Putnam VT Multi-Asset Absolute Return Fund...Putnam VT Multi-Asset Absolute Return Fund Full holdings as of February 29, 2020 PING AN INSURANCE GROUP CO-H SEDOL B01FLR7 0.76 GSVICUB3

Putnam VT Multi-Asset Absolute Return Fund

Full holdings as of March 31, 2020GSGLPWDL R US0001M P 12/15/25 GS 34.65CGPUTQL2 R US0003M P 11/25/20 CI 33.85GSGLPW2L R US0001M P 12/15/20 GS 31.26MLFCF15 R US0003M P 06/20/23 BA 31.02US 10YR NOTE (CBT)JUN20 TYM0 18.56JPCMPTFL R US0001M P 03/11/21 JP 15.14REPO TRIPA MORTG 0.02 04/01/2020 13.79US 10YR ULTRA FUT JUN20 UXYM0 12.40FNMA FN30 TBA UMBS 02.5000 04/01/2050 8.66FNMA FN30 TBA UMBS 04.0000 04/01/2050 4.46FNMA FN30 TBA UMBS 03.5000 04/01/2050 4.42FNMA FN30 TBA UMBS 03.0000 04/01/2050 4.38GSISXT27 R 0.2 P 12/15/20 GS 3.52GSVIUS85 R 0.45 P 12/15/20 GS 2.67CITI COMMOD F3-F0 4X LEVERED INDEX 3X NOTE 1/25/2021 2.30TREASURY BILL 00.0000 07/09/2020 2.04S&P GSCI TOTAL RETURN INVERSE INDEX 3X NOTE 04/06/2021 2.02BAML COMMODITY MLBX4SX6 ER STRATEGY 3X 144A NOTE 1/12/2021 1.92TREASURY BILL 00.0000 09/03/2020 1.58TREASURY BILL 00.0000 07/23/2020 1.48SAMSUNG ELECTRONICS CO LTD SEDOL 6771720 1.46HEALTH CARE SELECT SECTOR SEDOL 2371823 1.44CONSUMER STAPLES SPDR SEDOL 2369389 1.43ALIBABA GROUP HOLDING-SP ADR SEDOL BP41ZD1 1.38CITI CROSS-ASSET TREND 10% VOL INDEX 3X 144A NOTE 9/28/2020 1.36TECHNOLOGY SELECT SECT SPDR SEDOL 2369709 1.36UTILITIES SELECT SECTOR SPDR SEDOL 2371812 1.29REAL ESTATE SELECT SECT SPDR SEDOL BYZ65Y9 1.27GSVIVV69 R 0.3 P 12/15/20 GS 1.21FINANCIAL SELECT SECTOR SPDR SEDOL 2364038 1.08NDEUSIA R US0003M P 02/12/21 UB 1.07FED HOME LN DISCOUNT NT 313384VQ9 GDC 04/15/2020 1.05TORONTO-DOMINION BANK/THE 89119AD96 DCP 04/09/2020 1.05REGENCY MARKETS NO. 1 LLC 7588R0D87 DCP 04/08/2020 1.05OLD LINE FUNDING LLC 67983TDG8 DCP 04/16/2020 1.04PRUDENTIAL PLC 7443M2DU7 DCP 04/28/2020 1.04EXPORT DEVELOPMENT CANADA 30215GE40 DCP 05/04/2020 1.04LLOYDS BANK PLC 53943REF2 DCP 05/15/2020 1.04BARCLAYS BANK PLC CCP 06742VDR9 DCP 05/08/2020 1.04ALPINE SECURITIZATION LLC 02088WES5 DCP 05/26/2020 1.04TENCENT HOLDINGS LTD SEDOL BMMV2K8 0.94TREASURY BILL 00.0000 04/23/2020 0.91TREASURY BILL 00.0000 08/13/2020 0.88TAIWAN SEMICONDUCTOR-SP ADR SEDOL 2113382 0.86TREASURY BILL 00.0000 06/04/2020 0.83


Full holdings as of March 31, 2020GSVICUB3 R 0.45 P 12/15/20 GS 0.82TREASURY BILL 00.0000 06/18/2020 0.79ISHARES MSCI INDIA ETF SEDOL B6XGR72 0.78TREASURY BILL 00.0000 09/24/2020 0.72PING AN INSURANCE GROUP CO-H SEDOL B01FLR7 0.70BOFA MLCOMMODITY MLBX4SX6 ER STRATEGY 08/03/2020 0.69TREASURY BILL 00.0000 09/10/2020 0.64ANHUI CONCH CEMENT CO LTD-H SEDOL 6080396 0.48SPY 20210219 P 290.00CITI 0.47SPY 20210115 P 290.00CITI 0.46SINO BIOPHARMACEUTICAL SEDOL B00XSF9 0.431.75 R ISWP FWD US0003M P 03/18/2030 0.42SHENZHEN MINDRAY BIO-MEDICAL ELEC CO LTD 144A/REGS 0.42GSVIVVOL R 0.3 P 12/15/20 GS 0.39KWEICHOW MOUTAI CO LTD-A 144A/REGS WARRANT 08/07/2020 0.39BANK OF SHANGHAI 144A/REGS WARRANT 12/02/2020 0.39IND & COMM BK OF CHINA-H SEDOL B1G1QD8 0.38SPY 20201218 P 275.00JPMCB 0.37GREE ELECTRIC 144A/REGS WARRANT 8/24/2020 0.37CDX CDX.NA.HY.34 500.0 06/20/2025 0.37MMC NORILSK NICKEL PJSC-ADR SEDOL BYSW6D0 0.35ADVANCED INFO SERVICE-FOR RG SEDOL 6412591 0.35BB SEGURIDADE PARTICIPACOES SEDOL B9N3SQ0 0.35HYUNDAI MOBIS CO LTD SEDOL 6449544 0.34CHINA MOBILE LTD SEDOL 6073556 0.32REPUBLICA ORIENT URUGUAY USD 04.3750 10/27/2027 0.31SPY 20201120 P 265.00BANKAM 0.30YUM CHINA HOLDINGS INC SEDOL BYW4289 0.30KIA MOTORS CORP SEDOL 6490928 0.28WFRBS 2012-C7 F P/P 144A 04.5000 06/15/2045 0.27UNI-PRESIDENT ENTERPRISES CO SEDOL 6700393 0.26TREASURY BILL 00.0000 04/16/2020 0.26KT&G CORP SEDOL 6175076 0.25NETEASE INC-ADR SEDOL 2606440 0.25BANCO DO BRASIL S.A. SEDOL 2328595 0.24FNR 2017-74 SA IO 04.8034 10/25/2047 0.24LUKOIL PJSC-SPON ADR SEDOL BYZDW27 0.24CHINA RESOURCES CEMENT SEDOL B41XC98 0.24VIPSHOP HOLDINGS LTD - ADR SEDOL B3N0H17 0.24TREASURY BILL 00.0000 05/07/2020 0.23CHAILEASE HOLDING CO LTD SEDOL B58J1S8 0.23INTER RAO UES PJSC SEDOL B39RRN4 0.21TREASURY BILL 00.0000 06/11/2020 0.21ENEL AMERICAS SA-ADR SEDOL 2314947 0.21UNITED MICROELECTRONICS CORP SEDOL 6916628 0.21


Full holdings as of March 31, 2020TREASURY BILL 00.0000 06/25/2020 0.21CHINA PETROLEUM & CHEMICAL-H SEDOL 6291819 0.21TREASURY BILL 00.0000 08/20/2020 0.20PTT EXPLORATION & PROD-FOR SEDOL B1359J0 0.19SPY 20201016 P 255.00BANKAM 0.19UNITED MEXICAN STATES USD 05.5500 01/21/2045 0.18CLICKS GROUP LTD SEDOL 6105578 0.18FOSUN INTERNATIONAL SEDOL B1Z7FX0 0.17BANK OF JIANGSU CO LTD- A 144A/REGS WARRANT 08/07/2020 0.17TREASURY BILL 00.0000 08/06/2020 0.17CAS 2016-C02 1B 13.1966 09/25/2028 0.16WEICHAI POWER CO LTD-H SEDOL 6743956 0.16S&P GSCI ER INDEX 3X NOTE 4/19/2021 0.16ANGLO AMERICAN PLATINUM LTD SEDOL 6761000 0.16BANK CENTRAL ASIA TBK PT SEDOL B01C1P6 0.16ZHONGSHENG GROUP HOLDINGS SEDOL B633D97 0.15BANCO BTG PACTUAL SA-UNIT SEDOL BZBZVC7 0.15BANCO SANTANDER BRASIL-UNIT SEDOL B4V5RY4 0.15BANCO MACRO SA-ADR SEDOL B0Y62M9 0.15FUBON FINANCIAL HOLDING CO SEDOL 6411673 0.15CHINA RESOURCES SANJIU MED 144A/REGS WARRANT 02/18/2021 0.15SBERBANK PJSC -SPONSORED ADR SEDOL B5SC091 0.15TELEFONICA BRASIL S.A.-PREF SEDOL B3ZCNF7 0.14CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.14SAMSUNG SDS CO LTD SEDOL BRS2KY0 0.14GLOBALWAFERS CO LTD SEDOL BS7JP33 0.14FNR 2016-3 MI IO 05.5000 02/25/2046 0.14COUNTRY GARDEN SERVICES HOLD SEDOL BDQZP48 0.14QUALICORP CONS E CORR SEG SA SEDOL B4LHBQ0 0.13SCRT 2019-4 M 04.5000 02/25/2059 0.13HYPERA SA SEDOL B2QY968 0.13GNR 2014-184 DI IO 05.5000 12/16/2044 0.13FNR 2015-30 IO IO 05.5000 05/25/2045 0.13CHINA RESOURCES GAS GROUP LT SEDOL 6535517 0.132.00 R ISWP FWD US0003M P 03/18/2050 0.13HOME PRODUCT CENTER PCL-FOR SEDOL 6418533 0.12ELECTRICITY GEN PUB CO-FOR R SEDOL 6304643 0.12TISCO FINANCIAL-FOREIGN SEDOL B3KFW76 0.12SHANGHAI PUDONG DEV BANK 144A/REGS WARRANT 0.12CAD/USD 04/15/2020 SSBT 0.12MWST 2019-1 A 01.7466 06/25/2052 0.12MISC BHD SEDOL 6557997 0.12GNR 2010-125 SD IO 05.9754 01/16/2040 0.12KOREA ZINC CO LTD SEDOL 6495428 0.12RADIANT OPTO-ELECTRONICS COR SEDOL 6520278 0.12


Full holdings as of March 31, 2020WANT WANT CHINA HOLDINGS LTD SEDOL B2Q14Z3 0.12PRESIDENT CHAIN STORE CORP SEDOL 6704986 0.12SPST 2019-7 A 01.6285 09/24/2020 0.12FNR 2018-51 IO IO 06.5000 07/25/2048 0.12YUANTA FINANCIAL HOLDING CO SEDOL 6424110 0.12LOGAN PROPERTY HOLDINGS CO L SEDOL BH6X937 0.12SPY 20210319 P 195.00JPMCB 0.11SINOTRUK HONG KONG LTD SEDOL B296ZH4 0.11TREASURY BILL 00.0000 04/02/2020 0.11SPST 2019-3 A 01.6285 06/24/2020 0.11SPST 2019-11 A 01.6785 10/24/2020 0.11CMLTI 2007-AR5 1A1A 04.0208 04/25/2037 0.11SURGUTNEFTEGAS-PREFERENCE SEDOL 5005884 0.11SPST 2020-2 A 01.7549 03/26/2021 0.10DAELIM INDUSTRIAL CO LTD SEDOL 6249584 0.10SOULBRAIN CO LTD SEDOL B0105T2 0.10WALMART DE MEXICO SAB DE CV SEDOL BW1YVH8 0.10FNR 2017-8 SB IO 05.1534 02/25/2047 0.10CHINA MINSHENG BANKING COR-H SEDOL B57JY24 0.10LITE-ON TECHNOLOGY CORP SEDOL 6519481 0.10FOSHAN HAITIAN FLAVOURING & FOOD 144A/REGS WARRANT 03/12/202 0.10FNR 2016-88 SK IO 05.0534 12/25/2046 0.10GNR 2016-H02 BI IO 01.8821 11/20/2065 0.09OTP BANK RT SEDOL 7320154 0.09CAPITEC BANK HOLDINGS LTD SEDOL 6440859 0.09TRIPOD TECHNOLOGY CORP SEDOL 6305721 0.09PETRONAS CHEMICALS GROUP BHD SEDOL B5KQGT3 0.09GNR 2015-H24 HI IO 02.0403 09/20/2065 0.09GNR 2017-H11 NI IO 02.1667 05/20/2067 0.09XINYI GLASS HOLDINGS LTD SEDOL B05NXN7 0.09PETROBRAS GLOBAL FINANCE USD 06.2500 03/17/2024 0.09CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.08WFRBS 2011-C3 E P/P 144A 05.0000 03/15/2044 0.08GNR 2010-68 SD IO 05.8071 06/20/2040 0.08GNR 2016-135 PI IO 04.0000 05/20/2046 0.08FNR 2017-108 SA IO 05.2034 01/25/2048 0.08TAISHIN FINANCIAL HOLDING SEDOL 6451680 0.08GNR 2018-91 SJ IO 05.4771 07/20/2048 0.08ECOPETROL SA-SPONSORED ADR SEDOL B3D6J19 0.08GNR 2019-121 DS IO 05.3271 08/20/2049 0.08GSMS 2014-GC24 D P/P 144A 04.5325 09/10/2047 0.08FHR 4964 IA IO 04.5000 03/25/2050 0.08SEAZEN HOLDINGS CO 144A/REGS WARRANT 04/17/2020 0.08HELLENIC TELECOMMUN ORGANIZA SEDOL 5051605 0.08ENBRIDGE INC USD 04.2500 12/01/2026 0.07


Full holdings as of March 31, 2020GNR 2015-H15 JI IO 02.0392 06/20/2065 0.07NOVOLIPETSK STEEL PJSC-GDR SEDOL B0RTNX3 0.07GNR 2015-H25 BI IO 02.0491 10/20/2065 0.07HLA CORP LTD 144A/REGS WARRANT 0.07SPST 2019-WL1 A 01.5966 08/25/2052 0.07GNR 2017-H14 DI IO 01.7729 06/20/2067 0.07GEELY AUTOMOBILE HOLDINGS LT SEDOL 6531827 0.07AUD/USD 04/15/2020 SSBT 0.07SAMSUNG ENGINEERING CO LTD SEDOL 6765239 0.07GNR 2016-51 MS IO 05.2771 04/20/2046 0.07CIA SANEAMENTO BASICO DE SP SEDOL B1YCHL8 0.07TIM PARTICIPACOES SA SEDOL 2292560 0.07FNR 2012-19 S IO 05.0034 03/25/2042 0.07POWSZECHNY ZAKLAD UBEZPIECZE SEDOL B63DG21 0.06FNR 2017-32 IP IO 04.5000 05/25/2047 0.06GNR 2015-H09 AI IO 02.3157 04/20/2065 0.06CAS 2015-C04 1M2 06.6466 04/25/2028 0.06GNR 2016-150 I IO 05.0000 11/20/2046 0.06CAS 2019-R04 2M2 03.0466 06/25/2039 0.06GNR 2018-104 SD IO 05.4271 08/20/2048 0.06CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG 0.06FNR 2016-65 CS IO 05.1534 09/25/2046 0.06GNR 2015-H25 AI IO 01.6747 09/20/2065 0.06GENTING MALAYSIA BHD SEDOL B1VXKN7 0.06SUN ART RETAIL GROUP LTD SEDOL B3MPN59 0.06RHB BANK BHD SEDOL 6244675 0.06WNS HOLDINGS LTD-ADR SEDOL B194GX4 0.06WAMU 2004-AR12 A2B 01.8666 10/25/2044 0.061.7945 R ISWP US0003M P 12/18/2029 0.06GNR 2018-H05 AI IO 01.3286 02/20/2068 0.06FNR 2013-130 SD IO 05.6534 01/25/2044 0.06GNR 2017-H02 BI IO 02.4659 01/20/2067 0.06GNR 2014-H21 AI IO 01.7106 10/20/2064 0.06BANCO DE CHILE-ADR SEDOL 2834252 0.05GNR 2015-H20 CI IO 02.3712 08/20/2065 0.05GNR 2015-H09 BI IO 01.7555 03/20/2065 0.05GNR 2015-H24 BI IO 01.6789 08/20/2065 0.05PETROBRAS GLOBAL FINANCE USD 06.1250 01/17/2022 0.05CHINA YUHUA EDUCAT SEDOL BYWPGC4 0.05INDOFOOD SUKSES MAKMUR TBK P SEDOL 6283979 0.05GNR 2015-H26 GI IO 01.8616 10/20/2065 0.05GNR 2016-H03 AI IO 01.7785 01/20/2066 0.05JPMBB 2013-C14 E P/P 144A 04.7021 08/15/2046 0.05GNR 2015-H19 NI IO 01.9730 07/20/2065 0.05GNR 2017-H06 BI IO 02.4094 02/20/2067 0.05


Full holdings as of March 31, 2020STACR 2020-HQA2 M2 03.8600 03/25/2050 0.05GENTING BHD SEDOL B1VXJL8 0.05PETROBRAS GLOBAL FINANCE USD 08.7500 05/23/2026 0.05FHR 4752 PS IO 05.4954 11/15/2047 0.04GNR 2015-80 IA IO 04.5000 06/20/2045 0.04BANCO SANTANDER-CHILE-ADR SEDOL 2136646 0.04JPMCC 2006-LDP9 AMS 05.3370 05/15/2047 0.04GNR 2015-H10 CI IO 01.8720 04/20/2065 0.04GNR 2018-127 IB IO 04.5000 06/20/2045 0.04FHR 4134 PI IO 03.0000 11/15/2042 0.04BBVA ARGENTINA SA-ADR SEDOL BKT4TC7 0.04GNR 2015-53 MI IO 04.0000 04/16/2045 0.04PROVINCIA DE BUENOS P/P 144A 10.8750 01/26/2021 0.04TOFAS OTOMOBIL FAB SEDOL B03MY33 0.04COM7 PCL-F SEDOL BZ2YN49 0.04GNR 2015-H22 GI IO 02.5863 09/20/2065 0.04FORD OTOMOTIV SEDOL B03MSR5 0.04PETROBRAS GLOBAL FIN USD 05.9990 01/27/2028 0.04GNR 2013-6 AI IO 03.5000 08/20/2039 0.04FNR 2016-3 NI IO 06.0000 02/25/2046 0.04GNR 2016-H08 GI IO 01.4919 04/20/2066 0.04PETRONAS GAS BHD SEDOL 6703972 0.04SEK/USD 06/17/2020 SSBT 0.04ZHEN DING TECHNOLOGY HOLDING SEDOL B734XQ4 0.04CHAROEN POKPHAND FOOD-FORGN SEDOL B5L2DG6 0.04HM SAMPOERNA TBK PT SEDOL 6404242 0.04FHR 4259 DI IO 04.0000 06/15/2043 0.04GNR 2016-H16 DI IO 02.4655 06/20/2066 0.04FENG TAY ENTERPRISE CO LTD SEDOL 6336055 0.04GRUPO AEROPORTUARIO DEL CENT SEDOL B1KFX13 0.04CAS 2018-C05 1M2 03.2966 01/25/2031 0.04GNR 2015-105 LI IO 05.0000 10/20/2039 0.03GNR 2011-17 S IO 05.2771 02/20/2041 0.03GNR 2010-9 UI IO 05.0000 01/20/2040 0.03SIME DARBY BERHAD SEDOL B29TTR1 0.03GNR 2015-167 BI IO 04.5000 04/16/2045 0.03GNR 2014-146 EI IO 05.0000 10/20/2044 0.031.547 R ISWP US0003M P 02/11/2030 0.031.743 R ISWP US0003M P 02/18/2050 0.03GNR 2016-37 IW IO 04.5000 02/20/2046 0.03POU CHEN SEDOL 6696157 0.03GNR 2015-187 JI IO 04.0000 03/20/2045 0.031.20 R ISWP FWD AUDBB6M P 06/17/2030 0.03GNR 2015-H16 XI IO 02.6741 07/20/2065 0.03GNR 2018-127 ID IO 05.0000 07/20/2045 0.03


Full holdings as of March 31, 2020GNR 2013-20 QI IO 04.5000 12/16/2042 0.03USD/JPY PUT 108.00 20200622 CITI 0.03USD/JPY PUT 108.00 20200622 GSFX 0.03USD/JPY PUT 108.00 20200622 BANKAM 0.03CAS 2017-C06 2M2 03.7466 02/25/2030 0.03CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS 0.03SEK/USD 06/17/2020 GSFX 0.03GNR 2016-H04 KI IO 01.5812 02/20/2066 0.03GNR 2017-57 AI IO 04.0000 06/20/2045 0.03CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CS 0.03BANK OF CHINA LTD-H SEDOL B154564 0.03NOK/USD 06/17/2020 BCAP-FX 0.03PLDT INC SEDOL BDGN274 0.03TECO ELECTRIC & MACHINERY SEDOL 6879851 0.03FNR 2017-2 KI IO 04.0000 02/25/2047 0.03PETROLEOS MEXICANOS USD 06.3750 01/23/2045 0.03FEDERAL GRID CO UNIFIED ENER SEDOL B39RR67 0.03SAO MARTINHO SA SEDOL B1P3R43 0.03IMPALA PLATINUM HOLDINGS LTD SEDOL B1FFT76 0.03SEK/USD 06/17/2020 HSBCB 0.03FHR 4801 IG IO 03.0000 06/15/2048 0.03NZD/USD 04/15/2020 GSFX 0.03CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS 0.02AUD/USD 04/15/2020 GSFX 0.02CWHL 2005-3 1A1 01.5666 04/25/2035 0.02GNR 2009-121 UI IO 05.0000 12/20/2039 0.02GNR 2010-20 UI IO 05.0000 02/20/2040 0.02GNR 2018-127 IE IO 03.5000 01/20/2046 0.02CAS 2017-C02 2B1 06.4466 09/25/2029 0.02FHR 4568 MI IO 04.0000 04/15/2046 0.02CAS 2020-R01 1B1 04.1966 01/25/2040 0.02IOS.FN30.400.14 R USL1M P 01/12/45 CS 0.02AUD/USD 04/15/2020 UBS 0.02GNR 2014-163 NI IO 05.0000 02/20/2044 0.02CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.02IOS.FN30.350.12 R USL1M P 01/12/43 CS 0.02NZD/USD 04/15/2020 CITI 0.02CAD/USD 04/15/2020 TDBK 0.02GNR 2015-24 IA IO 03.5000 02/20/2045 0.02GBP/USD 06/17/2020 SSBT 0.02SEK/USD 06/17/2020 RBSF 0.02CAD/USD 04/15/2020 HSBCB 0.02GNR 2016-75 EI IO 03.5000 08/20/2045 0.02CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG 0.02GNR 2015-H10 EI IO 01.6834 04/20/2065 0.02


Full holdings as of March 31, 2020WESTPORTS HOLDINGS BHD SEDOL BDFM1K8 0.02FNR 2013-35 PI IO 03.0000 02/25/2042 0.02YDUQS PART SEDOL BJGV3C2 0.02KT CORP SEDOL 6505316 0.02GNR 2010-134 ES IO 05.2271 11/20/2039 0.02SEK/USD 06/17/2020 JPMCB 0.02GNR 2011-H15 AI IO 01.5792 06/20/2061 0.02MANILA ELECTRIC COMPANY SEDOL B247XZ6 0.02GNR 2015-124 NI IO 03.5000 06/20/2039 0.02GNR 2013-129 SN IO 05.3771 09/20/2043 0.02GNR 2015-H18 IA IO 01.8996 06/20/2065 0.02RUENTEX DEVELOPMENT CO LTD SEDOL 6748423 0.02QUALITAS CONTROLADORA SAB CV SEDOL BYMXF65 0.02CHINA BIOLOGIC PRODUCTS HOLD SEDOL BF0G7L2 0.02CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML 0.01SEK/USD 06/17/2020 TDBK 0.01CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 ML 0.01SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP 0.01FHR 3747 SA IO 05.7954 10/15/2040 0.01GNR 2013-24 PI IO 04.0000 11/20/2042 0.01NESTLE (MALAYSIA) BERHAD SEDOL 6629335 0.01MALAYSIA AIRPORTS HLDGS BHD SEDOL 6188193 0.01UBSBB 2012-C2 F P/P 144A 04.8885 05/10/2063 0.01BANK TABUNGAN PENSIUNAN NASI SEDOL BFNBJ41 0.01CAD/USD 04/15/2020 BANKAM 0.01FHR 4073 AS IO 05.3454 08/15/2038 0.01AUD/USD 04/15/2020 CITI 0.01FNR 2012-151 PI IO 03.0000 01/25/2043 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 06/17/2020 JPMCB 0.01FHR 4206 IP IO 03.0000 12/15/2041 0.01FHR 4193 PI IO 04.0000 03/15/2043 0.01GNR 2013-157 IA IO 03.5000 04/20/2040 0.01SGD/USD 05/20/2020 JPMCB 0.01TRANSMISSORA ALIANCA DE-UNIT SEDOL B1G8KX7 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.9 2058-09-17 500.0 09/17/2058 MS 0.01IOS.FN30.350.14 R USL1M P 01/12/45 CS 0.01CAD/USD 04/15/2020 UBS 0.01GBP/USD 06/17/2020 BCAP-FX 0.01GBP/USD 06/17/2020 GSFX 0.01GNR 2013-79 XI IO 03.5000 11/20/2039 0.01


Full holdings as of March 31, 2020FHR 4097 PI IO 03.5000 11/15/2040 0.01CAD/USD 04/15/2020 JPMCB 0.01CAD/USD 04/15/2020 RBSF 0.01CAS 2015-C02 2M2 04.9466 05/25/2025 0.01ASTRO MALAYSIA SEDOL B7W5GK3 0.01GNR 2013-23 IK IO 03.0000 09/20/2037 0.01GNR 2013-100 MI IO 03.5000 02/20/2043 0.01USD/JPY PUT 106.00 20200416 BANKAM 0.01NZD/USD 04/15/2020 JPMCB 0.01USD/CHF PUT 0.94 20200605 GSFX 0.01NOK/USD 06/17/2020 UBS 0.01GNR 2010-35 QI IO 04.5000 03/20/2040 0.01SEK/USD 06/17/2020 BCAP-FX 0.013.312 R ISWP US0003M P 11/08/2048 0.01PETROLEOS DE VENEZUELA S REGS 05.3750 04/12/2027 0.01SEK/USD 06/17/2020 BANKAM 0.01PROVINCIA DE BUENOS 33.3673 05/31/2022 0.01GNR 2015-99 LI IO 04.0000 07/20/2045 0.01AUD/USD 04/15/2020 HSBCB 0.01FHR 4099 BI IO 03.5000 06/15/2039 0.01GNR 2015-96 NI IO 03.5000 01/20/2039 0.01SEK/USD 06/17/2020 CITI 0.01GNR 2014-133 AI IO 04.0000 10/20/2036 0.01CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG 0.010.10 R ISWP FWD SES3M P 06/17/2025 0.010.40 R ISWP FWD SONIA P 06/17/2030 0.01SEK/USD 06/17/2020 UBS 0.01NZD/USD 04/15/2020 HSBCB 0.01GBP/USD 06/17/2020 TDBK 0.01CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CG 0.01CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CG 0.01CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 MS 0.01GNR 2015-82 GI IO 03.5000 12/20/2038 0.01IOS.FN30.650.67 R USL1M P 01/12/38 BC 0.01GBP/USD 06/17/2020 CSI-FX 0.01FNR 2012-136 PI IO 03.5000 11/25/2042 0.01SEK/USD 06/17/2020 CSI-FX 0.01REPUBLIC OF VENEZUELA REGS 07.6500 04/21/2025 0.01CMB 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 0.001.10 R ISWP FWD NFIX3MID P 06/17/2030 0.00GNR 2012-141 WI IO 03.5000 11/20/2041 0.00GBP/USD 06/17/2020 HSBCB 0.00CAD/USD 04/15/2020 BCAP-FX 0.00


Full holdings as of March 31, 2020AUD/USD 04/15/2020 WPAC 0.00FNR 2013-31 NI IO 03.0000 06/25/2041 0.00NZD/USD 04/15/2020 CSI-FX 0.00USD/CHF PUT 0.91 20200605 CITI 0.00IOS.FN30.400.10 R USL1M P 01/12/41 BA 0.00IOS.FN30.400.10 R USL1M P 01/12/41 BA 0.00CAD/USD 04/15/2020 GSFX 0.00AUD/USD 04/15/2020 TDBK 0.00GNR 2013-102 IP IO 03.5000 06/20/2043 0.00IOS.FN30.400.10 R USL1M P 01/12/41 JP 0.00JPY/USD 05/20/2020 CITI 0.000.30 R ISWP FWD SONIA P 06/17/2025 0.001.30 R ISWP FWD NOKOIB6M P 06/17/2030 0.00BSCMS 2006-PW11 C P/P 144A 05.7487 03/11/2039 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 0.00IOS.FN30.350.12 R USL1M P 01/12/43 CS 0.001.27 R ISWP FWD US0003M P 01/27/2047 0.00IOS.FN30.400.10 R USL1M P 01/12/41 BC 0.00SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS 0.00CAD/USD 04/15/2020 CITI 0.00NZD/USD 07/15/2020 HSBCB 0.00CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.002.2225 R ISWP FWD US0003M P 06/05/2029 0.000.8625 R ISWP US0003M P 03/16/2050 0.00CNH/USD 05/20/2020 BANKAM 0.00CNH/USD 05/20/2020 GSFX 0.000.73705 R ISWP US0003M P 03/27/2030 0.00SWPTN 1MX10Y P 0.895 USD 04/20/2020 UB 0.00SWPTN 10YX20Y R 1.275 USD 03/05/2030 BA 0.000.90 R ISWP FWD CDOR03 P 06/17/2025 0.00AUD/USD 07/15/2020 CSI-FX 0.00AUD/USD 07/15/2020 HSBCB 0.000.7375 R ISWP US0003M P 03/30/2030 0.00GNR 2013-90 HI IO 03.5000 04/20/2040 0.000.495 R ISWP US0003M P 04/01/2022 0.000.4921 R ISWP US0003M P 04/01/2022 0.00MLCFC 2006-4 XC IO P/P 144A 00.3755 12/12/2049 0.00EUR/USD 06/17/2020 WPAC 0.000.90 R ISWP FWD AUDBB6M P 06/17/2025 0.00GNR 2011-116 IB IO 05.0000 10/20/2040 0.000.70792 R ISWP US0003M P 03/11/2030 0.00GBP/USD CALL 1.335 20200407 UBS 0.000.25 R ISWP FWD SES3M P 06/17/2030 0.00


Full holdings as of March 31, 2020EUR/NOK PUT 9.60 20200406 GSFX 0.00GBP/USD CALL 1.335 20200402 BCAP-FX 0.00GLOW ENERGY PCL - FOREIGN SEDOL B074GX9 0.000.7178 R ISWP US0003M P 03/27/2030 0.00SWPTN 2YX30Y P 2.3075 USD 06/20/2022 BA 0.000.71439 R ISWP US0003M P 03/27/2030 0.001.275 R ISWP FWD US0003M P 03/07/2050 0.000.7165 R ISWP US0003M P 03/11/2030 0.00AUD/USD 04/15/2020 BCAP-FX 0.00HKD/USD 05/20/2020 TDBK 0.00SWPTN 10YX20Y P 1.275 USD 03/05/2030 BA 0.00CAD/USD 07/15/2020 HSBCB 0.00CAD/USD 04/15/2020 WPAC 0.00CAD/USD 07/15/2020 CSI-FX 0.00JPY/USD 05/20/2020 HSBCB 0.002.3075 R ISWP FWD US0003M P 06/22/2052 0.00NZD/USD 04/15/2020 TDBK 0.00SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS 0.000.4825 R ISWP US0003M P 04/01/2025 0.00HKD/USD 05/20/2020 BANKAM 0.00HKD/USD 05/20/2020 UBS 0.00CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA 0.00HKD/USD 05/20/2020 HSBCB 0.00EUR/USD 06/17/2020 BANKAM 0.00SWPTN 2YX30Y R 2.3075 USD 06/20/2022 BA 0.00HKD/USD 05/20/2020 SSBT 0.00CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA 0.000.655 R ISWP US0003M P 03/31/2030 0.00EUR/USD 06/17/2020 CSI-FX 0.002.184 R ISWP FWD US0003M P 12/07/2030 0.000.62658 R ISWP US0003M P 04/01/2030 0.000.876 R ISWP US0003M P 03/17/2030 0.00CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS 0.000.8775 R ISWP US0003M P 03/17/2030 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 05/20/2020 JPMCB 0.001.00 R ISWP FWD CDOR03 P 06/17/2030 0.00JPY/USD 05/20/2020 WPAC 0.00CHF/USD 06/17/2020 CITI 0.002.67 R ISWP FWD US0003M P 03/28/2052 0.00USD/JPY PUT 103.00 20200416 BANKAM 0.00AUD/USD 04/15/2020 CSI-FX 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 0.00


Full holdings as of March 31, 2020CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA 0.00JPY/USD 05/20/2020 GSFX 0.00SWPTN 1MX10Y R 0.895 USD 04/20/2020 UB 0.00EUR/USD 06/17/2020 RBSF 0.00TWD/USD 05/20/2020 BANKAM 0.00NOK/USD 06/17/2020 TDBK 0.00EUR/USD 06/17/2020 TDBK 0.00EUR/USD 06/17/2020 GSFX 0.00CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00EUR/USD 06/17/2020 BCAP-FX 0.00SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP 0.00-0.60 R ISWP FWD CHL6M P 06/17/2025 0.00SWPTN 1MX10Y R 0.7275 USD 04/20/2020 UB 0.00AUD/USD 04/15/2020 RBSF -0.01CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.010.98 R ISWP US0003M P 03/23/2030 -0.011.00 R ISWP US0003M P 03/23/2030 -0.01CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS -0.011.02 R ISWP US0003M P 03/23/2030 -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 -0.01CHF/USD 06/17/2020 GSFX -0.01EUR/USD 06/17/2020 JPMCB -0.01CHF/USD 06/17/2020 JPMCB -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 -0.01USD/CHF PUT 0.91 20200605 GSFX -0.010.90 R ISWP FWD NFIX3MID P 06/17/2025 -0.01JPY/USD 05/20/2020 BANKAM -0.01-0.30 R ISWP FWD CHL6M P 06/17/2030 -0.01EUR/USD 06/17/2020 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 GS -0.01IOS.FN30.350.12 P USL1M R 01/12/43 BC -0.01CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS -0.01NOK/USD 06/17/2020 BANKAM -0.01CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01EUR/USD 06/17/2020 UBS -0.010.86 R ISWP US0003M P 03/16/2030 -0.01EUR/USD 06/17/2020 HSBCB -0.01NOK/USD 06/17/2020 CITI -0.01NZD/USD 04/15/2020 BCAP-FX -0.01NZD/USD 04/15/2020 RBSF -0.01IOS.FN30.300.13 P USL1M R 01/12/44 GS -0.01NZD/USD 04/15/2020 BANKAM -0.01


Full holdings as of March 31, 2020NZD/USD 04/15/2020 WPAC -0.010.80 R ISWP FWD US0003M P 06/17/2030 -0.01CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG -0.01IOS.FN30.400.14 P USL1M R 01/12/45 JP -0.01CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS -0.01CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS -0.01CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01NZD/USD 04/15/2020 UBS -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 -0.01IOS.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 -0.01JPY/USD 05/20/2020 SSBT -0.02CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS -0.02-0.15 R ISWP FWD EUR006M P 06/17/2030 -0.02AUD/USD 04/15/2020 BANKAM -0.02AUD/USD 04/15/2020 JPMCB -0.02EUR/USD 06/17/2020 SSBT -0.02CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.02USD/JPY PUT 105.00 20200622 CITI -0.02USD/JPY PUT 105.00 20200622 BANKAM -0.02USD/JPY PUT 105.00 20200622 GSFX -0.02-0.30 R ISWP FWD EUR006M P 06/17/2025 -0.02CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 BC -0.020.747 R ISWP US0003M P 03/19/2025 -0.02NOK/USD 06/17/2020 HSBCB -0.020.717 R ISWP US0003M P 03/20/2025 -0.021.20 R ISWP FWD NOKOIB6M P 06/17/2025 -0.02EBIX US P R 07/05/22 CI -0.02CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.02CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS -0.03CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CG -0.03IOS.FN30.400.14 P US0001M R 01/12/45 JP -0.03NOK/USD 06/17/2020 CSI-FX -0.03CTB US P R 07/05/22 CI -0.03JPY/USD 05/20/2020 BCAP-FX -0.03CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.03NZD/USD 04/15/2020 SSBT -0.03CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS -0.04NOK/USD 06/17/2020 RBSF -0.04NOK/USD 06/17/2020 SSBT -0.04CMD US P US0001M R 07/05/22 CI -0.051.8252 R ISWP US0003M P 12/17/2029 -0.05CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.05


Full holdings as of March 31, 2020CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.06NOK/USD 06/17/2020 JPMCB -0.07RU10INTR P US0003M R 11/25/20 CI -0.07MOG/A US P US0001M R 07/05/22 CI -0.07BGS US P R 07/05/22 CI -0.07EPC US P US0001M R 07/05/22 CI -0.07ACIW US P R 07/05/22 CI -0.08TGI US P R 07/05/22 CI -0.08APPN US P US0001M R 07/05/22 CI -0.08BB US P US0001M R 07/05/22 CI -0.09BRKR US P US0001M R 07/05/22 CI -0.10STL US P US0001M R 07/05/22 CI -0.11NOK/USD 06/17/2020 GSFX -0.12PBH US P US0001M R 07/05/22 CI -0.12HBI US P R 07/05/22 CI -0.12QLYS US P US0001M R 07/05/22 CI -0.13CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS -0.13CMPR US P US0001M R 07/05/22 CI -0.14BWXT US P US0001M R 07/05/22 CI -0.16JBL US P US0001M R 07/05/22 CI -0.16CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML -0.18CTLT US P US0001M R 07/05/22 CI -0.18ENR US P R 07/05/22 CI -0.18PKI US P US0001M R 07/05/22 CI -0.18OSK US P US0001M R 07/05/22 CI -0.21SKX US P US0001M R 07/05/22 CI -0.22LHCG US P US0001M R 07/05/22 CI -0.23ICLR US P R 07/05/22 CI -0.24PWR US P US0001M R 07/05/22 CI -0.291.625 R ISWP FWD US0003M P 03/18/2025 -0.33GWRE US P US0001M R 07/05/22 CI -0.35CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.37AAXN US P US0001M R 07/05/22 CI -0.37BHC US P R 07/05/22 CI -0.41RL US P US0001M R 07/05/22 CI -0.42IQV US P R 07/05/22 CI -0.45FSLR US P US0001M R 07/05/22 CI -0.501.60 R ISWP FWD US0003M P 03/18/2022 -0.50NDUEEGF P US0001M R 12/14/20 GS -0.50FMC US P US0001M R 07/05/22 CI -0.54TSLA US P R 07/05/22 CI -0.55RH US P US0001M R 07/05/22 CI -0.65ELAN US P US0001M R 07/05/22 CI -0.66DPZ US P US0001M R 07/05/22 CI -0.70EVBG US P US0001M R 07/05/22 CI -0.70


Full holdings as of March 31, 2020CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.70CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.73ILMN US P US0001M R 07/05/22 CI -0.89AMD US P US0001M R 07/05/22 CI -0.98STX US P US0001M R 12/15/25 GS -1.02K US P R 07/05/22 CI -1.09NDUEEGF P US0003M R 09/18/20 CI -1.20CTXS US P US0001M R 07/05/22 CI -1.45NDUEEGF P US0003M R 03/19/21 CI -2.62NDUEEGF P US0001M R 08/20/20 UB -6.82NDUEEGF P US0001M R 02/12/21 CS -12.84S&P500 EMINI FUT JUN20 ESM0 -18.27RU10INTR P US0003M R 11/25/20 CI -18.80RU10INTR P US0003M R 06/20/23 BA -31.08GSGLPW2S P US0001M R 12/15/20 GS -31.27GSGLPWDS P US0001M R 12/15/25 GS -32.13

Full holdings as of February 29, 2020US 10YR NOTE (CBT)JUN20 TYM0 46.12CGPUTQL2 R US0003M P 11/25/20 CI 39.64GSGLPWDL R US0001M P 12/15/25 GS 38.54MLFCF15 R US0003M P 06/20/23 BA 37.10GSGLPW2L R US0001M P 12/15/20 GS 34.53S&P MID 400 EMINI MAR20 FAH0 20.44US 10YR ULTRA FUT JUN20 UXYM0 10.52REPO TRIPA MORTG 1.61 03/02/2020 9.44FNMA FN30 TBA UMBS 04.0000 03/01/2050 4.10FNMA FN30 TBA UMBS 03.5000 03/01/2050 4.04FNMA FN30 TBA UMBS 03.0000 03/01/2050 4.01GSISXT27 R 0.2 P 12/15/20 GS 3.76GSVIUS85 R 0.45 P 12/15/20 GS 2.23CITI COMMOD F3-F0 4X LEVERED INDEX 3X NOTE 1/25/2021 1.69SAMSUNG ELECTRONICS CO LTD SEDOL 6771720 1.58CONSUMER STAPLES SPDR SEDOL 2369389 1.41REAL ESTATE SELECT SECT SPDR SEDOL BYZ65Y9 1.40HEALTH CARE SELECT SECTOR SEDOL 2371823 1.40TECHNOLOGY SELECT SECT SPDR SEDOL 2369709 1.39BAML COMMODITY MLBX4SX6 ER STRATEGY 3X 144A NOTE 1/12/2021 1.36UTILITIES SELECT SECTOR SPDR SEDOL 2371812 1.35NDEUSIA R US0003M P 02/12/21 UB 1.33FINANCIAL SELECT SECTOR SPDR SEDOL 2364038 1.28CITI CROSS-ASSET TREND 10% VOL INDEX 3X 144A NOTE 9/28/2020 1.20GSVIVV69 R 0.3 P 12/15/20 GS 1.19ALIBABA GROUP HOLDING-SP ADR SEDOL BP41ZD1 1.02S&P GSCI TOTAL RETURN CME 3X 144A NOTE 12/8/2020 1.00


Full holdings as of March 31, 2020BPCE SA 05571BC27 DCP 03/02/2020 0.97SOCIETE GENERALE SA 83369BC20 DCP 03/02/2020 0.97CHARIOT FUNDING LLC 15963TC23 DCP 03/02/2020 0.97NRW BANK 62939LC64 DCP 03/06/2020 0.97DNB BANK ASA 2332K0CH3 DCP 03/17/2020 0.97ATLANTIC ASSET SECURITIZATION 04821TCH6 DCP 03/17/2020 0.97CANADIAN IMPERIAL BANK OF COM 13608ACJ3 DCP 03/18/2020 0.97NATIONWIDE BUILDING SOCIETY 6385E0CR2 DCP 03/25/2020 0.97TORONTO-DOMINION BANK/THE 89119AD96 DCP 04/09/2020 0.97FED HOME LN DISCOUNT NT 313384VQ9 GDC 04/15/2020 0.97PRUDENTIAL PLC 7443M2DU7 DCP 04/28/2020 0.97EXPORT DEVELOPMENT CANADA 30215GE40 DCP 05/04/2020 0.97BARCLAYS BANK PLC CCP 06742VDR9 DCP 05/08/2020 0.97TAIWAN SEMICONDUCTOR-SP ADR SEDOL 2113382 0.91TENCENT HOLDINGS LTD SEDOL BMMV2K8 0.88TREASURY BILL 00.0000 04/23/2020 0.85ISHARES MSCI INDIA ETF SEDOL B6XGR72 0.81TREASURY BILL 00.0000 06/04/2020 0.77PING AN INSURANCE GROUP CO-H SEDOL B01FLR7 0.76GSVICUB3 R 0.45 P 12/15/20 GS 0.74TREASURY BILL 00.0000 06/18/2020 0.73ANHUI CONCH CEMENT CO LTD-H SEDOL 6080396 0.56DJUBS LONG F3 - SHORT DJUBS F0 3/1/2021 0.50YUM CHINA HOLDINGS INC SEDOL BYW4289 0.49BOFA MLCOMMODITY MLBX4SX6 ER STRATEGY 08/03/2020 0.49TREASURY BILL 00.0000 03/12/2020 0.46S&P GSCI TOTAL RETURN 3X NOTE 11/16/2020 0.46SINO BIOPHARMACEUTICAL SEDOL B00XSF9 0.45BANCO DO BRASIL S.A. SEDOL 2328595 0.44GREE ELECTRIC 144A/REGS WARRANT 8/24/2020 0.44HYUNDAI MOBIS CO LTD SEDOL 6449544 0.41GSVIVVOL R 0.3 P 12/15/20 GS 0.39BANK OF SHANGHAI 144A/REGS WARRANT 12/02/2020 0.38IRB BRASIL RESSEGUROS SA SEDOL BYZ6D56 0.37KIA MOTORS CORP SEDOL 6490928 0.37WALMART DE MEXICO SAB DE CV SEDOL BW1YVH8 0.37SHENZHEN MINDRAY BIO-MEDICAL ELEC CO LTD 144A/REGS 0.36IND & COMM BK OF CHINA-H SEDOL B1G1QD8 0.35KWEICHOW MOUTAI CO LTD-A 144A/REGS WARRANT 08/07/2020 0.35ADVANCED INFO SERVICE-FOR RG SEDOL 6412591 0.34CAS 2016-C02 1B 13.8768 09/25/2028 0.33LUKOIL PJSC-SPON ADR SEDOL BYZDW27 0.33SBERBANK PJSC -SPONSORED ADR SEDOL B5SC091 0.31CHINA MOBILE LTD SEDOL 6073556 0.31REPUBLICA ORIENT URUGUAY USD 04.3750 10/27/2027 0.31


Full holdings as of March 31, 2020WFRBS 2012-C7 F P/P 144A 04.5000 06/15/2045 0.30UNI-PRESIDENT ENTERPRISES CO SEDOL 6700393 0.30ZHEN DING TECHNOLOGY HOLDING SEDOL B734XQ4 0.29KT&G CORP SEDOL 6175076 0.27CHINA PETROLEUM & CHEMICAL-H SEDOL 6291819 0.26BANCO MACRO SA-ADR SEDOL B0Y62M9 0.25EVRAZ PLC SEDOL B71N6K8 0.25VALE SA SEDOL 2196286 0.25BANCO SANTANDER BRASIL-UNIT SEDOL B4V5RY4 0.25INTER RAO UES PJSC SEDOL B39RRN4 0.251.75 R ISWP FWD US0003M P 03/18/2030 0.24TREASURY BILL 00.0000 04/16/2020 0.24ANGLO AMERICAN PLATINUM LTD SEDOL 6761000 0.24PTT EXPLORATION & PROD-FOR SEDOL B1359J0 0.23FNR 2017-74 SA IO 04.1233 10/25/2047 0.22TREASURY BILL 00.0000 05/07/2020 0.22UNITED MICROELECTRONICS CORP SEDOL 6916628 0.22SPY 20210115 P 290.00CITI 0.21QUALICORP CONS E CORR SEG SA SEDOL B4LHBQ0 0.21SPY 20210219 P 290.00CITI 0.21UNITED MEXICAN STATES USD 05.5500 01/21/2045 0.20S&P GSCI EXCESS RETURN INDEX 3X NOTE 3/1/2021 0.19BANK CENTRAL ASIA TBK PT SEDOL B01C1P6 0.19WEICHAI POWER CO LTD-H SEDOL 6743956 0.19VIPSHOP HOLDINGS LTD - ADR SEDOL B3N0H17 0.18FOSUN INTERNATIONAL SEDOL B1Z7FX0 0.18BANK OF JIANGSU CO LTD- A 144A/REGS WARRANT 08/07/2020 0.17HYPERA SA SEDOL B2QY968 0.17BB SEGURIDADE PARTICIPACOES SEDOL B9N3SQ0 0.17TELEFONICA BRASIL S.A.-PREF SEDOL B3ZCNF7 0.17ENEL AMERICAS SA-ADR SEDOL 2314947 0.172.00 R ISWP FWD CDOR03 P 03/18/2025 0.16SK HYNIX INC SEDOL 6450267 0.16FUBON FINANCIAL HOLDING CO SEDOL 6411673 0.16CHINA RESOURCES SANJIU MED 144A/REGS WARRANT 02/18/2021 0.16SPY 20201218 P 275.00JPMCB 0.16ZHONGSHENG GROUP HOLDINGS SEDOL B633D97 0.16GLOBALWAFERS CO LTD SEDOL BS7JP33 0.15SAMSUNG SDS CO LTD SEDOL BRS2KY0 0.15SINOTRUK HONG KONG LTD SEDOL B296ZH4 0.15RADIANT OPTO-ELECTRONICS COR SEDOL 6520278 0.15CAPITEC BANK HOLDINGS LTD SEDOL 6440859 0.15FNR 2016-3 MI IO 05.5000 02/25/2046 0.14ELECTRICITY GEN PUB CO-FOR R SEDOL 6304643 0.14HOME PRODUCT CENTER PCL-FOR SEDOL 6418533 0.14


Full holdings as of March 31, 2020LITE-ON TECHNOLOGY CORP SEDOL 6519481 0.14GNR 2014-184 DI IO 05.5000 12/16/2044 0.14ECOPETROL SA-SPONSORED ADR SEDOL B3D6J19 0.13YUANTA FINANCIAL HOLDING CO SEDOL 6424110 0.13KOREA ZINC CO LTD SEDOL 6495428 0.13SOULBRAIN CO LTD SEDOL B0105T2 0.13OTP BANK RT SEDOL 7320154 0.13CHINA RESOURCES CEMENT SEDOL B41XC98 0.13CMLTI 2007-AR5 1A1A 04.0820 04/25/2037 0.13FNR 2015-30 IO IO 05.5000 05/25/2045 0.13MMC NORILSK NICKEL PJSC-ADR SEDOL BYSW6D0 0.13SHANGHAI PUDONG DEV BANK 144A/REGS WARRANT 0.12TISCO FINANCIAL-FOREIGN SEDOL B3KFW76 0.12SPY 20201120 P 265.00BANKAM 0.12LOGAN PROPERTY HOLDINGS CO L SEDOL BH6X937 0.12WANT WANT CHINA HOLDINGS LTD SEDOL B2Q14Z3 0.12CAS 2019-R04 2M2 03.7268 06/25/2039 0.12MISC BHD SEDOL 6557997 0.12SCRT 2019-4 M 04.5000 02/25/2059 0.12PRESIDENT CHAIN STORE CORP SEDOL 6704986 0.11FNR 2018-51 IO IO 06.5000 07/25/2048 0.11MWST 2019-1 A 02.4268 06/25/2052 0.11SHINHAN FINANCIAL GROUP LTD SEDOL 6397502 0.11GNR 2010-125 SD IO 05.0215 01/16/2040 0.11SPST 2019-7 A 02.3289 09/24/2020 0.11CIA SANEAMENTO BASICO DE SP SEDOL B1YCHL8 0.111.40 R ISWP FWD AUDBB6M P 03/18/2030 0.11QUDIAN INC-SPON ADR SEDOL BF8FK89 0.11SPST 2019-3 A 02.3289 06/24/2020 0.11SPST 2019-11 A 02.3789 10/24/2020 0.11TREASURY BILL 00.0000 04/02/2020 0.10SURGUTNEFTEGAS-PREFERENCE SEDOL 5005884 0.10KUMBA IRON ORE LTD SEDOL B1G4262 0.10SPST 2020-2 A 00.0000 03/26/2021 0.10FNR 2016-88 SK IO 04.3733 12/25/2046 0.09SPY 20200918 P 255.00JPMCB 0.09TRIPOD TECHNOLOGY CORP SEDOL 6305721 0.09POWSZECHNY ZAKLAD UBEZPIECZE SEDOL B63DG21 0.09TIM PARTICIPACOES SA SEDOL 2292560 0.09GNR 2016-H02 BI IO 01.9182 11/20/2065 0.09DAELIM INDUSTRIAL CO LTD SEDOL 6249584 0.09PETRONAS CHEMICALS GROUP BHD SEDOL B5KQGT3 0.09PETROBRAS GLOBAL FINANCE USD 06.2500 03/17/2024 0.09GSMS 2014-GC24 D P/P 144A 04.5323 09/10/2047 0.09FHR 4964 IA IO 04.5000 03/25/2050 0.09


Full holdings as of March 31, 2020GNR 2015-H24 HI IO 02.0390 09/20/2065 0.09GNR 2016-135 PI IO 04.0000 05/20/2046 0.09TAISHIN FINANCIAL HOLDING SEDOL 6451680 0.09FNR 2017-8 SB IO 04.4733 02/25/2047 0.09SAMSUNG ENGINEERING CO LTD SEDOL 6765239 0.09ENBRIDGE INC USD 04.2500 12/01/2026 0.09GNR 2017-H11 NI IO 02.1804 05/20/2067 0.09WFRBS 2011-C3 E P/P 144A 05.0000 03/15/2044 0.08CHINA MINSHENG BANKING COR-H SEDOL B57JY24 0.08NOVOLIPETSK STEEL PJSC-GDR SEDOL B0RTNX3 0.08GNR 2015-H15 JI IO 01.9775 06/20/2065 0.08WNS HOLDINGS LTD-ADR SEDOL B194GX4 0.08GNR 2015-H25 BI IO 02.0803 10/20/2065 0.08CLICKS GROUP LTD SEDOL 6105578 0.08GENTING MALAYSIA BHD SEDOL B1VXKN7 0.08IMPALA PLATINUM HOLDINGS LTD SEDOL B1FFT76 0.08GNR 2010-68 SD IO 04.9330 06/20/2040 0.08GEELY AUTOMOBILE HOLDINGS LT SEDOL 6531827 0.08FNR 2017-108 SA IO 04.5233 01/25/2048 0.08PETROBRAS GLOBAL FIN P/P 144A 05.0930 01/15/2030 0.07GNR 2018-91 SJ IO 04.6030 07/20/2048 0.07SEAZEN HOLDINGS CO 144A/REGS WARRANT 04/17/2020 0.07HLA CORP LTD 144A/REGS WARRANT 0.07CHAILEASE HOLDING CO LTD SEDOL B58J1S8 0.07GNR 2015-H25 AI IO 01.6134 09/20/2065 0.07BANCO BTG PACTUAL SA-UNIT SEDOL BZBZVC7 0.072.00 R ISWP FWD US0003M P 03/18/2050 0.07SPY 20201016 P 255.00BANKAM 0.07GNR 2016-150 I IO 05.0000 11/20/2046 0.07BANCO SANTANDER MEXICO SA IN SEDOL BF1FXN2 0.07FNR 2012-19 S IO 04.3233 03/25/2042 0.07RHB BANK BHD SEDOL 6244675 0.07GNR 2017-H14 DI IO 01.7102 06/20/2067 0.07TEKFEN HOLDING AS SEDOL B29D241 0.07CAS 2015-C04 1M2 07.3268 04/25/2028 0.07GNR 2016-51 MS IO 04.4030 04/20/2046 0.07SPST 2019-WL1 A 02.2768 08/25/2052 0.06FNR 2017-32 IP IO 04.5000 05/25/2047 0.06GRUPO AEROPORTUARIO DEL CENT SEDOL B1KFX13 0.06PROVINCIA DE BUENOS P/P 144A 10.8750 01/26/2021 0.06FORD OTOMOTIV SEDOL B03MSR5 0.06SEVERSTAL PJSC SEDOL B0561N2 0.06WAMU 2004-AR12 A2B 02.5468 10/25/2044 0.06GNR 2019-121 DS IO 04.4530 08/20/2049 0.061.70 R ISWP FWD US0003M P 03/18/2025 0.06


Full holdings as of March 31, 2020GNR 2017-H02 BI IO 02.4731 01/20/2067 0.06BBVA ARGENTINA SA-ADR SEDOL BKT4TC7 0.06GNR 2018-104 SD IO 04.5530 08/20/2048 0.06GENTING BHD SEDOL B1VXJL8 0.06BANK TABUNGAN PENSIUNAN NASI SEDOL BFNBJ41 0.06GNR 2015-H26 GI IO 01.8001 10/20/2065 0.06JPMBB 2013-C14 E P/P 144A 04.7019 08/15/2046 0.06GNR 2018-H05 AI IO 01.3706 02/20/2068 0.06FNR 2013-130 SD IO 04.9733 01/25/2044 0.06COM7 PCL-F SEDOL BZ2YN49 0.06BANCO DE CHILE-ADR SEDOL 2834252 0.06GNR 2015-H09 AI IO 02.3682 04/20/2065 0.06FNR 2016-65 CS IO 04.4733 09/25/2046 0.05GNR 2015-H20 CI IO 02.4139 08/20/2065 0.050.90 R ISWP FWD GBL6M P 03/18/2025 0.05INDOFOOD SUKSES MAKMUR TBK P SEDOL 6283979 0.05GNR 2015-H19 NI IO 01.9126 07/20/2065 0.05FHR 4752 PS IO 04.5415 11/15/2047 0.052.10 R ISWP FWD CDOR03 P 03/18/2030 0.05GNR 2015-H09 BI IO 01.6975 03/20/2065 0.05SAO MARTINHO SA SEDOL B1P3R43 0.05GNR 2015-H24 BI IO 01.6194 08/20/2065 0.05PETROBRAS GLOBAL FINANCE USD 08.7500 05/23/2026 0.05PETROBRAS GLOBAL FINANCE USD 06.1250 01/17/2022 0.05GNR 2014-H21 AI IO 01.7523 10/20/2064 0.05HM SAMPOERNA TBK PT SEDOL 6404242 0.05BANCO SANTANDER-CHILE-ADR SEDOL 2136646 0.05SUN ART RETAIL GROUP LTD SEDOL B3MPN59 0.05GUANGZHOU BAIYUNSHAN PHARM-H SEDOL 6084387 0.05GNR 2018-127 IB IO 04.5000 06/20/2045 0.05CAS 2017-C02 2B1 07.1268 09/25/2029 0.05GNR 2015-H22 GI IO 02.5841 09/20/2065 0.05GNR 2016-H03 AI IO 01.8206 01/20/2066 0.05YDUQS PART SEDOL BJGV3C2 0.05GNR 2017-H06 BI IO 02.0080 02/20/2067 0.04GNR 2015-80 IA IO 04.5000 06/20/2045 0.04PETROBRAS GLOBAL FIN USD 05.9990 01/27/2028 0.04FENG TAY ENTERPRISE CO LTD SEDOL 6336055 0.04GNR 2015-H10 CI IO 01.8137 04/20/2065 0.04JPMCC 2006-LDP9 AMS 05.3370 05/15/2047 0.04GNR 2015-53 MI IO 04.0000 04/16/2045 0.04FHR 4134 PI IO 03.0000 11/15/2042 0.04CHAROEN POKPHAND FOOD-FORGN SEDOL B5L2DG6 0.04GNR 2013-6 AI IO 03.5000 08/20/2039 0.04GNR 2015-187 JI IO 04.0000 03/20/2045 0.04


Full holdings as of March 31, 2020CAS 2018-C05 1M2 03.9768 01/25/2031 0.04CAS 2020-R01 1B1 04.8768 01/25/2040 0.04SIME DARBY BERHAD SEDOL B29TTR1 0.04POU CHEN SEDOL 6696157 0.04FHR 4259 DI IO 04.0000 06/15/2043 0.04GNR 2015-105 LI IO 05.0000 10/20/2039 0.04FNR 2016-3 NI IO 06.0000 02/25/2046 0.04GNR 2015-167 BI IO 04.5000 04/16/2045 0.04GNR 2014-146 EI IO 05.0000 10/20/2044 0.04GNR 2016-H08 GI IO 01.4319 04/20/2066 0.04-0.10 R ISWP FWD CHL6M P 03/18/2030 0.04FEDERAL GRID CO UNIFIED ENER SEDOL B39RR67 0.04PETROLEOS MEXICANOS USD 06.3750 01/23/2045 0.04AUD/USD 04/15/2020 SSBT 0.04GNR 2016-37 IW IO 04.5000 02/20/2046 0.04CAS 2017-C06 2M2 04.4268 02/25/2030 0.04KOREA INVESTMENT HOLDINGS CO SEDOL 6654586 0.03GNR 2016-H16 DI IO 02.4671 06/20/2066 0.03GNR 2010-9 UI IO 05.0000 01/20/2040 0.031.00 R ISWP FWD AUDBB6M P 03/18/2025 0.03GNR 2018-127 ID IO 05.0000 07/20/2045 0.031.7945 R ISWP US0003M P 12/18/2029 0.03GNR 2011-17 S IO 04.4030 02/20/2041 0.03GNR 2015-H16 XI IO 02.7204 07/20/2065 0.03FHR 4801 IG IO 03.0000 06/15/2048 0.03FNR 2017-2 KI IO 04.0000 02/25/2047 0.03GNR 2018-127 IE IO 03.5000 01/20/2046 0.03GNR 2017-57 AI IO 04.0000 06/20/2045 0.03USD/JPY PUT 107.00 20200417 JPMCB 0.03GNR 2013-20 QI IO 04.5000 12/16/2042 0.03USD/JPY PUT 107.00 20200413 UBS 0.03CWHL 2005-3 1A1 02.2468 04/25/2035 0.03TECO ELECTRIC & MACHINERY SEDOL 6879851 0.03BANK OF CHINA LTD-H SEDOL B154564 0.03GNR 2016-H04 KI IO 02.1367 02/20/2066 0.03CAD/USD 04/15/2020 SSBT 0.03GNR 2009-121 UI IO 05.0000 12/20/2039 0.03FHR 4568 MI IO 04.0000 04/15/2046 0.03IOS.FN30.400.14 R USL1M P 01/12/45 CS 0.03GNR 2016-75 EI IO 03.5000 08/20/2045 0.03QUALITAS CONTROLADORA SAB CV SEDOL BYMXF65 0.02GNR 2010-20 UI IO 05.0000 02/20/2040 0.02CIA CERVECERIAS UNI-SPON ADR SEDOL 2217596 0.02PLDT INC SEDOL BDGN274 0.02IOS.FN30.350.12 R USL1M P 01/12/43 CS 0.02


Full holdings as of March 31, 2020GNR 2015-24 IA IO 03.5000 02/20/2045 0.02GNR 2014-163 NI IO 05.0000 02/20/2044 0.021.10 R ISWP FWD GBL6M P 03/18/2030 0.02KT CORP SEDOL 6505316 0.02MALAYSIA AIRPORTS HLDGS BHD SEDOL 6188193 0.02MANILA ELECTRIC COMPANY SEDOL B247XZ6 0.02FNR 2013-35 PI IO 03.0000 02/25/2042 0.02GNR 2015-H10 EI IO 01.6274 04/20/2065 0.02WESTPORTS HOLDINGS BHD SEDOL BDFM1K8 0.02UBSBB 2012-C2 F P/P 144A 04.8911 05/10/2063 0.02GNR 2010-134 ES IO 04.3530 11/20/2039 0.02GNR 2015-H18 IA IO 01.8365 06/20/2065 0.021.547 R ISWP US0003M P 02/11/2030 0.02GNR 2015-124 NI IO 03.5000 06/20/2039 0.02CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.02GNR 2013-129 SN IO 04.5030 09/20/2043 0.02CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.021.743 R ISWP US0003M P 02/18/2050 0.02GNR 2011-H15 AI IO 01.5390 06/20/2061 0.02AUD/USD 04/15/2020 UBS 0.02PETRONAS GAS BHD SEDOL 6703972 0.02GNR 2013-24 PI IO 04.0000 11/20/2042 0.01FHR 3747 SA IO 04.8415 10/15/2040 0.01NESTLE (MALAYSIA) BERHAD SEDOL 6629335 0.01FHR 4193 PI IO 04.0000 03/15/2043 0.01FHR 4206 IP IO 03.0000 12/15/2041 0.01NZD/USD 04/15/2020 JPMCB 0.01ASTRO MALAYSIA SEDOL B7W5GK3 0.01FHR 4073 AS IO 04.3915 08/15/2038 0.01IOS.FN30.400.14 R USL1M P 01/12/45 GS 0.01IOS.FN30.400.14 R USL1M P 01/12/45 CS 0.01GNR 2013-79 XI IO 03.5000 11/20/2039 0.01FNR 2012-151 PI IO 03.0000 01/25/2043 0.01AIRASIA GROUP BHD SEDOL B03J9L7 0.01IOS.FN30.350.14 R USL1M P 01/12/45 CS 0.01SEK/USD 03/18/2020 SSBT 0.01CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CS 0.01PETROLEOS DE VENEZUELA S REGS 05.3750 04/12/2027 0.01FHR 4097 PI IO 03.5000 11/15/2040 0.01GNR 2013-157 IA IO 03.5000 04/20/2040 0.01GNR 2013-100 MI IO 03.5000 02/20/2043 0.01SGD/USD 05/20/2020 JPMCB 0.01CAS 2015-C02 2M2 05.6268 05/25/2025 0.01NZD/USD 04/15/2020 CITI 0.01FHR 4099 BI IO 03.5000 06/15/2039 0.01


Full holdings as of March 31, 2020SWPTN 10YX20Y R 2.785 USD 01/25/2027 BA 0.01GNR 2013-23 IK IO 03.0000 09/20/2037 0.01SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP 0.01GBP/USD 03/18/2020 SSBT 0.01GNR 2010-35 QI IO 04.5000 03/20/2040 0.01NZD/USD 04/15/2020 GSFX 0.01CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG 0.01GNR 2015-99 LI IO 04.0000 07/20/2045 0.01GNR 2014-133 AI IO 04.0000 10/20/2036 0.01GNR 2015-96 NI IO 03.5000 01/20/2039 0.01PROVINCIA DE BUENOS 35.6835 05/31/2022 0.01REPUBLIC OF VENEZUELA REGS 07.6500 04/21/2025 0.01GNR 2015-82 GI IO 03.5000 12/20/2038 0.01FNR 2012-136 PI IO 03.5000 11/25/2042 0.013.312 R ISWP US0003M P 11/08/2048 0.01GNR 2012-141 WI IO 03.5000 11/20/2041 0.01IOS.FN30.650.67 R USL1M P 01/12/38 BC 0.01USD/JPY PUT 101.00 20200417 JPMCB 0.01CAD/USD 04/15/2020 TDBK 0.00SEK/USD 03/18/2020 GSFX 0.00USD/JPY PUT 101.00 20200413 UBS 0.00GNR 2013-102 IP IO 03.5000 06/20/2043 0.00CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.00SWPTN 3YX30Y R 2.3075 USD 06/20/2022 BA 0.00SEK/USD 03/18/2020 RBSF 0.00IOS.FN30.400.10 R USL1M P 01/12/41 BA 0.00IOS.FN30.400.10 R USL1M P 01/12/41 BA 0.00FNR 2013-31 NI IO 03.0000 06/25/2041 0.00AUD/USD 04/15/2020 HSBCB 0.00CAD/USD 04/15/2020 BANKAM 0.00AUD/USD 04/15/2020 BCAP-FX 0.00CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS 0.00CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS 0.00IOS.FN30.400.10 R USL1M P 01/12/41 JP 0.00SEK/USD 03/18/2020 HSBCB 0.00CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG 0.00EUR/USD PUT 1.086 20200331 HSBCB 0.00IOS.FN30.400.10 R USL1M P 01/12/41 CI 0.00BSCMS 2006-PW11 C P/P 144A 05.8015 03/11/2039 0.00CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML 0.00CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS 0.00CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS 0.00CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 ML 0.00CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 ML 0.00CAD/USD 04/15/2020 BCAP-FX 0.00


Full holdings as of March 31, 2020IOS.FN30.350.12 R USL1M P 01/12/43 CS 0.00SEK/USD 03/18/2020 UBS 0.00NOK/USD 03/18/2020 SSBT 0.00IOS.FN30.400.10 R USL1M P 01/12/41 BC 0.00SEK/USD 03/18/2020 TDBK 0.00CAD/USD 04/15/2020 RBSF 0.00SEK/USD 03/18/2020 BCAP-FX 0.00EUR/USD 03/18/2020 HSBCB 0.00HKD/USD 05/20/2020 SSBT 0.00GBP/USD 03/18/2020 HSBCB 0.00CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.00CAD/USD 04/15/2020 JPMCB 0.00CNH/USD 05/20/2020 BANKAM 0.00CNH/USD 05/20/2020 GSFX 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 0.00HKD/USD 05/20/2020 HSBCB 0.00AUD/USD 04/15/2020 GSFX 0.00SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS 0.00SWPTN 10YX20Y P 2.785 USD 01/25/2027 BA 0.002.2225 R ISWP FWD US0003M P 06/05/2029 0.00CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG 0.00CAD/USD 04/15/2020 HSBCB 0.00HKD/USD 05/20/2020 BANKAM 0.00HKD/USD 05/20/2020 UBS 0.00GBP/USD CALL 1.335 20200407 CITI 0.00GBP/USD CALL 1.335 20200407 UBS 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 0.00JPY/USD 05/20/2020 HSBCB 0.00GBP/USD CALL 1.335 20200402 BCAP-FX 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 2013-90 HI IO 03.5000 04/20/2040 0.00CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS 0.00HKD/USD 05/20/2020 TDBK 0.00TWD/USD 05/20/2020 BANKAM 0.00SWPTN 3YX30Y P 2.3075 USD 06/20/2022 BA 0.00CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.00MLCFC 2006-4 XC IO P/P 144A 00.7354 12/12/2049 0.00CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS 0.00CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS 0.00GNR 2011-116 IB IO 05.0000 10/20/2040 0.00


Full holdings as of March 31, 2020CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS 0.00CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS 0.00EUR/NOK PUT 9.60 20200406 GSFX 0.00GLOW ENERGY PCL - FOREIGN SEDOL B074GX9 0.00SPY 20200228 C 336.00BANKAM 0.00SPY 20200313 C 348.00BANKAM 0.00NZD/USD 04/15/2020 BCAP-FX 0.00SEK/USD 03/18/2020 JPMCB 0.00CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA 0.00JPY/USD 05/20/2020 JPMCB 0.002.3075 R ISWP FWD US0003M P 06/22/2052 0.00JPY/USD 05/20/2020 GSFX 0.00EUR/USD 03/18/2020 RBSF 0.00EUR/USD 03/18/2020 BANKAM 0.00SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS 0.00CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA 0.00CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS 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 0.00CMB 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 0.00CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS 0.00MXN/USD 04/15/2020 CITI 0.00CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS 0.002.184 R ISWP FWD US0003M P 12/07/2030 0.00CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00MXN/USD 04/15/2020 UBS 0.00EUR/USD 03/18/2020 JPMCB 0.00CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 BC 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 0.00CHF/USD 03/18/2020 JPMCB 0.002.67 R ISWP FWD US0003M P 03/28/2052 0.00CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG 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 BC 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 0.00MXN/USD 04/15/2020 BANKAM 0.00CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00AUD/USD 04/15/2020 RBSF 0.00AUD/USD 04/15/2020 CSI-FX 0.00NZD/USD 04/15/2020 BANKAM 0.00CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS 0.00


Full holdings as of March 31, 2020SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP 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 04/15/2020 RBSF 0.00CMB 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.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01NZD/USD 04/15/2020 WPAC -0.01JPY/USD 05/20/2020 BANKAM -0.01EUR/USD CALL 1.1122 20200331 HSBCB -0.01AUD/USD 04/15/2020 JPMCB -0.01AUD/USD 04/15/2020 BANKAM -0.01JPY/USD 05/20/2020 SSBT -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 BC -0.01NZD/USD 04/15/2020 UBS -0.01NOK/USD 03/18/2020 RBSF -0.01CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CG -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.FN30.350.12 P USL1M R 01/12/43 GS -0.01IOS.FN30.400.14 P USL1M R 01/12/45 JP -0.01-0.40 R ISWP FWD CHL6M P 03/18/2025 -0.01CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS -0.01IOS.FN30.400.10 P USL1M R 01/12/41 CS -0.02EUR/USD 03/18/2020 SSBT -0.021.75 R ISWP FWD NFIX3MID P 03/18/2030 -0.02NZD/USD 04/15/2020 SSBT -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 MS -0.02USD/JPY PUT 104.00 20200413 UBS -0.02UA US P R 07/05/22 CI -0.02USD/JPY PUT 104.00 20200417 JPMCB -0.02NOK/USD 03/18/2020 GSFX -0.021.8252 R ISWP US0003M P 12/17/2029 -0.030.65 R ISWP FWD SES3M P 03/18/2030 -0.03IOS.FN30.400.14 P US0001M R 01/12/45 JP -0.03EBIX US P R 07/05/22 CI -0.04DBD US P R 07/05/22 CI -0.042.00 R ISWP FWD NOKOIB6M P 03/18/2030 -0.05CTB US P R 07/05/22 CI -0.05-0.10 R ISWP FWD EUR006M P 03/18/2025 -0.050.35 R ISWP FWD SES3M P 03/18/2025 -0.051.95 R ISWP FWD NOKOIB6M P 03/18/2025 -0.05BGS US P R 07/05/22 CI -0.06


Full holdings as of March 31, 2020KLIC US P US0001M R 07/05/22 CI -0.06CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML -0.061.40 R ISWP FWD NFIX3MID P 03/18/2025 -0.07DORM US P US0001M R 07/05/22 CI -0.07DY US P R 07/05/22 CI -0.07OMCL US P US0001M R 07/05/22 CI -0.08CMD US P US0001M R 07/05/22 CI -0.08APPN US P US0001M R 07/05/22 CI -0.08ACIW US P R 07/05/22 CI -0.08EPC US P US0001M R 07/05/22 CI -0.09MDRX US P US0001M R 07/05/22 CI -0.090.20 R ISWP FWD EUR006M P 03/18/2030 -0.10MOG/A US P US0001M R 07/05/22 CI -0.10BB US P US0001M R 07/05/22 CI -0.10WGO US P US0001M R 07/05/22 CI -0.10BRKR US P US0001M R 07/05/22 CI -0.11QLYS US P US0001M R 07/05/22 CI -0.11PBH US P US0001M R 07/05/22 CI -0.11CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.13CDX CDX.NA.HY.33 500.0 12/20/2024 -0.13WWW US P US0001M R 07/05/22 CI -0.16STL US P US0001M R 07/05/22 CI -0.16CTLT US P US0001M R 07/05/22 CI -0.16BWXT US P US0001M R 07/05/22 CI -0.171.625 R ISWP FWD US0003M P 03/18/2025 -0.18LHCG US P US0001M R 07/05/22 CI -0.19HBI US P R 07/05/22 CI -0.19PKI US P US0001M R 07/05/22 CI -0.20JBL US P US0001M R 07/05/22 CI -0.20TGI US P R 07/05/22 CI -0.20OSK US P US0001M R 07/05/22 CI -0.22ENR US P R 07/05/22 CI -0.24CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.24CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.25ICLR US P R 07/05/22 CI -0.261.60 R ISWP FWD US0003M P 03/18/2022 -0.26SKX US P US0001M R 07/05/22 CI -0.28CMPR US P US0001M R 07/05/22 CI -0.28MTZ US P US0001M R 07/05/22 CI -0.30PWR US P US0001M R 07/05/22 CI -0.32TXT US P US0001M R 07/05/22 CI -0.33AAXN US P US0001M R 07/05/22 CI -0.38GWRE US P US0001M R 07/05/22 CI -0.451.80 R ISWP FWD US0003M P 03/18/2030 -0.46BHC US P R 07/05/22 CI -0.54


Full holdings as of March 31, 2020IQV US P R 07/05/22 CI -0.55NDUEEGF P US0001M R 12/14/20 GS -0.56NTAP US P US0001M R 07/05/22 CI -0.57FMC US P US0001M R 07/05/22 CI -0.57FSLR US P US0001M R 07/05/22 CI -0.59RL US P US0001M R 07/05/22 CI -0.61EVBG US P US0001M R 07/05/22 CI -0.65TSLA US P R 07/05/22 CI -0.66DPZ US P US0001M R 07/05/22 CI -0.68ELAN US P US0001M R 07/05/22 CI -0.75ILMN US P US0001M R 07/05/22 CI -0.81AMD US P US0001M R 07/05/22 CI -0.91CTXS US P US0001M R 07/05/22 CI -0.99K US P R 07/05/22 CI -1.02NDUEEGF P US0003M R 09/18/20 CI -1.33RH US P US0001M R 07/05/22 CI -1.55NDUEEGF P US0003M R 03/19/20 CI -2.90NDUEEGF P US0001M R 08/20/20 UB -7.57S&P500 EMINI FUT MAR20 ESH0 -10.33NDUEEGF P US0001M R 02/12/21 CS -14.24RU10INTR P US0003M R 11/25/20 CI -20.15GSGLPW2S P US0001M R 12/15/20 GS -34.29GSGLPWDS P US0001M R 12/15/25 GS -36.59RU10INTR P US0003M R 06/20/23 BA -37.34

Full holdings as of January 31, 2020US 10YR NOTE (CBT)MAR20 TYH0 43.60MLFCF15 R US0003M P 06/20/23 BA 42.47CGPUTQL2 R US0003M P 11/25/20 CI 41.92GSGLPWDL R US0001M P 12/15/20 GS 39.98GSGLPW2L R US0001M P 12/15/20 GS 36.82S&P MID 400 EMINI MAR20 FAH0 23.42REPO TRIPA MORTG 1.59 02/03/2020 10.19US 10YR ULTRA FUT MAR20 UXYH0 9.87FNMA FN30 TBA UMBS 04.0000 02/01/2050 3.93FNMA FN30 TBA UMBS 03.5000 02/01/2050 3.89FNMA FN30 TBA UMBS 03.0000 02/01/2050 3.85GSISXT27 R 0.2 P 12/15/20 GS 3.69REAL ESTATE SELECT SECT SPDR SEDOL BYZ65Y9 2.75GSVIUS85 R 0.45 P 12/15/20 GS 2.27UTILITIES SELECT SECTOR SPDR SEDOL 2371812 1.74CITI COMMOD F3-F0 4X LEVERED INDEX 3X NOTE 1/25/2021 1.61SAMSUNG ELECTRONICS CO LTD SEDOL 6771720 1.58FINANCIAL SELECT SECTOR SPDR SEDOL 2364038 1.55CONSUMER STAPLES SPDR SEDOL 2369389 1.49


Full holdings as of March 31, 2020INDUSTRIAL SELECT SECT SPDR SEDOL 2502139 1.48S&P GSCI TOTAL RETURN CME 3X 144A NOTE 12/8/2020 1.40NDEUSIA R US0003M P 02/12/20 UB 1.39BAML COMMODITY MLBX4SX6 ER STRATEGY 3X 144A NOTE 1/12/2021 1.29CITI CROSS-ASSET TREND 10% VOL INDEX 3X 144A NOTE 9/28/2020 1.23GSVIVV69 R 0.3 P 12/15/20 GS 1.14ALIBABA GROUP HOLDING-SP ADR SEDOL BP41ZD1 0.98MATCHPOINT FINANCE PLC 57666AB35 DCP 02/03/2020 0.94ING US FUNDING LLC 45685QB32 DCP 02/03/2020 0.94LIBERTY STREET FUNDING LLC 53127TB69 DCP 02/06/2020 0.94MANHATTAN ASSET FUNDING CO LL 56274LB60 DCP 02/06/2020 0.94BARCLAYS BANK PLC CCP 06742VBQ3 DCP 02/07/2020 0.94REGENCY MARKETS NO. 1 LLC 7588R0BE6 DCP 02/14/2020 0.94ATLANTIC ASSET SECURITIZATION 04821TBL8 DCP 02/20/2020 0.94AUSTRALIA & NEW ZEALAND BANKI 05253ABT6 DCP 02/27/2020 0.94SOCIETE GENERALE SA 83369BC20 DCP 03/02/2020 0.94BPCE SA 05571BC27 DCP 03/02/2020 0.94CHARIOT FUNDING LLC 15963TC23 DCP 03/02/2020 0.94TORONTO-DOMINION BANK/THE 89119AD96 DCP 04/09/2020 0.94FED HOME LN DISCOUNT NT 313384VQ9 GDC 04/15/2020 0.94TAIWAN SEMICONDUCTOR-SP ADR SEDOL 2113382 0.88ISHARES MSCI INDIA ETF SEDOL B6XGR72 0.84TENCENT HOLDINGS LTD SEDOL BMMV2K8 0.82TREASURY BILL 00.0000 04/23/2020 0.82GSVICUB3 R 0.45 P 12/15/20 GS 0.75PING AN INSURANCE GROUP CO-H SEDOL B01FLR7 0.75TREASURY BILL 00.0000 06/04/2020 0.74TREASURY BILL 00.0000 06/18/2020 0.71S&P GSCI TOTAL RETURN 3X NOTE 11/16/2020 0.62MBX.GII30.450.10 R USL1M P 01/12/41 CS 0.61IRB BRASIL RESSEGUROS SA SEDOL BYZ6D56 0.51DJUBS LONG F3 - SHORT DJUBS F0 3/1/2021 0.48ANHUI CONCH CEMENT CO LTD-H SEDOL 6080396 0.47YUM CHINA HOLDINGS INC SEDOL BYW4289 0.47BANCO DO BRASIL S.A. SEDOL 2328595 0.46BOFA MLCOMMODITY MLBX4SX6 ER STRATEGY 08/03/2020 0.46TREASURY BILL 00.0000 03/12/2020 0.45HYUNDAI MOBIS CO LTD SEDOL 6449544 0.43GREE ELECTRIC 144A/REGS WARRANT 8/24/2020 0.42KIA MOTORS CORP SEDOL 6490928 0.40SINO BIOPHARMACEUTICAL SEDOL B00XSF9 0.39GSVIVVOL R 0.3 P 12/15/20 GS 0.38WALMART DE MEXICO SAB DE CV SEDOL BW1YVH8 0.37LUKOIL PJSC-SPON ADR SEDOL BYZDW27 0.37BANK OF SHANGHAI 144A/REGS WARRANT 12/02/2020 0.35


Full holdings as of March 31, 2020SBERBANK PJSC -SPONSORED ADR SEDOL B5SC091 0.34ADVANCED INFO SERVICE-FOR RG SEDOL 6412591 0.33IND & COMM BK OF CHINA-H SEDOL B1G1QD8 0.33CAS 2016-C02 1B 13.9109 09/25/2028 0.32KWEICHOW MOUTAI CO LTD-A 144A/REGS WARRANT 08/07/2020 0.31CHINA MOBILE LTD SEDOL 6073556 0.31REPUBLICA ORIENT URUGUAY USD 04.3750 10/27/2027 0.30KT&G CORP SEDOL 6175076 0.29ZHEN DING TECHNOLOGY HOLDING SEDOL B734XQ4 0.29WFRBS 2012-C7 F P/P 144A 04.5000 06/15/2045 0.29UNI-PRESIDENT ENTERPRISES CO SEDOL 6700393 0.29VALE SA SEDOL 2196286 0.28INTER RAO UES PJSC SEDOL B39RRN4 0.28ANGLO AMERICAN PLATINUM LTD SEDOL 6761000 0.27PTT EXPLORATION & PROD-FOR SEDOL B1359J0 0.26BANCO SANTANDER BRASIL-UNIT SEDOL B4V5RY4 0.26BANCO MACRO SA-ADR SEDOL B0Y62M9 0.26QUALICORP CONS E CORR SEG SA SEDOL B4LHBQ0 0.26EVRAZ PLC SEDOL B71N6K8 0.26S&P GSCI EXCESS RETURN INDEX 3X NOTE 3/1/2021 0.25CHINA PETROLEUM & CHEMICAL-H SEDOL 6291819 0.25SHENZHEN MINDRAY BIO-MEDICAL ELEC CO LTD 144A/REGS 0.25TREASURY BILL 00.0000 04/16/2020 0.23TREASURY BILL 00.0000 05/07/2020 0.21UNITED MICROELECTRONICS CORP SEDOL 6916628 0.21FNR 2017-74 SA IO 04.0891 10/25/2047 0.21BANK CENTRAL ASIA TBK PT SEDOL B01C1P6 0.19TELEFONICA BRASIL S.A.-PREF SEDOL B3ZCNF7 0.19UNITED MEXICAN STATES USD 05.5500 01/21/2045 0.19BB SEGURIDADE PARTICIPACOES SEDOL B9N3SQ0 0.19ENEL AMERICAS SA-ADR SEDOL 2314947 0.18FOSUN INTERNATIONAL SEDOL B1Z7FX0 0.18HYPERA SA SEDOL B2QY968 0.18VIPSHOP HOLDINGS LTD - ADR SEDOL B3N0H17 0.17SAMSUNG SDS CO LTD SEDOL BRS2KY0 0.17SK HYNIX INC SEDOL 6450267 0.17BANK OF JIANGSU CO LTD- A 144A/REGS WARRANT 08/07/2020 0.16FUBON FINANCIAL HOLDING CO SEDOL 6411673 0.16WEICHAI POWER CO LTD-H SEDOL 6743956 0.16CHINA RESOURCES SANJIU MEDICAL & PHARMA 144A REGS 01/29/2020 0.16RADIANT OPTO-ELECTRONICS COR SEDOL 6520278 0.16HOME PRODUCT CENTER PCL-FOR SEDOL 6418533 0.15ELECTRICITY GEN PUB CO-FOR R SEDOL 6304643 0.15CAPITEC BANK HOLDINGS LTD SEDOL 6440859 0.15GLOBALWAFERS CO LTD SEDOL BS7JP33 0.15


Full holdings as of March 31, 2020ZHONGSHENG GROUP HOLDINGS SEDOL B633D97 0.15LITE-ON TECHNOLOGY CORP SEDOL 6519481 0.15SOULBRAIN CO LTD SEDOL B0105T2 0.14FNR 2016-3 MI IO 05.5000 02/25/2046 0.14ECOPETROL SA-SPONSORED ADR SEDOL B3D6J19 0.14OTP BANK RT SEDOL 7320154 0.13GNR 2014-184 DI IO 05.5000 12/16/2044 0.13YUANTA FINANCIAL HOLDING CO SEDOL 6424110 0.13SHINHAN FINANCIAL GROUP LTD SEDOL 6397502 0.132.00 R ISWP FWD CDOR03 P 03/18/2025 0.13MMC NORILSK NICKEL PJSC-ADR SEDOL BYSW6D0 0.13SINOTRUK HONG KONG LTD SEDOL B296ZH4 0.13TISCO FINANCIAL-FOREIGN SEDOL B3KFW76 0.13FNR 2015-30 IO IO 05.5000 05/25/2045 0.12KUMBA IRON ORE LTD SEDOL B1G4262 0.12CMLTI 2007-AR5 1A1A 04.3403 04/25/2037 0.12WANT WANT CHINA HOLDINGS LTD SEDOL B2Q14Z3 0.12MISC BHD SEDOL 6557997 0.12SURGUTNEFTEGAS-PREFERENCE SEDOL 5005884 0.12KOREA ZINC CO LTD SEDOL 6495428 0.12SHANGHAI PUDONG DEV BANK 144A/REGS WARRANT 0.11CAS 2019-R04 2M2 03.7609 06/25/2039 0.11CIA SANEAMENTO BASICO DE SP SEDOL B1YCHL8 0.11QUDIAN INC-SPON ADR SEDOL BF8FK89 0.11SCRT 2019-4 M 04.5000 02/25/2059 0.11FNR 2018-51 IO IO 06.5000 07/25/2048 0.11PRESIDENT CHAIN STORE CORP SEDOL 6704986 0.11CHINA RESOURCES CEMENT SEDOL B41XC98 0.111.75 R ISWP FWD US0003M P 03/18/2030 0.11MWST 2019-1 A 02.4609 06/25/2052 0.11SPST 2019-7 A 02.3594 09/24/2020 0.11GNR 2010-125 SD IO 05.0104 01/16/2040 0.11POWSZECHNY ZAKLAD UBEZPIECZE SEDOL B63DG21 0.10PETRONAS CHEMICALS GROUP BHD SEDOL B5KQGT3 0.10SAMSUNG ENGINEERING CO LTD SEDOL 6765239 0.10LOGAN PROPERTY HOLDINGS CO L SEDOL BH6X937 0.10SPST 2019-3 A 02.3594 06/24/2020 0.10SPST 2019-11 A 02.4094 10/24/2020 0.10TREASURY BILL 00.0000 04/02/2020 0.10DAELIM INDUSTRIAL CO LTD SEDOL 6249584 0.10TIM PARTICIPACOES SA SEDOL 2292560 0.10TRIPOD TECHNOLOGY CORP SEDOL 6305721 0.10SPY 20210115 P 290.00CITI 0.10SPST 2019-WL1 A 02.3109 08/25/2052 0.09IMPALA PLATINUM HOLDINGS LTD SEDOL B1FFT76 0.09


Full holdings as of March 31, 2020NOVOLIPETSK STEEL PJSC-GDR SEDOL B0RTNX3 0.09PETROBRAS GLOBAL FINANCE USD 06.2500 03/17/2024 0.09GNR 2016-135 PI IO 04.0000 05/20/2046 0.09GNR 2016-H02 BI IO 01.8354 11/20/2065 0.09GNR 2015-H24 HI IO 02.0388 09/20/2065 0.09FNR 2016-88 SK IO 04.3391 12/25/2046 0.09GSMS 2014-GC24 D P/P 144A 04.6652 09/10/2047 0.09WNS HOLDINGS LTD-ADR SEDOL B194GX4 0.09TAISHIN FINANCIAL HOLDING SEDOL 6451680 0.09GENTING MALAYSIA BHD SEDOL B1VXKN7 0.08ENBRIDGE INC USD 04.2500 12/01/2026 0.08CLICKS GROUP LTD SEDOL 6105578 0.08TEKFEN HOLDING AS SEDOL B29D241 0.08CHINA MINSHENG BANKING COR-H SEDOL B57JY24 0.08FNR 2017-8 SB IO 04.4391 02/25/2047 0.08GNR 2017-H11 NI IO 02.2058 05/20/2067 0.08GNR 2015-H15 JI IO 02.0062 06/20/2065 0.08WFRBS 2011-C3 E P/P 144A 05.0000 03/15/2044 0.08BANCO BTG PACTUAL SA-UNIT SEDOL BZBZVC7 0.08GNR 2015-H25 BI IO 02.0015 10/20/2065 0.08CHAILEASE HOLDING CO LTD SEDOL B58J1S8 0.08GNR 2010-68 SD IO 04.9223 06/20/2040 0.07PETROBRAS GLOBAL FIN P/P 144A 05.0930 01/15/2030 0.07FNR 2017-108 SA IO 04.4891 01/25/2048 0.07BANCO SANTANDER MEXICO SA IN SEDOL BF1FXN2 0.07GRUPO AEROPORTUARIO DEL CENT SEDOL B1KFX13 0.07GNR 2018-91 SJ IO 04.5923 07/20/2048 0.07SEVERSTAL PJSC SEDOL B0561N2 0.07HLA CORP LTD 144A/REGS WARRANT 0.07SEAZEN HOLDINGS CO 144A/REGS WARRANT 04/17/2020 0.07BANK TABUNGAN PENSIUNAN NASI SEDOL BFNBJ41 0.07GNR 2016-150 I IO 05.0000 11/20/2046 0.07RHB BANK BHD SEDOL 6244675 0.07GNR 2015-H25 AI IO 01.6409 09/20/2065 0.07COM7 PCL-F SEDOL BZ2YN49 0.07BBVA ARGENTINA SA-ADR SEDOL BKT4TC7 0.07GEELY AUTOMOBILE HOLDINGS LT SEDOL 6531827 0.07SPY 20201218 P 275.00JPMCB 0.07FNR 2017-32 IP IO 04.5000 05/25/2047 0.07CAS 2015-C04 1M2 07.3609 04/25/2028 0.06GNR 2017-H14 DI IO 01.7369 06/20/2067 0.06INDOFOOD SUKSES MAKMUR TBK P SEDOL 6283979 0.06FNR 2012-19 S IO 04.2891 03/25/2042 0.06GENTING BHD SEDOL B1VXJL8 0.06PROVINCIA DE BUENOS P/P 144A 10.8750 01/26/2021 0.06


Full holdings as of March 31, 2020WAMU 2004-AR12 A2B 02.5809 10/25/2044 0.06GNR 2016-51 MS IO 04.3923 04/20/2046 0.06GNR 2019-121 DS IO 04.4423 08/20/2049 0.061.70 R ISWP FWD US0003M P 03/18/2025 0.060.90 R ISWP FWD GBL6M P 03/18/2025 0.06FORD OTOMOTIV SEDOL B03MSR5 0.06BANCO DE CHILE-ADR SEDOL 2834252 0.06HM SAMPOERNA TBK PT SEDOL 6404242 0.06GNR 2017-H02 BI IO 01.8037 01/20/2067 0.06GNR 2018-H05 AI IO 01.8834 02/20/2068 0.06GNR 2015-H26 GI IO 01.8286 10/20/2065 0.06JPMBB 2013-C14 E P/P 144A 04.8586 08/15/2046 0.06GNR 2018-104 SD IO 04.5423 08/20/2048 0.05FNR 2013-130 SD IO 04.9391 01/25/2044 0.05FHR 4752 PS IO 04.5238 11/15/2047 0.05GNR 2015-H20 CI IO 02.3402 08/20/2065 0.05GNR 2015-H09 AI IO 02.5044 04/20/2065 0.05BANCO SANTANDER-CHILE-ADR SEDOL 2136646 0.05FNR 2016-65 CS IO 04.4391 09/25/2046 0.05GNR 2015-H19 NI IO 01.9401 07/20/2065 0.05PETROBRAS GLOBAL FINANCE USD 08.7500 05/23/2026 0.05GNR 2015-H09 BI IO 01.7244 03/20/2065 0.05GNR 2015-H24 BI IO 01.6487 08/20/2065 0.05PETROBRAS GLOBAL FINANCE USD 06.1250 01/17/2022 0.05SAO MARTINHO SA SEDOL B1P3R43 0.05GUANGZHOU BAIYUNSHAN PHARM-H SEDOL 6084387 0.05GNR 2018-127 IB IO 04.5000 06/20/2045 0.05GNR 2014-H21 AI IO 01.6686 10/20/2064 0.05YDUQS PART SEDOL BJGV3C2 0.05SPY 20201120 P 265.00BANKAM 0.05GNR 2015-H22 GI IO 02.5834 09/20/2065 0.05GNR 2015-80 IA IO 04.5000 06/20/2045 0.05FENG TAY ENTERPRISE CO LTD SEDOL 6336055 0.05CAS 2017-C02 2B1 07.1609 09/25/2029 0.04CHAROEN POKPHAND FOOD-FORGN SEDOL B5L2DG6 0.04PETROBRAS GLOBAL FIN USD 05.9990 01/27/2028 0.04GNR 2017-H06 BI IO 02.2796 02/20/2067 0.04SUN ART RETAIL GROUP LTD SEDOL B3MPN59 0.04GNR 2016-H03 AI IO 02.2731 01/20/2066 0.04GNR 2015-187 JI IO 04.0000 03/20/2045 0.04SIME DARBY BERHAD SEDOL B29TTR1 0.04FHR 4259 DI IO 04.0000 06/15/2043 0.04FHR 4134 PI IO 03.0000 11/15/2042 0.04GNR 2015-53 MI IO 04.0000 04/16/2045 0.04GNR 2015-H10 CI IO 01.8408 04/20/2065 0.04


Full holdings as of March 31, 2020GNR 2013-6 AI IO 03.5000 08/20/2039 0.04JPMCC 2006-LDP9 AMS 05.3370 05/15/2047 0.04CAS 2017-C02 2M2 05.3109 09/25/2029 0.041.40 R ISWP FWD AUDBB6M P 03/18/2030 0.04FEDERAL GRID CO UNIFIED ENER SEDOL B39RR67 0.04POU CHEN SEDOL 6696157 0.04GNR 2015-105 LI IO 05.0000 10/20/2039 0.04CAS 2018-C05 1M2 04.0109 01/25/2031 0.04CAS 2020-R01 1B1 04.9421 01/25/2040 0.04PETROLEOS MEXICANOS USD 06.3750 01/23/2045 0.04GNR 2015-167 BI IO 04.5000 04/16/2045 0.04FNR 2016-3 NI IO 06.0000 02/25/2046 0.04GNR 2014-146 EI IO 05.0000 10/20/2044 0.04KOREA INVESTMENT HOLDINGS CO SEDOL 6654586 0.04GNR 2016-37 IW IO 04.5000 02/20/2046 0.04FNR 2017-2 KI IO 04.0000 02/25/2047 0.04GNR 2016-H08 GI IO 01.4589 04/20/2066 0.04FHR 4801 IG IO 03.0000 06/15/2048 0.04CAS 2017-C06 2M2 04.4609 02/25/2030 0.04GNR 2018-127 ID IO 05.0000 07/20/2045 0.03GNR 2010-9 UI IO 05.0000 01/20/2040 0.03GNR 2016-H16 DI IO 02.4675 06/20/2066 0.03GNR 2018-127 IE IO 03.5000 01/20/2046 0.03GNR 2017-57 AI IO 04.0000 06/20/2045 0.03GNR 2011-17 S IO 04.3923 02/20/2041 0.03GNR 2015-H16 XI IO 02.6425 07/20/2065 0.032.00 R ISWP FWD US0003M P 03/18/2050 0.03GNR 2016-75 EI IO 03.5000 08/20/2045 0.03FHR 4568 MI IO 04.0000 04/15/2046 0.03SPY 20200918 P 255.00JPMCB 0.03GNR 2013-20 QI IO 04.5000 12/16/2042 0.03CWHL 2005-3 1A1 02.2809 04/25/2035 0.03TECO ELECTRIC & MACHINERY SEDOL 6879851 0.03IOS.FN30.400.14 R USL1M P 01/12/45 CS 0.03GNR 2009-121 UI IO 05.0000 12/20/2039 0.03CIA CERVECERIAS UNI-SPON ADR SEDOL 2217596 0.03QUALITAS CONTROLADORA SAB CV SEDOL BYMXF65 0.03BANK OF CHINA LTD-H SEDOL B154564 0.02GNR 2016-H04 KI IO 02.3377 02/20/2066 0.02GECMC 2005-C1 D 04.5555 06/10/2048 0.02GNR 2010-20 UI IO 05.0000 02/20/2040 0.02IOS.FN30.350.12 R USL1M P 01/12/43 CS 0.02SPY 20201016 P 255.00BANKAM 0.02UBSBB 2012-C2 F P/P 144A 05.0000 05/10/2063 0.02GNR 2014-163 NI IO 05.0000 02/20/2044 0.02


Full holdings as of March 31, 2020GNR 2015-24 IA IO 03.5000 02/20/2045 0.02PLDT INC SEDOL BDGN274 0.02KT CORP SEDOL 6505316 0.02USD/JPY PUT 107.00 20200417 JPMCB 0.02USD/JPY PUT 107.00 20200413 UBS 0.02WESTPORTS HOLDINGS BHD SEDOL BDFM1K8 0.02MALAYSIA AIRPORTS HLDGS BHD SEDOL 6188193 0.021.00 R ISWP FWD AUDBB6M P 03/18/2025 0.02FNR 2013-35 PI IO 03.0000 02/25/2042 0.02GNR 2015-124 NI IO 03.5000 06/20/2039 0.02SPY 20200821 P 245.00CITI 0.02AUD/USD 04/15/2020 SSBT 0.02GNR 2010-134 ES IO 04.3423 11/20/2039 0.02MANILA ELECTRIC COMPANY SEDOL B247XZ6 0.02GNR 2015-H10 EI IO 01.6511 04/20/2065 0.02GNR 2015-H18 IA IO 01.8634 06/20/2065 0.02AIRASIA GROUP BHD SEDOL B03J9L7 0.02GNR 2013-24 PI IO 04.0000 11/20/2042 0.021.7945 R ISWP US0003M P 12/18/2029 0.02GNR 2013-129 SN IO 04.4923 09/20/2043 0.01GNR 2011-H15 AI IO 01.5416 06/20/2061 0.01PETRONAS GAS BHD SEDOL 6703972 0.01FHR 4097 PI IO 03.5000 11/15/2040 0.01NESTLE (MALAYSIA) BERHAD SEDOL 6629335 0.01GNR 2013-79 XI IO 03.5000 11/20/2039 0.01FHR 3747 SA IO 04.8238 10/15/2040 0.01FHR 4206 IP IO 03.0000 12/15/2041 0.01FHR 4193 PI IO 04.0000 03/15/2043 0.01FHR 4073 AS IO 04.3738 08/15/2038 0.01CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.01IOS.FN30.400.14 R USL1M P 01/12/45 GS 0.01IOS.FN30.400.14 R USL1M P 01/12/45 CS 0.01ASTRO MALAYSIA SEDOL B7W5GK3 0.01IOS.FN30.350.14 R USL1M P 01/12/45 CS 0.01FNR 2012-151 PI IO 03.0000 01/25/2043 0.01SEK/USD 03/18/2020 SSBT 0.01GNR 2013-157 IA IO 03.5000 04/20/2040 0.01GNR 2013-100 MI IO 03.5000 02/20/2043 0.01FHR 4099 BI IO 03.5000 06/15/2039 0.01CAS 2015-C02 2M2 05.6609 05/25/2025 0.01GNR 2015-99 LI IO 04.0000 07/20/2045 0.01CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CS 0.01GNR 2013-23 IK IO 03.0000 09/20/2037 0.01GNR 2010-35 QI IO 04.5000 03/20/2040 0.01GNR 2014-133 AI IO 04.0000 10/20/2036 0.01


Full holdings as of March 31, 2020PROVINCIA DE BUENOS 43.0213 05/31/2022 0.01GNR 2015-96 NI IO 03.5000 01/20/2039 0.01PETROLEOS DE VENEZUELA S REGS 05.3750 04/12/2027 0.01AUD/USD 04/15/2020 UBS 0.01GBP/USD CALL 1.335 20200407 CITI 0.01GBP/USD CALL 1.335 20200407 UBS 0.01GNR 2015-82 GI IO 03.5000 12/20/2038 0.01GBP/USD CALL 1.335 20200402 BCAP-FX 0.01CAD/USD 04/15/2020 SSBT 0.01NOK/USD 03/18/2020 SSBT 0.01NOK/USD 03/18/2020 BCAP-FX 0.01GNR 2012-141 WI IO 03.5000 11/20/2041 0.01FNR 2012-136 PI IO 03.5000 11/25/2042 0.01SWPTN 10YX20Y R 2.785 USD 01/25/2027 BA 0.01CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG 0.01REPUBLIC OF VENEZUELA REGS 07.6500 04/21/2025 0.01GNR 2013-102 IP IO 03.5000 06/20/2043 0.01IOS.FN30.650.67 R USL1M P 01/12/38 BC 0.01SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP 0.003.312 R ISWP US0003M P 11/08/2048 0.00FNR 2013-31 NI IO 03.0000 06/25/2041 0.00IOS.FN30.400.10 R USL1M P 01/12/41 BA 0.00IOS.FN30.400.10 R USL1M P 01/12/41 BA 0.00SEK/USD 03/18/2020 RBSF 0.00NOK/USD 03/18/2020 HSBCB 0.00NZD/USD 04/15/2020 GSFX 0.00IOS.FN30.400.10 R USL1M P 01/12/41 JP 0.00SEK/USD 03/18/2020 HSBCB 0.00SEK/USD 03/18/2020 GSFX 0.00USD/JPY PUT 101.00 20200417 JPMCB 0.00CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.00USD/JPY PUT 101.00 20200413 UBS 0.00GBP/USD 03/18/2020 BANKAM 0.00GBP/USD 03/18/2020 RBSF 0.00CAD/USD 04/15/2020 TDBK 0.00IOS.FN30.400.10 R USL1M P 01/12/41 CI 0.00CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.00SWPTN 3YX30Y R 2.3075 USD 06/20/2022 BA 0.00CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS 0.00BSCMS 2006-PW11 C P/P 144A 05.8015 03/11/2039 0.00CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS 0.00NZD/USD 04/15/2020 JPMCB 0.00IOS.FN30.350.12 R USL1M P 01/12/43 CS 0.00SEK/USD 03/18/2020 UBS 0.00IOS.FN30.400.10 R USL1M P 01/12/41 BC 0.00


Full holdings as of March 31, 2020CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG 0.00SEK/USD 03/18/2020 TDBK 0.00SEK/USD 03/18/2020 BCAP-FX 0.00AUD/USD 04/15/2020 BCAP-FX 0.00NZD/USD 04/15/2020 BCAP-FX 0.00CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS 0.00CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS 0.00CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 ML 0.00CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML 0.00CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 ML 0.00CAD/USD 04/15/2020 BANKAM 0.00SWPTN 10YX20Y P 2.785 USD 01/25/2027 BA 0.00CAD/USD 04/15/2020 BCAP-FX 0.00CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS 0.00CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.00GBP/USD 03/18/2020 JPMCB 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 0.00CAD/USD 04/15/2020 RBSF 0.00CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS 0.00CMB CMBX.NA.BB.11 2054-11-18 500.0 11/18/2054 CG 0.002.2225 R ISWP FWD US0003M P 06/05/2029 0.00EUR/USD 03/18/2020 HSBCB 0.00SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS 0.00CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS 0.00AUD/USD 04/15/2020 GSFX 0.00SWPTN 3YX30Y P 2.3075 USD 06/20/2022 BA 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 0.00GNR 2013-90 HI IO 03.5000 04/20/2040 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 0.00NOK/USD 03/18/2020 UBS 0.00EUR/USD 03/18/2020 JPMCB 0.00CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS 0.00SGD/USD 05/20/2020 JPMCB 0.00EUR/USD 03/18/2020 WPAC 0.00MLCFC 2006-4 XC IO P/P 144A 00.7538 12/12/2049 0.00CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS 0.00CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.001.10 R ISWP FWD GBL6M P 03/18/2030 0.00HKD/USD 05/20/2020 SSBT 0.00EUR/NOK PUT 9.60 20200406 GSFX 0.00


Full holdings as of March 31, 2020GNR 2011-116 IB IO 05.0000 10/20/2040 0.00SEK/USD 03/18/2020 JPMCB 0.00HKD/USD 05/20/2020 BANKAM 0.00HKD/USD 05/20/2020 UBS 0.00EUR/USD 03/18/2020 BANKAM 0.00HKD/USD 05/20/2020 HSBCB 0.00HKD/USD 05/20/2020 TDBK 0.00SEK/USD 03/18/2020 BANKAM 0.00GLOW ENERGY PCL - FOREIGN SEDOL B074GX9 0.00SPY 20200131 C 333.00CITI 0.00MXN/USD 04/15/2020 CITI 0.00CNH/USD 05/20/2020 BANKAM 0.002.10 R ISWP FWD CDOR03 P 03/18/2030 0.00CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS 0.00CNH/USD 05/20/2020 GSFX 0.002.3075 R ISWP FWD US0003M P 06/22/2052 0.00EUR/USD 03/18/2020 RBSF 0.00CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS 0.00CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA 0.00EUR/USD 03/18/2020 CSI-FX 0.00EUR/USD 03/18/2020 TDBK 0.00CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS 0.00MXN/USD 04/15/2020 BANKAM 0.00NOK/USD 03/18/2020 CITI 0.00CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 BC 0.00NOK/USD 03/18/2020 BANKAM 0.00JPY/USD 02/19/2020 BANKAM 0.00NOK/USD 03/18/2020 GSFX 0.00JPY/USD 02/19/2020 GSFX 0.00CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS 0.00CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA 0.00MXN/USD 04/15/2020 UBS 0.00SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS 0.00JPY/USD 02/19/2020 JPMCB 0.00GBP/USD 03/18/2020 UBS 0.00JPY/USD 02/19/2020 SSBT 0.00TWD/USD 05/20/2020 BANKAM 0.00NZD/USD 04/15/2020 WPAC 0.00SPY 20200214 C 341.50CITI 0.00CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS 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 03/18/2020 WPAC 0.00FEDL01 P ISWP SOFRRATE R 12/05/2020 0.00CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA 0.00


Full holdings as of March 31, 2020CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA 0.00TWD/USD 05/20/2020 GSFX 0.002.184 R ISWP FWD US0003M P 12/07/2030 0.00CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00NOK/USD 03/18/2020 RBSF 0.00AUD/USD 04/15/2020 RBSF 0.00NZD/USD 04/15/2020 RBSF 0.00CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.002.67 R ISWP FWD US0003M P 03/28/2052 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 0.00CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG 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 BC 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 0.00AUD/USD 04/15/2020 CSI-FX 0.00CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS 0.00CHF/USD 03/18/2020 JPMCB 0.00CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS 0.00AUD/USD 04/15/2020 JPMCB 0.00CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS 0.00AUD/USD 04/15/2020 BANKAM 0.00GBP/USD CALL 1.365 20200402 BCAP-FX 0.00CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00GBP/USD CALL 1.365 20200407 UBS 0.00GBP/USD CALL 1.365 20200407 CITI 0.00CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG 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 0.00CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP 0.00GBP/USD 03/18/2020 GSFX 0.00CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00NZD/USD 04/15/2020 UBS 0.00GBP/USD 03/18/2020 SSBT 0.00EUR/USD 03/18/2020 SSBT 0.00GBP/USD 03/18/2020 HSBCB -0.01CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01NZD/USD 04/15/2020 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 MS -0.01CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CG -0.01-0.10 R ISWP FWD CHL6M P 03/18/2030 -0.01


Full holdings as of March 31, 2020IOS.FN30.350.12 P USL1M R 01/12/43 BC -0.01IOS.FN30.300.13 P USL1M R 01/12/44 GS -0.01USD/JPY PUT 104.00 20200413 UBS -0.01CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.011.8252 R ISWP US0003M P 12/17/2029 -0.01USD/JPY PUT 104.00 20200417 JPMCB -0.01IOS.FN30.400.14 P USL1M R 01/12/45 JP -0.02IOS.FN30.350.12 P USL1M R 01/12/43 GS -0.02IOS.FN30.400.10 P USL1M R 01/12/41 CS -0.02-0.10 R ISWP FWD EUR006M P 03/18/2025 -0.02-0.40 R ISWP FWD CHL6M P 03/18/2025 -0.02RUB/USD 03/18/2020 GSFX -0.02INGN US P R 07/05/22 CI -0.021.40 R ISWP FWD NFIX3MID P 03/18/2025 -0.030.35 R ISWP FWD SES3M P 03/18/2025 -0.031.95 R ISWP FWD NOKOIB6M P 03/18/2025 -0.03UA US P R 07/05/22 CI -0.030.65 R ISWP FWD SES3M P 03/18/2030 -0.03IOS.FN30.400.14 P US0001M R 01/12/45 JP -0.041.75 R ISWP FWD NFIX3MID P 03/18/2030 -0.042.00 R ISWP FWD NOKOIB6M P 03/18/2030 -0.04CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML -0.04CTB US P R 07/05/22 CI -0.05EBIX US P R 07/05/22 CI -0.05BGS US P R 07/05/22 CI -0.06KLIC US P US0001M R 07/05/22 CI -0.07DBD US P R 07/05/22 CI -0.07EPC US P US0001M R 07/05/22 CI -0.07OMCL US P US0001M R 07/05/22 CI -0.07DORM US P US0001M R 07/05/22 CI -0.08CMD US P US0001M R 07/05/22 CI -0.081.625 R ISWP FWD US0003M P 03/18/2025 -0.08CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.09APPN US P US0001M R 07/05/22 CI -0.091.60 R ISWP FWD US0003M P 03/18/2022 -0.09DY US P R 07/05/22 CI -0.10ACIW US P R 07/05/22 CI -0.10MDRX US P US0001M R 07/05/22 CI -0.10WGO US P US0001M R 07/05/22 CI -0.11BB US P US0001M R 07/05/22 CI -0.11QLYS US P US0001M R 07/05/22 CI -0.12PBH US P US0001M R 07/05/22 CI -0.12BRKR US P US0001M R 07/05/22 CI -0.120.20 R ISWP FWD EUR006M P 03/18/2030 -0.12CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.18


Full holdings as of March 31, 2020CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.19WWW US P US0001M R 07/05/22 CI -0.19BWXT US P US0001M R 07/05/22 CI -0.19CTLT US P US0001M R 07/05/22 CI -0.19STL US P US0001M R 07/05/22 CI -0.19HBI US P R 07/05/22 CI -0.191.80 R ISWP FWD US0003M P 03/18/2030 -0.19PKI US P US0001M R 07/05/22 CI -0.20TGI US P R 07/05/22 CI -0.21GOOS US P US0001M R 07/05/22 CI -0.21LHCG US P US0001M R 07/05/22 CI -0.22JBL US P US0001M R 07/05/22 CI -0.23ENR US P R 07/05/22 CI -0.25OSK US P US0001M R 07/05/22 CI -0.25ICLR US P R 07/05/22 CI -0.27CMPR US P US0001M R 07/05/22 CI -0.28SKX US P US0001M R 07/05/22 CI -0.31PWR US P US0001M R 07/05/22 CI -0.32MTZ US P US0001M R 07/05/22 CI -0.34AAXN US P US0001M R 07/05/22 CI -0.36TXT US P US0001M R 07/05/22 CI -0.37GWRE US P US0001M R 07/05/22 CI -0.45CDX CDX.NA.HY.33 500.0 12/20/2024 -0.51EVBG US P US0001M R 07/05/22 CI -0.54DPZ US P US0001M R 07/05/22 CI -0.54NDUEEGF P US0001M R 12/14/20 GS -0.57FMC US P US0001M R 07/05/22 CI -0.57IQV US P R 07/05/22 CI -0.59NTAP US P US0001M R 07/05/22 CI -0.63RL US P US0001M R 07/05/22 CI -0.64BHC US P R 07/05/22 CI -0.65GLW US P US0001M R 07/05/22 CI -0.70ELAN US P US0001M R 07/05/22 CI -0.82ILMN US P US0001M R 07/05/22 CI -0.85AMD US P US0001M R 07/05/22 CI -0.91K US P R 07/05/22 CI -1.11CTXS US P US0001M R 07/05/22 CI -1.12NDUEEGF P US0003M R 09/18/20 CI -1.35RH US P US0001M R 07/05/22 CI -1.73TSLA US P R 07/05/22 CI -2.09NDUEEGF P US0003M R 03/19/20 CI -2.93NDUEEGF P US0001M R 08/20/20 UB -7.65S&P500 EMINI FUT MAR20 ESH0 -8.49NDUEEGF P US0001M R 02/12/20 CS -14.39RU10INTR P US0003M R 11/25/20 CI -21.23


Full holdings as of March 31, 2020GSGLPW2S P US0001M R 12/15/20 GS -36.48GSGLPWDS P US0001M R 12/15/20 GS -37.17RU10INTR P US0003M R 06/20/23 BA -43.25

Full holdings as of December 31, 2019US 10YR NOTE (CBT)MAR20 TYH0 48.48MLFCF15 R US0003M P 06/20/23 BA 42.74CGPUTQL2 R US0003M P 11/25/20 CI 41.97GSGLPWDL R US0001M P 12/15/20 GS 40.68GSGLPW2L R US0001M P 12/15/20 GS 37.94S&P MID 400 EMINI MAR20 FAH0 17.93US 10YR ULTRA FUT MAR20 UXYH0 9.56REPO TRIPA MORTG 1.57 01/02/2020 9.11GSVIUS85 R 0.45 P 12/15/20 GS 4.26FNMA FN30 TBA UMBS 04.0000 01/01/2050 3.93FNMA FN30 TBA UMBS 03.5000 01/01/2050 3.88FNMA FN30 TBA UMBS 03.0000 01/01/2050 3.83GSISXT27 R 0.2 P 12/15/20 GS 3.26REAL ESTATE SELECT SECT SPDR SEDOL BYZ65Y9 2.72GSVIVV69 R 0.3 P 12/15/20 GS 2.10S&P GSCI TOTAL RETURN CME 3X 144A NOTE 12/8/2020 2.02UTILITIES SELECT SECTOR SPDR SEDOL 2371812 1.64SAMSUNG ELECTRONICS CO LTD SEDOL 6771720 1.63FINANCIAL SELECT SECTOR SPDR SEDOL 2364038 1.60TECHNOLOGY SELECT SECT SPDR SEDOL 2369709 1.49CITI COMMOD F3-F0 4X LEVERED INDEX 3X NOTE 1/25/2021 1.49CONSUMER DISCRETIONARY SELT SEDOL 2424341 1.47GSVICUB3 R 0.45 P 12/15/20 GS 1.45NDEUSIA R US0003M P 02/12/20 UB 1.40BAML COMMODITY MLBX4SX6 ER STRATEGY 3X 144A NOTE 1/12/2021 1.17CITI CROSS-ASSET TREND 10% VOL INDEX 3X 144A NOTE 9/28/2020 1.15ALIBABA GROUP HOLDING-SP ADR SEDOL BP41ZD1 1.01TAIWAN SEMICONDUCTOR-SP ADR SEDOL 2113382 0.95CANADIAN IMPERIAL BANK OF COM 02.0000 01/13/2020 0.94GOTHAM FUNDING CORP 38346LAD8 DCP 01/13/2020 0.94REGENCY MARKETS NO. 1 LLC 7588R0AG2 DCP 01/16/2020 0.94FED HOME LN DISCOUNT NT 313384SC4 GDC 01/22/2020 0.94DNB BANK ASA 2332K0AM4 DCP 01/21/2020 0.94NATIONAL BANK OF CANADA 63307LAM3 DCP 01/21/2020 0.94ING US FUNDING LLC 45685QB32 DCP 02/03/2020 0.94MATCHPOINT FINANCE PLC 57666AB35 DCP 02/03/2020 0.94MANHATTAN ASSET FUNDING CO LL 56274LB60 DCP 02/06/2020 0.94LIBERTY STREET FUNDING LLC 53127TB69 DCP 02/06/2020 0.94BARCLAYS BANK PLC CCP 06742VBQ3 DCP 02/07/2020 0.94AUSTRALIA & NEW ZEALAND BANKI 05253ABT6 DCP 02/27/2020 0.94


Full holdings as of March 31, 2020CHARIOT FUNDING LLC 15963TC23 DCP 03/02/2020 0.94SOCIETE GENERALE SA 83369BC20 DCP 03/02/2020 0.94BPCE SA 05571BC27 DCP 03/02/2020 0.94S&P GSCI TOTAL RETURN 3X NOTE 11/16/2020 0.87ISHARES MSCI INDIA ETF SEDOL B6XGR72 0.86TENCENT HOLDINGS LTD SEDOL BMMV2K8 0.84TREASURY BILL 00.0000 04/23/2020 0.82PING AN INSURANCE GROUP CO-H SEDOL B01FLR7 0.78TREASURY BILL 00.0000 06/18/2020 0.71TREASURY BILL 00.0000 06/04/2020 0.70GSVIVVOL R 0.3 P 12/15/20 GS 0.68MBX.GII30.450.10 R USL1M P 01/12/41 CS 0.62ANHUI CONCH CEMENT CO LTD-H SEDOL 6080396 0.54BANCO DO BRASIL S.A. SEDOL 2328595 0.54YUM CHINA HOLDINGS INC SEDOL BYW4289 0.52HYUNDAI MOBIS CO LTD SEDOL 6449544 0.50GREE ELECTRIC 144A/REGS WARRANT 8/24/2020 0.48IRB BRASIL RESSEGUROS SA SEDOL BYZ6D56 0.47DJUBS LONG F3 - SHORT DJUBS F0 3X 144A NOTE 1/28/2020 0.47KIA MOTORS CORP SEDOL 6490928 0.45TREASURY BILL 00.0000 03/12/2020 0.45BOFA MLCOMMODITY MLBX4SX6 ER STRATEGY 08/03/2020 0.42SINO BIOPHARMACEUTICAL SEDOL B00XSF9 0.41BANK OF SHANGHAI 144A/REGS WARRANT 12/02/2020 0.41TREASURY BILL 00.0000 01/02/2020 0.39KWEICHOW MOUTAI CO LTD-A 144A/REGS WARRANT 08/07/2020 0.38IND & COMM BK OF CHINA-H SEDOL B1G1QD8 0.38S&P GSCI EXCESS RETURN INDEX 3X NOTE 1/27/2020 0.37ADVANCED INFO SERVICE-FOR RG SEDOL 6412591 0.37WALMART DE MEXICO SAB DE CV SEDOL BW1YVH8 0.36ZHEN DING TECHNOLOGY HOLDING SEDOL B734XQ4 0.36LUKOIL PJSC-SPON ADR SEDOL BYZDW27 0.36SBERBANK PJSC -SPONSORED ADR SEDOL B5SC091 0.35BANCO SANTANDER BRASIL-UNIT SEDOL B4V5RY4 0.33CAS 2016-C02 1B 14.0420 09/25/2028 0.33VALE SA SEDOL 2196286 0.32CHINA MOBILE LTD SEDOL 6073556 0.32ANGLO AMERICAN PLATINUM LTD SEDOL 6761000 0.31BANCO MACRO SA-ADR SEDOL B0Y62M9 0.31KT&G CORP SEDOL 6175076 0.30UNI-PRESIDENT ENTERPRISES CO SEDOL 6700393 0.30EVRAZ PLC SEDOL B71N6K8 0.30REPUBLICA ORIENT URUGUAY USD 04.3750 10/27/2027 0.29CHINA PETROLEUM & CHEMICAL-H SEDOL 6291819 0.29WFRBS 2012-C7 F P/P 144A 04.5000 06/15/2045 0.29


Full holdings as of March 31, 2020PTT EXPLORATION & PROD-FOR SEDOL B1359J0 0.27SHENZHEN MINDRAY BIO-MEDICAL ELEC CO LTD 144A/REGS 0.27INTER RAO UES PJSC SEDOL B39RRN4 0.25QUALICORP CONS E CORR SEG SA SEDOL B4LHBQ0 0.25TREASURY BILL 00.0000 04/16/2020 0.23UNITED MICROELECTRONICS CORP SEDOL 6916628 0.23BB SEGURIDADE PARTICIPACOES SEDOL B9N3SQ0 0.22TREASURY BILL 00.0000 05/07/2020 0.21ENEL AMERICAS SA-ADR SEDOL 2314947 0.20BANK CENTRAL ASIA TBK PT SEDOL B01C1P6 0.20FOSUN INTERNATIONAL SEDOL B1Z7FX0 0.20FNR 2017-74 SA IO 03.9580 10/25/2047 0.20TELEFONICA BRASIL S.A.-PREF SEDOL B3ZCNF7 0.20VIPSHOP HOLDINGS LTD - ADR SEDOL B3N0H17 0.19WEICHAI POWER CO LTD-H SEDOL 6743956 0.19HYPERA SA SEDOL B2QY968 0.19BANK OF JIANGSU CO LTD- A 144A/REGS WARRANT 08/07/2020 0.19QUDIAN INC-SPON ADR SEDOL BF8FK89 0.18RADIANT OPTO-ELECTRONICS COR SEDOL 6520278 0.18UNITED MEXICAN STATES USD 05.5500 01/21/2045 0.18SK HYNIX INC SEDOL 6450267 0.18SAMSUNG SDS CO LTD SEDOL BRS2KY0 0.18HOME PRODUCT CENTER PCL-FOR SEDOL 6418533 0.18CAPITEC BANK HOLDINGS LTD SEDOL 6440859 0.17ELECTRICITY GEN PUB CO-FOR R SEDOL 6304643 0.17FUBON FINANCIAL HOLDING CO SEDOL 6411673 0.17ZHONGSHENG GROUP HOLDINGS SEDOL B633D97 0.16SINOTRUK HONG KONG LTD SEDOL B296ZH4 0.16KUMBA IRON ORE LTD SEDOL B1G4262 0.16PROVINCIA DE BUENOS P/P 144A 10.8750 01/26/2021 0.16LITE-ON TECHNOLOGY CORP SEDOL 6519481 0.16CHINA RESOURCES SANJIU MEDICAL & PHARMA 144A REGS 01/29/2020 0.15OTP BANK RT SEDOL 7320154 0.15SHINHAN FINANCIAL GROUP LTD SEDOL 6397502 0.15ECOPETROL SA-SPONSORED ADR SEDOL B3D6J19 0.15GLOBALWAFERS CO LTD SEDOL BS7JP33 0.14FNR 2016-3 MI IO 05.5000 02/25/2046 0.14WANT WANT CHINA HOLDINGS LTD SEDOL B2Q14Z3 0.14YUANTA FINANCIAL HOLDING CO SEDOL 6424110 0.14SHANGHAI PUDONG DEV BANK 144A/REGS WARRANT 0.14KOREA ZINC CO LTD SEDOL 6495428 0.14GNR 2014-184 DI IO 05.5000 12/16/2044 0.13MISC BHD SEDOL 6557997 0.13FNR 2015-30 IO IO 05.5000 05/25/2045 0.13SOULBRAIN CO LTD SEDOL B0105T2 0.13


Full holdings as of March 31, 2020SURGUTNEFTEGAS-PREFERENCE SEDOL 5005884 0.13TISCO FINANCIAL-FOREIGN SEDOL B3KFW76 0.13CMLTI 2007-AR5 1A1A 04.4430 04/25/2037 0.13CHINA RESOURCES CEMENT SEDOL B41XC98 0.13PETRONAS CHEMICALS GROUP BHD SEDOL B5KQGT3 0.12MMC NORILSK NICKEL PJSC-ADR SEDOL BYSW6D0 0.12SAMSUNG ENGINEERING CO LTD SEDOL 6765239 0.12CIA SANEAMENTO BASICO DE SP SEDOL B1YCHL8 0.12DAELIM INDUSTRIAL CO LTD SEDOL 6249584 0.12FNR 2018-51 IO IO 06.5000 07/25/2048 0.12PRESIDENT CHAIN STORE CORP SEDOL 6704986 0.11LOGAN PROPERTY HOLDINGS CO L SEDOL BH6X937 0.11CAS 2019-R04 2M2 03.8920 06/25/2039 0.11TRIPOD TECHNOLOGY CORP SEDOL 6305721 0.11MWST 2019-1 A 02.5920 06/25/2052 0.11SCRT 2019-4 M 04.5000 02/25/2059 0.11POWSZECHNY ZAKLAD UBEZPIECZE SEDOL B63DG21 0.11SPST 2019-7 A 02.4799 09/24/2020 0.11GNR 2010-125 SD IO 04.9403 01/16/2040 0.10SPST 2019-3 A 02.4799 06/24/2020 0.10SPST 2019-11 A 02.5299 10/24/2020 0.10TREASURY BILL 00.0000 04/02/2020 0.10IMPALA PLATINUM HOLDINGS LTD SEDOL B1FFT76 0.10NOVOLIPETSK STEEL PJSC-GDR SEDOL B0RTNX3 0.10TIM PARTICIPACOES SA SEDOL 2292560 0.10SPST 2019-WL1 A 02.4420 08/25/2052 0.09GNR 2016-135 PI IO 04.0000 05/20/2046 0.09CLICKS GROUP LTD SEDOL 6105578 0.09GENTING MALAYSIA BHD SEDOL B1VXKN7 0.09GNR 2016-H02 BI IO 01.6139 11/20/2065 0.09GNR 2015-H24 HI IO 02.0373 09/20/2065 0.09CHINA MINSHENG BANKING COR-H SEDOL B57JY24 0.09TAISHIN FINANCIAL HOLDING SEDOL 6451680 0.09PETROBRAS GLOBAL FINANCE USD 06.2500 03/17/2024 0.09CHAILEASE HOLDING CO LTD SEDOL B58J1S8 0.09GSMS 2014-GC24 D P/P 144A 04.5323 09/10/2047 0.09SEAZEN HOLDINGS CO 144A/REGS WARRANT 04/17/2020 0.09BANCO BTG PACTUAL SA-UNIT SEDOL BZBZVC7 0.09FNR 2016-88 SK IO 04.2080 12/25/2046 0.09TEKFEN HOLDING AS SEDOL B29D241 0.08ENBRIDGE INC USD 04.2500 12/01/2026 0.08GEELY AUTOMOBILE HOLDINGS LT SEDOL 6531827 0.08WNS HOLDINGS LTD-ADR SEDOL B194GX4 0.08BBVA ARGENTINA SA-ADR SEDOL BKT4TC7 0.08GNR 2017-H11 NI IO 02.2271 05/20/2067 0.08


Full holdings as of March 31, 2020HLA CORP LTD 144A/REGS WARRANT 0.08FNR 2017-8 SB IO 04.3080 02/25/2047 0.08GNR 2015-H15 JI IO 02.0124 06/20/2065 0.08WFRBS 2011-C3 E P/P 144A 05.0000 03/15/2044 0.08GNR 2015-H25 BI IO 01.7779 10/20/2065 0.08SEVERSTAL PJSC SEDOL B0561N2 0.08GNR 2010-68 SD IO 04.8154 06/20/2040 0.07FNR 2017-108 SA IO 04.3580 01/25/2048 0.07PETROBRAS GLOBAL FIN P/P 144A 05.0930 01/15/2030 0.07GRUPO AEROPORTUARIO DEL CENT SEDOL B1KFX13 0.07GENTING BHD SEDOL B1VXJL8 0.07GNR 2018-91 SJ IO 04.4854 07/20/2048 0.07GNR 2016-150 I IO 05.0000 11/20/2046 0.07BANCO SANTANDER MEXICO SA IN SEDOL BF1FXN2 0.07RHB BANK BHD SEDOL 6244675 0.07COM7 PCL-F SEDOL BZ2YN49 0.07SPY 20201218 P 275.00JPMCB 0.07FNR 2017-32 IP IO 04.5000 05/25/2047 0.07GNR 2017-H14 DI IO 01.7377 06/20/2067 0.07GNR 2019-121 DS IO 04.3354 08/20/2049 0.07CAS 2015-C04 1M2 07.4920 04/25/2028 0.07GNR 2015-H25 AI IO 01.6447 09/20/2065 0.07BANK TABUNGAN PENSIUNAN NASI SEDOL BFNBJ41 0.07INDOFOOD SUKSES MAKMUR TBK P SEDOL 6283979 0.06FNR 2012-19 S IO 04.1580 03/25/2042 0.06WAMU 2004-AR12 A2B 02.7120 10/25/2044 0.06BANCO DE CHILE-ADR SEDOL 2834252 0.061.80 R ISWP FWD US0003M P 03/18/2030 0.06GNR 2018-H05 AI IO 02.2828 02/20/2068 0.06GNR 2016-51 MS IO 04.2854 04/20/2046 0.06BANCO SANTANDER-CHILE-ADR SEDOL 2136646 0.06HM SAMPOERNA TBK PT SEDOL 6404242 0.06FHR 4752 PS IO 04.4603 11/15/2047 0.06FORD OTOMOTIV SEDOL B03MSR5 0.06GNR 2017-H02 BI IO 02.2577 01/20/2067 0.06FNR 2013-130 SD IO 04.8080 01/25/2044 0.06JPMBB 2013-C14 E P/P 144A 04.7019 08/15/2046 0.05GNR 2015-H26 GI IO 01.8337 10/20/2065 0.05GNR 2015-H20 CI IO 02.1183 08/20/2065 0.05GNR 2018-104 SD IO 04.4354 08/20/2048 0.05GNR 2015-H09 AI IO 02.5435 04/20/2065 0.05GUANGZHOU BAIYUNSHAN PHARM-H SEDOL 6084387 0.05GNR 2018-127 IB IO 04.5000 06/20/2045 0.05GNR 2015-H19 NI IO 01.9441 07/20/2065 0.05GNR 2015-H24 BI IO 01.6552 08/20/2065 0.05


Full holdings as of March 31, 2020FNR 2016-65 CS IO 04.3080 09/25/2046 0.05FENG TAY ENTERPRISE CO LTD SEDOL 6336055 0.05SAO MARTINHO SA SEDOL B1P3R43 0.05NOK/USD 03/18/2020 GSFX 0.05SPY 20201120 P 265.00BANKAM 0.05GNR 2015-80 IA IO 04.5000 06/20/2045 0.05PETROBRAS GLOBAL FINANCE USD 08.7500 05/23/2026 0.05PETROBRAS GLOBAL FINANCE USD 06.1250 01/17/2022 0.05GNR 2015-H09 BI IO 01.7302 03/20/2065 0.05GNR 2015-187 JI IO 04.0000 03/20/2045 0.05GNR 2014-H21 AI IO 01.4490 10/20/2064 0.05GNR 2015-H22 GI IO 02.5841 09/20/2065 0.05FHR 4134 PI IO 03.0000 11/15/2042 0.05FHR 4259 DI IO 04.0000 06/15/2043 0.05YDUQS PART SEDOL BJGV3C2 0.04POU CHEN SEDOL 6696157 0.04CAS 2017-C02 2B1 07.2920 09/25/2029 0.04SUN ART RETAIL GROUP LTD SEDOL B3MPN59 0.04PETROBRAS GLOBAL FIN USD 05.9990 01/27/2028 0.04GNR 2017-H06 BI IO 02.3132 02/20/2067 0.04SIME DARBY BERHAD SEDOL B29TTR1 0.04GNR 2015-53 MI IO 04.0000 04/16/2045 0.04CHAROEN POKPHAND FOOD-FORGN SEDOL B5L2DG6 0.04GNR 2013-6 AI IO 03.5000 08/20/2039 0.04GNR 2015-H10 CI IO 01.8460 04/20/2065 0.04FNR 2017-2 KI IO 04.0000 02/25/2047 0.04GNR 2016-H03 AI IO 02.5383 01/20/2066 0.04KOREA INVESTMENT HOLDINGS CO SEDOL 6654586 0.04GNR 2015-105 LI IO 05.0000 10/20/2039 0.04CAS 2017-C02 2M2 05.4420 09/25/2029 0.04FHR 4801 IG IO 03.0000 06/15/2048 0.04FNR 2016-3 NI IO 06.0000 02/25/2046 0.04GNR 2015-167 BI IO 04.5000 04/16/2045 0.04JPMCC 2006-LDP9 AMS 05.3370 05/15/2047 0.04CAS 2018-C05 1M2 04.1420 01/25/2031 0.04FEDERAL GRID CO UNIFIED ENER SEDOL B39RR67 0.04PETROLEOS MEXICANOS P/P 144A 07.6900 01/23/2050 0.04GNR 2016-37 IW IO 04.5000 02/20/2046 0.04GNR 2016-75 EI IO 03.5000 08/20/2045 0.04GNR 2018-127 ID IO 05.0000 07/20/2045 0.04GNR 2018-127 IE IO 03.5000 01/20/2046 0.04CAS 2017-C06 2M2 04.5920 02/25/2030 0.04GNR 2014-146 EI IO 05.0000 10/20/2044 0.04GNR 2010-9 UI IO 05.0000 01/20/2040 0.04GNR 2017-57 AI IO 04.0000 06/20/2045 0.04


Full holdings as of March 31, 2020GNR 2016-H08 GI IO 01.4622 04/20/2066 0.04GNR 2016-H16 DI IO 02.4684 06/20/2066 0.03GNR 2011-17 S IO 04.2854 02/20/2041 0.03GNR 2015-H16 XI IO 02.4257 07/20/2065 0.03FHR 4568 MI IO 04.0000 04/15/2046 0.03GECMC 2005-C1 D 04.4083 06/10/2048 0.03SPY 20200918 P 255.00JPMCB 0.03IOS.FN30.400.14 R USL1M P 01/12/45 CS 0.03GNR 2013-20 QI IO 04.5000 12/16/2042 0.03CWHL 2005-3 1A1 02.4120 04/25/2035 0.03BANK OF CHINA LTD-H SEDOL B154564 0.03CIA CERVECERIAS UNI-SPON ADR SEDOL 2217596 0.031.625 R ISWP FWD US0003M P 03/18/2025 0.03TECO ELECTRIC & MACHINERY SEDOL 6879851 0.03GNR 2009-121 UI IO 05.0000 12/20/2039 0.03GNR 2010-20 UI IO 05.0000 02/20/2040 0.03IOS.FN30.350.12 R USL1M P 01/12/43 CS 0.02GNR 2016-H04 KI IO 02.1475 02/20/2066 0.02QUALITAS CONTROLADORA SAB CV SEDOL BYMXF65 0.02GNR 2014-163 NI IO 05.0000 02/20/2044 0.02SPY 20201016 P 255.00BANKAM 0.02KT CORP SEDOL 6505316 0.02GNR 2015-24 IA IO 03.5000 02/20/2045 0.02MALAYSIA AIRPORTS HLDGS BHD SEDOL 6188193 0.02PLDT INC SEDOL BDGN274 0.02WESTPORTS HOLDINGS BHD SEDOL BDFM1K8 0.02MANILA ELECTRIC COMPANY SEDOL B247XZ6 0.02GNR 2015-124 NI IO 03.5000 06/20/2039 0.02FNR 2013-35 PI IO 03.0000 02/25/2042 0.02FHR 4097 PI IO 03.5000 11/15/2040 0.02SPY 20200717 P 255.00CITI 0.02UBSBB 2012-C2 F P/P 144A 04.8901 05/10/2063 0.02NZD/USD 01/15/2020 UBS 0.02AIRASIA GROUP BHD SEDOL B03J9L7 0.02NOK/USD 03/18/2020 RBSF 0.021.60 R ISWP FWD US0003M P 03/18/2022 0.02SPY 20200821 P 245.00CITI 0.02GNR 2010-134 ES IO 04.2354 11/20/2039 0.02GNR 2013-24 PI IO 04.0000 11/20/2042 0.020.20 R ISWP FWD EUR006M P 03/18/2030 0.02GNR 2015-H10 EI IO 01.6542 04/20/2065 0.02NOK/USD 03/18/2020 SSBT 0.02GNR 2015-H18 IA IO 01.8693 06/20/2065 0.02GNR 2013-79 XI IO 03.5000 11/20/2039 0.02PETRONAS GAS BHD SEDOL 6703972 0.02


Full holdings as of March 31, 2020GNR 2011-H15 AI IO 01.5533 06/20/2061 0.01GNR 2013-129 SN IO 04.3854 09/20/2043 0.01FHR 4206 IP IO 03.0000 12/15/2041 0.01NESTLE (MALAYSIA) BERHAD SEDOL 6629335 0.01NZD/USD 01/15/2020 SSBT 0.01IOS.FN30.400.14 R USL1M P 01/12/45 GS 0.01IOS.FN30.400.14 R USL1M P 01/12/45 CS 0.01FHR 4073 AS IO 04.3103 08/15/2038 0.01IOS.FN30.350.14 R USL1M P 01/12/45 CS 0.01FHR 3747 SA IO 04.7603 10/15/2040 0.01ASTRO MALAYSIA SEDOL B7W5GK3 0.01FHR 4193 PI IO 04.0000 03/15/2043 0.01FNR 2012-151 PI IO 03.0000 01/25/2043 0.01FHR 4099 BI IO 03.5000 06/15/2039 0.01GNR 2013-157 IA IO 03.5000 04/20/2040 0.01GNR 2013-100 MI IO 03.5000 02/20/2043 0.01GNR 2015-99 LI IO 04.0000 07/20/2045 0.010.65 R ISWP FWD SES3M P 03/18/2030 0.01CAS 2015-C02 2M2 05.7920 05/25/2025 0.012.00 R ISWP FWD NOKOIB6M P 03/18/2030 0.01GNR 2014-133 AI IO 04.0000 10/20/2036 0.01GNR 2013-23 IK IO 03.0000 09/20/2037 0.01EUR/NOK PUT 9.85 20200121 GSFX 0.01GNR 2010-35 QI IO 04.5000 03/20/2040 0.01GNR 2015-96 NI IO 03.5000 01/20/2039 0.01CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.010.35 R ISWP FWD SES3M P 03/18/2025 0.01GNR 2015-82 GI IO 03.5000 12/20/2038 0.011.75 R ISWP FWD NFIX3MID P 03/18/2030 0.011.40 R ISWP FWD NFIX3MID P 03/18/2025 0.01FNR 2012-136 PI IO 03.5000 11/25/2042 0.01PROVINCIA DE BUENOS 45.7248 05/31/2022 0.01PETROLEOS DE VENEZUELA S REGS 05.3750 04/12/2027 0.01CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CS 0.01GNR 2013-102 IP IO 03.5000 06/20/2043 0.01GNR 2012-141 WI IO 03.5000 11/20/2041 0.01NOK/USD 03/18/2020 BANKAM 0.01NOK/USD 03/18/2020 CITI 0.01CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CG 0.01EUR/USD 03/18/2020 SSBT 0.01IOS.FN30.650.67 R USL1M P 01/12/38 BC 0.01REPUBLIC OF VENEZUELA REGS 07.6500 04/21/2025 0.01FNR 2013-31 NI IO 03.0000 06/25/2041 0.00SWPTN 10YX20Y R 2.785 USD 01/25/2027 BA 0.00IOS.FN30.400.10 R USL1M P 01/12/41 BA 0.00


Full holdings as of March 31, 2020IOS.FN30.400.10 R USL1M P 01/12/41 BA 0.00BRL/USD 02/04/2020 GSFX 0.00CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS 0.00IOS.FN30.400.10 R USL1M P 01/12/41 JP 0.002.10 R ISWP FWD CDOR03 P 03/18/2030 0.00GBP/USD 03/18/2020 BANKAM 0.00GBP/USD 03/18/2020 RBSF 0.003.312 R ISWP US0003M P 11/08/2048 0.00CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS 0.00IOS.FN30.400.10 R USL1M P 01/12/41 CI 0.001.8252 R ISWP US0003M P 12/17/2029 0.00CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.00CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 CS 0.00BSCMS 2006-PW11 C P/P 144A 05.7745 03/11/2039 0.001.95 R ISWP FWD NOKOIB6M P 03/18/2025 0.00IOS.FN30.350.12 R USL1M P 01/12/43 CS 0.00AUD/USD 01/15/2020 BANKAM 0.000.90 R ISWP FWD GBL6M P 03/18/2025 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 0.00CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 CS 0.00SWPTN 10YX20Y P 2.785 USD 01/25/2027 BA 0.00-0.40 R ISWP FWD CHL6M P 03/18/2025 0.00SWPTN 5YX30Y R 2.8325 USD 02/15/2022 JP 0.00SWPTN 3YX30Y R 2.3075 USD 06/20/2022 BA 0.00CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 ML 0.00CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS 0.00CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 CS 0.00CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS 0.00-0.10 R ISWP FWD EUR006M P 03/18/2025 0.00AUD/JPY PUT 70.00 20200214 CITI 0.00AUD/JPY PUT 70.00 20200214 GSFX 0.00CMB CMBX.NA.BB.9 2058-09-17 500.0 09/17/2058 MS 0.00CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 CS 0.00SWPTN 3YX30Y P 2.3075 USD 06/20/2022 BA 0.00EUR/USD 03/18/2020 CSI-FX 0.00EUR/USD 03/18/2020 TDBK 0.00CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 ML 0.00CMB CMBX.NA.BB.10 2059-11-17 500.0 11/17/2059 ML 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 CG 0.00CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 GS 0.00GNR 2013-90 HI IO 03.5000 04/20/2040 0.00


Full holdings as of March 31, 2020CMB 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 0.00CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS 0.00CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 BC 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 0.00EUR/USD 03/18/2020 RBSF 0.00CMB CMBX.NA.A.6 2063-05-11 200.0 05/11/2063 GS 0.00CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS 0.00CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS 0.00MLCFC 2006-4 XC IO P/P 144A 00.5585 12/12/2049 0.00GMACC 2004-C3 X1 IO P/P 144A 00.8381 12/10/2041 0.00JPY/USD 02/19/2020 BANKAM 0.00SWPTN 10YX20Y R 2.8175 USD 03/23/2027 GS 0.002.2225 R ISWP FWD US0003M P 06/05/2029 0.00CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 JP 0.00GNR 2011-116 IB IO 05.0000 10/20/2040 0.00CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 GS 0.001.00 R ISWP FWD AUDBB6M P 03/18/2025 0.001.10 R ISWP FWD GBL6M P 03/18/2030 0.00SEK/USD 03/18/2020 BANKAM 0.00GLOW ENERGY PCL - FOREIGN SEDOL B074GX9 0.00SPY 20191231 C 324.00CITI 0.001.40 R ISWP FWD AUDBB6M P 03/18/2030 0.002.3075 R ISWP FWD US0003M P 06/22/2052 0.00CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA 0.00SEK/USD 03/18/2020 BCAP-FX 0.002.184 R ISWP FWD US0003M P 12/07/2030 0.00CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS 0.00CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 BA 0.00-0.10 R ISWP FWD CHL6M P 03/18/2030 0.00SWPTN 10YX20Y P 2.8175 USD 03/23/2027 GS 0.00JPY/USD 02/19/2020 UBS 0.00BRL/USD 02/04/2020 CITI 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 02/19/2020 JPMCB 0.00CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 MS 0.002.67 R ISWP FWD US0003M P 03/28/2052 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 03/18/2020 UBS 0.00FEDL01 P ISWP SOFRRATE R 12/05/2020 0.00CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00


Full holdings as of March 31, 2020GBP/USD 03/18/2020 WPAC 0.00JPY/USD 02/19/2020 SSBT 0.00CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00SEK/USD 03/18/2020 JPMCB 0.00EUR/USD 03/18/2020 BANKAM 0.00CMB CMBX.NA.BB.7 2047-01-17 500.0 01/17/2047 CG 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 0.00CMB 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 BC 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 0.00CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00SEK/USD 03/18/2020 UBS 0.00SEK/USD 03/18/2020 TDBK 0.00CHF/USD 03/18/2020 JPMCB 0.00CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS 0.001.70 R ISWP FWD US0003M P 03/18/2025 0.00CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS 0.00SPY 20200117 C 331.00JPMCB 0.00NOK/USD 03/18/2020 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 CG 0.00CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00NOK/USD 03/18/2020 BCAP-FX 0.00CAD/USD 01/15/2020 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 0.00CMB CMBX.NA.BBB-.7 2047-01-17 300.0 01/17/2047 JP 0.00CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS 0.00SWPTN 5YX30Y P 2.8325 USD 02/15/2022 JP 0.001.7945 R ISWP US0003M P 12/18/2029 0.00SEK/USD 03/18/2020 RBSF 0.00GBP/USD 03/18/2020 SSBT -0.01GBP/USD 03/18/2020 GSFX -0.01CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01CAD/USD 01/15/2020 BCAP-FX -0.01CAD/USD 01/15/2020 TDBK -0.01GBP/USD 03/18/2020 HSBCB -0.01CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 GS -0.01CMB CMBX.NA.BB.6 2063-05-11 500.0 05/11/2063 CG -0.01CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 MS -0.01SEK/USD 03/18/2020 HSBCB -0.01SEK/USD 03/18/2020 SSBT -0.012.00 R ISWP FWD US0003M P 03/18/2050 -0.01


Full holdings as of March 31, 2020BRL/USD 02/04/2020 BANKAM -0.01SEK/USD 03/18/2020 GSFX -0.01IOS.FN30.350.12 P USL1M R 01/12/43 BC -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 -0.02IOS.FN30.350.12 P USL1M R 01/12/43 GS -0.02IOS.FN30.400.10 P USL1M R 01/12/41 CS -0.022.00 R ISWP FWD CDOR03 P 03/18/2025 -0.02AUD/USD 01/15/2020 SSBT -0.03UA US P R 07/05/22 CI -0.03CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 ML -0.04INGN US P R 07/05/22 CI -0.04IOS.FN30.400.14 P US0001M R 01/12/45 JP -0.04EBIX US P R 07/05/22 CI -0.051.75 R ISWP FWD US0003M P 03/18/2030 -0.06HOMB US P US0001M R 07/05/22 CI -0.06DBD US P R 07/05/22 CI -0.06BGS US P R 07/05/22 CI -0.07APPN US P US0001M R 07/05/22 CI -0.07KLIC US P US0001M R 07/05/22 CI -0.07CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CG -0.07OMCL US P US0001M R 07/05/22 CI -0.07DORM US P US0001M R 07/05/22 CI -0.08CMD US P US0001M R 07/05/22 CI -0.08EPC US P US0001M R 07/05/22 CI -0.09EYE US P US0001M R 07/05/22 CI -0.10WGO US P US0001M R 07/05/22 CI -0.10ACIW US P R 07/05/22 CI -0.11DY US P R 07/05/22 CI -0.11QLYS US P US0001M R 07/05/22 CI -0.11MDRX US P US0001M R 07/05/22 CI -0.12PBH US P US0001M R 07/05/22 CI -0.12BB US P US0001M R 07/05/22 CI -0.12BRKR US P US0001M R 07/05/22 CI -0.12INST US P US0001M R 07/05/22 CI -0.14CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 JP -0.15CMB CMBX.NA.BBB-.6 2063-05-11 300.0 05/11/2063 CS -0.15CTLT US P US0001M R 07/05/22 CI -0.17BWXT US P US0001M R 07/05/22 CI -0.18WWW US P US0001M R 07/05/22 CI -0.20STL US P US0001M R 07/05/22 CI -0.20LHCG US P US0001M R 07/05/22 CI -0.21HBI US P R 07/05/22 CI -0.21PKI US P US0001M R 07/05/22 CI -0.21


Full holdings as of March 31, 2020JBL US P US0001M R 07/05/22 CI -0.25GOOS US P US0001M R 07/05/22 CI -0.26TGI US P R 07/05/22 CI -0.26ENR US P R 07/05/22 CI -0.27ICLR US P R 07/05/22 CI -0.28OSK US P US0001M R 07/05/22 CI -0.28AAXN US P US0001M R 07/05/22 CI -0.34TXT US P US0001M R 07/05/22 CI -0.36VAR US P R 07/05/22 CI -0.41GWRE US P US0001M R 07/05/22 CI -0.44EVBG US P US0001M R 07/05/22 CI -0.46DPZ US P US0001M R 07/05/22 CI -0.57IQV US P R 07/05/22 CI -0.59CDX CDX.NA.HY.33 500.0 12/20/2024 -0.59FMC US P US0001M R 07/05/22 CI -0.59NDUEEGF P US0001M R 12/14/20 GS -0.60RL US P US0001M R 07/05/22 CI -0.66GLW US P US0001M R 07/05/22 CI -0.77AMD US P US0001M R 07/05/22 CI -0.89ILMN US P US0001M R 07/05/22 CI -0.98CTXS US P US0001M R 07/05/22 CI -1.03K US P R 07/05/22 CI -1.13NDUEEGF P US0003M R 09/18/20 CI -1.43TSLA US P R 07/05/22 CI -1.70NDUEEGF P US0003M R 03/19/20 CI -3.11NDUEEGF P US0001M R 08/20/20 UB -8.11S&P500 EMINI FUT MAR20 ESH0 -10.37NDUEEGF P US0001M R 02/12/20 CS -15.27RU10INTR P US0003M R 11/25/20 CI -21.28GSGLPW2S P US0001M R 12/15/20 GS -37.87GSGLPWDS P US0001M R 12/15/20 GS -38.18RU10INTR P US0003M R 06/20/23 BA -43.33

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Putnam VT Multi-Asset Absolute Return Fund...Putnam VT Multi-Asset Absolute Return Fund Full holdings as of February 29, 2020 PING AN INSURANCE GROUP CO-H SEDOL B01FLR7 0.76 GSVICUB3