Putnam VT Multi-Asset Absolute Return Fund...consumer staples spdr sedol 2369389 1.31 comm serv...

Putnam VT Multi-Asset Absolute Return Fund

Full holdings as of July 31, 2021US 10YR NOTE (CBT)SEP21 TYU1 46.48UBSPUSER R US0001M P 05/23/23 UB 36.19MLFCF15 R US0003M P 06/20/23 BA 23.04GSGLPWDL R US0001M P 12/15/25 GS 19.43S&P500 EMINI FUT SEP21 ESU1 14.80US 10YR ULTRA FUT SEP21 UXYU1 8.87BEFSBAXD R 0.1 P 05/26/22 BC 7.56JPCMPTFL R US0001M P 07/15/22 JP 7.18RU10VATR R US0001M P 02/05/22 JP 5.39FNMA FN30 TBA UMBS 04.0000 08/01/2051 4.50FNMA FN30 TBA UMBS 03.5000 09/01/2051 4.46FNMA FN30 TBA UMBS 03.0000 09/01/2051 4.41S&P GSCI LIGHT ENERGY ER 3.33GSVIUS85 R 0.45 P 12/15/25 GS 3.20MATERIALS SELECT SECTOR SPDR SEDOL 2436841 3.01MSCI EMGMKT SEP21 MESU1 2.96FINANCIAL SELECT SECTOR SPDR SEDOL 2364038 2.95TREASURY BILL 00.0000 10/14/2021 2.53NASDAQ 100 E-MINI SEP21 NQU1 2.52CITI COMMOD F3-F0 4X LEVERED INDEX 1.77CITI CROSS-ASSET TREND 10% VOL INDEX 1.75S&P GSCI LIGHT ENERGY ER INDEX 1.73GSVIVV69 R 0.3 P 12/15/25 GS 1.70CONSUMER STAPLES SPDR SEDOL 2369389 1.61COMM SERV SELECT SECTOR SPDR SEDOL BFXHC51 1.59BAML COMMODITY MLBX4SX6 ER STRATEGY 1.49ISHARES MSCI INDIA ETF SEDOL B6XGR72 1.45E-MINI RUSS 2000 SEP21 RTYU1 1.40CASH MGMT BILL 00.0000 11/16/2021 1.37MITSUBISHI UFJ TRUST & BANKIN 60682WV54 DCP 08/05/2021 1.05NATIONWIDE BUILDING SOCIETY 6385E0VA8 DCP 08/10/2021 1.05FAIRWAY FINANCE CO LLC 30601VVD0 DCP 08/13/2021 1.05SOCIETE GENERALE SA 83369BVQ6 DCP 08/24/2021 1.05SWEDBANK AB 87019RW77 DCP 09/07/2021 1.05SUMITOMO MITSUI TRUST BANK LT 86564YW24 DCP 09/02/2021 1.05SKANDINAVISKA ENSKILDA BANKEN 83050TW80 DCP 09/08/2021 1.05MATCHPOINT FINANCE PLC 57666AWL2 DCP 09/20/2021 1.05FMS WERTMANAGEMENT 34411GX43 DCP 10/04/2021 1.05LIBERTY STREET FUNDING LLC 53127TX65 DCP 10/06/2021 1.05ATLANTIC ASSET SECURITIZATION 04821TYJ8 DCP 11/18/2021 1.05GSVICUB3 R 0.45 P 12/15/25 GS 0.98MSCI EAFE SEP21 MFSU1 0.98TREASURY BILL 00.0000 08/05/2021 0.84SAMSUNG ELECTRONICS CO LTD SEDOL 6771720 0.84ALIBABA GROUP HOLDING LTD SEDOL BK6YZP5 0.69


Full holdings as of July 31, 2021TAIWAN SEMICONDUCTOR-SP ADR SEDOL 2113382 0.69GSVIVVOL R 0.3 P 12/15/25 GS 0.67S&P GSCI LIGHT ENERGY ER 0.53TREASURY BILL 00.0000 09/28/2021 0.42TREASURY BILL 00.0000 10/05/2021 0.42CASH MGMT BILL 00.0000 11/02/2021 0.42TENCENT HOLDINGS LTD SEDOL BMMV2K8 0.42VALE SA-SP ADR SEDOL 2857334 0.34REPUBLICA ORIENT URUGUAY USD 04.3750 10/27/2027 0.34CDX CDX.NA.HY.36 500.0 06/20/2026 0.33CAS 2016-C02 1B 12.3393 09/25/2028 0.30PING AN INSURANCE GROUP CO-H SEDOL B01FLR7 0.30UNITED MICROELECTRONICS CORP SEDOL 6916628 0.28JD.COM INC-ADR SEDOL BMM27D9 0.26PARADE TECHNOLOGIES LTD SEDOL B6RV676 0.26YUM CHINA HOLDINGS INC SEDOL BYW4289 0.25CDX CDX.EM.35 100.0 06/20/2026 0.24BAML COMMODITY MLBX4SX6 ER STRATEGY 3X NOTE 9/2/2021 0.23SOUTHERN COPPER CORP SEDOL 2823777 0.23LG ELECTRONICS INC SEDOL 6520739 0.23KIA CORP SEDOL 6490928 0.23UNITED MEXICAN STATES USD 05.5500 01/21/2045 0.23KB FINANCIAL GROUP INC SEDOL B3DF0Y6 0.22HANA FINANCIAL GROUP SEDOL B0RNRF5 0.21ANGLO AMERICAN PLATINUM LTD SEDOL 6761000 0.21MMC NORILSK NICKEL PJSC-ADR SEDOL BYSW6D0 0.20BANCO SANTANDER BRASIL-UNIT SEDOL B4V5RY4 0.20CHINA SHENHUA ENERGY CO-H SEDOL B09N7M0 0.20VIPSHOP HOLDINGS LTD - ADR SEDOL B3N0H17 0.19SANY HEAVY INDUSTRY CO LTD 144A/REGS WARRANT 12/16/2021 0.19WAT US R US0001M P 12/15/25 GS 0.18SHENZHEN MINDRAY BIO-MEDICAL ELEC CO 144A/REGS WARRANT 12/10 0.18REALTEK SEMICONDUCTOR CORP SEDOL 6051422 0.18FNR 2017-74 SA IO 05.6608 10/25/2047 0.17BANCO BRADESCO SA-PREF SEDOL B00FM53 0.17FHR 5053 IB IO 03.0000 12/25/2050 0.17CHAILEASE HOLDING CO LTD SEDOL B58J1S8 0.16PKI US R US0001M P 12/15/25 GS 0.16WANT WANT CHINA HOLDINGS LTD SEDOL B2Q14Z3 0.16MTD US R US0001M P 12/15/25 GS 0.16ZHONGSHENG GROUP HOLDINGS SEDOL B633D97 0.16NOVATEK MICROELECTRONICS COR SEDOL 6346333 0.15LUKOIL PJSC-SPON ADR SEDOL BYZDW27 0.15RJHI AB R US0001M P 06/20/23 BA 0.15IQV US R US0001M P 12/15/25 GS 0.15


Full holdings as of July 31, 2021MRK GR R US0001M P 12/15/25 GS 0.15CHAROEN POKPHAND FOOD-FORGN SEDOL B5L2DG6 0.15SRI TRANG GLOVES THA-FOREIGN SEDOL BMGJNP0 0.15FNR 2020-85 IP IO 03.0000 12/25/2050 0.15TCS GROUP HOLDING-GDR REG S SEDOL BF233S0 0.15A US R US0001M P 12/15/25 GS 0.15YOUNGOR GROUP CO 144A/REGS WARRANT 07/29/2022 0.14CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.14AMBEV SA SEDOL BG7ZWY7 0.14KUMHO PETROCHEMICAL CO LTD SEDOL 6499323 0.14CSPC PHARMACEUTICAL GROUP LT SEDOL 6191997 0.14CAS 2017-C02 2M2 03.7393 09/25/2029 0.14CHINA FEIHE LTD SEDOL BK0SBL1 0.13TMO US R US0001M P 12/15/25 GS 0.13SCRT 2019-4 M 04.5000 02/25/2059 0.13XINYI GLASS HOLDINGS LTD SEDOL B05NXN7 0.13ZTS US R US0001M P 12/15/25 GS 0.13HAITIAN INTERNATIONAL HLDGS SEDOL B1L2RC2 0.12ANHUI CONCH CEMENT CO LTD-H SEDOL 6080396 0.12EVERGREEN MARINE CORP LTD SEDOL 6324500 0.12COSCO SHIPPING HOLDINGS CO-H SEDOL B0B8Z18 0.12GNR 2020-173 MI IO 02.5000 11/20/2050 0.12ILMN US R US0001M P 12/15/25 GS 0.11PFE US R US0001M P 12/15/25 GS 0.11CHINA MEDICAL SYSTEM HOLDING SEDOL B6WY993 0.11IPN FP R US0001M P 12/15/25 GS 0.11SHRP 2020-1 NOTE 03.0253 07/25/2024 0.11SPST 2021-6 A 00.8893 04/25/2022 0.11MWST 2020-2 A 00.8893 11/25/2053 0.11SPST 2021-10 A 00.8543 08/08/2022 0.11SPST 2020-15 A 01.4593 12/10/2021 0.11MWST 2020-1 A 00.9893 10/25/2053 0.11GNR 2020-33 SA IO 06.0164 03/20/2050 0.10PETROBRAS GLOBAL FINANCE USD 06.2500 03/17/2024 0.10GNR 2018-153 AI IO 04.5000 09/16/2045 0.10FNR 2016-3 MI IO 05.5000 02/25/2046 0.10CMLTI 2007-AR5 1A1A 02.8863 04/25/2037 0.10ENBRIDGE INC USD 04.2500 12/01/2026 0.10QUANTA COMPUTER INC SEDOL 6141011 0.09AGILE GROUP HOLDINGS LTD SEDOL B0PR2F4 0.09FHR 5082 IQ IO 03.0000 03/25/2051 0.09WFRBS 2012-C7 F 144A 04.5000 06/15/2045 0.09GNR 2014-184 DI IO 05.5000 12/16/2044 0.09JNJ US R US0001M P 12/15/25 GS 0.09FNR 2015-30 IO IO 05.5000 05/25/2045 0.09


Full holdings as of July 31, 2021MRK US R US0001M P 12/15/25 GS 0.09RHB BANK BHD SEDOL 6244675 0.08JIANGSU HENGLI HYDRAULIC C-A 144A/REGS WARRANT 03/23/2022 0.08GNR 2010-125 SD IO 06.5889 01/16/2040 0.08GSK LN R US0001M P 12/15/25 GS 0.08PETROLEOS MEXICANOS USD 06.5000 03/13/2027 0.08ABBV US R US0001M P 12/15/25 GS 0.08FNR 2018-51 IO IO 06.5000 07/25/2048 0.08DIM FP R US0001M P 12/15/25 GS 0.08MAXSCEND MICROELECTRONICS 144A/REGS WARRANT 07/29/2022 0.08CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.08SAN FP R US0001M P 12/15/25 GS 0.08GNR 2015-H11 CI IO 01.8576 05/20/2065 0.08CHINA MINSHENG BANKING COR-H SEDOL B57JY24 0.07PRGO US R US0001M P 12/15/25 GS 0.07AZN US US0001M 12/15/25 GS 0.07PETROBRAS GLOBAL FIN USD 05.9990 01/27/2028 0.07GSMS 2014-GC24 D 144A 04.5363 09/10/2047 0.07GNR 2016-H02 BI IO 01.8608 11/20/2065 0.07STACR 2020-HQA2 M2 03.1893 03/25/2050 0.07HELLENIC TELECOMMUN ORGANIZA SEDOL 5051605 0.07PROVINCIA DE BUENOS P/P 144A 10.8750 01/26/2022 0.07FNR 2017-8 SB IO 06.0108 02/25/2047 0.07VTRS US R US0001M P 12/15/25 GS 0.07COM7 PCL-F SEDOL BZ2YN49 0.07FNR 2020-47 ID IO 04.0000 07/25/2050 0.07BIIB US R US0001M P 12/15/25 GS 0.07HYPERA SA SEDOL B2QY968 0.074506 JP R US0001M P 12/15/25 GS 0.07FOSHAN HAITIAN FLAVOURING & FOOD 144A/REGS WARRANT 05/11/202 0.07FHR 4964 IA IO 04.5000 03/25/2050 0.07LITE-ON TECHNOLOGY CORP SEDOL 6519481 0.07OPAP SA SEDOL 7107250 0.07SUOFEIYA HOME COLLECTION C 144A/REGS WARRANT 06/10/2022 0.07GNR 2015-H15 JI IO 01.9584 06/20/2065 0.07FNR 2016-88 SK IO 05.9108 12/25/2046 0.07BAYN GR R US0001M P 12/15/25 GS 0.06CAS 2017-C03 1M2 03.0893 10/25/2029 0.06BMY US R US0001M P 12/15/25 GS 0.06GNR 2015-H25 BI IO 01.9695 10/20/2065 0.06AZN LN R US0001M P 12/15/25 GS 0.06RISESUN REAL ESTATE DEV-A 144A/REGS WARRANT 11/02/2021 0.06CTBC FINANCIAL HOLDING CO LT SEDOL 6527666 0.06GNR 2015-H25 AI IO 01.6148 09/20/2065 0.05PETROBRAS GLOBAL FINANCE USD 08.7500 05/23/2026 0.05


Full holdings as of July 31, 20214581 JP R US0001M P 12/15/25 GS 0.05FNR 2017-108 SA IO 06.0608 01/25/2048 0.05ZHUZHOU KIBING GROUP CO 144A/REGS WARRANT 07/29/2022 0.05FNR 2020-16 SG IO 05.9608 03/25/2050 0.05GNR 2018-91 SJ IO 06.1664 07/20/2048 0.05CSL AU R US0001M P 12/15/25 GS 0.05POSCO SEDOL 6693233 0.052.00 R ISWP FWD US0003M P 09/15/2051 0.05CAS 2015-C04 1M2 05.7893 04/25/2028 0.05GNR 2016-51 MS IO 05.9664 04/20/2046 0.05GNR 2010-68 SD IO 06.4964 06/20/2040 0.05OFFCN EDUCATION TECH 144A/REGS WARRANT 04/12/2022 0.05WAMU 2004-AR12 A2B 01.0093 10/25/2044 0.05MARFRIG GLOBAL FOODS SA SEDOL B1YWHR4 0.05CAS 2017-C02 2B1 05.5893 09/25/2029 0.05AMGN US R US0001M P 12/15/25 GS 0.05FUBON FINANCIAL HOLDING CO SEDOL 6411673 0.05GILD US R US0001M P 12/15/25 GS 0.05LLY US R US0001M P 12/15/25 GS 0.05FNR 2017-32 IP IO 04.5000 05/25/2047 0.05GNR 2016-150 I IO 05.0000 11/20/2046 0.05TEVA US R US0001M P 12/15/25 GS 0.05SHANDONG BUCHANG PHARMACEUTICALS CO LTD 144A/REGS WARRANT 12 0.04GNR 2017-H14 DI IO 01.7071 06/20/2067 0.04JPMBB 2013-C14 E 144A 04.5583 08/15/2046 0.04GNR 2015-H19 NI IO 01.9090 07/20/2065 0.04FNR 2016-65 CS IO 06.0108 09/25/2046 0.04CAS 2020-R01 1B1 03.3393 01/25/2040 0.04SHAANXI COAL INDUSTRY 144A/REGS WARRANT 07/29/2022 0.04GNR 2015-H20 CI IO 02.1412 08/20/2065 0.04SINOTRUK HONG KONG LTD SEDOL B296ZH4 0.04GNR 2015-H24 HI IO 02.0584 09/20/2065 0.04GNR 2015-H09 AI IO 01.7126 04/20/2065 0.04GNR 2014-H21 AI IO 01.6731 10/20/2064 0.04GNR 2018-H05 AI IO 02.3890 02/20/2068 0.04GNR 2015-H09 BI IO 01.6805 03/20/2065 0.04TISCO FINANCIAL-FOREIGN SEDOL B3KFW76 0.04GNR 2019-121 DS IO 06.0164 08/20/2049 0.04VIFN SW R US0001M P 12/15/25 GS 0.04KUMBA IRON ORE LTD SEDOL B1G4262 0.04JPMCC 2006-LDP9 AMS 05.3370 05/15/2047 0.04FNR 2013-130 SD IO 06.5108 01/25/2044 0.04PETROLEOS MEXICANOS USD 06.3750 01/23/2045 0.04SEEGENE INC SEDOL B679Q36 0.04SEAZEN HOLDINGS CO 144A/REGS WARRANT 06/03/2022 0.04


Full holdings as of July 31, 2021MEITUAN-CLASS B SEDOL BGJW376 0.04GNR 2017-H02 BI IO 02.4361 01/20/2067 0.03KOSSAN RUBBER INDUSTRIES SEDOL B0DD1H9 0.03BURSA MALAYSIA BHD SEDOL B06FV38 0.03BANK OF SHANGHAI 144A/REGS WARRANT 11/30/2021 0.03HARTALEGA HOLDINGS BHD SEDOL B2QPJK5 0.03CAS 2018-C05 1M2 02.4393 01/25/2031 0.03COCA-COLA ICECEK AS SEDOL B058ZV4 0.03GNR 2018-104 SD IO 06.1164 08/20/2048 0.03CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG 0.03LOGAN GROUP CO LTD SEDOL BH6X937 0.03CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CS 0.03GNR 2015-H10 CI IO 01.8044 04/20/2065 0.03EUR/USD 09/15/2021 JPMCB 0.03BANCO MACRO SA-ADR SEDOL B0Y62M9 0.034502 JP R US0001M P 12/15/25 GS 0.03GNR 2015-53 MI IO 04.0000 04/16/2045 0.03FHR 4134 PI IO 03.0000 11/15/2042 0.034523 JP R US0001M P 12/15/25 GS 0.03GNR 2016-H03 AI IO 01.7602 01/20/2066 0.03FNR 2016-3 NI IO 06.0000 02/25/2046 0.03KT CORP SEDOL 6505316 0.03GNR 2016-H08 GI IO 01.4328 04/20/2066 0.03CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS 0.034530 JP R US0001M P 12/15/25 GS 0.03SHINHAN FINANCIAL GROUP LTD SEDOL 6397502 0.03GNR 2017-H06 BI IO 02.3551 02/20/2067 0.03GNR 2015-80 IA IO 04.5000 06/20/2045 0.03CAS 2017-C06 2M2 02.8893 02/25/2030 0.03GNR 2015-167 BI IO 04.5000 04/16/2045 0.03CHF/USD 09/15/2021 GSFX 0.03CHF/USD 09/15/2021 SSBT 0.021.55 R ISWP FWD AUDBB6M P 09/15/2031 0.02HIK LN R US0001M P 12/15/25 GS 0.02GNR 2015-187 JI IO 04.0000 03/20/2045 0.02GNR 2015-H16 XI IO 02.0445 07/20/2065 0.02EUR/USD 09/15/2021 BCAP-FX 0.024507 JP R US0001M P 12/15/25 GS 0.02INDOFOOD SUKSES MAKMUR TBK P SEDOL 6283979 0.02FHR 4752 PS IO 06.1069 11/15/2047 0.02GNR 2015-105 LI IO 05.0000 10/20/2039 0.02GNR 2011-17 S IO 05.9664 02/20/2041 0.02GNR 2016-H16 DI IO 01.8537 06/20/2066 0.02JIANGSU HENGRUI MEDICINE 144A/REGS WARRANT 04/12/2022 0.02GNR 2014-146 EI IO 05.0000 10/20/2044 0.02


Full holdings as of July 31, 2021CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.02CWHL 2005-3 1A1 00.7093 04/25/2035 0.02GNR 2010-9 UI IO 05.0000 01/20/2040 0.02GNR 2013-6 AI IO 03.5000 08/20/2039 0.021.84 R ISWP FWD CDOR03 P 09/15/2031 0.02HONG LEONG BANK BERHAD SEDOL 6436892 0.02NICE INFORMATION SERVICE CO SEDOL 6248332 0.02GNR 2013-20 QI IO 04.5000 12/16/2042 0.02WFRBS 2011-C3 E 144A 05.0000 03/15/2044 0.02JPY/USD 08/18/2021 SSBT 0.02GLPG NA R US0001M P 12/15/25 GS 0.02GNR 2018-127 IB IO 04.5000 06/20/2045 0.02AUD/USD 10/20/2021 SSBT 0.02LUN DC R US0001M P 12/15/25 GS 0.024503 JP R US0001M P 12/15/25 GS 0.02GNR 2018-127 ID IO 05.0000 07/20/2045 0.02GNR 2016-H04 KI IO 01.5201 02/20/2066 0.02SAMSUNG ELECTRO-MECHANICS CO SEDOL 6771689 0.02CHINA MERCHANTS BANK-H SEDOL B1DYPZ5 0.02UCB BB R US0001M P 12/15/25 GS 0.02GNR 2009-121 UI IO 05.0000 12/20/2039 0.02CHF/USD 09/15/2021 JPMCB 0.01EUR/USD PUT 1.18 20210823 GSFX 0.01GNR 2010-20 UI IO 05.0000 02/20/2040 0.01RUENTEX DEVELOPMENT CO LTD SEDOL 6748423 0.01ERF FP R US0001M P 12/15/25 GS 0.01IOS.FN30.400.14 R USL1M P 01/12/45 CS 0.01CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS 0.01IOS.FN30.350.12 R USL1M P 01/12/43 CS 0.01EUR/USD 09/15/2021 CSI-FX 0.01CHF/USD 09/15/2021 MSCIL 0.01EUR/USD 09/15/2021 TDBK 0.01GNR 2015-H10 EI IO 01.6071 04/20/2065 0.01INCY US R US0001M P 12/15/25 GS 0.01QUALITAS CONTROLADORA SAB CV SEDOL BYMXF65 0.011.70 R ISWP FWD NOKOIB6M P 09/15/2031 0.01TOP GLOVE CORP BHD SEDOL B05L892 0.01GNR 2014-163 NI IO 05.0000 02/20/2044 0.01FOCUS MEDIA 144A/REGS WARRANT 04/12/2023 0.01HOPSON DEVELOPMENT HOLDINGS SEDOL BMXJW56 0.01GBP/USD 09/15/2021 CSI-FX 0.01GNR 2011-H15 AI IO 01.5314 06/20/2061 0.01GRF SM R US0001M P 12/15/25 GS 0.01GNR 2015-24 IA IO 03.5000 02/20/2045 0.01GNR 2013-129 SN IO 06.0664 09/20/2043 0.01


Full holdings as of July 31, 2021FHR 4193 PI IO 04.0000 03/15/2043 0.011.65 R ISWP FWD US0003M P 09/15/2031 0.01EUR/USD 09/15/2021 CITI 0.01FNR 2012-151 PI IO 03.0000 01/25/2043 0.01GNR 2018-127 IE IO 03.5000 01/20/2046 0.01GBP/USD 09/15/2021 TDBK 0.01CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML 0.01FHR 4206 IP IO 03.0000 12/15/2041 0.01FNR 2013-35 PI IO 03.0000 02/25/2042 0.01AUD/USD 10/20/2021 GSFX 0.01JPY/USD 08/18/2021 GSFX 0.01NOVN SW R US0001M P 12/15/25 GS 0.01REGN US R US0001M P 12/15/25 GS 0.01KWG GROUP HOLDINGS LTD SEDOL B1YBF00 0.01FHR 4801 IG IO 03.0000 06/15/2048 0.01GNR 2013-24 PI IO 04.0000 11/20/2042 0.01GNR 2016-75 EI IO 03.5000 08/20/2045 0.01IOS.FN30.400.14 R USL1M P 01/12/45 GS 0.01IOS.FN30.400.14 R USL1M P 01/12/45 CS 0.01CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS 0.01CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 ML 0.01CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS 0.01SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP 0.01CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.010.05 R ISWP FWD EUR006M P 09/15/2031 0.01REPUBLIC OF VENEZUELA REGS 07.6500 04/21/2025 0.01AUD/USD 10/20/2021 RBSF 0.01GBP/USD PUT 1.37 20210823 MSCIL 0.01GNR 2010-35 QI IO 04.5000 03/20/2040 0.00PETROLEOS DE VENEZUELA S REGS 05.3750 04/12/2027 0.004568 JP R US0001M P 12/15/25 GS 0.00GNR 2013-23 IK IO 03.0000 09/20/2037 0.001.3115 R ISWP US0003M P 07/19/2031 0.00IOS.FN30.650.67 R USL1M P 01/12/38 BC 0.00AUD/USD 10/20/2021 MSCIL 0.00REC IM R US0001M P 12/15/25 GS 0.00CHF/USD 09/15/2021 RBSF 0.00OGN US R US0001M P 12/15/25 GS 0.00-0.05 R ISWP FWD CHL6M P 09/15/2031 0.00CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG 0.00GNR 2015-99 LI IO 04.0000 07/20/2045 0.00CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CG 0.00CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 MS 0.00CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CG 0.00GNR 2013-79 XI IO 03.5000 11/20/2039 0.00


Full holdings as of July 31, 2021AUD/USD 10/20/2021 CSI-FX 0.00ORNBV FH R US0001M P 12/15/25 GS 0.00CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS 0.00CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.00CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS 0.00VRTX US R US0001M P 12/15/25 GS 0.00FNR 2012-136 PI IO 03.5000 11/25/2042 0.00GNR 2015-124 NI IO 03.5000 06/20/2039 0.00UBSBB 2012-C2 F 144A 05.0000 05/10/2063 0.00CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 ML 0.00GNR 2013-157 IA IO 03.5000 04/20/2040 0.00IOS.FN30.400.10 R USL1M P 01/12/41 BA 0.00IOS.FN30.400.10 R USL1M P 01/12/41 BA 0.00CAS 2015-C02 2M2 04.0893 05/25/2025 0.00JPY/USD 08/18/2021 CITI 0.00EUR/USD 09/15/2021 WPAC 0.00JPY/USD 08/18/2021 BANKAM 0.00GNR 2013-100 MI IO 03.5000 02/20/2043 0.00IOS.FN30.400.10 R USL1M P 01/12/41 CI 0.00CMB CMBX.NA.BB.8 2057-10-17 500.0 10/17/2057 CS 0.00CMB CMBX.NA.BB.8 2057-10-17 500.0 10/17/2057 CG 0.00AUD/USD 10/20/2021 HSBCB 0.00AUD/USD 10/20/2021 JPMCB 0.00CAD/USD 10/20/2021 HSBCB 0.00IOS.FN30.350.12 R USL1M P 01/12/43 CS 0.00IOS.FN30.400.10 R USL1M P 01/12/41 BC 0.00CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG 0.00FNR 2013-31 NI IO 03.0000 06/25/2041 0.00SWPTN 10YX20Y P 1.275 USD 03/05/2030 BA 0.00GBP/USD 09/15/2021 WPAC 0.000.30 R ISWP FWD US0003M P 09/15/2023 0.00GNR 2014-133 AI IO 04.0000 10/20/2036 0.00GNR 2015-96 NI IO 03.5000 01/20/2039 0.00CAD/USD 10/20/2021 RBSF 0.002.2225 R ISWP FWD US0003M P 06/05/2029 0.00HKD/USD 08/18/2021 SSBT 0.00AUD/USD 10/20/2021 TDBK 0.00FRONTKEN CORP BHD-CW26 SEDOL BNBW845 0.00SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS 0.00CHF/USD 09/15/2021 HSBCB 0.00JPY/USD 08/18/2021 JPMCB 0.001.275 R ISWP FWD US0003M P 03/07/2050 0.00JPY/USD 08/18/2021 WPAC 0.00GNR 2012-141 WI IO 03.5000 11/20/2041 0.00GNR 2013-102 IP IO 03.5000 06/20/2043 0.00


Full holdings as of July 31, 2021HKD/USD 08/18/2021 TDBK 0.00FHR 4097 PI IO 03.5000 11/15/2040 0.00HKD/USD 08/18/2021 MSCIL 0.00HKD/USD 08/18/2021 HSBCB 0.00CAD/USD 10/20/2021 JPMCB 0.00HKD/USD 08/18/2021 UBS 0.00GNR 2011-116 IB IO 05.0000 10/20/2040 0.00HKD/USD 08/18/2021 BANKAM 0.00MLCFC 2006-4 XC IO P/P 144A 01.1725 12/12/2049 0.00GLOW ENERGY PCL - FOREIGN SEDOL B074GX9 0.00SWPTN 2YX30Y P 2.3075 USD 06/20/2022 BA -0.00CAD/USD 10/20/2021 WPAC -0.002.3075 R ISWP FWD US0003M P 06/22/2052 -0.00NZD/USD 10/20/2021 CITI -0.001.83 R ISWP FWD NFIX3MID P 09/15/2031 -0.001.662 R ISWP US0003M P 07/19/2051 -0.00CAD/USD 10/20/2021 UBS -0.00SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS -0.00CAD/USD 10/20/2021 TDBK -0.00NZD/USD 10/20/2021 HSBCB -0.00CAD/USD 10/20/2021 MSCIL -0.001.4255 R ISWP US0003M P 02/24/2031 -0.001.3659 R ISWP US0003M P 02/22/2031 -0.00CAD/USD 10/20/2021 BCAP-FX -0.00NZD/USD 10/20/2021 RBSF -0.001.16 R ISWP US0003M P 10/16/2050 -0.00CAD/USD 10/20/2021 CSI-FX -0.00NZD/USD 10/20/2021 WPAC -0.00NZD/USD 10/20/2021 MSCIL -0.00SWPTN 10YX20Y R 1.275 USD 03/05/2030 BA -0.00CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA -0.001.51882 R ISWP US0003M P 03/02/2031 -0.00JPY/USD 08/18/2021 RBSF -0.002.184 R ISWP FWD US0003M P 12/07/2030 -0.00SEK/USD 09/15/2021 TDBK -0.00NZD/USD 10/20/2021 TDBK -0.00NZD/USD 10/20/2021 UBS -0.00JPY/USD 08/18/2021 BCAP-FX -0.00CAD/USD 10/20/2021 BANKAM -0.00GBP/USD 09/15/2021 HSBCB -0.00SEK/USD 09/15/2021 JPMCB -0.00CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA -0.00CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS -0.00CHF/USD 09/15/2021 CITI -0.00SEK/USD 09/15/2021 BANKAM -0.00


Full holdings as of July 31, 2021JPY/USD 08/18/2021 HSBCB -0.00CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS -0.00CAD/USD 10/20/2021 SSBT -0.00CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.00CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.00JPY/USD 08/18/2021 TDBK -0.001.27 R ISWP FWD US0003M P 01/27/2047 -0.00CHF/USD 09/15/2021 BCAP-FX -0.00GBP/USD 09/15/2021 UBS -0.00CHF/USD 09/15/2021 UBS -0.00GBP/USD 09/15/2021 BANKAM -0.00AUD/USD 10/20/2021 CITI -0.00CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA -0.00CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA -0.00SWPTN 2YX30Y R 2.3075 USD 06/20/2022 BA -0.00CAD/USD 10/20/2021 GSFX -0.00SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP -0.00IOS.FN30.350.12 P USL1M R 01/12/43 BC -0.01GBP/USD 09/15/2021 CITI -0.01CAD/USD 10/20/2021 CITI -0.01CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01EUR/USD 09/15/2021 RBSF -0.01SEK/USD 09/15/2021 SSBT -0.01CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS -0.01GBP/USD 09/15/2021 BCAP-FX -0.01NZD/USD 10/20/2021 JPMCB -0.01CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01NZD/USD 10/20/2021 SSBT -0.010.94375 R ISWP FWD US0003M P 04/01/2026 -0.01NOK/USD 09/15/2021 UBS -0.01SEK/USD 09/15/2021 RBSF -0.01IOS.FN30.400.10 P USL1M R 01/12/41 CS -0.01AUD/USD 10/20/2021 BCAP-FX -0.01CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS -0.01IOS.FN30.300.13 P USL1M R 01/12/44 GS -0.01IOS.FN30.400.14 P USL1M R 01/12/45 JP -0.01CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01IOS.FN30.350.12 P USL1M R 01/12/43 GS -0.01CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BC -0.01CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01GBP/USD 09/15/2021 RBSF -0.01NZD/USD 10/20/2021 GSFX -0.01CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01


Full holdings as of July 31, 2021CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS -0.01JPY/USD 08/18/2021 MSCIL -0.010.77 R ISWP FWD SES3M P 09/15/2031 -0.01CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS -0.01CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG -0.01GBP/USD 09/15/2021 JPMCB -0.01EBIX US P R 07/05/22 CI -0.01SEK/USD 09/15/2021 BCAP-FX -0.01SEK/USD 09/15/2021 UBS -0.010.95 R ISWP FWD US0003M P 09/15/2026 -0.01CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS -0.02CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.02CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.02IOS.FN30.400.14 P US0001M R 01/12/45 JP -0.02CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.02CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.02JPY/USD 08/18/2021 UBS -0.02AUD/USD 10/20/2021 UBS -0.02CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 BC -0.020.975 R ISWP FWD SONIA P 09/15/2031 -0.02CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.02NOK/USD 09/15/2021 SSBT -0.02EUR/USD 09/15/2021 GSFX -0.02215600 KS P US0001M R 12/15/25 GS -0.02EUR/USD 09/15/2021 HSBCB -0.02NOK/USD 09/15/2021 MSCIL -0.02GBP/USD 09/15/2021 SSBT -0.02ZYXI US P US0001M R 07/05/22 CI -0.02CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS -0.02EUR/USD 09/15/2021 MSCIL -0.02CPURNSA P 2.686 R 04/01/31 -0.03CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.03CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CG -0.03CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS -0.04PLUG US P US0001M R 07/05/22 CI -0.04BGS US P R 07/05/22 CI -0.04TPIC US P US0001M R 07/05/22 CI -0.04CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.04WDFC US P US0001M R 07/05/22 CI -0.041.45 R ISWP FWD SOFRRATE P 09/15/2031 -0.04GBP/USD 09/15/2021 MSCIL -0.04EUR/USD 09/15/2021 BANKAM -0.05EUR/USD 09/15/2021 UBS -0.05NOK/USD 09/15/2021 GSFX -0.05


Full holdings as of July 31, 2021NOK/USD 09/15/2021 JPMCB -0.05EUR/USD 09/15/2021 SSBT -0.05NOK/USD 09/15/2021 TDBK -0.06BE US P US0001M R 12/15/25 GS -0.06SEK/USD 09/15/2021 GSFX -0.06SEK/USD 09/15/2021 MSCIL -0.06CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.06ACIW US P R 07/05/22 CI -0.07CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.07GBP/USD 09/15/2021 GSFX -0.08CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS -0.08OM US P US0001M R 12/15/25 GS -0.09PGNY US P US0001M R 12/15/25 GS -0.10DY US P R 07/05/22 CI -0.10PSN US P US0001M R 07/05/22 CI -0.10AIR US P US0001M R 07/05/22 CI -0.11LUMN US P US0001M R 07/05/22 CI -0.11PBH US P US0001M R 07/05/22 CI -0.11PING US P US0001M R 07/05/22 CI -0.11BB US P US0001M R 07/05/22 CI -0.11NEWR US P US0001M R 12/15/25 GS -0.12OTEX US P US0001M R 12/15/25 GS -0.12EVBG US P US0001M R 07/05/22 CI -0.12COLM US P US0001M R 07/05/22 CI -0.12FCNCA US P US0001M R 07/05/22 CI -0.14SHOO US P US0001M R 12/15/25 GS -0.14ACA US P US0001M R 07/05/22 CI -0.14BYND US P US0001M R 12/15/25 GS -0.14STOR US P US0001M R 07/05/22 CI -0.151.57 R ISWP US0003M P 04/20/2031 -0.16NDUEEGF P US0001M R 11/02/21 CS -0.18RH US P US0001M R 07/05/22 CI -0.18CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML -0.21CPURNSA P 2.79 R 04/15/26 -0.22HSY US P US0001M R 07/05/22 CI -0.22STE US P US0001M R 12/15/25 GS -0.24ITRI US P US0001M R 07/05/22 CI -0.27WWD US P R 07/05/22 CI -0.29ELAN US P US0001M R 07/05/22 CI -0.30FICO US P US0001M R 07/05/22 CI -0.32PEN US P US0001M R 07/05/22 CI -0.33LHX US P US0001M R 07/05/22 CI -0.35TSLA US P R 07/05/22 CI -0.37RL US P US0001M R 07/05/22 CI -0.38BHC US P R 07/05/22 CI -0.42


Full holdings as of July 31, 2021CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.44CTXS US P US0001M R 07/05/22 CI -0.45ISRG US P US0001M R 07/05/22 CI -0.47NDUEEGF P US0001M R 11/02/21 UB -0.50CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.84CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.88FNMA FN30 TBA UMBS 02.0000 09/01/2051 -4.29NDUEEGF P US0001M R 11/02/21 UB -6.18NDUEEGF P US0001M R 11/02/21 CS -6.58US 5YR NOTE (CBT) SEP21 FVU1 -17.84US 2YR NOTE (CBT) SEP21 TUU1 -18.60GSGLPWDS P US0001M R 12/15/25 GS -18.87RU10INTR P US0003M R 06/20/23 BA -22.93SPTR P US0001M R 05/23/23 UB -36.16

Full holdings as of June 30, 2021US 10YR NOTE (CBT)SEP21 TYU1 47.53UBSPUSER R US0001M P 05/22/23 UB 36.51MLFCF15 R US0003M P 06/20/23 BA 22.74GSGLPWDL R US0001M P 12/15/25 GS 19.12US 10YR ULTRA FUT SEP21 UXYU1 8.70BEFSBAXD R 0.1 P 05/26/22 BC 7.76JPCMPTFL R US0001M P 06/09/22 JP 6.49RU10VATR R US0001M P 02/05/22 JP 5.36FNMA FN30 TBA UMBS 04.0000 07/01/2051 4.49FNMA FN30 TBA UMBS 03.5000 07/01/2051 4.44FNMA FN30 TBA UMBS 03.0000 07/01/2051 4.40GSVIUS85 R 0.45 P 12/15/25 GS 3.27S&P GSCI LIGHT ENERGY ER 3.27MSCI EMGMKT SEP21 MESU1 3.17FINANCIAL SELECT SECTOR SPDR SEDOL 2364038 2.97MATERIALS SELECT SECTOR SPDR SEDOL 2436841 2.96TREASURY BILL 00.0000 10/14/2021 2.53NASDAQ 100 E-MINI SEP21 NQU1 2.46CITI CROSS-ASSET TREND 10% VOL INDEX 1.81GSVIVV69 R 0.3 P 12/15/25 GS 1.78CITI COMMOD F3-F0 4X LEVERED INDEX 1.74S&P GSCI LIGHT ENERGY ER INDEX 1.69CONSUMER STAPLES SPDR SEDOL 2369389 1.58COMM SERV SELECT SECTOR SPDR SEDOL BFXHC51 1.57BAML COMMODITY MLBX4SX6 ER STRATEGY 1.46E-MINI RUSS 2000 SEP21 RTYU1 1.46ISHARES MSCI INDIA ETF SEDOL B6XGR72 1.44LLOYDS BANK PLC 53943RU15 DCP 07/01/2021 1.06MANHATTAN ASSET FUNDING CO LL 56274LU10 DCP 07/01/2021 1.06


Full holdings as of July 31, 2021VICTORY RECEIVABLES CORP 92646KUL4 DCP 07/20/2021 1.06BARCLAYS BANK PLC CCP 06742XDX2 DCP 07/22/2021 1.06NRW BANK 62939LUS6 DCP 07/26/2021 1.06OLD LINE FUNDING LLC 67983TUS3 DCP 07/26/2021 1.06MITSUBISHI UFJ TRUST & BANKIN 60682WV54 DCP 08/05/2021 1.06SOCIETE GENERALE SA 83369BVQ6 DCP 08/24/2021 1.06SUMITOMO MITSUI TRUST BANK LT 86564YW24 DCP 09/02/2021 1.05SWEDBANK AB 87019RW77 DCP 09/07/2021 1.05SKANDINAVISKA ENSKILDA BANKEN 83050TW80 DCP 09/08/2021 1.05MATCHPOINT FINANCE PLC 57666AWL2 DCP 09/20/2021 1.05FMS WERTMANAGEMENT 34411GX43 DCP 10/04/2021 1.05GSVICUB3 R 0.45 P 12/15/25 GS 0.99MSCI EAFE SEP21 MFSU1 0.97SAMSUNG ELECTRONICS CO LTD SEDOL 6771720 0.88TREASURY BILL 00.0000 07/20/2021 0.84TREASURY BILL 00.0000 08/05/2021 0.84ALIBABA GROUP HOLDING LTD SEDOL BK6YZP5 0.80TAIWAN SEMICONDUCTOR-SP ADR SEDOL 2113382 0.71GSVIVVOL R 0.3 P 12/15/25 GS 0.66S&P GSCI LIGHT ENERGY ER 0.52TENCENT HOLDINGS LTD SEDOL BMMV2K8 0.51CASH MGMT BILL 00.0000 09/28/2021 0.42CASH MGMT BILL 00.0000 10/05/2021 0.42VALE SA-SP ADR SEDOL 2857334 0.37CDX CDX.NA.HY.36 500.0 06/20/2026 0.36REPUBLICA ORIENT URUGUAY USD 04.3750 10/27/2027 0.34PING AN INSURANCE GROUP CO-H SEDOL B01FLR7 0.33CAS 2016-C02 1B 12.3415 09/25/2028 0.31JD.COM INC-ADR SEDOL BMM27D9 0.30YUM CHINA HOLDINGS INC SEDOL BYW4289 0.26UNITED MICROELECTRONICS CORP SEDOL 6916628 0.26KIA CORP SEDOL 6490928 0.25KB FINANCIAL GROUP INC SEDOL B3DF0Y6 0.25LG ELECTRONICS INC SEDOL 6520739 0.24HANA FINANCIAL GROUP SEDOL B0RNRF5 0.23BAML COMMODITY MLBX4SX6 ER STRATEGY 3X NOTE 9/2/2021 0.23VIPSHOP HOLDINGS LTD - ADR SEDOL B3N0H17 0.23SOUTHERN COPPER CORP SEDOL 2823777 0.23UNITED MEXICAN STATES USD 05.5500 01/21/2045 0.22SHENZHEN MINDRAY BIO-MEDICAL ELEC CO 144A/REGS WARRANT 12/10 0.22SANY HEAVY INDUSTRY CO LTD 144A/REGS WARRANT 12/16/2021 0.22BANCO SANTANDER BRASIL-UNIT SEDOL B4V5RY4 0.21PARADE TECHNOLOGIES LTD SEDOL B6RV676 0.21CDX CDX.EM.35 100.0 06/20/2026 0.21CHINA SHENHUA ENERGY CO-H SEDOL B09N7M0 0.20


Full holdings as of July 31, 2021MMC NORILSK NICKEL PJSC-ADR SEDOL BYSW6D0 0.20ANGLO AMERICAN PLATINUM LTD SEDOL 6761000 0.19BANCO BRADESCO SA-PREF SEDOL B00FM53 0.18EVERGREEN MARINE CORP LTD SEDOL 6324500 0.18FHR 5053 IB IO 03.0000 12/25/2050 0.18FNR 2017-74 SA IO 05.6585 10/25/2047 0.17SRI TRANG GLOVES THA-FOREIGN SEDOL BMGJNP0 0.17LUKOIL PJSC-SPON ADR SEDOL BYZDW27 0.17WANT WANT CHINA HOLDINGS LTD SEDOL B2Q14Z3 0.16WAT US R US0001M P 12/15/25 GS 0.16CHAROEN POKPHAND FOOD-FORGN SEDOL B5L2DG6 0.16FNR 2020-85 IP IO 03.0000 12/25/2050 0.16TCS GROUP HOLDING-GDR REG S SEDOL BF233S0 0.16KUMHO PETROCHEMICAL CO LTD SEDOL 6499323 0.15COSCO SHIPPING HOLDINGS CO-H SEDOL B0B8Z18 0.15REALTEK SEMICONDUCTOR CORP SEDOL 6051422 0.15RJHI AB R US0001M P 06/20/23 BA 0.15AMBEV SA SEDOL BG7ZWY7 0.15NOVATEK MICROELECTRONICS COR SEDOL 6346333 0.15YOUNGOR GROUP CO 144A/REGS WARRANT 07/29/2022 0.15IQV US R US0001M P 12/15/25 GS 0.15CSPC PHARMACEUTICAL GROUP LT SEDOL 6191997 0.15MTD US R US0001M P 12/15/25 GS 0.15CHINA FEIHE LTD SEDOL BK0SBL1 0.15CHAILEASE HOLDING CO LTD SEDOL B58J1S8 0.14CHINA MEDICAL SYSTEM HOLDING SEDOL B6WY993 0.14A US R US0001M P 12/15/25 GS 0.14CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.14MRK GR R US0001M P 12/15/25 GS 0.14ZHONGSHENG GROUP HOLDINGS SEDOL B633D97 0.14XINYI GLASS HOLDINGS LTD SEDOL B05NXN7 0.14CAS 2017-C02 2M2 03.7415 09/25/2029 0.14ANHUI CONCH CEMENT CO LTD-H SEDOL 6080396 0.13PKI US R US0001M P 12/15/25 GS 0.13SCRT 2019-4 M 04.5000 02/25/2059 0.13GNR 2020-173 MI IO 02.5000 11/20/2050 0.12TMO US R US0001M P 12/15/25 GS 0.12ZTS US R US0001M P 12/15/25 GS 0.12HAITIAN INTERNATIONAL HLDGS SEDOL B1L2RC2 0.11ILMN US R US0001M P 12/15/25 GS 0.11AGILE GROUP HOLDINGS LTD SEDOL B0PR2F4 0.11ALXN US R US0001M P 12/15/25 GS 0.11GNR 2018-153 AI IO 04.5000 09/16/2045 0.11IPN FP R US0001M P 12/15/25 GS 0.11QUANTA COMPUTER INC SEDOL 6141011 0.11


Full holdings as of July 31, 2021FHR 5082 IQ IO 03.0000 03/25/2051 0.11GNR 2020-33 SA IO 06.0066 03/20/2050 0.11SPST 2021-6 A 00.8908 04/25/2022 0.11MWST 2020-2 A 00.8915 11/25/2053 0.11SHRP 2020-1 NOTE 03.0470 07/25/2024 0.11SPST 2020-15 A 01.4608 12/10/2021 0.11MWST 2020-1 A 00.9915 10/25/2053 0.11MAXSCEND MICROELECTRONICS 144A/REGS WARRANT 07/29/2022 0.11FNR 2016-3 MI IO 05.5000 02/25/2046 0.10PFE US R US0001M P 12/15/25 GS 0.10PETROBRAS GLOBAL FINANCE USD 06.2500 03/17/2024 0.10CMLTI 2007-AR5 1A1A 02.8872 04/25/2037 0.10ENBRIDGE INC USD 04.2500 12/01/2026 0.10GNR 2014-184 DI IO 05.5000 12/16/2044 0.09FNR 2015-30 IO IO 05.5000 05/25/2045 0.09WFRBS 2012-C7 F 144A 04.5000 06/15/2045 0.09RHB BANK BHD SEDOL 6244675 0.09CHINA MINSHENG BANKING COR-H SEDOL B57JY24 0.09MRK US R US0001M P 12/15/25 GS 0.09SUOFEIYA HOME COLLECTION C 144A/REGS WARRANT 06/10/2022 0.09JNJ US R US0001M P 12/15/25 GS 0.084506 JP R US0001M P 12/15/25 GS 0.08GNR 2010-125 SD IO 06.6054 01/16/2040 0.08FNR 2018-51 IO IO 06.5000 07/25/2048 0.08PETROLEOS MEXICANOS USD 06.5000 03/13/2027 0.08JPY/USD 08/18/2021 SSBT 0.08GSK LN R US0001M P 12/15/25 GS 0.08GNR 2016-H02 BI IO 01.8537 11/20/2065 0.08CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.08ABBV US R US0001M P 12/15/25 GS 0.08SAN FP R US0001M P 12/15/25 GS 0.08FNR 2020-47 ID IO 04.0000 07/25/2050 0.08FOSHAN HAITIAN FLAVOURING & FOOD 144A/REGS WARRANT 05/11/202 0.08OFFCN EDUCATION TECH 144A/REGS WARRANT 04/12/2022 0.08COM7 PCL-F SEDOL BZ2YN49 0.08CAD/USD 07/21/2021 GSFX 0.07GNR 2015-H11 CI IO 01.8561 05/20/2065 0.07BIIB US R US0001M P 12/15/25 GS 0.07JIANGSU HENGLI HYDRAULIC C-A 144A/REGS WARRANT 03/23/2022 0.07STACR 2020-HQA2 M2 03.1915 03/25/2050 0.07PETROBRAS GLOBAL FIN USD 05.9990 01/27/2028 0.07FNR 2017-8 SB IO 06.0085 02/25/2047 0.07GSMS 2014-GC24 D 144A 04.6690 09/10/2047 0.07FHR 4964 IA IO 04.5000 03/25/2050 0.07VTRS US R US0001M P 12/15/25 GS 0.07


Full holdings as of July 31, 2021OPAP SA SEDOL 7107250 0.07RISESUN REAL ESTATE DEV-A 144A/REGS WARRANT 11/02/2021 0.07HYPERA SA SEDOL B2QY968 0.07PRGO US R US0001M P 12/15/25 GS 0.07PROVINCIA DE BUENOS P/P 144A 10.8750 01/26/2022 0.07FNR 2016-88 SK IO 05.9085 12/25/2046 0.07GNR 2015-H15 JI IO 01.9513 06/20/2065 0.07DIM FP R US0001M P 12/15/25 GS 0.07HELLENIC TELECOMMUN ORGANIZA SEDOL 5051605 0.06BAYN GR R US0001M P 12/15/25 GS 0.06CAS 2017-C03 1M2 03.0915 10/25/2029 0.06LITE-ON TECHNOLOGY CORP SEDOL 6519481 0.06BMY US R US0001M P 12/15/25 GS 0.06AZN LN R US0001M P 12/15/25 GS 0.06GNR 2015-H25 BI IO 01.9644 10/20/2065 0.06CPURNSA P 2.686 R 04/01/31 0.06CTBC FINANCIAL HOLDING CO LT SEDOL 6527666 0.06GNR 2015-H25 AI IO 01.6077 09/20/2065 0.05FNR 2020-16 SG IO 05.9585 03/25/2050 0.05PETROBRAS GLOBAL FINANCE USD 08.7500 05/23/2026 0.05FNR 2017-108 SA IO 06.0585 01/25/2048 0.05GNR 2018-91 SJ IO 06.1566 07/20/2048 0.05MEITUAN-CLASS B SEDOL BGJW376 0.05GNR 2010-68 SD IO 06.4866 06/20/2040 0.05FNR 2017-32 IP IO 04.5000 05/25/2047 0.05CSL AU R US0001M P 12/15/25 GS 0.054581 JP R US0001M P 12/15/25 GS 0.05SINOTRUK HONG KONG LTD SEDOL B296ZH4 0.05CAS 2015-C04 1M2 05.7915 04/25/2028 0.05POSCO SEDOL 6693233 0.05SHANDONG BUCHANG PHARMACEUTICALS CO LTD 144A/REGS WARRANT 12 0.05GNR 2016-51 MS IO 05.9566 04/20/2046 0.05WAMU 2004-AR12 A2B 01.0115 10/25/2044 0.05GNR 2017-H14 DI IO 01.6998 06/20/2067 0.05MARFRIG GLOBAL FOODS SA SEDOL B1YWHR4 0.05GNR 2016-150 I IO 05.0000 11/20/2046 0.05CAD/USD 07/21/2021 SSBT 0.05AMGN US R US0001M P 12/15/25 GS 0.05TEVA US R US0001M P 12/15/25 GS 0.05SEAZEN HOLDINGS CO 144A/REGS WARRANT 06/03/2022 0.05ZHUZHOU KIBING GROUP CO 144A/REGS WARRANT 07/29/2022 0.05CAS 2017-C02 2B1 05.5915 09/25/2029 0.05GILD US R US0001M P 12/15/25 GS 0.05GNR 2015-H20 CI IO 02.1970 08/20/2065 0.04FUBON FINANCIAL HOLDING CO SEDOL 6411673 0.04


Full holdings as of July 31, 2021LOGAN GROUP CO LTD SEDOL BH6X937 0.04SHAANXI COAL INDUSTRY 144A/REGS WARRANT 07/29/2022 0.04SEEGENE INC SEDOL B679Q36 0.04GNR 2015-H26 GI IO 01.7905 10/20/2065 0.04GNR 2015-H19 NI IO 01.9020 07/20/2065 0.04JPMBB 2013-C14 E 144A 04.7228 08/15/2046 0.04LLY US R US0001M P 12/15/25 GS 0.04FNR 2016-65 CS IO 06.0085 09/25/2046 0.04CAS 2020-R01 1B1 03.3415 01/25/2040 0.04GNR 2015-H24 HI IO 02.0571 09/20/2065 0.04GNR 2018-H05 AI IO 02.3891 02/20/2068 0.04FNR 2013-130 SD IO 06.5085 01/25/2044 0.04GNR 2015-H09 AI IO 01.7112 04/20/2065 0.04TISCO FINANCIAL-FOREIGN SEDOL B3KFW76 0.04GNR 2019-121 DS IO 06.0066 08/20/2049 0.04GNR 2015-H09 BI IO 01.6768 03/20/2065 0.04GNR 2014-H21 AI IO 01.6665 10/20/2064 0.04BANK OF SHANGHAI 144A/REGS WARRANT 11/30/2021 0.04GNR 2015-H24 BI IO 01.5903 08/20/2065 0.04JPMCC 2006-LDP9 AMS 05.3370 05/15/2047 0.04PETROLEOS MEXICANOS USD 06.3750 01/23/2045 0.044523 JP R US0001M P 12/15/25 GS 0.04BURSA MALAYSIA BHD SEDOL B06FV38 0.04HARTALEGA HOLDINGS BHD SEDOL B2QPJK5 0.04VIFN SW R US0001M P 12/15/25 GS 0.03GNR 2017-H02 BI IO 02.4409 01/20/2067 0.03BANCO MACRO SA-ADR SEDOL B0Y62M9 0.03CAD/USD 07/21/2021 MSCIL 0.03GNR 2015-H10 CI IO 01.7966 04/20/2065 0.03CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG 0.03CAS 2018-C05 1M2 02.4415 01/25/2031 0.032.00 R ISWP FWD US0003M P 09/15/2051 0.03GNR 2018-104 SD IO 06.1066 08/20/2048 0.03EUR/USD PUT 1.18 20210823 GSFX 0.034530 JP R US0001M P 12/15/25 GS 0.03EUR/USD 09/15/2021 JPMCB 0.03KOSSAN RUBBER INDUSTRIES SEDOL B0DD1H9 0.03KUMBA IRON ORE LTD SEDOL B1G4262 0.03CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CS 0.03FHR 4134 PI IO 03.0000 11/15/2042 0.03GNR 2015-53 MI IO 04.0000 04/16/2045 0.03FNR 2016-3 NI IO 06.0000 02/25/2046 0.034502 JP R US0001M P 12/15/25 GS 0.03SHINHAN FINANCIAL GROUP LTD SEDOL 6397502 0.03GNR 2016-H03 AI IO 01.7582 01/20/2066 0.03


Full holdings as of July 31, 2021COCA-COLA ICECEK AS SEDOL B058ZV4 0.03GNR 2015-80 IA IO 04.5000 06/20/2045 0.03GNR 2016-H08 GI IO 01.4212 04/20/2066 0.03CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS 0.03GNR 2017-H06 BI IO 02.3655 02/20/2067 0.03KT CORP SEDOL 6505316 0.03JIANGSU HENGRUI MEDICINE 144A/REGS WARRANT 04/12/2022 0.03GNR 2015-167 BI IO 04.5000 04/16/2045 0.03CHF/USD 09/15/2021 SSBT 0.03CAS 2017-C06 2M2 02.8915 02/25/2030 0.03JPY/USD 08/18/2021 GSFX 0.03GNR 2015-187 JI IO 04.0000 03/20/2045 0.03FHR 4752 PS IO 06.1271 11/15/2047 0.02GNR 2015-H16 XI IO 02.2729 07/20/2065 0.02GNR 2015-105 LI IO 05.0000 10/20/2039 0.02GNR 2014-146 EI IO 05.0000 10/20/2044 0.02INDOFOOD SUKSES MAKMUR TBK P SEDOL 6283979 0.02EUR/USD 09/15/2021 BCAP-FX 0.02GNR 2010-9 UI IO 05.0000 01/20/2040 0.024507 JP R US0001M P 12/15/25 GS 0.02GNR 2016-H16 DI IO 02.0098 06/20/2066 0.02NZD/USD 07/21/2021 GSFX 0.02HIK LN R US0001M P 12/15/25 GS 0.02GNR 2011-17 S IO 05.9566 02/20/2041 0.02CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.02GNR 2013-6 AI IO 03.5000 08/20/2039 0.02CWHL 2005-3 1A1 00.7115 04/25/2035 0.02CHF/USD 09/15/2021 JPMCB 0.02HONG LEONG BANK BERHAD SEDOL 6436892 0.02GLPG NA R US0001M P 12/15/25 GS 0.02NICE INFORMATION SERVICE CO SEDOL 6248332 0.02GNR 2018-127 IB IO 04.5000 06/20/2045 0.02GNR 2013-20 QI IO 04.5000 12/16/2042 0.024503 JP R US0001M P 12/15/25 GS 0.02WFRBS 2011-C3 E 144A 05.0000 03/15/2044 0.02LUN DC R US0001M P 12/15/25 GS 0.02CHINA MERCHANTS BANK-H SEDOL B1DYPZ5 0.02GNR 2018-127 ID IO 05.0000 07/20/2045 0.02GNR 2009-121 UI IO 05.0000 12/20/2039 0.02GBP/USD PUT 1.37 20210823 MSCIL 0.02GNR 2016-H04 KI IO 01.5266 02/20/2066 0.02GNR 2010-20 UI IO 05.0000 02/20/2040 0.02HOPSON DEVELOPMENT HOLDINGS SEDOL BMXJW56 0.02SAMSUNG ELECTRO-MECHANICS CO SEDOL 6771689 0.02UCB BB R US0001M P 12/15/25 GS 0.02


Full holdings as of July 31, 2021IOS.FN30.350.12 R USL1M P 01/12/43 CS 0.01IOS.FN30.400.14 R USL1M P 01/12/45 CS 0.01GBP/USD 09/15/2021 CSI-FX 0.01FOCUS MEDIA 144A/REGS WARRANT 04/12/2023 0.01CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS 0.01GNR 2014-163 NI IO 05.0000 02/20/2044 0.01INCY US R US0001M P 12/15/25 GS 0.01ERF FP R US0001M P 12/15/25 GS 0.01RUENTEX DEVELOPMENT CO LTD SEDOL 6748423 0.01CHF/USD 09/15/2021 MSCIL 0.01TOP GLOVE CORP BHD SEDOL B05L892 0.01EUR/USD 09/15/2021 CSI-FX 0.01EUR/USD 09/15/2021 TDBK 0.01GNR 2015-H10 EI IO 01.6022 04/20/2065 0.01CHF/USD 09/15/2021 GSFX 0.01GNR 2015-H18 IA IO 01.8228 06/20/2065 0.01QUALITAS CONTROLADORA SAB CV SEDOL BYMXF65 0.01GRF SM R US0001M P 12/15/25 GS 0.01GNR 2011-H15 AI IO 01.5284 06/20/2061 0.01GBP/USD 09/15/2021 TDBK 0.01GNR 2015-24 IA IO 03.5000 02/20/2045 0.01GNR 2013-129 SN IO 06.0566 09/20/2043 0.01JPY/USD 08/18/2021 JPMCB 0.01FHR 4193 PI IO 04.0000 03/15/2043 0.01FNR 2012-151 PI IO 03.0000 01/25/2043 0.01GNR 2018-127 IE IO 03.5000 01/20/2046 0.01CAD/USD 07/21/2021 TDBK 0.01FHR 4206 IP IO 03.0000 12/15/2041 0.01GNR 2013-24 PI IO 04.0000 11/20/2042 0.01KWG GROUP HOLDINGS LTD SEDOL B1YBF00 0.01CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML 0.01FNR 2013-35 PI IO 03.0000 02/25/2042 0.01NZD/USD 07/21/2021 MSCIL 0.010.95 R ISWP FWD US0003M P 09/15/2026 0.01FHR 4801 IG IO 03.0000 06/15/2048 0.01CAD/USD 07/21/2021 HSBCB 0.01NOVN SW R US0001M P 12/15/25 GS 0.01GNR 2016-75 EI IO 03.5000 08/20/2045 0.01CAD/USD 07/21/2021 UBS 0.01REGN US R US0001M P 12/15/25 GS 0.01CAD/USD 07/21/2021 CSI-FX 0.01IOS.FN30.400.14 R USL1M P 01/12/45 CS 0.01IOS.FN30.400.14 R USL1M P 01/12/45 GS 0.01JPY/USD 08/18/2021 CITI 0.01CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS 0.01


Full holdings as of July 31, 2021CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 ML 0.01CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS 0.01CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.01GNR 2010-35 QI IO 04.5000 03/20/2040 0.01EUR/USD 09/15/2021 CITI 0.01REPUBLIC OF VENEZUELA REGS 07.6500 04/21/2025 0.010.05 R ISWP FWD EUR006M P 09/15/2031 0.01JPY/USD 08/18/2021 BANKAM 0.00UBSBB 2012-C2 F 144A 05.0000 05/10/2063 0.00NZD/USD 07/21/2021 SSBT 0.004568 JP R US0001M P 12/15/25 GS 0.00IOS.FN30.650.67 R USL1M P 01/12/38 BC 0.00PETROLEOS DE VENEZUELA S REGS 05.3750 04/12/2027 0.00GNR 2013-23 IK IO 03.0000 09/20/2037 0.001.65 R ISWP FWD US0003M P 09/15/2031 0.00GNR 2013-79 XI IO 03.5000 11/20/2039 0.00SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP 0.00GBP/USD 09/15/2021 UBS 0.00REC IM R US0001M P 12/15/25 GS 0.00GNR 2015-99 LI IO 04.0000 07/20/2045 0.00CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG 0.00AUD/USD 07/21/2021 MSCIL 0.00OGN US R US0001M P 12/15/25 GS 0.00CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CG 0.00CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 MS 0.00CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CG 0.00NZD/USD 07/21/2021 WPAC 0.00ORNBV FH R US0001M P 12/15/25 GS 0.00GNR 2015-124 NI IO 03.5000 06/20/2039 0.00CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS 0.00CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS 0.00CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.00NZD/USD 07/21/2021 UBS 0.00CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 ML 0.00GNR 2013-157 IA IO 03.5000 04/20/2040 0.00CAD/USD 07/21/2021 BANKAM 0.00CAS 2015-C02 2M2 04.0915 05/25/2025 0.00FNR 2012-136 PI IO 03.5000 11/25/2042 0.00IOS.FN30.400.10 R USL1M P 01/12/41 BA 0.00IOS.FN30.400.10 R USL1M P 01/12/41 BA 0.00VRTX US R US0001M P 12/15/25 GS 0.00-0.05 R ISWP FWD CHL6M P 09/15/2031 0.00CAD/USD 07/21/2021 CITI 0.00GNR 2013-100 MI IO 03.5000 02/20/2043 0.00IOS.FN30.400.10 R USL1M P 01/12/41 CI 0.00


Full holdings as of July 31, 2021EUR/USD 09/15/2021 WPAC 0.00CMB CMBX.NA.BB.8 2057-10-17 500.0 10/17/2057 CG 0.00CMB CMBX.NA.BB.8 2057-10-17 500.0 10/17/2057 CS 0.00GBP/USD 09/15/2021 WPAC 0.00IOS.FN30.350.12 R USL1M P 01/12/43 CS 0.00IOS.FN30.400.10 R USL1M P 01/12/41 BC 0.00FNR 2013-31 NI IO 03.0000 06/25/2041 0.00NZD/USD 07/21/2021 CITI 0.00GNR 2014-133 AI IO 04.0000 10/20/2036 0.00CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG 0.00NZD/USD 07/21/2021 JPMCB 0.00GNR 2015-96 NI IO 03.5000 01/20/2039 0.00SWPTN 10YX20Y P 1.275 USD 03/05/2030 BA 0.00JPY/USD 08/18/2021 WPAC 0.000.77 R ISWP FWD SES3M P 09/15/2031 0.00JPY/USD 08/18/2021 RBSF 0.002.2225 R ISWP FWD US0003M P 06/05/2029 0.00FRONTKEN CORP BHD-CW26 SEDOL BNBW845 0.00SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS 0.00GNR 2013-102 IP IO 03.5000 06/20/2043 0.001.275 R ISWP FWD US0003M P 03/07/2050 0.00GNR 2012-141 WI IO 03.5000 11/20/2041 0.001.3659 R ISWP US0003M P 02/22/2031 0.00FHR 4097 PI IO 03.5000 11/15/2040 0.00GNR 2011-116 IB IO 05.0000 10/20/2040 0.00SWPTN 2YX30Y P 2.3075 USD 06/20/2022 BA 0.00CHF/USD 09/15/2021 HSBCB 0.00MLCFC 2006-4 XC IO P/P 144A 01.3910 12/12/2049 0.00HKD/USD 08/18/2021 UBS 0.00GLOW ENERGY PCL - FOREIGN SEDOL B074GX9 0.00HKD/USD 08/18/2021 BANKAM -0.00HKD/USD 08/18/2021 HSBCB -0.00HKD/USD 08/18/2021 MSCIL -0.00HKD/USD 08/18/2021 TDBK -0.001.4255 R ISWP US0003M P 02/24/2031 -0.00AUD/USD 07/21/2021 CSI-FX -0.002.3075 R ISWP FWD US0003M P 06/22/2052 -0.001.70 R ISWP FWD NOKOIB6M P 09/15/2031 -0.00AUD/USD 07/21/2021 RBSF -0.00HKD/USD 08/18/2021 SSBT -0.00SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS -0.001.51882 R ISWP US0003M P 03/02/2031 -0.00CAD/USD 07/21/2021 WPAC -0.000.94375 R ISWP FWD US0003M P 04/01/2026 -0.00CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA -0.00


Full holdings as of July 31, 2021SWPTN 10YX20Y R 1.275 USD 03/05/2030 BA -0.001.16 R ISWP US0003M P 10/16/2050 -0.002.184 R ISWP FWD US0003M P 12/07/2030 -0.00SEK/USD 09/15/2021 TDBK -0.00CAD/USD 07/21/2021 RBSF -0.00SEK/USD 09/15/2021 BANKAM -0.00NOK/USD 09/15/2021 UBS -0.00CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS -0.00CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA -0.00CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS -0.00SEK/USD 09/15/2021 JPMCB -0.00JPY/USD 08/18/2021 HSBCB -0.00GBP/USD 09/15/2021 HSBCB -0.00CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.00CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.00GBP/USD 09/15/2021 BANKAM -0.001.27 R ISWP FWD US0003M P 01/27/2047 -0.00CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA -0.00CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA -0.001.83 R ISWP FWD NFIX3MID P 09/15/2031 -0.00NOK/USD 09/15/2021 SSBT -0.00AUD/USD 07/21/2021 TDBK -0.00GBP/USD 09/15/2021 CITI -0.00SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP -0.00GBP/USD CALL 1.4198 20210823 MSCIL -0.00SEK/USD 09/15/2021 SSBT -0.01SWPTN 2YX30Y R 2.3075 USD 06/20/2022 BA -0.01NZD/USD 07/21/2021 HSBCB -0.011.84 R ISWP FWD CDOR03 P 09/15/2031 -0.01CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01EUR/USD 09/15/2021 RBSF -0.01CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS -0.01SEK/USD 09/15/2021 RBSF -0.01IOS.FN30.350.12 P USL1M R 01/12/43 BC -0.01-0.16 R ISWP FWD CHL6M P 06/16/2031 -0.01GBP/USD 09/15/2021 BCAP-FX -0.01CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01JPY/USD 08/18/2021 BCAP-FX -0.01CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS -0.01CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01IOS.FN30.400.10 P USL1M R 01/12/41 CS -0.01CPURNSA P 2.79 R 04/15/26 -0.01IOS.FN30.400.14 P USL1M R 01/12/45 JP -0.01IOS.FN30.300.13 P USL1M R 01/12/44 GS -0.01


Full holdings as of July 31, 2021AUD/USD 07/21/2021 CITI -0.01CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BC -0.01NZD/USD 07/21/2021 RBSF -0.011.55 R ISWP FWD AUDBB6M P 09/15/2031 -0.01IOS.FN30.350.12 P USL1M R 01/12/43 GS -0.01CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01AUD/USD 07/21/2021 JPMCB -0.01CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS -0.01NOK/USD 09/15/2021 MSCIL -0.01EUR/USD CALL 1.2114 20210823 GSFX -0.01CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01GBP/USD 09/15/2021 RBSF -0.01CAD/USD 07/21/2021 JPMCB -0.01SEK/USD 09/15/2021 BCAP-FX -0.01SEK/USD 09/15/2021 UBS -0.01CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS -0.01CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG -0.01AUD/USD 07/21/2021 HSBCB -0.01CAD/USD 07/21/2021 BCAP-FX -0.01CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS -0.02EBIX US P R 07/05/22 CI -0.02CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.02JPY/USD 08/18/2021 TDBK -0.02CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.020.30 R ISWP FWD US0003M P 09/15/2023 -0.02GBP/USD 09/15/2021 JPMCB -0.02CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.02CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.02CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 BC -0.02AUD/USD 07/21/2021 BCAP-FX -0.02IOS.FN30.400.14 P US0001M R 01/12/45 JP -0.02CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.02GBP/USD 09/15/2021 SSBT -0.020.975 R ISWP FWD SONIA P 09/15/2031 -0.02215600 KS P US0001M R 12/15/25 GS -0.02EUR/USD 09/15/2021 HSBCB -0.02AUD/USD 07/21/2021 GSFX -0.02CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS -0.021.45 R ISWP FWD SOFRRATE P 09/15/2031 -0.02EUR/USD 09/15/2021 GSFX -0.02JPY/USD 08/18/2021 MSCIL -0.02NOK/USD 09/15/2021 GSFX -0.02EUR/USD 09/15/2021 MSCIL -0.02


Full holdings as of July 31, 2021AUD/USD 07/21/2021 SSBT -0.03ZYXI US P US0001M R 07/05/22 CI -0.03CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.03NOK/USD 09/15/2021 JPMCB -0.03CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CG -0.03NOK/USD 09/15/2021 TDBK -0.03AUD/USD 07/21/2021 UBS -0.04CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS -0.04CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.04WDFC US P US0001M R 07/05/22 CI -0.04BGS US P R 07/05/22 CI -0.04EUR/USD 09/15/2021 BANKAM -0.05JPY/USD 08/18/2021 UBS -0.05EUR/USD 09/15/2021 UBS -0.05TPIC US P US0001M R 07/05/22 CI -0.05PLUG US P US0001M R 07/05/22 CI -0.05EUR/USD 09/15/2021 SSBT -0.05PDCO US P R 07/05/22 CI -0.05SEK/USD 09/15/2021 GSFX -0.05SEK/USD 09/15/2021 MSCIL -0.05GBP/USD 09/15/2021 MSCIL -0.06CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.06CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.07ACIW US P R 07/05/22 CI -0.071.57 R ISWP US0003M P 04/20/2031 -0.07CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS -0.08GBP/USD 09/15/2021 GSFX -0.09PSN US P US0001M R 07/05/22 CI -0.11PBH US P US0001M R 07/05/22 CI -0.11DY US P R 07/05/22 CI -0.11AIR US P US0001M R 07/05/22 CI -0.11PING US P US0001M R 07/05/22 CI -0.12LUMN US P US0001M R 07/05/22 CI -0.12OTEX US P US0001M R 12/15/25 GS -0.12EVBG US P US0001M R 07/05/22 CI -0.12COLM US P US0001M R 07/05/22 CI -0.12BB US P US0001M R 07/05/22 CI -0.14FCNCA US P US0001M R 07/05/22 CI -0.14ACA US P US0001M R 07/05/22 CI -0.15STOR US P US0001M R 07/05/22 CI -0.15RH US P US0001M R 07/05/22 CI -0.19NDUEEGF P US0001M R 11/02/21 CS -0.19CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML -0.21HSY US P US0001M R 07/05/22 CI -0.22ITRI US P US0001M R 07/05/22 CI -0.28


Full holdings as of July 31, 2021ELAN US P US0001M R 07/05/22 CI -0.29WWD US P R 07/05/22 CI -0.29FICO US P US0001M R 07/05/22 CI -0.31LHX US P US0001M R 07/05/22 CI -0.33PEN US P US0001M R 07/05/22 CI -0.34TSLA US P R 07/05/22 CI -0.36RL US P US0001M R 07/05/22 CI -0.40BHC US P R 07/05/22 CI -0.42ISRG US P US0001M R 07/05/22 CI -0.43CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.44CTXS US P US0001M R 07/05/22 CI -0.52NDUEEGF P US0001M R 11/02/21 UB -0.53CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.84CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.88FNMA FN30 TBA UMBS 02.0000 07/01/2051 -4.26NDUEEGF P US0001M R 11/02/21 UB -7.05NDUEEGF P US0001M R 11/02/21 CS -7.05S&P500 EMINI FUT SEP21 ESU1 -9.05US 5YR NOTE (CBT) SEP21 FVU1 -17.71US 2YR NOTE (CBT) SEP21 TUU1 -18.60GSGLPWDS P US0001M R 12/15/25 GS -18.78RU10INTR P US0003M R 06/20/23 BA -22.74SPTR P US0001M R 05/22/23 UB -36.38

Full holdings as of May 31, 2021US 10YR NOTE (CBT)SEP21 TYU1 41.89UBSPUSER R US0001M P 05/22/23 UB 36.48GSGLPWDL R US0001M P 12/15/25 GS 22.91MLFCF15 R US0003M P 06/20/23 BA 22.86FNMA FN30 TBA UMBS 02.5000 06/01/2051 13.33US 10YR ULTRA FUT SEP21 UXYU1 8.71BEFSBAXD R 0.1 P 05/26/22 BC 8.04JPCMPTFL R US0001M P 05/04/22 JP 7.31RU10VATR R US0001M P 02/05/22 JP 5.51FNMA FN30 TBA UMBS 04.0000 06/01/2051 4.58FNMA FN30 TBA UMBS 03.5000 06/01/2051 4.53FNMA FN30 TBA UMBS 03.0000 06/01/2051 4.48S&P GSCI LIGHT ENERGY ER 3.28GSVIUS85 R 0.45 P 12/15/25 GS 3.24MSCI EMGMKT JUN21 MESM1 3.21MATERIALS SELECT SECTOR SPDR SEDOL 2436841 3.19GSGLPHCL R US0001M P 12/15/25 GS 3.03TREASURY BILL 00.0000 06/17/2021 2.57NASDAQ 100 E-MINI JUN21 NQM1 2.35CITI CROSS-ASSET TREND 10% VOL INDEX 1.91


Full holdings as of July 31, 2021GSVIVV69 R 0.3 P 12/15/25 GS 1.75S&P GSCI LIGHT ENERGY ER INDEX 1.69CONSUMER STAPLES SPDR SEDOL 2369389 1.63CITI COMMOD F3-F0 4X LEVERED INDEX 1.63FINANCIAL SELECT SECTOR SPDR SEDOL 2364038 1.61COMM SERV SELECT SECTOR SPDR SEDOL BFXHC51 1.55TECHNOLOGY SELECT SECT SPDR SEDOL 2369709 1.52BAML COMMODITY MLBX4SX6 ER STRATEGY 1.46ISHARES MSCI INDIA ETF SEDOL B6XGR72 1.46E-MINI RUSS 2000 JUN21 RTYM1 1.46SWEDBANK AB 87019RTJ5 DCP 06/18/2021 1.07CHARIOT FUNDING LLC 15963TTH2 DCP 06/17/2021 1.07FMS WERTMANAGEMENT 34411GTU0 DCP 06/28/2021 1.07ING US FUNDING LLC 4497W0TJ7 DCP 06/18/2021 1.07LLOYDS BANK PLC 53943RU15 DCP 07/01/2021 1.07MANHATTAN ASSET FUNDING CO LL 56274LU10 DCP 07/01/2021 1.07MITSUBISHI UFJ TRUST & BANKIN 60682WV54 DCP 08/05/2021 1.07BARCLAYS BANK PLC CCP 06742XDX2 DCP 07/22/2021 1.07MSCI EAFE JUN21 MFSM1 1.00GSVICUB3 R 0.45 P 12/15/25 GS 0.99SAMSUNG ELECTRONICS CO LTD SEDOL 6771720 0.92TREASURY BILL 00.0000 06/10/2021 0.86TREASURY BILL 00.0000 07/20/2021 0.86TREASURY BILL 00.0000 08/05/2021 0.86ALIBABA GROUP HOLDING LTD SEDOL BK6YZP5 0.77TAIWAN SEMICONDUCTOR-SP ADR SEDOL 2113382 0.71GSVIVVOL R 0.3 P 12/15/25 GS 0.65TENCENT HOLDINGS LTD SEDOL BMMV2K8 0.60S&P GSCI LIGHT ENERGY ER 0.52VALE SA-SP ADR SEDOL 2857334 0.41CDX CDX.NA.HY.36 500.0 06/20/2026 0.35REPUBLICA ORIENT URUGUAY USD 04.3750 10/27/2027 0.34PING AN INSURANCE GROUP CO-H SEDOL B01FLR7 0.33CAS 2016-C02 1B 12.3416 09/25/2028 0.32COUNTRY GARDEN SERVICES HOLD SEDOL BDQZP48 0.30SHENZHEN MINDRAY BIO-MEDICAL ELEC CO 144A/REGS WARRANT 12/10 0.29KB FINANCIAL GROUP INC SEDOL B3DF0Y6 0.29UNITED MICROELECTRONICS CORP SEDOL 6916628 0.28JD.COM INC-ADR SEDOL BMM27D9 0.28HANA FINANCIAL GROUP SEDOL B0RNRF5 0.28YUM CHINA HOLDINGS INC SEDOL BYW4289 0.27LG ELECTRONICS INC SEDOL 6520739 0.25GLOBALWAFERS CO LTD SEDOL BS7JP33 0.25BANCO SANTANDER BRASIL-UNIT SEDOL B4V5RY4 0.24CDX CDX.EM.35 100.0 06/20/2026 0.24


Full holdings as of July 31, 2021PARADE TECHNOLOGIES LTD SEDOL B6RV676 0.23BAML COMMODITY MLBX4SX6 ER STRATEGY 3X NOTE 9/2/2021 0.23WFRBS 2012-C7 F 144A 04.5000 06/15/2045 0.23UNITED MEXICAN STATES USD 05.5500 01/21/2045 0.22SOUTHERN COPPER CORP SEDOL 2823777 0.22LUKOIL PJSC-SPON ADR SEDOL BYZDW27 0.22MMC NORILSK NICKEL PJSC-ADR SEDOL BYSW6D0 0.22ANGLO AMERICAN PLATINUM LTD SEDOL 6761000 0.21WANT WANT CHINA HOLDINGS LTD SEDOL B2Q14Z3 0.20FHR 5053 IB IO 03.0000 12/25/2050 0.19BANCO BRADESCO SA-PREF SEDOL B00FM53 0.19FNR 2017-74 SA IO 05.6584 10/25/2047 0.18ADVANCED INFO SERVICE-FOR RG SEDOL 6412591 0.18SANY HEAVY INDUSTRY CO LTD 144A/REGS WARRANT 12/16/2021 0.17FNR 2020-85 IP IO 03.0000 12/25/2050 0.17CHAROEN POKPHAND FOOD-FORGN SEDOL B5L2DG6 0.17CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.16ANHUI CONCH CEMENT CO LTD-H SEDOL 6080396 0.16POLY DEVELOPMENTS AND HOLD 144A/REGS WARRANT 07/29/2021 0.16KIA CORP SEDOL 6490928 0.15REALTEK SEMICONDUCTOR CORP SEDOL 6051422 0.15CHAILEASE HOLDING CO LTD SEDOL B58J1S8 0.15ZHONGSHENG GROUP HOLDINGS SEDOL B633D97 0.14CAS 2017-C02 2M2 03.7416 09/25/2029 0.14GNR 2020-173 MI IO 02.5000 11/20/2050 0.13SCRT 2019-4 M 04.5000 02/25/2059 0.13HAITIAN INTERNATIONAL HLDGS SEDOL B1L2RC2 0.12GNR 2018-153 AI IO 04.5000 09/16/2045 0.12FHR 5082 IQ IO 03.0000 03/25/2051 0.12GNR 2020-33 SA IO 06.0008 03/20/2050 0.11HUNDSUN TECHNOLOGIES INC 144A/REGS WARRANT 07/29/2021 0.11OFFCN EDUCATION TECH 144A/REGS WARRANT 04/12/2022 0.11FNR 2016-3 MI IO 05.5000 02/25/2046 0.11CHINA SHENHUA ENERGY CO-H SEDOL B09N7M0 0.11QUANTA COMPUTER INC SEDOL 6141011 0.11SHRP 2020-1 NOTE 03.0470 07/25/2024 0.11SPST 2020-15 A 01.4625 12/10/2021 0.11MWST 2020-2 A 00.8916 11/25/2053 0.11MWST 2020-1 A 00.9916 10/25/2053 0.11SPST 2021-6 A 00.8925 04/25/2022 0.11SPST 2020-13 A 01.5925 10/10/2021 0.11CMLTI 2007-AR5 1A1A 02.8797 04/25/2037 0.10SUOFEIYA HOME COLLECTION C-A 144A/REGS WARRANT 10/28/2021 0.10PETROBRAS GLOBAL FINANCE USD 06.2500 03/17/2024 0.10CHINA MINSHENG BANKING COR-H SEDOL B57JY24 0.10


Full holdings as of July 31, 2021GNR 2014-184 DI IO 05.5000 12/16/2044 0.10ENBRIDGE INC USD 04.2500 12/01/2026 0.10FNR 2015-30 IO IO 05.5000 05/25/2045 0.09CHINA FEIHE LTD SEDOL BK0SBL1 0.09JIANGSU HENGRUI MEDICINE 144A/REGS WARRANT 04/12/2022 0.09FNR 2020-47 ID IO 04.0000 07/25/2050 0.09RHB BANK BHD SEDOL 6244675 0.09KUMBA IRON ORE LTD SEDOL B1G4262 0.09GNR 2010-125 SD IO 06.5791 01/16/2040 0.09FNR 2018-51 IO IO 06.5000 07/25/2048 0.09DINO POLSKA SA SEDOL BD0YVN2 0.09CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.08COM7 PCL-F SEDOL BZ2YN49 0.08GNR 2016-H02 BI IO 01.8552 11/20/2065 0.08GNR 2015-H11 CI IO 02.0990 05/20/2065 0.08FOSHAN HAITIAN FLAVOURING & FOOD 144A/REGS WARRANT 05/11/202 0.08PETROLEOS MEXICANOS USD 06.5000 03/13/2027 0.08SRI TRANG GLOVES THA-FOREIGN SEDOL BMGJNP0 0.08VIPSHOP HOLDINGS LTD - ADR SEDOL B3N0H17 0.08RISESUN REAL ESTATE DEV-A 144A/REGS WARRANT 11/02/2021 0.08HYUNDAI MOBIS CO LTD SEDOL 6449544 0.08FNR 2016-88 SK IO 05.9084 12/25/2046 0.08FHR 4964 IA IO 04.5000 03/25/2050 0.08STACR 2020-HQA2 M2 03.1916 03/25/2050 0.07PETROBRAS GLOBAL FIN USD 05.9990 01/27/2028 0.07RADIANT OPTO-ELECTRONICS COR SEDOL 6520278 0.07FNR 2017-8 SB IO 06.0084 02/25/2047 0.07GSMS 2014-GC24 D 144A 04.5363 09/10/2047 0.07GNR 2015-H15 JI IO 01.9650 06/20/2065 0.07LITE-ON TECHNOLOGY CORP SEDOL 6519481 0.07JIANGSU HENGLI HYDRAULIC C-A 144A/REGS WARRANT 03/23/2022 0.07HYPERA SA SEDOL B2QY968 0.07TOP GLOVE CORP BHD SEDOL B05L892 0.07HELLENIC TELECOMMUN ORGANIZA SEDOL 5051605 0.07PROVINCIA DE BUENOS P/P 144A 10.8750 01/26/2022 0.07GNR 2015-H25 BI IO 01.9667 10/20/2065 0.07CHINA RESOURCES CEMENT SEDOL B41XC98 0.06WENS FOODSTUFFS 144A/REGS WARRANT 04/12/2022 0.06NIEN MADE ENTERPRISE CO LTD SEDOL BSZLN15 0.06CAS 2017-C03 1M2 03.0916 10/25/2029 0.06FNR 2017-108 SA IO 06.0584 01/25/2048 0.06AGILE GROUP HOLDINGS LTD SEDOL B0PR2F4 0.06SAMSUNG ENGINEERING CO LTD SEDOL 6765239 0.06FNR 2020-16 SG IO 05.9584 03/25/2050 0.06CAD/USD 07/21/2021 GSFX 0.06


Full holdings as of July 31, 2021CIA DE TRANSMISSAO DE ENE-PF SEDOL 2440972 0.06CTBC FINANCIAL HOLDING CO LT SEDOL 6527666 0.06SINOTRUK HONG KONG LTD SEDOL B296ZH4 0.06GNR 2015-H25 AI IO 01.6228 09/20/2065 0.06GNR 2018-91 SJ IO 06.1508 07/20/2048 0.06SEAZEN HOLDINGS CO 144A/REGS WARRANT 06/03/2022 0.06FNR 2017-32 IP IO 04.5000 05/25/2047 0.06PETROBRAS GLOBAL FINANCE USD 08.7500 05/23/2026 0.05GNR 2010-68 SD IO 06.4808 06/20/2040 0.05BANCO MACRO SA-ADR SEDOL B0Y62M9 0.05GNR 2016-51 MS IO 05.9508 04/20/2046 0.05SHANDONG BUCHANG PHARMACEUTICALS CO LTD 144A/REGS WARRANT 12 0.05GNR 2015-H24 HI IO 02.0497 09/20/2065 0.05CAS 2015-C04 1M2 05.7916 04/25/2028 0.05WAMU 2004-AR12 A2B 01.0116 10/25/2044 0.05GNR 2017-H14 DI IO 01.7141 06/20/2067 0.05GNR 2016-150 I IO 05.0000 11/20/2046 0.05LOGAN GROUP CO LTD SEDOL BH6X937 0.05CAS 2017-C02 2B1 05.5916 09/25/2029 0.05GNR 2015-H20 CI IO 02.2132 08/20/2065 0.05SYNNEX TECHNOLOGY INTL CORP SEDOL 6868439 0.05FNR 2016-65 CS IO 06.0084 09/25/2046 0.04HARTALEGA HOLDINGS BHD SEDOL B2QPJK5 0.04GNR 2015-H26 GI IO 01.8070 10/20/2065 0.04GNR 2015-H09 AI IO 01.7109 04/20/2065 0.04GNR 2014-H21 AI IO 01.6702 10/20/2064 0.04FUBON FINANCIAL HOLDING CO SEDOL 6411673 0.04GNR 2018-H05 AI IO 02.3901 02/20/2068 0.04GNR 2015-H19 NI IO 01.9146 07/20/2065 0.04MEITUAN-CLASS B SEDOL BGJW376 0.04GNR 2019-121 DS IO 06.0008 08/20/2049 0.04CPURNSA P 2.686 R 04/01/31 0.04MARFRIG GLOBAL FOODS SA SEDOL B1YWHR4 0.04GNR 2017-H02 BI IO 02.4480 01/20/2067 0.04CAS 2020-R01 1B1 03.3416 01/25/2040 0.04JPMBB 2013-C14 E 144A 04.5704 08/15/2046 0.04GNR 2015-H09 BI IO 01.6904 03/20/2065 0.04FNR 2013-130 SD IO 06.5084 01/25/2044 0.04TISCO FINANCIAL-FOREIGN SEDOL B3KFW76 0.04KOSSAN RUBBER INDUSTRIES SEDOL B0DD1H9 0.04CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG 0.04BANK OF SHANGHAI 144A/REGS WARRANT 11/30/2021 0.04PRESIDENT CHAIN STORE CORP SEDOL 6704986 0.04ECOPETROL SA-SPONSORED ADR SEDOL B3D6J19 0.04ORION CORP/REPUBLIC OF KOREA SEDOL BDVLJ72 0.04


Full holdings as of July 31, 2021SEK/USD 06/16/2021 MSCIL 0.04GNR 2015-H24 BI IO 01.6045 08/20/2065 0.04BURSA MALAYSIA BHD SEDOL B06FV38 0.04DL HOLDINGS CO LTD SEDOL 6249584 0.04PETROLEOS MEXICANOS USD 06.3750 01/23/2045 0.04SEEGENE INC SEDOL B679Q36 0.04JPMCC 2006-LDP9 AMS 05.3370 05/15/2047 0.04UNITED INTEGRATED SERVICES SEDOL 6105136 0.04GNR 2015-H10 CI IO 01.8112 04/20/2065 0.03GNR 2018-104 SD IO 06.1008 08/20/2048 0.03PEGATRON CORP SEDOL B4PLX17 0.03CAS 2018-C05 1M2 02.4416 01/25/2031 0.03CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CS 0.03GNR 2016-H03 AI IO 01.7652 01/20/2066 0.03CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS 0.03FHR 4134 PI IO 03.0000 11/15/2042 0.03FNR 2016-3 NI IO 06.0000 02/25/2046 0.03CAD/USD 07/21/2021 MSCIL 0.03GNR 2015-53 MI IO 04.0000 04/16/2045 0.03GNR 2015-80 IA IO 04.5000 06/20/2045 0.03FHR 4752 PS IO 06.0991 11/15/2047 0.03KT CORP SEDOL 6505316 0.03GNR 2016-H08 GI IO 01.4338 04/20/2066 0.03COCA-COLA ICECEK AS SEDOL B058ZV4 0.03GBP/USD 06/16/2021 GSFX 0.03CAD/USD 07/21/2021 HSBCB 0.03GNR 2017-H06 BI IO 02.3708 02/20/2067 0.03GNR 2015-167 BI IO 04.5000 04/16/2045 0.03HENGAN INTL GROUP CO LTD SEDOL 6136233 0.03CPURNSA P 2.79 R 04/15/26 0.03GNR 2015-187 JI IO 04.0000 03/20/2045 0.03CAS 2017-C06 2M2 02.8916 02/25/2030 0.03EUR/USD 06/16/2021 BANKAM 0.03GNR 2015-H16 XI IO 02.3855 07/20/2065 0.03GNR 2015-105 LI IO 05.0000 10/20/2039 0.03GNR 2016-H16 DI IO 02.3539 06/20/2066 0.03GNR 2014-146 EI IO 05.0000 10/20/2044 0.03GNR 2010-9 UI IO 05.0000 01/20/2040 0.03CAD/USD 07/21/2021 SSBT 0.02INDOFOOD SUKSES MAKMUR TBK P SEDOL 6283979 0.02GNR 2011-17 S IO 05.9508 02/20/2041 0.02CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.02GNR 2013-6 AI IO 03.5000 08/20/2039 0.02EUR/USD 06/16/2021 UBS 0.02UBSBB 2012-C2 F 144A 05.0000 05/10/2063 0.02


Full holdings as of July 31, 2021CWHL 2005-3 1A1 00.7116 04/25/2035 0.020.05 R ISWP FWD EUR006M P 06/16/2031 0.02PRESS METAL ALUMINIUM HOLDIN SEDOL BF0J5S4 0.02GNR 2018-127 IB IO 04.5000 06/20/2045 0.02HONG LEONG BANK BERHAD SEDOL 6436892 0.02LUENMEI QUANTUM CO LTD 144A/REGS WARRANT 12/02/2021 0.02GBP/USD 06/16/2021 MSCIL 0.02GNR 2013-20 QI IO 04.5000 12/16/2042 0.02JPY/USD 08/18/2021 SSBT 0.02FAR EASTONE TELECOMM CO LTD SEDOL 6421854 0.02EUR/USD 06/16/2021 HSBCB 0.02NICE INFORMATION SERVICE CO SEDOL 6248332 0.02GNR 2018-127 ID IO 05.0000 07/20/2045 0.02WFRBS 2011-C3 E 144A 05.0000 03/15/2044 0.02GNR 2016-H04 KI IO 01.5324 02/20/2066 0.02GNR 2009-121 UI IO 05.0000 12/20/2039 0.02CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS 0.02NOK/USD 06/16/2021 JPMCB 0.02NOK/USD 06/16/2021 TDBK 0.02PETRONAS GAS BHD SEDOL 6703972 0.02GNR 2010-20 UI IO 05.0000 02/20/2040 0.02BIM BIRLESIK MAGAZALAR AS SEDOL B0D0006 0.02FOCUS MEDIA 144A/REGS WARRANT 04/12/2023 0.02IOS.FN30.400.14 R USL1M P 01/12/45 CS 0.02IOS.FN30.350.12 R USL1M P 01/12/43 CS 0.02FRONTKEN CORP BHD SEDOL B18TLC4 0.02FENG TAY ENTERPRISE CO LTD SEDOL 6336055 0.02SAMSUNG ELECTRO-MECHANICS CO SEDOL 6771689 0.01GNR 2014-163 NI IO 05.0000 02/20/2044 0.01QUALITAS CONTROLADORA SAB CV SEDOL BYMXF65 0.01GNR 2015-H10 EI IO 01.6185 04/20/2065 0.01GNR 2015-H18 IA IO 01.8336 06/20/2065 0.01RUENTEX DEVELOPMENT CO LTD SEDOL 6748423 0.01GNR 2011-H15 AI IO 01.5374 06/20/2061 0.010.9935 R ISWP US0003M P 04/09/2026 0.01GNR 2015-24 IA IO 03.5000 02/20/2045 0.01FHR 4193 PI IO 04.0000 03/15/2043 0.01GNR 2013-129 SN IO 06.0508 09/20/2043 0.01GNR 2018-127 IE IO 03.5000 01/20/2046 0.01CELLTRION INC SEDOL B0C5YV1 0.01CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML 0.01FNR 2012-151 PI IO 03.0000 01/25/2043 0.01CAD/USD 07/21/2021 CITI 0.01KWG GROUP HOLDINGS LTD SEDOL B1YBF00 0.01FHR 4206 IP IO 03.0000 12/15/2041 0.01


Full holdings as of July 31, 2021GNR 2013-24 PI IO 04.0000 11/20/2042 0.01FHR 4801 IG IO 03.0000 06/15/2048 0.01FNR 2013-35 PI IO 03.0000 02/25/2042 0.010.30 R ISWP FWD US0003M P 06/16/2023 0.01GNR 2016-75 EI IO 03.5000 08/20/2045 0.01CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS 0.01CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 ML 0.01CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS 0.01GBP/USD 06/16/2021 RBSF 0.01BANK BTPN SYARIAH TBK PT SEDOL BFNBJ41 0.01IOS.FN30.400.14 R USL1M P 01/12/45 CS 0.01IOS.FN30.400.14 R USL1M P 01/12/45 GS 0.01SEK/USD 06/16/2021 GSFX 0.01CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.01SEK/USD 06/16/2021 BCAP-FX 0.01EUR/USD 06/16/2021 RBSF 0.01EUR/USD 06/16/2021 MSCIL 0.011.734 R ISWP US0003M P 04/07/2031 0.01-0.16 R ISWP FWD CHL6M P 06/16/2031 0.01GNR 2010-35 QI IO 04.5000 03/20/2040 0.012.0455 R ISWP US0003M P 05/24/2051 0.01CAD/USD 07/21/2021 UBS 0.01CAD/USD 07/21/2021 TDBK 0.01REPUBLIC OF VENEZUELA REGS 07.6500 04/21/2025 0.01GNR 2013-79 XI IO 03.5000 11/20/2039 0.01PETROLEOS DE VENEZUELA S REGS 05.3750 04/12/2027 0.01CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG 0.00IOS.FN30.650.67 R USL1M P 01/12/38 BC 0.00SWPTN 3MX5Y P 1.08 USD 06/29/2021 BC 0.00GNR 2013-23 IK IO 03.0000 09/20/2037 0.001.62364 R ISWP US0003M P 05/17/2031 0.000.9395 R ISWP US0003M P 04/15/2026 0.001.6191 R ISWP US0003M P 05/17/2031 0.00NOK/USD 06/16/2021 GSFX 0.00GNR 2015-99 LI IO 04.0000 07/20/2045 0.00CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CG 0.00CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CG 0.00CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 MS 0.00CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 ML 0.00GNR 2015-124 NI IO 03.5000 06/20/2039 0.00CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS 0.00CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS 0.00CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.000.2807 R ISWP US0003M P 04/13/2023 0.000.77 R ISWP FWD SES3M P 06/16/2031 0.00


Full holdings as of July 31, 20211.631 R ISWP US0003M P 04/16/2031 0.000.896 R ISWP US0003M P 05/18/2026 0.000.2545 R ISWP US0003M P 05/18/2023 0.00CAS 2015-C02 2M2 04.0916 05/25/2025 0.00SEK/USD 06/16/2021 RBSF 0.00GNR 2013-157 IA IO 03.5000 04/20/2040 0.00GNR 2013-100 MI IO 03.5000 02/20/2043 0.002.00 R ISWP FWD US0003M P 06/16/2051 0.00FNR 2012-136 PI IO 03.5000 11/25/2042 0.00IOS.FN30.400.10 R USL1M P 01/12/41 BA 0.00IOS.FN30.400.10 R USL1M P 01/12/41 BA 0.002.0345 R ISWP US0003M P 05/05/2051 0.001.08 R ISWP FWD US0003M P 07/01/2026 0.001.82 R ISWP FWD NOKOIB6M P 06/16/2031 0.00JPY/USD 08/18/2021 CITI 0.00JPY/USD 08/18/2021 GSFX 0.001.5855 R ISWP US0003M P 05/25/2031 0.00SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP 0.00NOK/USD 06/16/2021 UBS 0.001.76 R ISWP FWD AUDBB6M P 06/16/2031 0.001.6365 R ISWP US0003M P 05/05/2031 0.00JPY/USD 08/18/2021 BANKAM 0.00SWPTN 10YX20Y P 1.275 USD 03/05/2030 BA 0.00IOS.FN30.400.10 R USL1M P 01/12/41 CI 0.00CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG 0.00CMB CMBX.NA.BB.8 2057-10-17 500.0 10/17/2057 CS 0.00CMB CMBX.NA.BB.8 2057-10-17 500.0 10/17/2057 CG 0.00GNR 2014-133 AI IO 04.0000 10/20/2036 0.00GNR 2015-96 NI IO 03.5000 01/20/2039 0.00FNR 2013-31 NI IO 03.0000 06/25/2041 0.00IOS.FN30.350.12 R USL1M P 01/12/43 CS 0.00IOS.FN30.400.10 R USL1M P 01/12/41 BC 0.00AUD/USD 07/21/2021 GSFX 0.001.3659 R ISWP US0003M P 02/22/2031 0.00NZD/USD 07/21/2021 HSBCB 0.00FRONTKEN CORP BHD-CW26 SEDOL BNBW845 0.001.5585 R ISWP US0003M P 05/27/2031 0.00GNR 2012-141 WI IO 03.5000 11/20/2041 0.00GNR 2013-102 IP IO 03.5000 06/20/2043 0.001.275 R ISWP FWD US0003M P 03/07/2050 0.001.991 R ISWP US0003M P 04/23/2051 0.001.4255 R ISWP US0003M P 02/24/2031 0.00SWPTN 2YX30Y P 2.3075 USD 06/20/2022 BA 0.00JPY/USD 08/18/2021 WPAC 0.002.2225 R ISWP FWD US0003M P 06/05/2029 0.00


Full holdings as of July 31, 2021GBP/USD 06/16/2021 BCAP-FX 0.00FHR 4097 PI IO 03.5000 11/15/2040 0.001.998 R ISWP US0003M P 04/26/2051 0.000.93 R ISWP FWD SONIA P 06/16/2031 0.00SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS 0.000.95 R ISWP FWD US0003M P 06/16/2026 0.00AUD/USD 07/21/2021 RBSF 0.00CAD/USD 07/21/2021 CSI-FX 0.00GNR 2011-116 IB IO 05.0000 10/20/2040 0.001.51882 R ISWP US0003M P 03/02/2031 0.00MLCFC 2006-4 XC IO P/P 144A 01.1761 12/12/2049 0.00GBP/USD 06/16/2021 BANKAM 0.00GLOW ENERGY PCL - FOREIGN SEDOL B074GX9 0.00SEK/USD 06/16/2021 JPMCB -0.00HKD/USD 08/18/2021 UBS -0.00HKD/USD 08/18/2021 BANKAM -0.00HKD/USD 08/18/2021 HSBCB -0.00HKD/USD 08/18/2021 MSCIL -0.002.3075 R ISWP FWD US0003M P 06/22/2052 -0.00HKD/USD 08/18/2021 TDBK -0.00AUD/USD 07/21/2021 TDBK -0.001.9765 R ISWP US0003M P 04/20/2051 -0.001.9975 R ISWP US0003M P 06/01/2051 -0.00SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS -0.00JPY/USD 08/18/2021 JPMCB -0.00JPY/USD 08/18/2021 HSBCB -0.00GBP/USD 06/16/2021 HSBCB -0.001.5665 R ISWP US0003M P 04/29/2031 -0.001.91 R ISWP FWD CDOR03 P 06/16/2031 -0.00HKD/USD 08/18/2021 SSBT -0.00AUD/USD 07/21/2021 JPMCB -0.001.9515 R ISWP US0003M P 04/19/2051 -0.002.184 R ISWP FWD US0003M P 12/07/2030 -0.002.0265 R ISWP US0003M P 05/07/2051 -0.00CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA -0.000.2578 R ISWP US0003M P 05/18/2023 -0.000.2582 R ISWP US0003M P 05/18/2023 -0.00AUD/USD 07/21/2021 MSCIL -0.002.0065 R ISWP US0003M P 04/22/2051 -0.00SWPTN 10YX20Y R 1.275 USD 03/05/2030 BA -0.00CAD/USD 07/21/2021 WPAC -0.001.96 R ISWP FWD NFIX3MID P 06/16/2031 -0.001.16 R ISWP US0003M P 10/16/2050 -0.00AUD/USD 07/21/2021 BCAP-FX -0.001.5955 R ISWP US0003M P 05/14/2031 -0.00


Full holdings as of July 31, 2021AUD/USD 07/21/2021 CITI -0.000.2825 R ISWP US0003M P 04/13/2023 -0.00CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS -0.00JPY/USD 08/18/2021 BCAP-FX -0.00CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA -0.00AUD/USD 07/21/2021 UBS -0.00SEK/USD 06/16/2021 UBS -0.001.589 R ISWP US0003M P 05/18/2031 -0.00CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS -0.00NOK/USD 06/16/2021 MSCIL -0.00SEK/USD 06/16/2021 TDBK -0.00AUD/USD 07/21/2021 HSBCB -0.00JPY/USD 08/18/2021 RBSF -0.001.743 R ISWP US0003M P 04/07/2031 -0.001.7655 R ISWP US0003M P 04/07/2031 -0.00CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.00CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.00NZD/USD 07/21/2021 CITI -0.00NZD/USD 07/21/2021 JPMCB -0.000.94375 R ISWP FWD US0003M P 04/01/2026 -0.000.9175 R ISWP US0003M P 05/24/2026 -0.00GBP/USD 06/16/2021 WPAC -0.000.2875 R ISWP US0003M P 04/15/2023 -0.001.627 R ISWP US0003M P 04/30/2031 -0.00CHF/USD 06/16/2021 MSCIL -0.001.35 R ISWP FWD SOFRRATE P 06/16/2031 -0.00SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP -0.00CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA -0.00CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA -0.00GBP/USD 06/16/2021 CITI -0.01CHF/USD 06/16/2021 GSFX -0.01GBP/USD 06/16/2021 TDBK -0.01NZD/USD 07/21/2021 MSCIL -0.01SWPTN 2YX30Y R 2.3075 USD 06/20/2022 BA -0.01CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.011.27 R ISWP FWD US0003M P 01/27/2047 -0.011.628 R ISWP US0003M P 05/24/2031 -0.01CHF/USD 06/16/2021 HSBCB -0.01IOS.FN30.350.12 P USL1M R 01/12/43 BC -0.01CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS -0.01JPY/USD 08/18/2021 TDBK -0.01CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS -0.011.7275 R ISWP US0003M P 03/31/2031 -0.01EUR/USD 06/16/2021 WPAC -0.01


Full holdings as of July 31, 2021IOS.FN30.400.10 P USL1M R 01/12/41 CS -0.01CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01CAD/USD 07/21/2021 RBSF -0.012.091 R ISWP US0003M P 05/17/2051 -0.01IOS.FN30.300.13 P USL1M R 01/12/44 GS -0.01AUD/USD 07/21/2021 SSBT -0.01GBP/USD 06/16/2021 JPMCB -0.01IOS.FN30.400.14 P USL1M R 01/12/45 JP -0.01CHF/USD 06/16/2021 SSBT -0.01CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BC -0.01GBP/USD 06/16/2021 CSI-FX -0.01EUR/USD 06/16/2021 GSFX -0.01GBP/USD 06/16/2021 UBS -0.01IOS.FN30.350.12 P USL1M R 01/12/43 GS -0.01NZD/USD 07/21/2021 WPAC -0.01CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS -0.01EUR/USD 06/16/2021 CSI-FX -0.01CAD/USD 07/21/2021 BANKAM -0.01CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01CHF/USD 06/16/2021 JPMCB -0.011.7665 R ISWP US0003M P 04/01/2031 -0.01EBIX US P R 07/05/22 CI -0.01JPY/USD 08/18/2021 MSCIL -0.01GBP/USD 06/16/2021 SSBT -0.01CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG -0.01SEK/USD 06/16/2021 SSBT -0.011.57 R ISWP US0003M P 04/20/2031 -0.01CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS -0.01EUR/USD 06/16/2021 CITI -0.01CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.02CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS -0.02CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.02EUR/USD 06/16/2021 BCAP-FX -0.02CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.02CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.02CAD/USD 07/21/2021 BCAP-FX -0.02EUR/USD 06/16/2021 SSBT -0.02SWI US P US0001M R 07/05/22 CI -0.02IOS.FN30.400.14 P US0001M R 01/12/45 JP -0.02215600 KS P US0001M R 12/15/25 GS -0.02CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 BC -0.02


Full holdings as of July 31, 2021CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.02JPY/USD 08/18/2021 UBS -0.02CAD/USD 07/21/2021 JPMCB -0.02CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS -0.02ZYXI US P US0001M R 07/05/22 CI -0.03NZD/USD 07/21/2021 UBS -0.031.65 R ISWP FWD US0003M P 06/16/2031 -0.03NZD/USD 07/21/2021 RBSF -0.03EUR/USD 06/16/2021 TDBK -0.03CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.03NZD/USD 07/21/2021 SSBT -0.03CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CG -0.031.675 R ISWP US0003M P 04/13/2031 -0.03EUR/USD 06/16/2021 JPMCB -0.04WDFC US P US0001M R 07/05/22 CI -0.04BGS US P R 07/05/22 CI -0.04NZD/USD 07/21/2021 GSFX -0.04CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS -0.04CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.04PLUG US P US0001M R 07/05/22 CI -0.04TPIC US P US0001M R 07/05/22 CI -0.05PDCO US P R 07/05/22 CI -0.05SWPTN 3MX5Y R 1.08 USD 06/29/2021 BC -0.06CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.07ACIW US P R 07/05/22 CI -0.08CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.08CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS -0.09EVBG US P US0001M R 07/05/22 CI -0.10PBH US P US0001M R 07/05/22 CI -0.11OTEX US P US0001M R 12/15/25 GS -0.11DY US P R 07/05/22 CI -0.11LUMN US P US0001M R 07/05/22 CI -0.12PING US P US0001M R 07/05/22 CI -0.12COLM US P US0001M R 07/05/22 CI -0.13BB US P US0001M R 07/05/22 CI -0.15STOR US P US0001M R 07/05/22 CI -0.15ACA US P US0001M R 07/05/22 CI -0.16MIDD US P US0001M R 07/05/22 CI -0.17RH US P US0001M R 07/05/22 CI -0.18NDUEEGF P US0001M R 11/02/21 CS -0.19HSY US P US0001M R 07/05/22 CI -0.22CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML -0.23ITRI US P US0001M R 07/05/22 CI -0.27ELAN US P US0001M R 07/05/22 CI -0.30WWD US P R 07/05/22 CI -0.31


Full holdings as of July 31, 2021PEN US P US0001M R 07/05/22 CI -0.32FICO US P US0001M R 07/05/22 CI -0.32LHX US P US0001M R 07/05/22 CI -0.34TSLA US P R 07/05/22 CI -0.34HZNP US P US0001M R 07/05/22 CI -0.39ISRG US P US0001M R 07/05/22 CI -0.40RL US P US0001M R 07/05/22 CI -0.43BHC US P R 07/05/22 CI -0.47CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.48CTXS US P US0001M R 07/05/22 CI -0.52AAP US P US0001M R 07/05/22 CI -0.53NDUEEGF P US0001M R 11/02/21 UB -0.53CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.91CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.96FNMA FN30 TBA UMBS 02.0000 06/01/2051 -4.33NDUEEGF P US0001M R 11/02/21 CS -7.07NDUEEGF P US0001M R 11/02/21 UB -7.07S&P500 EMINI FUT JUN21 ESM1 -9.02US 5YR NOTE (CBT) SEP21 FVU1 -18.07US 2YR NOTE (CBT) SEP21 TUU1 -18.94GSGLPWDS P US0001M R 12/15/25 GS -22.44RU10INTR P US0003M R 06/20/23 BA -22.73SPTR P US0001M R 05/22/23 UB -36.26

Full holdings as of April 30, 2021UBSPUSER R US0001M P 05/22/23 UB 36.47MLFCF15 R US0003M P 06/20/23 BA 23.45GSGLPWDL R US0001M P 12/15/25 GS 22.48US 10YR NOTE (CBT)JUN21 TYM1 21.74US 10YR ULTRA FUT JUN21 UXYM1 14.51FNMA FN30 TBA UMBS 02.5000 06/01/2051 13.45BEFSBAXC R 0.1 P 05/26/22 BC 8.00JPCMPTFL R US0001M P 03/29/22 JP 7.80RU10VATR R US0001M P 02/05/22 JP 5.44FNMA FN30 TBA UMBS 04.0000 05/01/2051 4.66FNMA FN30 TBA UMBS 03.5000 05/01/2051 4.61FNMA FN30 TBA UMBS 03.0000 05/01/2051 4.54GSVIUS85 R 0.45 P 12/15/25 GS 3.23S&P GSCI LIGHT ENERGY ER 3.19MSCI EMGMKT JUN21 MESM1 3.19MATERIALS SELECT SECTOR SPDR SEDOL 2436841 3.06COMM SERV SELECT SECTOR SPDR SEDOL BFXHC51 3.01GSGLPHCL R US0001M P 12/15/25 GS 2.96TREASURY BILL 00.0000 06/17/2021 2.60NASDAQ 100 E-MINI JUN21 NQM1 2.40


Full holdings as of July 31, 2021S&P GSCI LIGHT ENERGY ER INDEX 2.11GSVIVV69 R 0.3 P 12/15/25 GS 2.04CITI CROSS-ASSET TREND 10% VOL INDEX 1.84CONSUMER STAPLES SPDR SEDOL 2369389 1.61CITI COMMOD F3-F0 4X LEVERED INDEX 1.49CONSUMER DISCRETIONARY SELT SEDOL 2424341 1.47E-MINI RUSS 2000 JUN21 RTYM1 1.47ISHARES MSCI INDIA ETF SEDOL B6XGR72 1.37BAML COMMODITY MLBX4SX6 ER STRATEGY 1.36TREASURY BILL 00.0000 05/25/2021 1.08SUMITOMO MITSUI TRUST BANK LT 86563GS52 DCP 05/05/2021 1.08CRC FUNDING LLC 12619TSB1 DCP 05/11/2021 1.08TOTAL CAPITAL CANADA LTD 89153PSJ2 DCP 05/18/2021 1.08COMMONWEALTH BANK OF AUSTRALI 20272DSS0 DCP 05/26/2021 1.08ABN AMRO FUNDING USA LLC 00084BSQ8 DCP 05/24/2021 1.08SWEDBANK AB 87019RTJ5 DCP 06/18/2021 1.08ING US FUNDING LLC 4497W0TJ7 DCP 06/18/2021 1.08FMS WERTMANAGEMENT 34411GTU0 DCP 06/28/2021 1.08CHARIOT FUNDING LLC 15963TTH2 DCP 06/17/2021 1.08LLOYDS BANK PLC 53943RU15 DCP 07/01/2021 1.08MANHATTAN ASSET FUNDING CO LL 56274LU10 DCP 07/01/2021 1.08MITSUBISHI UFJ TRUST & BANKIN 60682WV54 DCP 08/05/2021 1.08BARCLAYS BANK PLC CCP 06742XDX2 DCP 07/22/2021 1.08GSVICUB3 R 0.45 P 12/15/25 GS 0.98MSCI EAFE JUN21 MFSM1 0.98SAMSUNG ELECTRONICS CO LTD SEDOL 6771720 0.95TREASURY BILL 00.0000 06/10/2021 0.87CASH MGMT BILL 00.0000 07/20/2021 0.87TREASURY BILL 00.0000 08/05/2021 0.87ALIBABA GROUP HOLDING LTD SEDOL BK6YZP5 0.84GSVIVVOL R 0.3 P 12/15/25 GS 0.74TAIWAN SEMICONDUCTOR-SP ADR SEDOL 2113382 0.71TENCENT HOLDINGS LTD SEDOL BMMV2K8 0.63S&P GSCI LIGHT ENERGY ER 0.50VALE SA-SP ADR SEDOL 2857334 0.38CDX CDX.NA.HY.36 500.0 06/20/2026 0.36REPUBLICA ORIENT URUGUAY USD 04.3750 10/27/2027 0.35PING AN INSURANCE GROUP CO-H SEDOL B01FLR7 0.33COUNTRY GARDEN SERVICES HOLD SEDOL BDQZP48 0.32CAS 2016-C02 1B 12.3561 09/25/2028 0.32UNITED MICROELECTRONICS CORP SEDOL 6916628 0.31JD.COM INC-ADR SEDOL BMM27D9 0.30HANA FINANCIAL GROUP SEDOL B0RNRF5 0.28SHENZHEN MINDRAY BIO-MEDICAL ELEC CO 144A/REGS WARRANT 12/10 0.28KB FINANCIAL GROUP INC SEDOL B3DF0Y6 0.28


Full holdings as of July 31, 2021CDX CDX.EM.35 100.0 06/20/2026 0.27GLOBALWAFERS CO LTD SEDOL BS7JP33 0.27LG ELECTRONICS INC SEDOL 6520739 0.26YUM CHINA HOLDINGS INC SEDOL BYW4289 0.26ANGLO AMERICAN PLATINUM LTD SEDOL 6761000 0.23BANCO SANTANDER BRASIL-UNIT SEDOL B4V5RY4 0.22UNITED MEXICAN STATES USD 05.5500 01/21/2045 0.22WFRBS 2012-C7 F P/P 144A 04.5000 06/15/2045 0.22SOUTHERN COPPER CORP SEDOL 2823777 0.22PARADE TECHNOLOGIES LTD SEDOL B6RV676 0.21BAML COMMODITY MLBX4SX6 ER STRATEGY 3X NOTE 9/2/2021 0.21MMC NORILSK NICKEL PJSC-ADR SEDOL BYSW6D0 0.21LUKOIL PJSC-SPON ADR SEDOL BYZDW27 0.20FHR 5053 IB IO 03.0000 12/25/2050 0.20WANT WANT CHINA HOLDINGS LTD SEDOL B2Q14Z3 0.19FNR 2017-74 SA IO 05.6439 10/25/2047 0.18CHAROEN POKPHAND FOOD-FORGN SEDOL B5L2DG6 0.18ADVANCED INFO SERVICE-FOR RG SEDOL 6412591 0.18FNR 2020-85 IP IO 03.0000 12/25/2050 0.18SANY HEAVY INDUSTRY CO LTD 144A/REGS WARRANT 12/16/2021 0.17REALTEK SEMICONDUCTOR CORP SEDOL 6051422 0.17CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.16POLY DEVELOPMENTS AND HOLD 144A/REGS WARRANT 07/29/2021 0.16BANCO BRADESCO SA-PREF SEDOL B00FM53 0.16ANHUI CONCH CEMENT CO LTD-H SEDOL 6080396 0.16CHAILEASE HOLDING CO LTD SEDOL B58J1S8 0.15KIA CORP SEDOL 6490928 0.14HAITIAN INTERNATIONAL HLDGS SEDOL B1L2RC2 0.14CAS 2017-C02 2M2 03.7561 09/25/2029 0.14GNR 2018-153 AI IO 04.5000 09/16/2045 0.13GNR 2020-173 MI IO 02.5000 11/20/2050 0.13ZHONGSHENG GROUP HOLDINGS SEDOL B633D97 0.13SCRT 2019-4 M 04.5000 02/25/2059 0.13MWST 2019-1 A 00.9061 06/25/2052 0.13QUANTA COMPUTER INC SEDOL 6141011 0.12GNR 2020-33 SA IO 05.9841 03/20/2050 0.12FHR 5082 IQ IO 03.0000 03/25/2051 0.12FNR 2016-3 MI IO 05.5000 02/25/2046 0.12OFFCN EDUCATION TECH 144A/REGS WARRANT 04/12/2022 0.11JPY/USD 05/19/2021 SSBT 0.11HUNDSUN TECHNOLOGIES INC 144A/REGS WARRANT 07/29/2021 0.11VIPSHOP HOLDINGS LTD - ADR SEDOL B3N0H17 0.11SHRP 2020-1 NOTE 03.0758 07/25/2024 0.11MWST 2020-1 A 01.0061 10/25/2053 0.11SPST 2020-13 A 01.6061 10/10/2021 0.11


Full holdings as of July 31, 2021SPST 2020-15 A 01.4761 12/10/2021 0.11MWST 2020-2 A 00.9061 11/25/2053 0.11SPST 2021-6 A 00.9061 04/25/2022 0.11CMLTI 2007-AR5 1A1A 02.8865 04/25/2037 0.11SUOFEIYA HOME COLLECTION C-A 144A/REGS WARRANT 10/28/2021 0.11CHINA SHENHUA ENERGY CO-H SEDOL B09N7M0 0.10GNR 2014-184 DI IO 05.5000 12/16/2044 0.10PETROBRAS GLOBAL FINANCE USD 06.2500 03/17/2024 0.10FNR 2015-30 IO IO 05.5000 05/25/2045 0.10CHINA FEIHE LTD SEDOL BK0SBL1 0.10FNR 2020-47 ID IO 04.0000 07/25/2050 0.10ENBRIDGE INC USD 04.2500 12/01/2026 0.10CHINA MINSHENG BANKING COR-H SEDOL B57JY24 0.10KUMBA IRON ORE LTD SEDOL B1G4262 0.09GNR 2010-125 SD IO 06.5644 01/16/2040 0.09FNR 2018-51 IO IO 06.5000 07/25/2048 0.09JIANGSU HENGRUI MEDICINE 144A/REGS WARRANT 04/12/2022 0.09RHB BANK BHD SEDOL 6244675 0.09GNR 2015-H11 CI IO 02.7337 05/20/2065 0.09GNR 2016-H02 BI IO 01.8428 11/20/2065 0.09COM7 PCL-F SEDOL BZ2YN49 0.09CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.08SRI TRANG GLOVES THA-FOREIGN SEDOL BMGJNP0 0.08PETROLEOS MEXICANOS USD 06.5000 03/13/2027 0.08FHR 4964 IA IO 04.5000 03/25/2050 0.08TOP GLOVE CORP BHD SEDOL B05L892 0.08RADIANT OPTO-ELECTRONICS COR SEDOL 6520278 0.08FOSHAN HAITIAN FLAVOURING & FOOD 144A/REGS WARRANT 05/11/202 0.08FNR 2016-88 SK IO 05.8939 12/25/2046 0.08RISESUN REAL ESTATE DEV-A 144A/REGS WARRANT 11/02/2021 0.08HYUNDAI MOBIS CO LTD SEDOL 6449544 0.08STACR 2020-HQA2 M2 03.2061 03/25/2050 0.08GNR 2016-135 PI IO 04.0000 05/20/2046 0.08JIANGSU HENGLI HYDRAULIC C-A 144A/REGS WARRANT 03/23/2022 0.07FNR 2017-8 SB IO 05.9939 02/25/2047 0.07GNR 2015-H15 JI IO 01.9586 06/20/2065 0.07PETROBRAS GLOBAL FIN USD 05.9990 01/27/2028 0.07DINO POLSKA SA SEDOL BD0YVN2 0.07GSMS 2014-GC24 D P/P 144A 04.6644 09/10/2047 0.07NIEN MADE ENTERPRISE CO LTD SEDOL BSZLN15 0.07LITE-ON TECHNOLOGY CORP SEDOL 6519481 0.07GNR 2015-H25 BI IO 01.9541 10/20/2065 0.07AGILE GROUP HOLDINGS LTD SEDOL B0PR2F4 0.07HELLENIC TELECOMMUN ORGANIZA SEDOL 5051605 0.07CHINA RESOURCES CEMENT SEDOL B41XC98 0.07


Full holdings as of July 31, 2021HYPERA SA SEDOL B2QY968 0.07PROVINCIA DE BUENOS P/P 144A 10.8750 01/26/2022 0.07WENS FOODSTUFFS 144A/REGS WARRANT 04/12/2022 0.06CAS 2017-C03 1M2 03.1061 10/25/2029 0.06FNR 2017-108 SA IO 06.0439 01/25/2048 0.06FNR 2020-16 SG IO 05.9439 03/25/2050 0.06SINOTRUK HONG KONG LTD SEDOL B296ZH4 0.06CIA DE TRANSMISSAO DE ENE-PF SEDOL 2440972 0.06FNR 2017-32 IP IO 04.5000 05/25/2047 0.06GNR 2018-91 SJ IO 06.1341 07/20/2048 0.06GNR 2015-H25 AI IO 01.6169 09/20/2065 0.06GNR 2010-68 SD IO 06.4641 06/20/2040 0.06GNR 2015-H24 HI IO 02.0410 09/20/2065 0.06CTBC FINANCIAL HOLDING CO LT SEDOL 6527666 0.06PETROBRAS GLOBAL FINANCE USD 08.7500 05/23/2026 0.06SAMSUNG ENGINEERING CO LTD SEDOL 6765239 0.05GNR 2016-51 MS IO 05.9341 04/20/2046 0.05GNR 2016-150 I IO 05.0000 11/20/2046 0.05GNR 2017-H14 DI IO 01.7056 06/20/2067 0.05WAMU 2004-AR12 A2B 01.0261 10/25/2044 0.05CAS 2015-C04 1M2 05.8061 04/25/2028 0.05SEAZEN HOLDINGS CO 144A/REGS WARRANT 05/06/2021 0.05HARTALEGA HOLDINGS BHD SEDOL B2QPJK5 0.05SHANDONG BUCHANG PHARMACEUTICALS CO LTD 144A/REGS WARRANT 12 0.05SEEGENE INC SEDOL B679Q36 0.05MEITUAN-CLASS B SEDOL BGJW376 0.05GNR 2015-H20 CI IO 02.2052 08/20/2065 0.05LOGAN GROUP CO LTD SEDOL BH6X937 0.05CAS 2017-C02 2B1 05.6061 09/25/2029 0.05GNR 2015-H26 GI IO 01.8005 10/20/2065 0.05GNR 2019-121 DS IO 05.9841 08/20/2049 0.05GNR 2018-H05 AI IO 02.3885 02/20/2068 0.05GNR 2015-H19 NI IO 01.9097 07/20/2065 0.05GNR 2014-H21 AI IO 01.6594 10/20/2064 0.05GNR 2015-H09 AI IO 01.7576 04/20/2065 0.05FNR 2016-65 CS IO 05.9939 09/25/2046 0.05KOSSAN RUBBER INDUSTRIES SEDOL B0DD1H9 0.05MARFRIG GLOBAL FOODS SA SEDOL B1YWHR4 0.04GNR 2017-H02 BI IO 02.4568 01/20/2067 0.04FNR 2013-130 SD IO 06.4939 01/25/2044 0.04TISCO FINANCIAL-FOREIGN SEDOL B3KFW76 0.040.05 R ISWP FWD EUR006M P 06/16/2031 0.04SYNNEX TECHNOLOGY INTL CORP SEDOL 6868439 0.04CAS 2020-R01 1B1 03.3561 01/25/2040 0.04GNR 2015-H09 BI IO 01.6880 03/20/2065 0.04


Full holdings as of July 31, 2021BANCO MACRO SA-ADR SEDOL B0Y62M9 0.04DL HOLDINGS CO LTD SEDOL 6249584 0.04JPMBB 2013-C14 E P/P 144A 04.8474 08/15/2046 0.04PRESIDENT CHAIN STORE CORP SEDOL 6704986 0.04CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG 0.04ECOPETROL SA-SPONSORED ADR SEDOL B3D6J19 0.04FUBON FINANCIAL HOLDING CO SEDOL 6411673 0.04BURSA MALAYSIA BHD SEDOL B06FV38 0.04GNR 2015-H24 BI IO 01.6052 08/20/2065 0.04ORION CORP/REPUBLIC OF KOREA SEDOL BDVLJ72 0.04BANK OF SHANGHAI 144A/REGS WARRANT 11/30/2021 0.04UNITED INTEGRATED SERVICES SEDOL 6105136 0.04JPY/USD 05/19/2021 GSFX 0.04CAD/USD 07/21/2021 GSFX 0.04PETROLEOS MEXICANOS USD 06.3750 01/23/2045 0.04JPMCC 2006-LDP9 AMS 05.3370 05/15/2047 0.04GNR 2015-H10 CI IO 01.8046 04/20/2065 0.04GNR 2018-104 SD IO 06.0841 08/20/2048 0.04CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CS 0.04GNR 2016-H03 AI IO 01.7535 01/20/2066 0.03PEGATRON CORP SEDOL B4PLX17 0.03CAS 2018-C05 1M2 02.4561 01/25/2031 0.03FHR 4752 PS IO 06.0854 11/15/2047 0.03FHR 4134 PI IO 03.0000 11/15/2042 0.03GNR 2015-80 IA IO 04.5000 06/20/2045 0.03FNR 2016-3 NI IO 06.0000 02/25/2046 0.03GNR 2015-53 MI IO 04.0000 04/16/2045 0.03CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS 0.03COCA-COLA ICECEK AS SEDOL B058ZV4 0.03GNR 2016-H08 GI IO 01.4295 04/20/2066 0.031.57 R ISWP US0003M P 04/20/2031 0.03GNR 2015-167 BI IO 04.5000 04/16/2045 0.03GBP/USD 06/16/2021 SSBT 0.03GNR 2017-H06 BI IO 02.3864 02/20/2067 0.03GNR 2015-187 JI IO 04.0000 03/20/2045 0.03HENGAN INTL GROUP CO LTD SEDOL 6136233 0.03GNR 2015-105 LI IO 05.0000 10/20/2039 0.03GNR 2014-146 EI IO 05.0000 10/20/2044 0.03CAS 2017-C06 2M2 02.9061 02/25/2030 0.03GNR 2015-H16 XI IO 02.3970 07/20/2065 0.03GNR 2016-H16 DI IO 02.6227 06/20/2066 0.03GNR 2010-9 UI IO 05.0000 01/20/2040 0.03KT CORP SEDOL 6505316 0.03INDOFOOD SUKSES MAKMUR TBK P SEDOL 6283979 0.03GNR 2013-6 AI IO 03.5000 08/20/2039 0.02


Full holdings as of July 31, 2021CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.02GNR 2018-127 IB IO 04.5000 06/20/2045 0.02CWHL 2005-3 1A1 00.7261 04/25/2035 0.02PRESS METAL ALUMINIUM HOLDIN SEDOL BF0J5S4 0.02SWPTN 3MX5Y P 1.08 USD 06/29/2021 BC 0.02GNR 2011-17 S IO 05.9341 02/20/2041 0.02NOK/USD 06/16/2021 JPMCB 0.02GNR 2013-20 QI IO 04.5000 12/16/2042 0.02NOK/USD 06/16/2021 TDBK 0.02UBSBB 2012-C2 F P/P 144A 05.0000 05/10/2063 0.02HONG LEONG BANK BERHAD SEDOL 6436892 0.02CAD/USD 07/21/2021 MSCIL 0.02LUENMEI QUANTUM CO LTD 144A/REGS WARRANT 12/02/2021 0.02FAR EASTONE TELECOMM CO LTD SEDOL 6421854 0.02GNR 2018-127 ID IO 05.0000 07/20/2045 0.02GNR 2009-121 UI IO 05.0000 12/20/2039 0.02GNR 2016-H04 KI IO 01.5333 02/20/2066 0.02SEK/USD 06/16/2021 MSCIL 0.02WFRBS 2011-C3 E P/P 144A 05.0000 03/15/2044 0.02NICE INFORMATION SERVICE CO SEDOL 6248332 0.02GNR 2010-20 UI IO 05.0000 02/20/2040 0.02CPURNSA R 2.4275 P 03/23/31 0.02BIM BIRLESIK MAGAZALAR AS SEDOL B0D0006 0.02CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS 0.02PETRONAS GAS BHD SEDOL 6703972 0.02FOCUS MEDIA 144A/REGS WARRANT 04/12/2023 0.02FRONTKEN CORP BHD SEDOL B18TLC4 0.02IOS.FN30.400.14 R USL1M P 01/12/45 CS 0.02SAMSUNG ELECTRO-MECHANICS CO SEDOL 6771689 0.02IOS.FN30.350.12 R USL1M P 01/12/43 CS 0.02GNR 2014-163 NI IO 05.0000 02/20/2044 0.02CAD/USD 07/21/2021 SSBT 0.02CAD/USD 07/21/2021 HSBCB 0.02CPURNSA R 2.45 P 03/23/31 0.01QUALITAS CONTROLADORA SAB CV SEDOL BYMXF65 0.01GNR 2015-H10 EI IO 01.6147 04/20/2065 0.01EUR/USD 06/16/2021 UBS 0.01GNR 2015-H18 IA IO 01.8350 06/20/2065 0.01FENG TAY ENTERPRISE CO LTD SEDOL 6336055 0.01GNR 2011-H15 AI IO 01.5326 06/20/2061 0.01RUENTEX DEVELOPMENT CO LTD SEDOL 6748423 0.01JPY/USD 05/19/2021 BANKAM 0.01GNR 2013-129 SN IO 06.0341 09/20/2043 0.01EUR/USD 06/16/2021 BANKAM 0.01GNR 2015-24 IA IO 03.5000 02/20/2045 0.01


Full holdings as of July 31, 2021FHR 4193 PI IO 04.0000 03/15/2043 0.01GNR 2018-127 IE IO 03.5000 01/20/2046 0.01FNR 2012-151 PI IO 03.0000 01/25/2043 0.01EUR/USD 06/16/2021 MSCIL 0.01KWG GROUP HOLDINGS LTD SEDOL B1YBF00 0.01GNR 2013-24 PI IO 04.0000 11/20/2042 0.01CELLTRION INC SEDOL B0C5YV1 0.01CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML 0.01FHR 3747 SA IO 06.3854 10/15/2040 0.01FHR 4801 IG IO 03.0000 06/15/2048 0.01FNR 2013-35 PI IO 03.0000 02/25/2042 0.01FHR 4206 IP IO 03.0000 12/15/2041 0.01NOK/USD 06/16/2021 GSFX 0.01EUR/USD 06/16/2021 HSBCB 0.01GNR 2016-75 EI IO 03.5000 08/20/2045 0.01BANK BTPN SYARIAH TBK PT SEDOL BFNBJ41 0.01JPY/USD 05/19/2021 CITI 0.01GBP/USD 06/16/2021 CSI-FX 0.01CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS 0.01CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS 0.01CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 ML 0.01GBP/USD 06/16/2021 UBS 0.01IOS.FN30.400.14 R USL1M P 01/12/45 CS 0.01IOS.FN30.400.14 R USL1M P 01/12/45 GS 0.01-0.16 R ISWP FWD CHL6M P 06/16/2031 0.01CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.01GNR 2010-35 QI IO 04.5000 03/20/2040 0.010.77 R ISWP FWD SES3M P 06/16/2031 0.01GNR 2013-79 XI IO 03.5000 11/20/2039 0.01CAD/USD 07/21/2021 UBS 0.01CAD/USD 07/21/2021 CITI 0.01GBP/USD 06/16/2021 CITI 0.01CPURNSA R 2.51 P 04/01/31 0.01REPUBLIC OF VENEZUELA REGS 07.6500 04/21/2025 0.01CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG 0.01GNR 2013-23 IK IO 03.0000 09/20/2037 0.00PETROLEOS DE VENEZUELA S REGS 05.3750 04/12/2027 0.00IOS.FN30.650.67 R USL1M P 01/12/38 BC 0.00CPURNSA R 2.515 P 04/01/31 0.00CHF/USD 06/16/2021 BANKAM 0.001.35 R ISWP FWD SOFRRATE P 06/16/2031 0.00GNR 2015-124 NI IO 03.5000 06/20/2039 0.00GNR 2015-99 LI IO 04.0000 07/20/2045 0.00JPY/USD 05/19/2021 WPAC 0.000.9935 R ISWP US0003M P 04/09/2026 0.00


Full holdings as of July 31, 20211.65 R ISWP FWD US0003M P 06/16/2031 0.00CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 ML 0.00EUR/USD 06/16/2021 RBSF 0.00CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 MS 0.00CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CG 0.00CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CG 0.00GBP/USD 06/16/2021 JPMCB 0.00GBP/USD 06/16/2021 WPAC 0.00CAS 2015-C02 2M2 04.1061 05/25/2025 0.00GNR 2013-157 IA IO 03.5000 04/20/2040 0.00CAD/USD 07/21/2021 TDBK 0.001.734 R ISWP US0003M P 04/07/2031 0.00CPURNSA R 2.466 P 04/01/31 0.00CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS 0.00CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 GS 0.00CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.00GNR 2013-100 MI IO 03.5000 02/20/2043 0.00FNR 2012-136 PI IO 03.5000 11/25/2042 0.00NOK/USD 06/16/2021 UBS 0.00IOS.FN30.400.10 R USL1M P 01/12/41 BA 0.00IOS.FN30.400.10 R USL1M P 01/12/41 BA 0.001.96 R ISWP FWD NFIX3MID P 06/16/2031 0.00HKD/USD 05/20/2021 SSBT 0.002.0065 R ISWP US0003M P 04/22/2051 0.00JPY/USD 05/19/2021 JPMCB 0.001.5665 R ISWP US0003M P 04/29/2031 0.00GNR 2014-133 AI IO 04.0000 10/20/2036 0.00GNR 2015-96 NI IO 03.5000 01/20/2039 0.00SWPTN 10YX20Y P 1.275 USD 03/05/2030 BA 0.00IOS.FN30.400.10 R USL1M P 01/12/41 CI 0.00CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG 0.00FRONTKEN CORP BHD-CW99 0.00SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP 0.00CMB CMBX.NA.BB.8 2057-10-17 500.0 10/17/2057 CS 0.00CMB CMBX.NA.BB.8 2057-10-17 500.0 10/17/2057 CG 0.00FNR 2013-31 NI IO 03.0000 06/25/2041 0.00HKD/USD 05/20/2021 HSBCB 0.00IOS.FN30.350.12 R USL1M P 01/12/43 CS 0.001.3659 R ISWP US0003M P 02/22/2031 0.00IOS.FN30.400.10 R USL1M P 01/12/41 BC 0.00HKD/USD 05/20/2021 BANKAM 0.00HKD/USD 05/20/2021 UBS 0.001.08 R ISWP FWD US0003M P 07/01/2026 0.001.4255 R ISWP US0003M P 02/24/2031 0.00CHF/USD 06/16/2021 GSFX 0.00


Full holdings as of July 31, 2021GNR 2012-141 WI IO 03.5000 11/20/2041 0.00GNR 2013-102 IP IO 03.5000 06/20/2043 0.001.82 R ISWP FWD NOKOIB6M P 06/16/2031 0.00SWPTN 2YX30Y P 2.3075 USD 06/20/2022 BA 0.001.51882 R ISWP US0003M P 03/02/2031 0.001.275 R ISWP FWD US0003M P 03/07/2050 0.000.2807 R ISWP US0003M P 04/13/2023 0.00FHR 4097 PI IO 03.5000 11/15/2040 0.00HKD/USD 05/20/2021 TDBK 0.00HKD/USD 05/20/2021 MSCIL 0.001.627 R ISWP US0003M P 04/30/2031 0.000.30 R ISWP FWD US0003M P 06/16/2023 0.00GBP/USD 06/16/2021 TDBK 0.002.2225 R ISWP FWD US0003M P 06/05/2029 0.00SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS 0.00CHF/USD 06/16/2021 BCAP-FX 0.00AUD/USD 07/21/2021 RBSF 0.00GNR 2011-116 IB IO 05.0000 10/20/2040 0.001.631 R ISWP US0003M P 04/16/2031 0.00CAD/USD 07/21/2021 CSI-FX 0.00SEK/USD 06/16/2021 JPMCB 0.00MLCFC 2006-4 XC IO P/P 144A 01.3944 12/12/2049 0.00GLOW ENERGY PCL - FOREIGN SEDOL B074GX9 0.00SEK/USD 06/16/2021 BCAP-FX 0.002.3075 R ISWP FWD US0003M P 06/22/2052 0.000.95 R ISWP FWD US0003M P 06/16/2026 0.000.9395 R ISWP US0003M P 04/15/2026 0.00SEK/USD 06/16/2021 RBSF 0.000.2825 R ISWP US0003M P 04/13/2023 0.000.94375 R ISWP FWD US0003M P 04/01/2026 0.00SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS 0.00CHF/USD 06/16/2021 RBSF 0.001.998 R ISWP US0003M P 04/26/2051 0.00CHF/USD 06/16/2021 TDBK 0.000.2875 R ISWP US0003M P 04/15/2023 0.00CHF/USD 06/16/2021 SSBT 0.00CAD/USD 07/21/2021 WPAC 0.002.184 R ISWP FWD US0003M P 12/07/2030 0.00NOK/USD 06/16/2021 MSCIL 0.00AUD/USD 07/21/2021 JPMCB 0.00CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA 0.00AUD/USD 07/21/2021 MSCIL 0.00NZD/USD 07/21/2021 HSBCB 0.00CHF/USD 06/16/2021 HSBCB 0.00SEK/USD 06/16/2021 TDBK 0.00


Full holdings as of July 31, 2021GBP/USD 06/16/2021 HSBCB 0.00SWPTN 10YX20Y R 1.275 USD 03/05/2030 BA 0.001.16 R ISWP US0003M P 10/16/2050 0.001.743 R ISWP US0003M P 04/07/2031 0.001.76 R ISWP FWD AUDBB6M P 06/16/2031 0.00NZD/USD 07/21/2021 CITI 0.00NZD/USD 07/21/2021 JPMCB 0.001.7655 R ISWP US0003M P 04/07/2031 0.00AUD/USD 07/21/2021 CITI 0.00CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS 0.001.991 R ISWP US0003M P 04/23/2051 0.00NZD/USD 07/21/2021 MSCIL 0.00CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA 0.001.9765 R ISWP US0003M P 04/20/2051 0.00AUD/USD 07/21/2021 GSFX 0.00CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS 0.001.9515 R ISWP US0003M P 04/19/2051 0.00GBP/USD 06/16/2021 BCAP-FX 0.00CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.000.93 R ISWP FWD SONIA P 06/16/2031 0.001.7275 R ISWP US0003M P 03/31/2031 0.00SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP 0.00NOK/USD 06/16/2021 SSBT 0.00CAD/USD 07/21/2021 RBSF 0.00EUR/USD 06/16/2021 CSI-FX 0.00CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA 0.00CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA 0.00EUR/USD 06/16/2021 WPAC -0.01CHF/USD 06/16/2021 JPMCB -0.01JPY/USD 05/19/2021 RBSF -0.01NZD/USD 07/21/2021 WPAC -0.01SWPTN 2YX30Y R 2.3075 USD 06/20/2022 BA -0.01CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.011.27 R ISWP FWD US0003M P 01/27/2047 -0.01SEK/USD 06/16/2021 UBS -0.01CAD/USD 07/21/2021 BANKAM -0.01IOS.FN30.350.12 P USL1M R 01/12/43 BC -0.01EUR/USD 06/16/2021 CITI -0.01GBP/USD 06/16/2021 RBSF -0.01SEK/USD 06/16/2021 GSFX -0.01CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS -0.01EUR/USD 06/16/2021 BCAP-FX -0.01CHF/USD 06/16/2021 UBS -0.01CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01


Full holdings as of July 31, 2021CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS -0.011.7665 R ISWP US0003M P 04/01/2031 -0.01CPURNSA P 2.496 R 04/01/26 -0.01GBP/USD 06/16/2021 GSFX -0.01IOS.FN30.400.10 P USL1M R 01/12/41 CS -0.01CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01IOS.FN30.300.13 P USL1M R 01/12/44 GS -0.01IOS.FN30.400.14 P USL1M R 01/12/45 JP -0.01EUR/USD 06/16/2021 SSBT -0.01EUR/USD 06/16/2021 GSFX -0.01CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BC -0.012.00 R ISWP FWD US0003M P 06/16/2051 -0.01IOS.FN30.350.12 P USL1M R 01/12/43 GS -0.01CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS -0.01CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01CAD/USD 07/21/2021 BCAP-FX -0.011.675 R ISWP US0003M P 04/13/2031 -0.011.91 R ISWP FWD CDOR03 P 06/16/2031 -0.01CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01EUR/USD 06/16/2021 TDBK -0.01GBP/USD 06/16/2021 MSCIL -0.01CAD/USD 07/21/2021 JPMCB -0.01AUD/USD 07/21/2021 SSBT -0.01EBIX US P R 07/05/22 CI -0.01CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG -0.01CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS -0.01SEK/USD 06/16/2021 SSBT -0.01EUR/USD 06/16/2021 JPMCB -0.02NZD/USD 07/21/2021 UBS -0.02JPY/USD 05/19/2021 BCAP-FX -0.02NZD/USD 07/21/2021 RBSF -0.02CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.02CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS -0.02CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.02JPY/USD 05/19/2021 HSBCB -0.02CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.02CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.02NZD/USD 07/21/2021 SSBT -0.02SWI US P US0001M R 07/05/22 CI -0.02CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 BC -0.02215600 KS P US0001M R 12/15/25 GS -0.02IOS.FN30.400.14 P US0001M R 01/12/45 JP -0.02


Full holdings as of July 31, 2021CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.02CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS -0.02NZD/USD 07/21/2021 GSFX -0.02CPURNSA P 2.51 R 03/23/26 -0.02ZYXI US P US0001M R 07/05/22 CI -0.03JPY/USD 05/19/2021 TDBK -0.03CPURNSA P 2.445 R 03/23/26 -0.03CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.03CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CG -0.04CPURNSA P 2.53 R 04/01/26 -0.04MDLA US P US0001M R 07/05/22 CI -0.04BGS US P R 07/05/22 CI -0.04CPURNSA P 2.28 R 02/25/31 -0.04PLUG US P US0001M R 07/05/22 CI -0.04JPY/USD 05/19/2021 UBS -0.04WDFC US P US0001M R 07/05/22 CI -0.04CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS -0.04SWPTN 3MX5Y R 1.08 USD 06/29/2021 BC -0.04CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.04JPY/USD 05/19/2021 MSCIL -0.05CPURNSA P 2.281 R 02/24/31 -0.05CPURNSA P 2.278 R 02/25/31 -0.05PDCO US P R 07/05/22 CI -0.05CPURNSA P 2.2675 R 02/25/31 -0.05TPIC US P US0001M R 07/05/22 CI -0.05CPURNSA P 2.4625 R 03/24/26 -0.06BYND US P US0001M R 07/05/22 CI -0.07CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.07ACIW US P R 07/05/22 CI -0.08WSFS US P US0001M R 07/05/22 CI -0.08CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.08CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS -0.09PBH US P US0001M R 07/05/22 CI -0.09CPURNSA P 2.286 R 02/24/31 -0.10OTEX US P US0001M R 12/15/25 GS -0.11LUMN US P US0001M R 07/05/22 CI -0.11EVBG US P US0001M R 07/05/22 CI -0.12BB US P US0001M R 07/05/22 CI -0.13COLM US P US0001M R 07/05/22 CI -0.14DY US P R 07/05/22 CI -0.14ACA US P US0001M R 07/05/22 CI -0.15STOR US P US0001M R 07/05/22 CI -0.16MIDD US P US0001M R 07/05/22 CI -0.19VRT US P US0001M R 07/05/22 CI -0.19NDUEEGF P US0001M R 11/02/21 CS -0.19


Full holdings as of July 31, 2021RH US P US0001M R 07/05/22 CI -0.19HSY US P US0001M R 07/05/22 CI -0.21CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML -0.23ITRI US P US0001M R 07/05/22 CI -0.26ELAN US P US0001M R 07/05/22 CI -0.27OSK US P US0001M R 07/05/22 CI -0.27WWD US P R 07/05/22 CI -0.30FICO US P US0001M R 07/05/22 CI -0.33TSLA US P R 07/05/22 CI -0.39PEN US P US0001M R 07/05/22 CI -0.39HZNP US P US0001M R 07/05/22 CI -0.40ISRG US P US0001M R 07/05/22 CI -0.42BHC US P R 07/05/22 CI -0.47CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.49NDUEEGF P US0001M R 11/02/21 UB -0.53RL US P US0001M R 07/05/22 CI -0.55CTXS US P US0001M R 07/05/22 CI -0.57AAP US P US0001M R 07/05/22 CI -0.76CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.93CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.97FNMA FN30 TBA UMBS 02.0000 06/01/2051 -4.37S&P500 EMINI FUT JUN21 ESM1 -6.33NDUEEGF P US0001M R 11/02/21 CS -7.06NDUEEGF P US0001M R 11/02/21 UB -7.06US 5YR NOTE (CBT) JUN21 FVM1 -18.26US 2YR NOTE (CBT) JUN21 TUM1 -20.09GSGLPWDS P US0001M R 12/15/25 GS -22.21RU10INTR P US0003M R 06/20/23 BA -23.70SPTR P US0001M R 05/22/23 UB -36.37

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