.620000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 4.190000 20-DEC-2025
000000000
23200000.000000000000
OU
Notional Amount
USD
133613.210000000000
0.0222199956
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
United States SOFR Secured Overnight Financing Rate
CT1403743
Y
2025-12-20
219587.140000000000
USD
0.000000000000
USD
23200000.000000000000
USD
-85973.930000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: AUD 4.000000 08-DEC-2033
000000000
3700000.000000000000
OU
Notional Amount
-155335.840000000000
-0.0258324882
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
ASX Australian Bank Bill Short Term Rates 6 Month Mid
CT1917385
Y
2033-12-08
0.000000000000
USD
-77203.930000000000
USD
3700000.000000000000
AUD
-78131.910000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 0.500000 20-MAR-2029 FTO
000000000
20000000.000000000000
OU
Notional Amount
586.500000000000
0.0000975355
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
Bank of Japan Final Result: Unsecured Overnight Call Rate TONAR
CT1862899
Y
2029-03-20
304.980000000000
USD
0.000000000000
USD
20000000.000000000000
JPY
281.520000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 0.500000 20-MAR-2029 FTO
000000000
130000000.000000000000
OU
Notional Amount
3812.220000000000
0.0006339756
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
Bank of Japan Final Result: Unsecured Overnight Call Rate TONAR
CT1862899
Y
2029-03-20
6933.790000000000
USD
0.000000000000
USD
130000000.000000000000
JPY
-3121.570000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: SEK 3.500000 18-MAR-2026 3M
000000000
977600000.000000000000
OU
Notional Amount
-459840.280000000000
-0.0764718472
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
Stockholm Interbank Offered Ra
STIB3MIN4
Y
2026-03-18
271104.350000000000
USD
0.000000000000
USD
977600000.000000000000
SEK
-730944.630000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 3.250000 20-MAR-2029 SOF
000000000
6500000.000000000000
OU
Notional Amount
USD
189386.530000000000
0.0314951482
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
United States SOFR Secured Overnight Financing Rate
CT1403743
Y
2029-03-20
280935.440000000000
USD
0.000000000000
USD
6500000.000000000000
USD
-91548.910000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
SWP: NZD 4.668000 05-SEP-2033 3M
000000000
5100000.000000000000
OU
Notional Amount
-41103.250000000000
-0.0068355070
N/A
DIR
CORP
US
N
2
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
NZD - 3M NEW ZEALAND BANK BILL RATE
NDBB3MIN1
Y
2033-09-05
0.000000000000
USD
0.000000000000
USD
5100000.000000000000
NZD
-48395.700000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 1.500000 20-MAR-2026 SAR
000000000
107300000.000000000000
OU
Notional Amount
769441.600000000000
0.1279588218
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
Swiss Average Rate O/N Intraday Value
CT1870898
Y
2026-03-20
0.000000000000
USD
-36310.390000000000
USD
107300000.000000000000
CHF
805751.990000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 1.500000 20-MAR-2034 SAR
000000000
800000.000000000000
OU
Notional Amount
17019.520000000000
0.0028303613
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
Swiss Average Rate O/N Intraday Value
CT1870898
Y
2034-03-20
0.000000000000
USD
-9153.680000000000
USD
800000.000000000000
CHF
26173.200000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 4.750000 20-MAR-2026 SON
000000000
17600000.000000000000
OU
Notional Amount
80961.800000000000
0.0134640193
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
GBP SONIA OVERNIGHT RATE
CT1240964
Y
2026-03-20
0.000000000000
USD
-25789.310000000000
USD
17600000.000000000000
GBP
106751.110000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: NZD 5.500000 11-MAR-2026 3M
000000000
44700000.000000000000
OU
Notional Amount
208103.750000000000
0.0346078385
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
NZD - 3M NEW ZEALAND BANK BILL RATE
NDBB3MIN1
Y
2026-03-11
39823.120000000000
USD
0.000000000000
USD
44700000.000000000000
NZD
168280.630000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: NZD 5.500000 11-MAR-2026 3M
000000000
300000.000000000000
OU
Notional Amount
1396.670000000000
0.0002322675
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
NZD - 3M NEW ZEALAND BANK BILL RATE
NDBB3MIN1
Y
2026-03-11
1427.770000000000
USD
0.000000000000
USD
300000.000000000000
NZD
-31.100000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 4.000000 18-MAR-2029 CAD
000000000
400000.000000000000
OU
Notional Amount
-6231.740000000000
-0.0010363439
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
Canadian Overnight Repo Rate Average CORRA
CT2073686
Y
2029-03-18
1668.250000000000
USD
0.000000000000
USD
400000.000000000000
CAD
-7899.990000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 1.500000 20-MAR-2029 SAR
000000000
1100000.000000000000
OU
Notional Amount
20793.600000000000
0.0034579942
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
Swiss Average Rate O/N Intraday Value
CT1870898
Y
2029-03-20
0.000000000000
USD
-1764.390000000000
USD
1100000.000000000000
CHF
22557.990000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP: MSCI ITALY INDEX 12/20/23
000000000
-7232247.120000000000
OU
Notional Amount
142686.420000000000
0.0237288784
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI Italy Net Return EUR Index
CT1578294
Y
MSCI Italy Net Return EUR Index
2023-12-20
0.000000000000
USD
0.000000000000
USD
-7232247.120000000000
EUR
130249.070000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP: MSCI BRAZIL 12/20/2023
000000000
-582104.040000000000
OU
Notional Amount
3740.640000000000
0.0006220718
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI BRAZIL NET BRL
CT1628428
Y
MSCI BRAZIL NET BRL
2023-12-20
0.000000000000
USD
0.000000000000
USD
-582104.040000000000
BRL
3243.930000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP: MSCI POLAND 12/20/2023
000000000
628926.600000000000
OU
Notional Amount
-375.740000000000
-0.0000624859
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI Emerging Poland
MSCIPOTR4
Y
MSCI Emerging Poland
2023-12-20
0.000000000000
USD
0.000000000000
USD
628926.600000000000
PLN
-43.590000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP : MSCI SOUTH AFRICA INDEX
000000000
12978261.359400000000
OU
Notional Amount
-5898.680000000000
-0.0009809557
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI South Africa Net Return ZAR Index
CT1578246
Y
MSCI South Africa Net Return ZAR Index
2023-12-20
0.000000000000
USD
0.000000000000
USD
12978261.359400000000
ZAR
-3435.120000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP: MSCI CANADA 12/20/2023
000000000
307988.320000000000
OU
Notional Amount
-2580.030000000000
-0.0004290613
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI Canada Net Return CAD Index
CT1629248
Y
MSCI Canada Net Return CAD Index
2023-12-20
0.000000000000
USD
0.000000000000
USD
307988.320000000000
CAD
-2157.520000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP: MSCI SINGAPORE 12/20/2023
000000000
4217597.580000000000
OU
Notional Amount
65691.680000000000
0.0109245848
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI Singapore Net Return SGD Index
CT1578265
Y
MSCI Singapore Net Return SGD Index
2023-12-20
0.000000000000
USD
0.000000000000
USD
4217597.580000000000
SGD
70430.170000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP: MSCI NETHERLAND 12/20/2023
000000000
7611699.150000000000
OU
Notional Amount
-7960.250000000000
-0.0013237966
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI Netherlands Net Return EUR Index
CT1629808
Y
MSCI Netherlands Net Return EUR Index
2023-12-20
0.000000000000
USD
0.000000000000
USD
7611699.150000000000
EUR
4761.420000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP: MSCI SWEDEN 12/20/2023
000000000
5731688.000000000000
OU
Notional Amount
-8676.300000000000
-0.0014428764
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI Sweden Net Return SEK Index
CT1578287
Y
MSCI SWEDEN NR
2023-12-20
0.000000000000
USD
0.000000000000
USD
5731688.000000000000
SEK
-7894.610000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 4.750000 20-MAR-2029 SON
000000000
6700000.000000000000
OU
Notional Amount
-246039.130000000000
-0.0409165259
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
GBP SONIA OVERNIGHT RATE
CT1240964
Y
2029-03-20
0.000000000000
USD
-113224.160000000000
USD
6700000.000000000000
GBP
-132814.970000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 4.000000 20-MAR-2054 SON
000000000
2300000.000000000000
OU
Notional Amount
19298.700000000000
0.0032093910
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
GBP SONIA OVERNIGHT RATE
CT1240964
Y
2054-03-20
0.000000000000
USD
-60356.730000000000
USD
2300000.000000000000
GBP
79655.430000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 4.000000 20-MAR-2054 SON
000000000
1100000.000000000000
OU
Notional Amount
9229.800000000000
0.0015349239
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
GBP SONIA OVERNIGHT RATE
CT1240964
Y
2054-03-20
29336.290000000000
USD
0.000000000000
USD
1100000.000000000000
GBP
-20106.490000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: AUD 4.500000 08-MAR-2029 AUD
000000000
100000.000000000000
OU
Notional Amount
44.910000000000
0.0000074686
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
ASX Australian Bank Bill Short Term Rates 6 Month Mid
CT1917385
Y
2029-03-08
247.510000000000
USD
0.000000000000
USD
100000.000000000000
AUD
-202.600000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 4.250000 20-MAR-2034 SOF
000000000
2100000.000000000000
OU
Notional Amount
USD
-54112.990000000000
-0.0089990383
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
United States SOFR Secured Overnight Financing Rate
CT1403743
Y
2034-03-20
0.000000000000
USD
-37216.680000000000
USD
2100000.000000000000
USD
-16896.310000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 4.000000 20-MAR-2026 SOF
000000000
10300000.000000000000
OU
Notional Amount
USD
49758.170000000000
0.0082748279
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
United States SOFR Secured Overnight Financing Rate
CT1403743
Y
2026-03-20
82316.390000000000
USD
0.000000000000
USD
10300000.000000000000
USD
-32558.220000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 4.250000 20-MAR-2029 SOF
000000000
2200000.000000000000
OU
Notional Amount
USD
-33323.600000000000
-0.0055417443
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
United States SOFR Secured Overnight Financing Rate
CT1403743
Y
2029-03-20
0.000000000000
USD
-18045.470000000000
USD
2200000.000000000000
USD
-15278.130000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: USD 4.000000 20-MAR-2054 US3
000000000
1700000.000000000000
OU
Notional Amount
USD
62938.400000000000
0.0104667118
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
United States SOFR Secured Overnight Financing Rate
CT1403743
Y
2054-03-20
34678.300000000000
USD
0.000000000000
USD
1700000.000000000000
USD
28260.100000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP: MSCI SINGAPORE 12/20/2023
000000000
141691.060000000000
OU
Notional Amount
1467.910000000000
0.0002441147
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI Singapore Net Return SGD Index
CT1578265
Y
MSCI Singapore Net Return SGD Index
2023-12-20
0.000000000000
USD
0.000000000000
USD
141691.060000000000
SGD
1542.450000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: NZD 4.500000 10-JUN-2026 3M
000000000
3100000.000000000000
OU
Notional Amount
-14967.340000000000
-0.0024890819
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
NZD - 3M NEW ZEALAND BANK BILL RATE
NDBB3MIN1
Y
2026-06-10
0.000000000000
USD
-8262.800000000000
USD
3100000.000000000000
NZD
-6704.540000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: CHF 1.000000 19-JUN-2029 SAR
000000000
200000.000000000000
OU
Notional Amount
-1601.460000000000
-0.0002663242
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
Swiss Average Rate O/N Intraday Value
CT1870898
Y
2029-06-19
0.000000000000
USD
-2296.710000000000
USD
200000.000000000000
CHF
695.250000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: CHF 1.000000 19-JUN-2026 SAR
000000000
2400000.000000000000
OU
Notional Amount
-6044.240000000000
-0.0010051625
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
Swiss Average Rate O/N Intraday Value
CT1870898
Y
2026-06-19
0.000000000000
USD
-10469.560000000000
USD
2400000.000000000000
CHF
4425.320000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
TRSWAP: MSCI SPAIN INDEX 12/20/23
000000000
-331234.180000000000
OU
Notional Amount
8379.550000000000
0.0013935266
N/A
DE
CORP
US
N
2
JPMorgan
ZBUT11V806EZRVTWT807
MSCI Spain Net Return EUR Index
CT1585851
Y
MSCI SPAIN NR
2023-12-20
0.000000000000
USD
0.000000000000
USD
-331234.180000000000
EUR
8224.670000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: NZD 4.500000 13-JUN-2029 3M
000000000
100000.000000000000
OU
Notional Amount
-427.980000000000
-0.0000711735
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
NZD - 3M NEW ZEALAND BANK BILL RATE
NDBB3MIN1
Y
2029-06-13
790.750000000000
USD
0.000000000000
USD
100000.000000000000
NZD
-1218.730000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 1.500000 19-JUN-2034 SAR
000000000
100000.000000000000
OU
Notional Amount
2137.320000000000
0.0003554382
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
Swiss Average Rate O/N Intraday Value
CT1870898
Y
2034-06-19
0.000000000000
USD
-170.200000000000
USD
100000.000000000000
CHF
2307.520000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 3.750000 19-JUN-2029 SOF
000000000
200000.000000000000
OU
Notional Amount
USD
685.880000000000
0.0001140625
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
United States SOFR Secured Overnight Financing Rate
CT1403743
Y
2029-06-19
1841.470000000000
USD
0.000000000000
USD
200000.000000000000
USD
-1155.590000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 4.000000 19-JUN-2026 SOF
000000000
75500000.000000000000
OU
Notional Amount
USD
59795.240000000000
0.0099440015
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
United States SOFR Secured Overnight Financing Rate
CT1403743
Y
2026-06-19
338768.710000000000
USD
0.000000000000
USD
75500000.000000000000
USD
-278973.470000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 0.040000 19-JUN-2054 SON
000000000
200000.000000000000
OU
Notional Amount
2575.650000000000
0.0004283329
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
GBP SONIA OVERNIGHT RATE
CT1240964
Y
2054-06-19
2803.340000000000
USD
0.000000000000
USD
200000.000000000000
GBP
-227.690000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: AUD 5.000000 06-AUG-2034 AUD
000000000
300000.000000000000
OU
Notional Amount
2738.420000000000
0.0004554017
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
ASX Australian Bank Bill Short Term Rates 6 Month Mid
CT1917385
Y
2034-08-06
992.420000000000
USD
0.000000000000
USD
300000.000000000000
AUD
1746.000000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 0.045000 19-JUN-2029 SON
000000000
300000.000000000000
OU
Notional Amount
-8243.580000000000
-0.0013709147
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
GBP SONIA OVERNIGHT RATE
CT1240964
Y
2029-06-19
0.000000000000
USD
-6745.150000000000
USD
300000.000000000000
GBP
-1498.430000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
FSWP: OIS 4.000000 17-JUN-2026 CAD
000000000
200000.000000000000
OU
Notional Amount
597.090000000000
0.0000992966
N/A
DIR
CORP
GB
N
2
JPMorgan
ZBUT11V806EZRVTWT807
Canadian Overnight Repo Rate Average CORRA
CT2073686
Y
2026-06-17
0.000000000000
USD
-1.800000000000
USD
200000.000000000000
CAD
598.890000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
CAN 10YR BOND MAR 24
000000000
-224.000000000000
NC
-220640.370000000000
-0.0366926896
N/A
DIR
CORP
CA
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
CAN 10YR BOND MAR 24
CAN 10YR BOND MAR 24
2024-03-19
-26526341.740000000000
CAD
-220640.370000000000
N
N
N
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
CAN 10YR BOND MAR 24
000000000
-85.000000000000
NC
-55957.590000000000
-0.0093057969
N/A
DIR
CORP
CA
N
1
Morgan Stanley
9R7GPTSO7KV3UQJZQ078
Short
CAN 10YR BOND MAR 24
CAN 10YR BOND MAR 24
2024-03-19
-10103767.250000000000
CAD
-55957.590000000000
N
N
N
Goldman Sachs
FOR8UP27PHTHYVLBNG30
BRENT CRUDE (ICE) FEB 24
000000000
7.000000000000
NC
USD
1963.380000000000
0.0003265118
N/A
DCO
CORP
GB
N
1
Goldman Sachs
FOR8UP27PHTHYVLBNG30
Long
BRENT CRUDE (ICE) FEB 24
BRENT CRUDE (ICE) FEB 24
2023-12-28
564056.620000000000
USD
1963.380000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
BRENT CRUDE (ICE) MAR 24
000000000
-160.000000000000
NC
USD
88546.630000000000
0.0147253833
N/A
DCO
CORP
GB
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Short
BRENT CRUDE (ICE) MAR 24
BRENT CRUDE (ICE) MAR 24
2024-01-31
-12981346.630000000000
USD
88546.630000000000
N
N
N
JPMorgan
ZBUT11V806EZRVTWT807
BRENT CRUDE (ICE) MAY 24
000000000
37.000000000000
NC
USD
-108863.120000000000
-0.0181040336
N/A
DCO
CORP
GB
N
1
JPMorgan
ZBUT11V806EZRVTWT807
Long
BRENT CRUDE (ICE) MAY 24
BRENT CRUDE (ICE) MAY 24
2024-03-28
3068863.120000000000
USD
-108863.120000000000
N
N
N
2023-12-26
Columbia Funds Series Trust I
Martha Skinner
Martha Skinner
Assistant Treasurer