# EDGAR Filing Document

**Accession Number:** 0001898391
**File Stem:** 0000035402-25-002945
**Filing Date:** 2025-12
**Character Count:** 151094
**Document Hash:** 059d52f2fca2f03404b282ba7ce64603
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000035402-25-002945.hdr.sgml**: 20251223

**ACCESSION NUMBER**: 0000035402-25-002945

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20251031

**FILED AS OF DATE**: 20251223

**DATE AS OF CHANGE**: 20251223

**PERIOD START**: 20260131

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Fidelity Greenwood Street Trust
- **CENTRAL INDEX KEY:** 0001898391

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0131

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23762
- **FILM NUMBER:** 251599878

**BUSINESS ADDRESS:**
- **STREET 1:** 245 SUMMER STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210
- **BUSINESS PHONE:** 617-563-7000

**MAIL ADDRESS:**
- **STREET 1:** 245 SUMMER STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02210

## Series and Classes Contracts Data

### Fidelity Managed Futures ETF (Series ID: S000092140)

| Class ID   | Class Name                   | Ticker Symbol   |
|:---|:---|:---|
| C000260067 | Fidelity Managed Futures ETF | FFUT            |

## Nport-Ex

**Consolidated Quarterly Holdings Report**

**for**

**Fidelity® Managed Futures ETF**

**October 31, 2025**

MFE-NPRT3-1225

1.9919365.100 ---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp;**Domestic Equity Funds - 5.1%** | &nbsp;&nbsp;**Domestic Equity Funds - 5.1%** | &nbsp;&nbsp;**Domestic Equity Funds - 5.1%** |
|  | Shares | Value ($)<br>|
| iShares Core S&P 500 ETF <br>(Cost $5,770,387)<br>| 9300 | **6372639** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**U.S. Treasury Obligations - 85.5%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 85.5%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 85.5%** | &nbsp;&nbsp;**U.S. Treasury Obligations - 85.5%** |
|  | Yield (%) (b) | Principal<br> Amount (a)<br>| Value ($)<br>|
| US Treasury Bills 0% 11/28/2025 (c)(d)(e)<br>(Cost $107,180,968)<br>| 3.95 to 4.04 | 107500000 | **107211527** |

---

---

| | | | |
|:---|:---|:---|:---|
| &nbsp;&nbsp;**Money Market Funds - 10.5%** | &nbsp;&nbsp;**Money Market Funds - 10.5%** | &nbsp;&nbsp;**Money Market Funds - 10.5%** | &nbsp;&nbsp;**Money Market Funds - 10.5%** |
|  | Yield (%) | Shares | Value ($)<br>|
| Fidelity Cash Central Fund (f)<br>(Cost $13,143,819)<br>| 4.18 | 13141191 | **13143819** |

---

---

| | |
|:---|:---|
| <br> **TOTAL INVESTMENT IN SECURITIES - 101.1%**<br> (Cost $126,095,174)<br>| <br>**126727985** |
| **NET OTHER ASSETS (LIABILITIES) - (1.1)%**  | **(1332544)** |
| **NET ASSETS - 100.0%** | **125395441** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  | &nbsp;&nbsp;**Futures Contracts**  |
|  | Number <br> of contracts | Expiration <br> Date | Notional <br> Amount ($)<br>| Value ($)<br>| Unrealized<br> Appreciation/<br> (Depreciation) ($)<br>|
| Purchased |  |  |  |  |  |
| Commodity Contracts |  |  |  |  |  |
| Bursa Malaysia Crude Palm Oil Contracts (Malaysia) | 6 | 1/15/2026 | 150681 | (11480) | (11480) |
| CBOT Soybean Oil Contracts (United States) | 31 | 3/13/2026 | 922932 | (37266) | (37266) |
| CBOT Soybeans Contracts (United States) | 15 | 1/14/2026 | 836438 | 60764 | 60764 |
| CEC Copper Contracts (United States) | 5 | 3/27/2026 | 644625 | 43704 | 43704 |
| CEC Gold Bullion Contracts (United States) | 2 | 12/29/2025 | 799300 | (60765) | (60765) |
| CEC Silver Bullion Contracts (United States) | 1 | 12/29/2025 | 240800 | 46612 | 46612 |
| CME Lean Hogs Contracts (United States) | 405 | 4/15/2026 | 13968450 | (692542) | (692542) |
| CME Live Cattle Contracts (United States) | 25 | 12/31/2025 | 2296750 | 19245 | 19245 |
| CME Live Cattle Contracts (United States) | 10 | 4/30/2026 | 906900 | (68277) | (68277) |
| Chicago Mercantile Exchange Cme Cf Ether-Dollar Reference Rate Contracts (United States) | 4 | 11/28/2025 | 781900 | (1261) | (1261) |
| ICE Brent Crude Oil Contracts (United Kingdom) | 23 | 11/28/2025 | 1489710 | (20097) | (20097) |
| ICE Coffee C Contracts (United States) | 1 | 12/18/2025 | 147019 | 9822 | 9822 |
| ICE Coffee C Contracts (United States) | 4 | 3/19/2026 | 558375 | 10300 | 10300 |
| ICE Coffee Robusta Contracts (United Kingdom) | 6 | 1/26/2026 | 272400 | 3130 | 3130 |
| ICE Cotton No 2 Contracts (United States) | 357 | 3/9/2026 | 11911305 | (268824) | (268824) |
| ICE ENDEX Carbon Emission Contracts (Netherlands) | 19 | 12/15/2025 | 1722367 | (6304) | (6304) |
| ICE Gas Oil Contracts (United Kingdom) | 27 | 1/12/2026 | 1842750 | 88001 | 88001 |
| ICE Gas Oil Contracts (United Kingdom) | 12 | 3/12/2026 | 796200 | 11478 | 11478 |
| ICE Murban Crude Contracts (United Arab Emirates) | 22 | 11/28/2025 | 1482140 | 54722 | 54722 |
| LME Aluminum Contracts (United Kingdom) | 39 | 11/17/2025 | 2806567 | 222167 | 222167 |
| LME Lead Contracts (United Kingdom) | 38 | 11/17/2025 | 1900741 | 8899 | 8899 |
| LME Nickel Contracts (United Kingdom) | 14 | 11/17/2025 | 1265221 | (19830) | (19830) |
| LME Zinc Contracts (United Kingdom) | 26 | 11/17/2025 | 2031237 | 131278 | 131278 |
| London Metal Exchange Aluminum Contracts (United Kingdom) | 47 | 1/19/2026 | 3391544 | 110720 | 110720 |
| London Metal Exchange Lead Contracts (United Kingdom) | 20 | 1/19/2026 | 1007670 | (3887) | (3887) |
| London Metal Exchange Nickel Contracts (United Kingdom) | 14 | 1/19/2026 | 1277257 | (12927) | (12927) |
| London Metal Exchange Zinc Contracts (United Kingdom) | 25 | 1/19/2026 | 1916819 | 13401 | 13401 |
| NYMEX Gasoline RBOB Contracts (United States) | 3 | 2/27/2026 | 236565 | 4882 | 4882 |
| NYMEX Heating Oil Contracts (United States) | 17 | 12/31/2025 | 1692608 | 94442 | 94442 |
| NYMEX Heating Oil Contracts (United States) | 12 | 2/27/2026 | 1163635 | 32948 | 32948 |
| NYMEX Natural Gas Contracts (United States) | 1 | 12/29/2025 | 43690 | 1257 | 1257 |
| NYMEX Palladium Bullion Contracts (United States) | 5 | 12/29/2025 | 727550 | 150347 | 150347 |
| NYMEX Platinum Bullion Contracts (United States) | 11 | 1/28/2026 | 866470 | 96191 | 96191 |
| NYMEX Propane Contracts (United States) | 3 | 12/31/2025 | 85680 | 938 | 938 |
| NYMEX WTI Crude Contracts (United States) | 15 | 12/19/2025 | 909000 | 2604 | 2604 |
| New York Mercantile Exchange Ethanol Contracts (United States) | 16 | 12/31/2025 | 1117200 | (16734) | (16734) |
| OSE Platinum Bullion Contracts (Japan) | 33 | 8/26/2026 | 803285 | (4961) | (4961) |
| SGX Iron Ore Contracts (Singapore) | 189 | 12/31/2025 | 2006046 | 37826 | 37826 |
| **TOTAL COMMODITY CONTRACTS** |  |  |  |  | 30523 |
| Equity Contracts |  |  |  |  |  |
| ASX 24 S&P/ASX 200 Index Contracts (Australia) | 14 | 12/18/2025 | 2071771 | 31751 | 31751 |
| CBOT E-Mini Dow Jones Industrial Average Index Contracts (United States) | 7 | 12/19/2025 | 1676325 | 35092 | 35092 |
| CME E-Mini Nasdaq 100 Index Contracts (United States) | 2 | 12/19/2025 | 1040160 | 60651 | 60651 |
| CME E-Mini Russell 2000 Index Contracts (United States) | 12 | 12/19/2025 | 1493940 | 19306 | 19306 |
| CME E-Mini S&P 500 Index Contracts (United States) | 2 | 12/19/2025 | 687400 | (4079) | (4079) |
| CME E-Mini S&P MidCap 400 Index Contracts (United States) | 4 | 12/19/2025 | 1303080 | (17329) | (17329) |
| Eurex DAX Contracts (Germany) | 2 | 12/19/2025 | 1403738 | 4682 | 4682 |
| Eurex Euro STOXX 50 Contracts (Germany) | 37 | 12/19/2025 | 2399189 | 71009 | 71009 |
| Eurex SMI Contracts (Germany) | 29 | 12/19/2025 | 4518979 | 178285 | 178285 |
| Euronext Paris Monep Cac Index - France Contracts (France) | 27 | 11/21/2025 | 2563190 | 33906 | 33906 |
| FTSE/JSE Top 40 Index Contracts (South Africa) | 5 | 12/18/2025 | 299986 | 835 | 835 |
| Hong Kong Futures Exchange Ltd. Hang Seng Hk Indices Contracts (Hong Kong) | 19 | 11/27/2025 | 1145544 | (9311) | (9311) |
| Hong Kong Futures Exchange Ltd. Hang Seng Hk Indices Contracts (Hong Kong) | 11 | 11/27/2025 | 1863102 | (11268) | (11268) |
| ICE Financial Times 100 Index Contracts (United Kingdom) | 16 | 12/19/2025 | 2057384 | 86326 | 86326 |
| ICE MSCI EAFE Index Contracts (United States) | 10 | 12/19/2025 | 1403550 | 3172 | 3172 |
| ICE MSCI Emerging Markets Index Contracts (United States) | 6 | 12/19/2025 | 422280 | 5847 | 5847 |
| IDEM FTSE MIB Index Contracts (Italy) | 18 | 12/19/2025 | 4308756 | (37387) | (37387) |
| KRX KOSPI 200 Index Contracts (South Korea) | 22 | 12/11/2025 | 1836936 | 154332 | 154332 |
| Meff Exchange (Sociedad Rectora Del Mercado DE Productos Derivados) Ibex 35 Index (Spain) Contracts (Spain) | 20 | 11/21/2025 | 3590462 | (8704) | (8704) |
| Nasdaq Stockholm Ab Omx Stockholm Index Contracts (Sweden) | 135 | 11/21/2025 | 3909560 | 15985 | 15985 |
| OSE Nikkei 225 Index Contracts (Japan) | 11 | 12/11/2025 | 3245984 | 89985 | 89985 |
| OSE TOPIX Contracts (Japan) | 19 | 12/11/2025 | 3914576 | 39276 | 39276 |
| Sgx Derivatives Market Ftse China A50 Index Contracts (Singapore) | 150 | 11/27/2025 | 2345100 | (4503) | (4503) |
| Sgx Derivatives Market Msci Singapore Index Contracts (Singapore) | 75 | 11/27/2025 | 2573956 | (14826) | (14826) |
| TFEX SET50 Index Contracts (Thailand) | 838 | 12/29/2025 | 4473653 | 234035 | 234035 |
| TME S&P/TSX 60 Index Contracts (Canada) | 14 | 12/18/2025 | 3560275 | 52402 | 52402 |
| **TOTAL EQUITY CONTRACTS** |  |  |  |  | 1009470 |
| Interest Rate Contracts |  |  |  |  |  |
| ASX 10Y Australia Treasury Bond Contracts (Australia) | 72 | 12/15/2025 | 5355103 | (26808) | (26808) |
| CBOT 10Y US Treasury Notes Contracts (United States) | 51 | 12/19/2025 | 5749453 | 2002 | 2002 |
| CBOT US Treasury Long Bond Contracts (United States) | 17 | 12/19/2025 | 1995906 | (18620) | (18620) |
| CME 3M US SOFR Index Contracts (United States) | 15 | 9/15/2026 | 3625500 | (3854) | (3854) |
| CME 3M US SOFR Index Contracts (United States) | 96 | 12/15/2026 | 23264400 | (10422) | (10422) |
| Eurex Euro-BTP Contracts (Germany) | 53 | 12/8/2025 | 7437365 | 106957 | 106957 |
| Eurex Euro-Bund Contracts (Germany) | 8 | 12/8/2025 | 1194736 | (5913) | (5913) |
| Eurex Euro-OAT Contracts (Germany) | 61 | 12/8/2025 | 8635320 | 98580 | 98580 |
| ICE 3M EURIBOR Index Contracts (United States) | 80 | 9/14/2026 | 22637325 | 2102 | 2102 |
| ICE 3M EURIBOR Index Contracts (United States) | 21 | 6/15/2026 | 5941389 | (2394) | (2394) |
| ICE 3M SONIA Index Contracts (United States) | 7 | 9/15/2026 | 2220489 | 138 | 138 |
| ICE 3M SONIA Index Contracts (United States) | 85 | 12/15/2026 | 26978432 | 44912 | 44912 |
| KRX 10Y Korea Treasury Bond Contracts (South Korea) | 34 | 12/16/2025 | 2775841 | (58701) | (58701) |
| OSE 10Y Japan Treasury Bond Contracts (Japan) | 33 | 12/15/2025 | 29177437 | (124738) | (124738) |
| TME 10Y Canadian Bond Contacts (Canada) | 69 | 12/18/2025 | 6045348 | (2053) | (2053) |
| TME 3M CORRA Contracts (Canada) | 146 | 9/15/2026 | 25496467 | 58381 | 58381 |
| TME 3M CORRA Contracts (Canada) | 126 | 12/15/2026 | 21992560 | 24934 | 24934 |
| TME 3M CORRA Contracts (Canada) | 211 | 6/16/2026 | 36823163 | 34441 | 34441 |
| TME 3M CORRA Contracts (Canada) | 306 | 3/17/2026 | 53385933 | 39454 | 39454 |
| **TOTAL INTEREST RATE CONTRACTS** |  |  |  |  | 158398 |
| TOTAL PURCHASED |  |  |  |  | 1198391 |
| Sold |  |  |  |  |  |
| Commodity Contracts |  |  |  |  |  |
| CBOT Corn Contracts (United States) | 106 | 12/12/2025 | 2286950 | (74267) | (74267) |
| CBOT Corn Contracts (United States) | 45 | 3/13/2026 | 999000 | (44414) | (44414) |
| CBOT Hard Red Winter Wheat Contracts (United States) | 7 | 12/12/2025 | 183575 | 11128 | 11128 |
| CBOT Hard Red Winter Wheat Contracts (United States) | 19 | 3/13/2026 | 509913 | (19672) | (19672) |
| CBOT Soybean Contracts (United States) | 18 | 3/13/2026 | 1011375 | (54980) | (54980) |
| CBOT Soybean Meal Contracts (United States) | 20 | 3/13/2026 | 652000 | (74063) | (74063) |
| CBOT Soybean Meal Contracts (United States) | 33 | 1/14/2026 | 1067550 | (140242) | (140242) |
| CBOT Soybean Oil Contracts (United States) | 19 | 1/14/2026 | 559398 | 22289 | 22289 |
| CBOT Wheat Contracts (United States) | 3 | 12/12/2025 | 80100 | 4528 | 4528 |
| CBOT Wheat Contracts (United States) | 19 | 3/13/2026 | 521075 | (25927) | (25927) |
| CME Butter Contracts (United States) | 24 | 12/30/2025 | 818160 | 91233 | 91233 |
| CME Cheese Contracts (United States) | 7 | 12/30/2025 | 232960 | 6739 | 6739 |
| CME Copper Contracts (United States) | 1 | 12/29/2025 | 127225 | (12953) | (12953) |
| CME Lean Hogs Contracts (United States) | 468 | 12/12/2025 | 15214680 | 1274928 | 1274928 |
| CME Milk Contracts (United States) | 13 | 12/30/2025 | 447720 | (2299) | (2299) |
| COMEX Hot-Rolled Coil Steel Contracts (United States) | 25 | 12/30/2025 | 444000 | (15333) | (15333) |
| EEX French Financial Baseload Contracts (Germany) | 10 | 12/30/2025 | 561778 | 64041 | 64041 |
| Euronext MATIF Rapeseed Contracts (France) | 21 | 1/30/2026 | 582323 | (17855) | (17855) |
| European Energy Exchange Italian Power Base Contracts (Germany) | 14 | 12/30/2025 | 1339628 | 1660 | 1660 |
| ICE Coal Contracts (United Kingdom) | 5 | 12/24/2025 | 490250 | (20805) | (20805) |
| ICE Cocoa Contracts (United States) | 40 | 12/15/2025 | 2460400 | 833672 | 833672 |
| ICE Cocoa Contracts (United States) | 13 | 3/16/2026 | 766723 | (39760) | (39760) |
| ICE Cocoa Contracts (United States) | 2 | 3/16/2026 | 125000 | (3866) | (3866) |
| ICE Cotton No 2 Contracts (United States) | 396 | 12/8/2025 | 12976920 | 300983 | 300983 |
| ICE Endex Natural Gas Contracts (Netherlands) | 35 | 11/27/2025 | 935383 | 29975 | 29975 |
| ICE Natural Gas Contracts (United Kingdom) | 25 | 11/27/2025 | 823446 | 32074 | 32074 |
| ICE Sugar No 11 Contracts (United States) | 47 | 2/27/2026 | 759595 | 134936 | 134936 |
| ICE White Sugar Contracts (United Kingdom) | 8 | 11/14/2025 | 166280 | 18347 | 18347 |
| ICE White Sugar Contracts (United Kingdom) | 10 | 2/13/2026 | 205400 | 13348 | 13348 |
| Ice Futures Europe Brent Crude Oil Contracts (United Kingdom) | 3 | 3/31/2026 | 190980 | 2965 | 2965 |
| Ice Futures Europe Crude Oil Contracts (United Kingdom) | 27 | 1/30/2026 | 1738611 | (74236) | (74236) |
| JSE Wheat Contracts (South Africa) | 207 | 12/22/2025 | 3495682 | 63711 | 63711 |
| JSE White Maize Contracts (South Africa) | 83 | 12/22/2025 | 1791450 | (57643) | (57643) |
| JSE Yellow Maize Contracts (South Africa) | 99 | 12/22/2025 | 2064249 | (56950) | (56950) |
| LME Aluminum Contracts (United Kingdom) | 39 | 11/17/2025 | 2806567 | (148165) | (148165) |
| LME Lead Contracts (United Kingdom) | 38 | 11/17/2025 | 1900741 | (7128) | (7128) |
| LME Nickel Contracts (United Kingdom) | 14 | 11/17/2025 | 1265221 | 15351 | 15351 |
| LME Zinc Contracts (United Kingdom) | 26 | 11/17/2025 | 2031237 | (168649) | (168649) |
| London Metal Exchange Aluminum Contracts (United Kingdom) | 13 | 1/19/2026 | 938087 | (37503) | (37503) |
| London Metal Exchange Lead Contracts (United Kingdom) | 20 | 1/19/2026 | 1007670 | (15249) | (15249) |
| London Metal Exchange Nickel Contracts (United Kingdom) | 13 | 1/19/2026 | 1186024 | (5144) | (5144) |
| London Metal Exchange Zinc Contracts (United Kingdom) | 4 | 1/19/2026 | 306691 | (11557) | (11557) |
| NYMEX Gasoline RBOB Contracts (United States) | 1 | 12/31/2025 | 78170 | (1514) | (1514) |
| NYMEX Natural Gas Contracts (United States) | 16 | 2/25/2026 | 601760 | (21945) | (21945) |
| NYMEX WTI Crude Contracts (United States) | 3 | 2/20/2026 | 180180 | 6443 | 6443 |
| SGX Natural Rubber Contracts (Singapore) | 232 | 12/30/2025 | 1978960 | (20462) | (20462) |
| **TOTAL COMMODITY CONTRACTS** |  |  |  |  | 1755770 |
| Equity Contracts |  |  |  |  |  |
| Nse Ifsc Limited S&P Cnx Nifty Index Contracts (India) | 63 | 11/25/2025 | 3278835 | 17529 | 17529 |
| Sgx Derivatives Market Ftse Taiwan Ric Capped Price Return Twd Index Contracts (Singapore) | 37 | 11/27/2025 | 3431010 | (37312) | (37312) |
| **TOTAL EQUITY CONTRACTS** |  |  |  |  | (19783) |
| Interest Rate Contracts |  |  |  |  |  |
| ASX 3Y Australia Treasury Bond Contracts (Australia) | 107 | 12/15/2025 | 7525211 | (12532) | (12532) |
| CBOT 2Y US Treasury Notes Contracts (United States) | 189 | 12/31/2025 | 39366633 | 1846 | 1846 |
| CBOT 5Y US Treasury Notes Contracts (United States) | 47 | 12/31/2025 | 5135484 | (3899) | (3899) |
| CBOT US Treasury Ultra Bond Contracts (United States) | 7 | 12/19/2025 | 849844 | (24409) | (24409) |
| CME 3M US SOFR Index Contracts (United States) | 33 | 6/16/2026 | 7957950 | 10362 | 10362 |
| CME 3M US SOFR Index Contracts (United States) | 55 | 3/17/2026 | 13230938 | 21369 | 21369 |
| Eurex Euro-Bobl Contracts (Germany) | 48 | 12/8/2025 | 6551793 | (14140) | (14140) |
| Eurex Euro-Buxl Contracts (Germany) | 4 | 12/8/2025 | 536103 | (11796) | (11796) |
| Eurex Euro-Schatz Contracts (Germany) | 558 | 12/8/2025 | 69006052 | (30809) | (30809) |
| ICE 3M EURIBOR Index Contracts (United States) | 214 | 12/15/2025 | 60505444 | 2926 | 2926 |
| ICE 3M EURIBOR Index Contracts (United States) | 108 | 3/16/2026 | 30554156 | (5212) | (5212) |
| ICE 3M SONIA Index Contracts (United States) | 60 | 6/16/2026 | 18969695 | 3920 | 3920 |
| ICE 3M SONIA Index Contracts (United States) | 73 | 3/17/2026 | 23061812 | 17065 | 17065 |
| ICE United Kingdom of Great Britain and Northern Ireland Contracts (United Kingdom) | 1 | 12/29/2025 | 123003 | (4304) | (4304) |
| KRX 3Y Korea Treasury Bond Contracts (South Korea) | 76 | 12/16/2025 | 5683130 | 38000 | 38000 |
| **TOTAL INTEREST RATE CONTRACTS** |  |  |  |  | (11613) |
| TOTAL SOLD |  |  |  |  | 1724374 |
| **TOTAL FUTURES CONTRACTS** |  |  |  |  | **2922765** |
| The notional amount of futures purchased as a percentage of Net Assets is 332.7% | The notional amount of futures purchased as a percentage of Net Assets is 332.7% | The notional amount of futures purchased as a percentage of Net Assets is 332.7% | The notional amount of futures purchased as a percentage of Net Assets is 332.7% | The notional amount of futures purchased as a percentage of Net Assets is 332.7% | The notional amount of futures purchased as a percentage of Net Assets is 332.7% |
| The notional amount of futures sold as a percentage of Net Assets is 292.2% | The notional amount of futures sold as a percentage of Net Assets is 292.2% | The notional amount of futures sold as a percentage of Net Assets is 292.2% | The notional amount of futures sold as a percentage of Net Assets is 292.2% | The notional amount of futures sold as a percentage of Net Assets is 292.2% | The notional amount of futures sold as a percentage of Net Assets is 292.2% |

---

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** | **Forward Foreign Currency Contracts** |
| Currency<br> Purchased | Currency<br> Purchased | Currency<br> Sold | Currency<br> Sold | Counterparty | Settlement<br> Date | Unrealized <br> Appreciation/<br> (Depreciation) ($)  |
| AUD | 8493000 | USD | 5641352 | JPMorgan Chase Bank NA | 12/17/2025 | (78698) |
| BRL | 2686000 | USD | 492570 | BNP Paribas SA | 1/5/2026 | (1005) |
| BRL | 39733000 | USD | 7170080 | Bank of America NA | 1/5/2026 | 101464 |
| CAD | 26715000 | USD | 19395704 | Bank of America NA | 12/17/2025 | (285718) |
| CAD | 2085000 | USD | 1511555 | State Street Bank & Trust Co | 12/17/2025 | (20097) |
| CAD | 3988000 | USD | 2892483 | State Street Bank & Trust Co | 12/17/2025 | (39756) |
| CHF | 634000 | USD | 805231 | State Street Bank & Trust Co | 12/17/2025 | (11341) |
| CHF | 430000 | USD | 544680 | State Street Bank & Trust Co | 12/17/2025 | (6237) |
| CLP | 2563434000 | USD | 2663889 | BNP Paribas SA | 12/17/2025 | 57306 |
| COP | 29270602000 | USD | 7375827 | Bank of America NA | 12/17/2025 | 160416 |
| CZK | 70426000 | USD | 3392315 | JPMorgan Chase Bank NA | 12/17/2025 | (48931) |
| EUR | 4518000 | USD | 5326558 | JPMorgan Chase Bank NA | 12/17/2025 | (98900) |
| GBP | 1961000 | USD | 2581442 | Bank of America NA | 12/17/2025 | (4813) |
| GBP | 2404000 | USD | 3175605 | Bank of America NA | 12/17/2025 | (16903) |
| GBP | 1100000 | USD | 1457852 | JPMorgan Chase Bank NA | 12/17/2025 | (12523) |
| GBP | 4026000 | USD | 5457641 | JPMorgan Chase Bank NA | 12/17/2025 | (167734) |
| GBP | 418000 | USD | 570937 | State Street Bank & Trust Co | 12/17/2025 | (21712) |
| HUF | 168881000 | USD | 509554 | JPMorgan Chase Bank NA | 12/17/2025 | (8355) |
| HUF | 1767366000 | USD | 5243682 | JPMorgan Chase Bank NA | 12/17/2025 | 1445 |
| IDR | 38591590000 | USD | 2336618 | JPMorgan Chase Bank NA | 12/17/2025 | (17032) |
| INR | 580140000 | USD | 6552293 | Royal Bank of Canada | 12/17/2025 | (31859) |
| JPY | 36728000 | USD | 251732 | JPMorgan Chase Bank NA | 12/17/2025 | (12260) |
| MXN | 142317000 | USD | 7577993 | Bank of America NA | 12/17/2025 | 58273 |
| NOK | 8004000 | USD | 808973 | Royal Bank of Canada | 12/17/2025 | (17866) |
| NZD | 15944000 | USD | 9531738 | Royal Bank of Canada | 12/17/2025 | (384344) |
| NZD | 3805000 | USD | 2237439 | State Street Bank & Trust Co | 12/17/2025 | (54434) |
| PEN | 27071000 | USD | 7762962 | Bank of America NA | 12/17/2025 | 255634 |
| PEN | 1854000 | USD | 547710 | Bank of America NA | 12/17/2025 | 1456 |
| PHP | 422467000 | USD | 7391343 | State Street Bank & Trust Co | 12/17/2025 | (219659) |
| PLN | 12762000 | USD | 3506346 | JPMorgan Chase Bank NA | 12/17/2025 | (49174) |
| RON | 26888000 | USD | 6260360 | Bank of America NA | 12/17/2025 | (171341) |
| SEK | 4646000 | USD | 504623 | Bank of America NA | 12/17/2025 | (13893) |
| SEK | 4847000 | USD | 515586 | Bank of America NA | 12/17/2025 | (3625) |
| SEK | 5969000 | USD | 643259 | Bank of America NA | 12/17/2025 | (12788) |
| SGD | 676000 | USD | 531358 | Bank of America NA | 12/17/2025 | (10205) |
| THB | 71161000 | USD | 2257557 | JPMorgan Chase Bank NA | 12/17/2025 | (49065) |
| USD | 1368833 | AUD | 2056000 | BNP Paribas SA | 12/17/2025 | 22216 |
| USD | 1107635 | AUD | 1690000 | JPMorgan Chase Bank NA | 12/17/2025 | 737 |
| USD | 1190442 | AUD | 1803000 | JPMorgan Chase Bank NA | 12/17/2025 | 9532 |
| USD | 772344 | AUD | 1162000 | State Street Bank & Trust Co | 12/17/2025 | 11270 |
| USD | 516959 | BRL | 2812000 | Bank of America NA | 1/5/2026 | 2335 |
| USD | 562645 | CAD | 785000 | Brown Brothers Harriman & Co. | 12/17/2025 | 1113 |
| USD | 664745 | CAD | 911000 | Brown Brothers Harriman & Co. | 12/17/2025 | 13081 |
| USD | 741469 | CAD | 1036000 | Brown Brothers Harriman & Co. | 12/17/2025 | 389 |
| USD | 661832 | CAD | 927000 | JPMorgan Chase Bank NA | 12/17/2025 | (1277) |
| USD | 1054515 | CAD | 1475000 | State Street Bank & Trust Co | 12/17/2025 | (593) |
| USD | 1367207 | CAD | 1911000 | State Street Bank & Trust Co | 12/17/2025 | 215 |
| USD | 650265 | CAD | 904000 | State Street Bank & Trust Co | 12/17/2025 | 3608 |
| USD | 4040304 | CAD | 5554000 | State Street Bank & Trust Co | 12/17/2025 | 67373 |
| USD | 544024 | CAD | 760000 | State Street Bank & Trust Co | 12/17/2025 | 375 |
| USD | 2677609 | CAD | 3718000 | State Street Bank & Trust Co | 12/17/2025 | 18020 |
| USD | 604158 | CHF | 475000 | Bank of America NA | 12/17/2025 | 9366 |
| USD | 517958 | CHF | 414000 | Brown Brothers Harriman & Co. | 12/17/2025 | (450) |
| USD | 2108037 | CHF | 1661000 | Royal Bank of Canada | 12/17/2025 | 28144 |
| USD | 610233 | CHF | 488000 | State Street Bank & Trust Co | 12/17/2025 | (837) |
| USD | 719703 | CHF | 572000 | State Street Bank & Trust Co | 12/17/2025 | 3449 |
| USD | 697233 | CHF | 552000 | State Street Bank & Trust Co | 12/17/2025 | 6023 |
| USD | 1270795 | CHF | 998000 | State Street Bank & Trust Co | 12/17/2025 | 21107 |
| USD | 939468 | CLP | 894186000 | Bank of America NA | 12/17/2025 | (9749) |
| USD | 6933567 | CNH | 49022000 | Bank of America NA | 12/17/2025 | 29615 |
| USD | 581907 | CNH | 4131000 | Brown Brothers Harriman & Co. | 12/17/2025 | 123 |
| USD | 1657914 | CNH | 11692000 | Royal Bank of Canada | 12/17/2025 | 11286 |
| USD | 1006973 | COP | 3956398000 | Bank of America NA | 12/17/2025 | (11673) |
| USD | 493182 | COP | 1918971000 | Bank of America NA | 12/17/2025 | (892) |
| USD | 562073 | CZK | 11523000 | Bank of America NA | 12/17/2025 | 15033 |
| USD | 604792 | EUR | 521000 | BNP Paribas SA | 12/17/2025 | 1957 |
| USD | 664797 | EUR | 570000 | Brown Brothers Harriman & Co. | 12/17/2025 | 5265 |
| USD | 596628 | EUR | 506000 | Brown Brothers Harriman & Co. | 12/17/2025 | 11148 |
| USD | 525899 | EUR | 449000 | Brown Brothers Harriman & Co. | 12/17/2025 | 6373 |
| USD | 655851 | GBP | 494000 | BNP Paribas SA | 12/17/2025 | 6767 |
| USD | 549199 | GBP | 402000 | Brown Brothers Harriman & Co. | 12/17/2025 | 20996 |
| USD | 555453 | GBP | 413000 | Brown Brothers Harriman & Co. | 12/17/2025 | 12797 |
| USD | 685712 | GBP | 514000 | JPMorgan Chase Bank NA | 12/17/2025 | 10349 |
| USD | 1569974 | GBP | 1170000 | JPMorgan Chase Bank NA | 12/17/2025 | 32669 |
| USD | 1014789 | HUF | 335827000 | Bank of America NA | 12/17/2025 | 18133 |
| USD | 508929 | IDR | 8549097000 | BNP Paribas SA | 12/17/2025 | (4923) |
| USD | 577686 | IDR | 9669878000 | Bank of America NA | 12/17/2025 | (3532) |
| USD | 558921 | IDR | 9297659000 | Bank of America NA | 12/17/2025 | 76 |
| USD | 539290 | IDR | 8993736000 | JPMorgan Chase Bank NA | 12/17/2025 | (1288) |
| USD | 1155350 | ILS | 3834000 | Bank of America NA | 12/17/2025 | (22897) |
| USD | 544185 | ILS | 1774000 | State Street Bank & Trust Co | 12/17/2025 | (992) |
| USD | 1384231 | INR | 122193000 | Bank of America NA | 12/17/2025 | 10853 |
| USD | 501043 | INR | 44683000 | Bank of America NA | 12/17/2025 | (1168) |
| USD | 520396 | JPY | 75439000 | Bank of America NA | 12/17/2025 | 28522 |
| USD | 556559 | JPY | 84409000 | State Street Bank & Trust Co | 12/17/2025 | 6199 |
| USD | 563492 | JPY | 82667000 | State Street Bank & Trust Co | 12/17/2025 | 24490 |
| USD | 530170 | KRW | 740011000 | Bank of America NA | 12/17/2025 | 9720 |
| USD | 553277 | KRW | 795335000 | Bank of America NA | 12/17/2025 | (6083) |
| USD | 512526 | KRW | 726864000 | Bank of America NA | 12/17/2025 | 1322 |
| USD | 938289 | KRW | 1294709000 | Royal Bank of Canada | 12/17/2025 | 27720 |
| USD | 577218 | NOK | 5830000 | Bank of America NA | 12/17/2025 | 987 |
| USD | 802919 | NOK | 7942000 | Bank of America NA | 12/17/2025 | 17940 |
| USD | 706049 | NOK | 7111000 | Bank of America NA | 12/17/2025 | 3205 |
| USD | 530132 | NOK | 5284000 | State Street Bank & Trust Co | 12/17/2025 | 7867 |
| USD | 585421 | NZD | 1014000 | Bank of America NA | 12/17/2025 | 3668 |
| USD | 619237 | NZD | 1079000 | Brown Brothers Harriman & Co. | 12/17/2025 | 193 |
| USD | 515104 | NZD | 897000 | State Street Bank & Trust Co | 12/17/2025 | 477 |
| USD | 984904 | NZD | 1651000 | State Street Bank & Trust Co | 12/17/2025 | 37692 |
| USD | 517557 | NZD | 893000 | State Street Bank & Trust Co | 12/17/2025 | 5225 |
| USD | 537522 | PEN | 1848000 | State Street Bank & Trust Co | 12/17/2025 | (9867) |
| USD | 580671 | PHP | 33737000 | Bank of America NA | 12/17/2025 | 7961 |
| USD | 502790 | PHP | 29554000 | Bank of America NA | 12/17/2025 | 1089 |
| USD | 538974 | PHP | 31530000 | Bank of America NA | 12/17/2025 | 3730 |
| USD | 594059 | PHP | 34598000 | Bank of America NA | 12/17/2025 | 6733 |
| USD | 857457 | PHP | 48815000 | Bank of America NA | 12/17/2025 | 28786 |
| USD | 642356 | PHP | 37468000 | JPMorgan Chase Bank NA | 12/17/2025 | 6310 |
| USD | 604291 | PHP | 35626000 | State Street Bank & Trust Co | 12/17/2025 | (486) |
| USD | 510596 | PLN | 1871000 | Bank of America NA | 12/17/2025 | 3750 |
| USD | 560292 | SEK | 5267000 | Bank of America NA | 12/17/2025 | 3969 |
| USD | 594789 | SEK | 5615000 | Bank of America NA | 12/17/2025 | 1709 |
| USD | 1091648 | SEK | 10275000 | Bank of America NA | 12/17/2025 | 6358 |
| USD | 6048090 | SEK | 56045000 | JPMorgan Chase Bank NA | 12/17/2025 | 128376 |
| USD | 652037 | SEK | 6090000 | JPMorgan Chase Bank NA | 12/17/2025 | 8785 |
| USD | 506976 | SEK | 4668000 | State Street Bank & Trust Co | 12/17/2025 | 13921 |
| USD | 520164 | SGD | 671000 | Bank of America NA | 12/17/2025 | 2865 |
| USD | 509752 | SGD | 659000 | Brown Brothers Harriman & Co. | 12/17/2025 | 1705 |
| USD | 563071 | SGD | 727000 | Brown Brothers Harriman & Co. | 12/17/2025 | 2600 |
| USD | 1019662 | SGD | 1292000 | Brown Brothers Harriman & Co. | 12/17/2025 | 23613 |
| USD | 1104650 | SGD | 1420000 | Brown Brothers Harriman & Co. | 12/17/2025 | 9920 |
| USD | 5024521 | SGD | 6389000 | Royal Bank of Canada | 12/17/2025 | 99009 |
| USD | 585935 | THB | 18475000 | JPMorgan Chase Bank NA | 12/17/2025 | 12561 |
| USD | 542548 | TWD | 16564000 | Bank of America NA | 12/17/2025 | 2095 |
| USD | 905401 | TWD | 26990000 | Bank of America NA | 12/17/2025 | 24767 |
| USD | 4847026 | TWD | 144897000 | State Street Bank & Trust Co | 12/17/2025 | 119303 |
| USD | 559768 | TWD | 17144000 | State Street Bank & Trust Co | 12/17/2025 | 390 |
| USD | 516903 | ZAR | 8946000 | BNP Paribas SA | 12/17/2025 | 2316 |
| ZAR | 61508000 | USD | 3494091 | State Street Bank & Trust Co | 12/17/2025 | 43939 |
| **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** | **TOTAL FORWARD FOREIGN CURRENCY CONTRACTS** |  | **(157401)** |
| Unrealized Appreciation | Unrealized Appreciation | Unrealized Appreciation |  |  |  | 1789574 |
| Unrealized Depreciation | Unrealized Depreciation | Unrealized Depreciation |  |  |  | (1946975) |

---

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** | **Credit Default Swaps** |
| Underlying Reference | Rating(3) | Maturity <br> Date | Clearinghouse / <br> Counterparty(1) | Fixed<br> Payment<br> Received/<br> (Paid) | Payment<br> Frequency | Notional<br> Amount(4)(5) | Notional<br> Amount(4)(5) | Value ($)(3) | Upfront<br> Premium<br> Received/<br> (Paid) ($)(2) | Unrealized <br> Appreciation/<br> (Depreciation) ($) |
| Buy Protection |  |  |  |  |  |  |  |  |  |  |
| iTraxx Europe Series 44 Index |  | 12/20/2030 | ICE | (1%) | Quarterly | EUR | 64600000 | (1906) | 0 | (1906) |
| 5Y CDX EM CDSI Series 44 Index |  | 12/20/2030 | ICE | (1%) | Quarterly |  | 14396000 | (72) | 0 | (72) |
| 5Y CDX NA IG Series 45 Index |  | 12/20/2030 | ICE | (1%) | Quarterly |  | 76718000 | (12433) | 0 | (12433) |
| **TOTAL BUY PROTECTION** |  |  |  |  |  |  |  | (14411) | 0 | (14411) |
| Sell Protection |  |  |  |  |  |  |  |  |  |  |
| iTraxx Crossover Series 44 Index | NR | 12/20/2030 | ICE | 5% | Quarterly | EUR | 16005000 | 40559 | 0 | 40559 |
| 5Y CDX NA HY Series 45 Index | NR | 12/20/2030 | ICE | 5% | Quarterly |  | 38946000 | 54310 | 0 | 54310 |
| **TOTAL SELL PROTECTION** |  |  |  |  |  |  |  | 94869 | 0 | 94869 |
| **TOTAL CREDIT DEFAULT SWAPS** |  |  |  |  |  |  |  | **80458** | **0** | **80458** |

---

(1)Swaps with Intercontinental Exchange (ICE) are centrally cleared swaps.

(2)Any premiums for centrally cleared swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).

(3)Ratings are presented for credit default swaps in which the Fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent a weighted average of the ratings of all securities included in the index. The credit rating or value can be measures of the current payment/performance risk. Ratings are from Moody's Investors Service, Inc. Where Moody's® ratings are not available, S&P® ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes.

(4)The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Fund could be required to make if a credit event were to occur.

(5)Notional amount is stated in U.S. Dollars unless otherwise noted.

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** | **Total Return Swaps** |
| Underlying Reference | Pay/<br> Receive<br> Reference | Reference<br> Payment<br> Frequency | Financing<br> Rate | Financing<br> Frequency | Counterparty | Maturity<br> Date | Units | Notional<br> Amount | Value ($)<br>| Upfront<br> Premium<br> Received/<br> (Paid) ($)<br>| Unrealized <br> Appreciation/<br> (Depreciation) ($)<br>|
| iShares Core S&P 500 ETF | Pay | Monthly | U.S. SOFR Index plus 54.76 basis points | Monthly | Goldman Sachs International | 12/9/2025 | 9300 | 6253506 | (100141) | 0 | (100141) |
| **TOTAL RETURN SWAPS** |  |  |  |  |  |  |  |  | **(100141)** | **0** | **(100141)** |

---

**Currency Abbreviations**

---

| | | |
|:---|:---|:---|
| AUD | - | Australian Dollar |
| BRL | - | Brazilian Real |
| CAD | - | Canadian Dollar |
| CHF | - | Swiss Franc |
| CLP | - | Chilean Peso |
| CNH | - | Chinese Offshore Currency |
| COP | - | Colombian Peso |
| CZK | - | Czech Koruna |
| EUR | - | European Monetary Unit (Euro) |
| GBP | - | British Pound Sterling |
| HUF | - | Hungarian Forint |
| IDR | - | Indonesian Rupiah |
| ILS | - | Israeli Shekel |
| INR | - | Indian Rupee |
| JPY | - | Japanese Yen |
| KRW | - | Korean Won |
| MXN | - | Mexican Peso |
| NOK | - | Norwegian Krone |
| NZD | - | New Zealand Dollar |
| PEN | - | Peruvian New Sol |
| PHP | - | Philippines |
| PLN | - | Polish Zloty |
| RON | - | Romanian Leu |
| SEK | - | Swedish Krona |
| SGD | - | Singapore Dollar |
| THB | - | Thai Baht |
| TWD | - | Taiwan Dollar |
| USD | - | United States Dollar |
| ZAR | - | South African Rand |

---

**Security Type Abbreviations**

ETF - EXCHANGE-TRADED FUND

**Legend**

(a) Amount is stated in United States dollars unless otherwise noted.

(b) Yield represents either the annualized yield at the date of purchase, or the stated coupon rate, or, for floating and adjustable rate securities, the rate at period end.

(c) Security or a portion of the security has been segregated as collateral for over the counter (OTC) derivatives. At period end, the value of securities pledged amounts to $3,132,571.

(d) Security or a portion of the security was pledged to cover margin requirements for centrally cleared swaps. At period end, the value of securities pledged amounted to $2,114,311.

(e) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $12,650,960.

(f) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

**Affiliated Central Funds**

Fiscal year to date information regarding the Fund's investments in Fidelity Central Funds, including the ownership percentage, is presented below.

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Affiliate  | Value,<br> beginning<br> of period ($) | Purchases ($) | Sales<br> Proceeds ($) | Dividend<br> Income ($) | Realized<br> Gain (loss) ($) | Change in<br> Unrealized<br> appreciation<br> (depreciation) ($) | Value,<br> end<br> of period ($) | <br>Shares,<br> end<br> of period  | % ownership,<br> end<br> of period |
| Fidelity Cash Central Fund | - | 38194244 | 25050442 | 199006 | 17 | - | 13143819 | 13141191 | 0.0% |
| Total | - | 38194244 | 25050442 | 199006 | 17 | - | 13143819 |  |  |

---

Amounts in the dividend income column in the above table include any capital gain distributions from underlying funds.

**Investment Valuation**

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Securities transactions are accounted for as of trade date. The Board of Trustees (the Board) has designated the Fund's investment adviser as the valuation designee responsible for the fair valuation function and performing fair value determinations as needed. The investment adviser has established a Fair Value Committee (the Committee) to carry out the day-to-day fair valuation responsibilities and has adopted policies and procedures to govern the fair valuation process and the activities of the Committee. In accordance with these fair valuation policies and procedures, which have been approved by the Board, the Fund attempts to obtain prices from one or more third party pricing services or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with the policies and procedures. Factors used in determining fair value vary by investment type and may include market or investment specific events, transaction data, estimated cash flows, and market observations of comparable investments. The frequency that the fair valuation procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee manages the Fund's fair valuation practices and maintains the fair valuation policies and procedures. The Fund's investment adviser reports to the Board information regarding the fair valuation process and related material matters.

The inputs to valuation techniques used to value investments are categorized into a disclosure hierarchy consisting of three levels as shown below:

Level 1 - Unadjusted quoted prices in active markets for identical investments

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)

Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)

Valuation techniques used to value investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing services or from brokers who make markets in such securities. U.S. Treasury Obligations are valued by pricing services who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Swaps are marked-to-market daily based on valuations from third party pricing services, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as movements in the underlying index interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing services. Swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Exchange-Traded Funds (ETFs) and Exchange-Traded Notes (ETNs) are valued at their last sale price or official closing price as reported by a third party pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day but the exchange reports a closing bid level, ETFs and ETNs are valued at the closing bid and would be categorized as Level 1 in the hierarchy. In the event there was no closing bid, ETFs and ETNs may be valued by another method that the Board believes reflects fair value in accordance with the Board's fair value pricing policies and may be categorized as Level 2 in the hierarchy.

The U.S. dollar value of forward foreign currency contracts is determined using currency exchange rates supplied by a pricing service and are categorized as Level 2 in the hierarchy.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.

Investments in any open-end mutual funds are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.

Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy.

**Derivative Instruments**

Risk Exposures and the Use of Derivative Instruments: The Fund's investment objectives allow the Fund to enter into various types of derivative contracts. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.

The Fund used derivatives to increase returns, to gain exposure to certain types of assets and/or to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.

The Fund's use of derivatives increased or decreased its exposure to the following risk(s):

Commodity Risk - Commodity Risk is the risk that the value of a commodity will fluctuate as a result of changes in market prices.

Credit Risk - Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund.

Equity Risk - Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment.

Foreign Exchange Risk - Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates.

Interest Rate Risk - Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates.

The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund.

Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net the amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Consolidated Schedule of Investments. Exchange-traded contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to these contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared swaps may be mitigated by the protection provided by the clearinghouse.

Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.

Forward Foreign Currency Contracts: Forward foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into.

The Fund used forward foreign currency contracts to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.

Open forward foreign currency contracts at period end are presented in the Consolidated Schedule of Investments under the caption "Forward Foreign Currency Contracts." The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end.

Futures Contracts: A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a specified price at a specified future date.

The Fund used futures contracts to manage its exposure to the stock market.

The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.

The Fund used futures contracts to manage its exposure to the commodities market.

Open futures contracts at period end are presented in the Consolidated Schedule of Investments under the caption "Futures Contracts". The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end. Any securities and/or cash deposited to meet initial margin requirements are identified in the Consolidated Schedule of Investments.

Swaps: A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount.

A centrally cleared swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.

A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap.

Credit Default Swaps: Credit default swaps enable the Fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs. For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Consolidated Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index. Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Consolidated Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, FMR monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/ performance risk.

Total Return Swaps: Total return swaps are agreements between counterparties to exchange cash flows, one based on a market-linked return of an individual asset or a basket of assets (i.e., an index), and the other on a fixed or floating rate. To the extent the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting payment obligation, the Fund will receive a payment from or make a payment to the counterparty. The Fund entered into total return swaps to manage its commodities market exposure.

Open swaps at period end are included in the Consolidated Schedule of Investments under the caption Credit Default Swaps, Interest Rate Swaps and/or Total Return Swaps, as applicable.

For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual shareholder report.

*The fund's consolidated schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus.*

*Third party trademarks and service marks are the property of their respective owners. All other trademarks and service marks are the property of FMR LLC or an affiliate.*

## Form NPORT-P: Monthly Portfolio Investments Report

### NPORT-P: Part A: General Information

**Item A.1. Information about the Registrant.**

- **a. Name of Registrant:** Fidelity Greenwood Street Trust

- **b. Investment Company Act file number:** 811-23762

- **c. CIK number of Registrant:** 0001898391

- **d. LEI of Registrant:** 549300467DYGTZIRI308

- **e. Address and telephone number of Registrant.**

  - **Street Address 1:** 245 Summer Street

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02210

  - **Telephone number:** 1-800-FIDELITY

**Item A.2. Information about the Series.**

- **a. Name of Series:** Fidelity Managed Futures ETF

- **b. EDGAR series identifier (if any):** S000092140

- **c. LEI of Series:** 254900M2BF7VO8TN0H62

**Item A.3. Reporting period.**

- **a. Date of fiscal year-end:** 2026-01-31

- **b. Date as of which information is reported:** 2025-10-31

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **No**

### Fund Information

**Total Assets:** $132940886.15

**Total Liabilities:** $6677497.72

**Net Assets:** $126263388.43

**Amount of Assets Invested in Other Investment Companies:** $25360252.20

**Cash Not Reported:** $12495.24

**Currency Risk Metrics (dv01):**

- 

**Credit Spread Risk - Investment Grade (dv01):**

- **3-Month:** 578.18761000 | **1-Year:** 0.00000000 | **5-Year:** 144.54902000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Credit Spread Risk - Non-Investment Grade (dv01):**

- **3-Month:** 0.00000000 | **1-Year:** 0.00000000 | **5-Year:** 0.00000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000260067 | 1.27%                | 2.36%                | 1.64%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $3374.51                 | $169776.15                                 |
| Month 2  | $-10361.09               | $167106.57                                 |
| Month 3  | $-5814.15                | $159462.93                                 |

**Designated Index Information**

- **Index Name:** N/A

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                                                | Title                                  | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| LONDON METAL EXCHANGE                               | LME PRI ALUM FUTR NOV25 LAX25          | CUSIP: N/A<br>LEI: 213800NB8G5VRT1DXC91       | N/A              | DCO              | CORP              | GB        |        39 | NC      | $91097.31     | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA, N.A.                               | FX Forward: RON/USD settle 2025-12-17  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-171341.14   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| Old Name : iShares Ultra Short-Term Bond Active ETF | iShares Core S and P 500 ETF           | CUSIP: 464287200<br>LEI: 549300G3FWQPUM47D181 | Long             | EC               | RF                | US        |      9300 | NS      | $6372639.00   | 5.05%             |  |  |  | No            |                  1 | On Loan: No      |
| LONDON METAL EXCHANGE                               | LME LEAD FUTURE NOV25 LLX5             | CUSIP: N/A<br>LEI: 213800NB8G5VRT1DXC91       | N/A              | DCO              | CORP              | GB        |       -38 | NC      | $-20865.48    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| SINGAPORE EXCHANGE DERIVATIVES CLEARING LTD         | FTSE CHINA A50 FUT NOV25 XUX5          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | SG        |       150 | NC      | $-61953.00    | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA, N.A.                               | FX Forward: USD/TWD settle 2025-12-17  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $2095.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE-ICE FUTURES LTD                                 | BRENT CRUDE FUTR JAN26 COF6            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |        23 | NC      | $-20097.12    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| LONDON METAL EXCHANGE                               | LME ZINC FUTURE NOV25 LXX5             | CUSIP: N/A<br>LEI: 213800NB8G5VRT1DXC91       | N/A              | DCO              | CORP              | GB        |       -26 | NC      | $-71174.96    | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE-ICE FUTURES LTD                                 | ICE RTD MONTH COA FUT DEC25 XAZ5       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |        -5 | NC      | $-20804.60    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                         | FX Forward: USD/IDR settle 2025-12-17  | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |         1 | NC      | $-4923.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON METAL EXCHANGE                               | LME NICKEL FUTURE NOV25 LNX5           | CUSIP: N/A<br>LEI: 213800NB8G5VRT1DXC91       | N/A              | DCO              | CORP              | GB        |        14 | NC      | $-19525.92    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA, N.A.                               | FX Forward: SEK/USD settle 2025-12-17  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-12788.04    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                               | FX Forward: USD/KRW settle 2025-12-17  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $1322.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.                     | FX Forward: USD/SGD settle 2025-12-17  | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |         1 | NC      | $23612.68     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                         | LIVE CATTLE FUTR DEC25 LCZ5            | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DCO              | CORP              | US        |        25 | NC      | $19244.50     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                        | WTI CRUDE FUTURE MAR26 CLH6            | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |        -3 | NC      | $6442.74      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                              | US 10YR NOTE FUT (CBT)DEC25 TYZ5       | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        51 | NC      | $2002.26      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA, N.A.                               | FX Forward: SEK/USD settle 2025-12-17  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-13892.93    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                               | FX Forward: USD/CNY settle 2025-12-17  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $29615.29     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN EXCHANGE GROUP INC                            | PLATINUM (OSE) FUT AUG26 JAQ6          | CUSIP: N/A<br>LEI: 353800578ADEGIJTVW07       | N/A              | DCO              | CORP              | JP        |        33 | NC      | $-4894.30     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                 | FX Forward: USD/CAD settle 2025-12-17  | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $67372.84     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                  | FX Forward: USD/GBP settle 2025-12-17  | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $10349.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                              | KC HRW WHEAT FUT DEC25 KWZ5            | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |        -7 | NC      | $11127.60     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| HONG KONG FUTURES EXCHANGE                          | HANG SENG IDX FUT NOV25 HIX5           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | HK        |        11 | NC      | $-41058.48    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                         | 3 MONTH SOFR FUT MAR26 SFRH6           | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |       -33 | NC      | $14899.14     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX DEUTSCHLAND                                   | EURO STOXX 50 FUT DEC25 VGZ5           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | DE        |        37 | NC      | $93621.89     | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| UST BILLS                                           | UST BILLS 0% 11/28/2025                | CUSIP: 912797NL7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        | 107500000 | PA      | $107211526.97 | 84.91%            | 2025-11-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                  | FX Forward: THB/USD settle 2025-12-17  | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-49065.25    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                  | FX Forward: IDR/USD settle 2025-12-17  | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-17032.32    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE-ICE FUTURES LTD                                 | LOW SU GASOIL G FUT MAR26 QSH6         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |        10 | NC      | $11972.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                         | MILK FUTURE DEC25 DAZ5                 | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DCO              | CORP              | US        |       -13 | NC      | $-2299.26     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                  | FX Forward: GBP/USD settle 2025-12-17  | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-12522.61    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                              | SOYBEAN OIL FUTR MAR26 BOH6            | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |        31 | NC      | $-37265.55    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                 | FX Forward: ZAR/USD settle 2025-12-17  | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $43938.55     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                               | FX Forward: USD/CZK settle 2025-12-17  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $15032.96     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                  | FX Forward: HUF/USD settle 2025-12-17  | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-8354.70     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                | FX Forward: USD/KRW settle 2025-12-17  | CUSIP: N/A<br>LEI: ES7IP3U3RHIGC71XBU11       | N/A              | DFE              | CORP              | CA        |         1 | NC      | $27719.71     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| KOREA FUTURES EXCHANGE                              | KOREA 3YR BND FUT DEC25 KEZ5           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | KR        |       -86 | NC      | $45241.04     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA, N.A.                               | FX Forward: USD/TWD settle 2025-12-17  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $24766.62     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                                   | EURO-SCHATZ FUT DEC25 DUZ5             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |      -558 | NC      | $10719.33     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ROYAL BANK OF CANADA                                | FX Forward: USD/CNY settle 2025-12-17  | CUSIP: N/A<br>LEI: ES7IP3U3RHIGC71XBU11       | N/A              | DFE              | CORP              | CA        |         1 | NC      | $11285.90     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MONTREAL EXCHANGE (THE)                             | CAN 10YR BOND FUT DEC25 CNZ5           | CUSIP: N/A<br>LEI: 549300DKBYNOI0B1NP44       | N/A              | DIR              | CORP              | CA        |        69 | NC      | $-2052.28     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                           | ICE CDX ITXEB544 12/20/30              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              | CORP              | US        | -64600000 | NC      | $-121885.03   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE-ICE FUTURES LTD                                 | BRENT CRUDE FUTR MAY26 COK6            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |        -3 | NC      | $2964.60      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MONTREAL EXCHANGE (THE)                             | 3M CORRA FUTURES MAR26 CORH6           | CUSIP: N/A<br>LEI: 549300DKBYNOI0B1NP44       | N/A              | DIR              | CORP              | CA        |       211 | NC      | $47618.56     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                         | 3 MONTH SOFR FUT SEP26 SFRU6           | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |        96 | NC      | $-41621.82    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                 | FX Forward: USD/NZD settle 2025-12-17  | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $5224.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ITALIAN DERIVATIVES MARKET                          | FTSE/MIB IDX FUT DEC25 STZ5            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | IT        |        18 | NC      | $108598.64    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                  | FX Forward: EUR/USD settle 2025-12-17  | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-98900.14    | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                               | FX Forward: SGD/USD settle 2025-12-17  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-10205.43    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                               | FX Forward: USD/COP settle 2025-12-17  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-11672.60    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                       | 3MO EURO EURIBOR FUT MAR26 ERH6        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | GB        |      -108 | NC      | $4208.36      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                        | GASOLINE RBOB FUT MAR26 XBH6           | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |         3 | NC      | $4881.54      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA, N.A.                               | FX Forward: USD/HUF settle 2025-12-17  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $18133.18     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                                   | SWISS MKT IX FUTR DEC25 SMZ5           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | DE        |        29 | NC      | $77556.53     | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                 | FX Forward: USD/PEN settle 2025-12-17  | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-9867.05     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES US                                      | COTTON NO.2 FUTR DEC25 CTZ5            | CUSIP: N/A<br>LEI: 5493004R83R1LVX2IL36       | N/A              | DCO              | CORP              | US        |      -392 | NC      | $301579.96    | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| STOCKHOLM STOCK EXCHANGE                            | OMXS30 IND FUTURE NOV25 QCX5           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | SE        |       135 | NC      | $46361.83     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                  | FX Forward: USD/GBP settle 2025-12-17  | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $32669.09     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                               | FX Forward: CAD/USD settle 2025-12-17  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-285718.09   | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                               | FX Forward: USD/ILS settle 2025-12-17  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-22896.65    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON METAL EXCHANGE                               | LME NICKEL FUTURE JAN26 LNF6           | CUSIP: N/A<br>LEI: 213800NB8G5VRT1DXC91       | N/A              | DCO              | CORP              | GB        |       -13 | NC      | $-5143.80     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| SYDNEY FUTURES EXCHANGE LTD                         | AUST 3YR BOND FUT DEC25 YMZ5           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | AU        |      -107 | NC      | $37349.80     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA, N.A.                               | FX Forward: USD/NOK settle 2025-12-17  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $987.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.                     | FX Forward: USD/SGD settle 2025-12-17  | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |         1 | NC      | $9920.42      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                               | FX Forward: USD/BRL settle 2026-01-05  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $2334.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.                     | FX Forward: USD/GBP settle 2025-12-17  | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |         1 | NC      | $20996.37     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICAN FUTURES EXCHANGE                      | WHITE MAIZE-SAF FUT DEC25 WZZ5         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | ZA        |       -81 | NC      | $-58496.16    | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                         | NASDAQ 100 E-MINI FUT DEC25 NQZ5       | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DE               | CORP              | US        |         2 | NC      | $60650.64     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                       | ICE 3MTH SONIA FU FUT MAR26 SFIH6      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | GB        |       -60 | NC      | $-36148.41    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA, N.A.                               | FX Forward: PEN/USD settle 2025-12-17  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $1455.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN EXCHANGE GROUP INC                            | JPN 10Y BOND(OSE) FUT DEC25 JBZ5       | CUSIP: N/A<br>LEI: 353800578ADEGIJTVW07       | N/A              | DIR              | CORP              | JP        |        33 | NC      | $-162155.66   | -0.13%            |  |  |  | No            |                  1 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                 | FX Forward: GBP/USD settle 2025-12-17  | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-21712.08    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICAN FUTURES EXCHANGE                      | FTSE/JSE TOP 40 FUT DEC25 AIZ5         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | ZA        |         5 | NC      | $-2459.20     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                  | FX Forward: AUD/USD settle 2025-12-17  | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-78697.85    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                         | FX Forward: USD/ZAR settle 2025-12-17  | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |         1 | NC      | $2315.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.                     | FX Forward: USD/GBP settle 2025-12-17  | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |         1 | NC      | $12797.14     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.                     | FX Forward: USD/CHF settle 2025-12-17  | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-450.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MONTREAL EXCHANGE (THE)                             | S and P/TSX 60 IX FUT DEC25 PTZ5       | CUSIP: N/A<br>LEI: 549300DKBYNOI0B1NP44       | N/A              | DE               | CORP              | CA        |        14 | NC      | $52366.01     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES US                                      | SUGAR #11 (WORLD) FUT MAR26 SBH6       | CUSIP: N/A<br>LEI: 5493004R83R1LVX2IL36       | N/A              | DCO              | CORP              | US        |       -47 | NC      | $134936.31    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES US                                      | COTTON NO.2 FUTR MAR26 CTH6            | CUSIP: N/A<br>LEI: 5493004R83R1LVX2IL36       | N/A              | DCO              | CORP              | US        |       354 | NC      | $-268865.31   | -0.21%            |  |  |  | No            |                  1 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                 | FX Forward: CAD/USD settle 2025-12-17  | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-20096.52    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                  | FX Forward: USD/AUD settle 2025-12-17  | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $9531.93      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                               | FX Forward: USD/NOK settle 2025-12-17  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $17940.23     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                        | NY HARB ULSD FUT MAR26 HOH6            | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |        12 | NC      | $32947.96     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                              | US ULTRA BOND CBT FUT DEC25 WNZ5       | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        -7 | NC      | $-24409.49    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                         | FX Forward: CLP/USD settle 2025-12-17  | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |         1 | NC      | $57306.16     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON METAL EXCHANGE                               | LME LEAD FUTURE NOV25 LLX5             | CUSIP: N/A<br>LEI: 213800NB8G5VRT1DXC91       | N/A              | DCO              | CORP              | GB        |        38 | NC      | $22636.27     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                           | ICE CDX CXPEM544 12/20/30              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              | CORP              | US        | -14396000 | NC      | $-103077.09   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                         | FX Forward: USD/AUD settle 2025-12-17  | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |         1 | NC      | $22215.70     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| COMMODITY EXCHANGE INC                              | SILVER FUTURE DEC25 SIZ5               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | US        |         1 | NC      | $46612.48     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX DEUTSCHLAND                                   | EURO-BOBL FUTURE DEC25 OEZ5            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |       -48 | NC      | $-14134.44    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                              | CORN FUTURE DEC25 C Z5                 | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |      -106 | NC      | $-74267.25    | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA, N.A.                               | FX Forward: USD/INR settle 2025-12-17  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $10853.39     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                              | WHEAT FUTURE(CBT) MAR26 W H6           | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |       -19 | NC      | $-25927.27    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| BURSA MALAYSIA BHD                                  | CRUDE PALM OIL FU FUT JAN26 KOF6       | CUSIP: N/A<br>LEI: 254900CXCSGW8M52ZU27       | N/A              | DCO              | CORP              | MY        |         6 | NC      | $-11480.10    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| ROYAL BANK OF CANADA                                | FX Forward: NOK/USD settle 2025-12-17  | CUSIP: N/A<br>LEI: ES7IP3U3RHIGC71XBU11       | N/A              | DFE              | CORP              | CA        |         1 | NC      | $-17866.34    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                              | SOYBEAN OIL FUTR JAN26 BOF6            | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |       -19 | NC      | $22288.62     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA, N.A.                               | FX Forward: USD/JPY settle 2025-12-17  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $28521.69     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| COMMODITY EXCHANGE INC                              | GOLD 100 OZ FUTR DEC25 GCZ5            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | US        |         2 | NC      | $-60765.04    | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| THAILAND FUTURES EXCHANGE                           | SET50 FUTURES DEC25 BCZ5               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | TH        |       838 | NC      | $173295.63    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                         | 3 MONTH SOFR FUT DEC25 SFRZ5           | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |       -55 | NC      | $21369.40     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                 | FX Forward: USD/CAD settle 2025-12-17  | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $3608.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MONTREAL EXCHANGE (THE)                             | 3M CORRA FUTURES JUN26 CORM6           | CUSIP: N/A<br>LEI: 549300DKBYNOI0B1NP44       | N/A              | DIR              | CORP              | CA        |       146 | NC      | $45597.43     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                 | FX Forward: USD/ILS settle 2025-12-17  | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-992.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.                     | FX Forward: USD/CAD settle 2025-12-17  | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |         1 | NC      | $388.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                        | CHICAGO ETHANOL S FUT DEC25 CUAZ5      | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |        16 | NC      | $-16733.72    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                         | LEAN HOGS FUTURE DEC25 LHZ5            | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DCO              | CORP              | US        |      -470 | NC      | $1275326.84   | 1.01%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX DEUTSCHLAND                                   | EURO-BTP FUTURE DEC25 IKZ5             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |        53 | NC      | $97991.57     | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                              | SOYBEAN MEAL FUTR JAN26 SMF6           | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |       -33 | NC      | $-140242.32   | -0.11%            |  |  |  | No            |                  1 | On Loan: No      |
| MEFF RENTA VAR EXCH (MADRID)                        | IBEX 35 INDX FUTR NOV25 IBX5           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | ES        |        20 | NC      | $95724.64     | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                  | FX Forward: JPY/USD settle 2025-12-17  | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-12260.14    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                       | ICE 3MTH SONIA FU FUT SEP26 SFIU6      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |        85 | NC      | $44861.00     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE-ICE FUTURES LTD                                 | DUBAI 1ST LINE FUT JAN26 DATF6         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |       -27 | NC      | $-74235.77    | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| ROYAL BANK OF CANADA                                | FX Forward: INR/USD settle 2025-12-17  | CUSIP: N/A<br>LEI: ES7IP3U3RHIGC71XBU11       | N/A              | DFE              | CORP              | CA        |         1 | NC      | $-31859.11    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE - AGRICULTURAL PRODUCTS DIVISION | WHITE SUGAR (ICE) FUT DEC25 QWZ5       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |        -8 | NC      | $18346.64     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA, N.A.                               | FX Forward: USD/PHP settle 2025-12-17  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $7961.16      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                       | ICE 3MTH SONIA FU FUT JUN26 SFIM6      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | GB        |         1 | NC      | $-50.68       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ROYAL BANK OF CANADA                                | FX Forward: NZD/USD settle 2025-12-17  | CUSIP: N/A<br>LEI: ES7IP3U3RHIGC71XBU11       | N/A              | DFE              | CORP              | CA        |         1 | NC      | $-384343.65   | -0.30%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON METAL EXCHANGE                               | LME PRI ALUM FUTR NOV25 LAX25          | CUSIP: N/A<br>LEI: 213800NB8G5VRT1DXC91       | N/A              | DCO              | CORP              | GB        |       -39 | NC      | $-17095.44    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA, N.A.                               | FX Forward: USD/KRW settle 2025-12-17  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $9720.06      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                         | LEAN HOGS FUTURE APR26 LHJ6            | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DCO              | CORP              | US        |       405 | NC      | $-692542.38   | -0.55%            |  |  |  | No            |                  1 | On Loan: No      |
| EUROPEAN ENERGY EXCHANGE AG                         | FRENCH BASE M FUT DEC25 FACZ5          | CUSIP: N/A<br>LEI: 529900J0JGLSFDWNFC20       | N/A              | DCO              | CORP              | DE        |       -10 | NC      | $64033.13     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.                     | FX Forward: USD/CAD settle 2025-12-17  | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |         1 | NC      | $1112.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON METAL EXCHANGE                               | LME NICKEL FUTURE NOV25 LNX5           | CUSIP: N/A<br>LEI: 213800NB8G5VRT1DXC91       | N/A              | DCO              | CORP              | GB        |       -14 | NC      | $15047.04     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.                     | FX Forward: USD/SGD settle 2025-12-17  | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |         1 | NC      | $2600.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                               | FX Forward: USD/SEK settle 2025-12-17  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $1708.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES US                                      | COCOA FUTURE MAR26 CCH6                | CUSIP: N/A<br>LEI: 5493004R83R1LVX2IL36       | N/A              | DCO              | CORP              | US        |        -2 | NC      | $-3866.04     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                 | FX Forward: USD/NZD settle 2025-12-17  | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $477.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                           | ICE CDX ITXEX544 12/20/30              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              | CORP              | US        |  16005000 | NC      | $102002.22    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| EUROPEAN ENERGY DERIVATIVES EXCHANGE NV             | TTF NAT GAS F FUT DEC25 TZTZ5          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | NL        |       -30 | NC      | $29393.75     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA, N.A.                               | FX Forward: USD/CHF settle 2025-12-17  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $9366.27      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                 | FX Forward: CAD/USD settle 2025-12-17  | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-39755.71    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                  | FX Forward: USD/PHP settle 2025-12-17  | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $6309.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                               | FX Forward: GBP/USD settle 2025-12-17  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-16902.51    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SINGAPORE EXCHANGE DERIVATIVES CLEARING LTD         | SGX IRON ORE 62% FUT DEC25 SCOZ5       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | SG        |       189 | NC      | $37826.32     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA, N.A.                               | FX Forward: USD/PLN settle 2025-12-17  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $3749.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                  | FX Forward: PLN/USD settle 2025-12-17  | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-49174.39    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                 | FX Forward: PHP/USD settle 2025-12-17  | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-219658.68   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN EXCHANGE GROUP INC                            | TOPIX INDX FUTR DEC25 TPZ5             | CUSIP: N/A<br>LEI: 353800578ADEGIJTVW07       | N/A              | DE               | CORP              | JP        |        19 | NC      | $239185.19    | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| KOREA FUTURES EXCHANGE                              | KOREA 10YR BND FU FUT DEC25 KAAZ5      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | KR        |        38 | NC      | $-65788.94    | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                 | FX Forward: USD/CHF settle 2025-12-17  | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $6022.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                       | 3MO EURO EURIBOR FUT DEC25 ERZ5        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | GB        |      -214 | NC      | $15441.15     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| MONTREAL EXCHANGE (THE)                             | 3M CORRA FUTURES DEC25 CORZ5           | CUSIP: N/A<br>LEI: 549300DKBYNOI0B1NP44       | N/A              | DIR              | CORP              | CA        |       306 | NC      | $39273.78     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE - AGRICULTURAL PRODUCTS DIVISION | WHITE SUGAR (ICE) FUT MAR26 QWH6       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |       -10 | NC      | $13348.30     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA, N.A.                               | FX Forward: GBP/USD settle 2025-12-17  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-4813.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COMMODITY EXCHANGE INC                              | COPPER FUTURE DEC25 HGZ5               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | US        |        -1 | NC      | $-12952.52    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| LONDON METAL EXCHANGE                               | LME LEAD FUTURE JAN26 LLF6             | CUSIP: N/A<br>LEI: 213800NB8G5VRT1DXC91       | N/A              | DCO              | CORP              | GB        |       -20 | NC      | $-15249.20    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA, N.A.                               | FX Forward: USD/KRW settle 2025-12-17  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-6082.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                  | FX Forward: GBP/USD settle 2025-12-17  | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-167733.60   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| HONG KONG FUTURES EXCHANGE                          | HSCEI FUTURES NOV25 HCX5               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | HK        |        19 | NC      | $-32900.74    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| NSE IFSC                                            | IFSC NIFTY 50 FUT NOV25 JGSX5          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | IN        |       -63 | NC      | $33342.35     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                              | WHEAT FUTURE(CBT) DEC25 W Z5           | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |        -3 | NC      | $4527.90      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                  | FX Forward: USD/SEK settle 2025-12-17  | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $128376.01    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                         | FX Forward: BRL/USD settle 2026-01-05  | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |         1 | NC      | $-1004.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES US                                      | COCOA FUTURE DEC25 CCZ5                | CUSIP: N/A<br>LEI: 5493004R83R1LVX2IL36       | N/A              | DCO              | CORP              | US        |       -40 | NC      | $833672.42    | 0.66%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                         | FX Forward: USD/GBP settle 2025-12-17  | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |         1 | NC      | $6766.80      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                 | FX Forward: CHF/USD settle 2025-12-17  | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-11340.50    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                           | ICE CDX CXPHY545 12/20/30              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              | CORP              | US        |  38946000 | NC      | $54309.53     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.                     | FX Forward: USD/EUR settle 2025-12-17  | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |         1 | NC      | $6373.30      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                  | FX Forward: USD/THB settle 2025-12-17  | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $12560.73     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SINGAPORE EXCHANGE DERIVATIVES CLEARING LTD         | TSR20 FOB FUT SCE JAN26 ORF6           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | SG        |      -235 | NC      | $-21014.78    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| LONDON METAL EXCHANGE                               | LME LEAD FUTURE JAN26 LLF6             | CUSIP: N/A<br>LEI: 213800NB8G5VRT1DXC91       | N/A              | DCO              | CORP              | GB        |        18 | NC      | $-3683.28     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                        | NY HARB ULSD FUT JAN26 HOF6            | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |        17 | NC      | $94442.30     | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                         | S and P MID 400 EMINI FUT DEC25 FAZ5   | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DE               | CORP              | US        |         4 | NC      | $-17328.72    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA, N.A.                               | FX Forward: PEN/USD settle 2025-12-17  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $255633.67    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                  | FX Forward: CZK/USD settle 2025-12-17  | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-48931.13    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.                     | FX Forward: USD/CNY settle 2025-12-17  | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |         1 | NC      | $123.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                        | PALLADIUM FUTURE DEC25 PAZ5            | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |         5 | NC      | $150347.40    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                         | LIVE CATTLE FUTR APR26 LCJ6            | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DCO              | CORP              | US        |        10 | NC      | $-68276.87    | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| MONTREAL EXCHANGE (THE)                             | 3M CORRA FUTURES SEP26 CORU6           | CUSIP: N/A<br>LEI: 549300DKBYNOI0B1NP44       | N/A              | DIR              | CORP              | CA        |       126 | NC      | $18073.83     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA, N.A.                               | FX Forward: USD/SGD settle 2025-12-17  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $2865.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                               | FX Forward: USD/NZD settle 2025-12-17  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $3668.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                              | SOYBEAN MEAL FUTR MAR26 SMH6           | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |       -20 | NC      | $-74063.36    | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA, N.A.                               | FX Forward: USD/SEK settle 2025-12-17  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $3969.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                               | FX Forward: USD/IDR settle 2025-12-17  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-3532.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON METAL EXCHANGE                               | LME ZINC FUTURE JAN26 LXF6             | CUSIP: N/A<br>LEI: 213800NB8G5VRT1DXC91       | N/A              | DCO              | CORP              | GB        |        23 | NC      | $13925.92     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                       | FTSE 100 IDX FUT DEC25 Z Z5            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | GB        |        16 | NC      | $78484.68     | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                        | MT BELV PROP 5 DE FUT DEC25 BAPZ5      | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |        13 | NC      | $4063.54      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES US                                      | COFFEE 'C' FUTURE DEC25 KCZ5           | CUSIP: N/A<br>LEI: 5493004R83R1LVX2IL36       | N/A              | DCO              | CORP              | US        |         1 | NC      | $9821.98      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                  | FX Forward: HUF/USD settle 2025-12-17  | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $1444.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUROPEAN ENERGY EXCHANGE AG                         | ITALIAN BASE M FU FUT DEC25 ITPZ5      | CUSIP: N/A<br>LEI: 529900J0JGLSFDWNFC20       | N/A              | DCO              | CORP              | DE        |       -14 | NC      | $1662.37      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE-ICE FUTURES LTD                                 | LOW SU GASOIL G FUT JAN26 QSF6         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |        27 | NC      | $88001.40     | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Fidelity Revere Street Trust                        | Fidelity Cash Central Fund             | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |  13141191 | NS      | $13143818.82  | 10.41%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                              | SOYBEAN FUTURE JAN26 S F6              | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |        15 | NC      | $60764.25     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                 | FX Forward: USD/CAD settle 2025-12-17  | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $18020.27     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                               | FX Forward: MXN/USD settle 2025-12-17  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $58272.69     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                | FX Forward: USD/CHF settle 2025-12-17  | CUSIP: N/A<br>LEI: ES7IP3U3RHIGC71XBU11       | N/A              | DFE              | CORP              | CA        |         1 | NC      | $28144.40     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                              | US 2YR NOTE (CBT) FUT DEC25 TUZ5       | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |      -189 | NC      | $1845.51      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SINGAPORE EXCHANGE DERIVATIVES CLEARING LTD         | FTSE TAIWAN INDEX FUT NOV25 TWTX5      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | SG        |       -37 | NC      | $-35091.54    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                 | FX Forward: USD/AUD settle 2025-12-17  | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $11269.90     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                 | FX Forward: USD/TWD settle 2025-12-17  | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $119302.50    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE-ICE FUTURES LTD                                 | UK NATURAL GAS FUTDEC25 FNZ5           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |       -25 | NC      | $32080.44     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                 | FX Forward: USD/CHF settle 2025-12-17  | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $21106.90     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN EXCHANGE GROUP INC                            | NIKKEI 225 (OSE) FUT DEC25 NKZ5        | CUSIP: N/A<br>LEI: 353800578ADEGIJTVW07       | N/A              | DE               | CORP              | JP        |        11 | NC      | $600038.02    | 0.48%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                       | LONG GILT FUTURE DEC25 G Z5            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |        -1 | NC      | $-4303.54     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                 | FX Forward: USD/SEK settle 2025-12-17  | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $13921.33     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                              | KC HRW WHEAT FUT MAR26 KWH6            | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |       -19 | NC      | $-19671.95    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                 | FX Forward: NZD/USD settle 2025-12-17  | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-54433.76    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                              | CORN FUTURE MAR26 C H6                 | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |       -45 | NC      | $-44414.32    | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| SOUTH AFRICAN FUTURES EXCHANGE                      | YELLOW MAIZE-SAF FUT DEC25 YWZ5        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | ZA        |       -96 | NC      | $-58026.60    | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| LONDON METAL EXCHANGE                               | LME ZINC FUTURE NOV25 LXX5             | CUSIP: N/A<br>LEI: 213800NB8G5VRT1DXC91       | N/A              | DCO              | CORP              | GB        |        26 | NC      | $33803.79     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA, N.A.                               | FX Forward: COP/USD settle 2025-12-17  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $160416.02    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                 | FX Forward: USD/NOK settle 2025-12-17  | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $7867.23      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                       | ICE 3MTH SONIA FU FUT DEC25 SFIZ5      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | GB        |       -73 | NC      | $166.10       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                         | IVV 12/09/2025 GS 54.76bps + SOFR ETRS | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DIR              | CORP              | GB        |      9300 | NC      | $-100140.91   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON METAL EXCHANGE                               | LME PRI ALUM FUTR JAN26 LAF26          | CUSIP: N/A<br>LEI: 213800NB8G5VRT1DXC91       | N/A              | DCO              | CORP              | GB        |        45 | NC      | $110469.30    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX DEUTSCHLAND                                   | EURO-OAT FUTURE DEC25 OATZ5            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |        63 | NC      | $90430.59     | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                 | FX Forward: USD/NZD settle 2025-12-17  | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $37692.08     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| EURONEXT PARIS MATIF                                | RAPESEED EURO FUT FEB26 IJG6           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | FR        |       -23 | NC      | $-19863.00    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX DEUTSCHLAND                                   | EURO-BUXL 30Y BND FUT DEC25 UBZ5       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |        -4 | NC      | $-11672.97    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| EUROPEAN ENERGY EXCHANGE AG                         | PHELIX DE BASE M FUT DEC25 DETZ5       | CUSIP: N/A<br>LEI: 529900J0JGLSFDWNFC20       | N/A              | DCO              | CORP              | DE        |        -2 | NC      | $-6095.29     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| SINGAPORE EXCHANGE DERIVATIVES CLEARING LTD         | MSCI SING IX ETS FUT NOV25 QZX5        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | SG        |        75 | NC      | $-17990.30    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                        | GASOLINE RBOB FUT JAN26 XBF6           | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |        -1 | NC      | $-1514.42     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| SYDNEY FUTURES EXCHANGE LTD                         | AUST 10Y BOND FUT DEC25 XMZ5           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | AU        |        72 | NC      | $-26803.92    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                 | FX Forward: USD/JPY settle 2025-12-17  | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $6198.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.                     | FX Forward: USD/CAD settle 2025-12-17  | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |         1 | NC      | $13080.93     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                                   | EURO-BUND FUTURE DEC25 RXZ5            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |         8 | NC      | $-5917.93     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| LONDON METAL EXCHANGE                               | LME NICKEL FUTURE JAN26 LNF6           | CUSIP: N/A<br>LEI: 213800NB8G5VRT1DXC91       | N/A              | DCO              | CORP              | GB        |        12 | NC      | $-13152.84    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                         | S and P500 EMINI FUT DEC25 ESZ5        | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DE               | CORP              | US        |         2 | NC      | $-4079.36     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                        | NATURAL GAS FUTR JAN26 NGF26           | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |         1 | NC      | $1257.48      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                       | 3MO EURO EURIBOR FUT SEP26 ERU6        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |        80 | NC      | $974.04       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                 | FX Forward: USD/CHF settle 2025-12-17  | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $3449.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.                     | FX Forward: USD/SGD settle 2025-12-17  | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |         1 | NC      | $1705.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                               | FX Forward: USD/CLP settle 2025-12-17  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-9748.51     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                           | ICE CDX CDXIG545 12/20/30              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              | CORP              | US        | -77972000 | NC      | $-8831.34     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON METAL EXCHANGE                               | LME ZINC FUTURE JAN26 LXF6             | CUSIP: N/A<br>LEI: 213800NB8G5VRT1DXC91       | N/A              | DCO              | CORP              | GB        |        -4 | NC      | $-11556.84    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                        | WTI CRUDE FUTURE JAN26 CLF6            | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |        15 | NC      | $2603.70      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                       | 3MO EURO EURIBOR FUT JUN26 ERM6        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |        27 | NC      | $-3131.25     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                  | FX Forward: USD/AUD settle 2025-12-17  | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $737.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                         | E-MINI RUSS 2000 FUT DEC25 RTYZ5       | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DE               | CORP              | US        |        12 | NC      | $19305.86     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE - AGRICULTURAL PRODUCTS DIVISION | COCOA FUTURE - IC MAR26 QCH6           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |       -11 | NC      | $-40443.00    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA, N.A.                               | FX Forward: USD/PHP settle 2025-12-17  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $28786.42     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                                   | DAX INDEX FUTURE DEC25 GXZ5            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | DE        |         2 | NC      | $-12092.20    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA, N.A.                               | FX Forward: USD/IDR settle 2025-12-17  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $76.40        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUROPEAN ENERGY DERIVATIVES EXCHANGE NV             | ECX EMISSION FUT DEC25 MOZ25           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | NL        |        19 | NC      | $-6310.19     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES ABU DHABI                               | MURBAN CRUDE FUT JAN26 MUCF26          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | AE        |        22 | NC      | $54721.72     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| SOUTH AFRICAN FUTURES EXCHANGE                      | WHEAT FUTURE-SAF DEC25 EBZ5            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | ZA        |      -213 | NC      | $64360.69     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                         | FX Forward: USD/EUR settle 2025-12-17  | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |         1 | NC      | $1956.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                  | FX Forward: USD/SEK settle 2025-12-17  | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $8785.19      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.                     | FX Forward: USD/NZD settle 2025-12-17  | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |         1 | NC      | $192.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                                | FX Forward: USD/SGD settle 2025-12-17  | CUSIP: N/A<br>LEI: ES7IP3U3RHIGC71XBU11       | N/A              | DFE              | CORP              | CA        |         1 | NC      | $99008.66     | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                              | SOYBEAN FUTURE MAR26 S H6              | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |       -20 | NC      | $-64029.75    | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| SYDNEY FUTURES EXCHANGE LTD                         | SPI 200 FUTURES DEC25 XPZ5             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | AU        |        14 | NC      | $-2452.75     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.                     | FX Forward: USD/EUR settle 2025-12-17  | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |         1 | NC      | $11148.42     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                 | FX Forward: USD/PHP settle 2025-12-17  | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-485.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BROWN BROTHERS HARRIMAN and CO.                     | FX Forward: USD/EUR settle 2025-12-17  | CUSIP: N/A<br>LEI: 5493006KMX1VFTPYPW14       | N/A              | DFE              | CORP              | US        |         1 | NC      | $5265.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                         | CME ETHER FUTURE NOV25 DCRX5           | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DE               | CORP              | US        |         4 | NC      | $-1260.68     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                 | FX Forward: USD/CAD settle 2025-12-17  | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-593.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KOREA FUTURES EXCHANGE                              | KOSPI2 INX FUT DEC25 KMZ5              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | KR        |        24 | NC      | $608058.34    | 0.48%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA, N.A.                               | FX Forward: BRL/USD settle 2026-01-05  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $101464.33    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                               | FX Forward: USD/NOK settle 2025-12-17  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $3205.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                               | FX Forward: USD/INR settle 2025-12-17  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1167.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                 | FX Forward: CHF/USD settle 2025-12-17  | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-6237.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                  | FX Forward: USD/IDR settle 2025-12-17  | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1287.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES US                                      | MSCI EAFE FUT DEC25 MFSZ5              | CUSIP: N/A<br>LEI: 5493004R83R1LVX2IL36       | N/A              | DE               | CORP              | US        |        10 | NC      | $3172.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LONDON METAL EXCHANGE                               | LME PRI ALUM FUTR JAN26 LAF26          | CUSIP: N/A<br>LEI: 213800NB8G5VRT1DXC91       | N/A              | DCO              | CORP              | GB        |       -13 | NC      | $-37502.98    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                              | US 5YR NOTE (CBT) FUT DEC25 FVZ5       | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |       -47 | NC      | $-3898.82     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES US                                      | COFFEE 'C' FUTURE MAR26 KCH6           | CUSIP: N/A<br>LEI: 5493004R83R1LVX2IL36       | N/A              | DCO              | CORP              | US        |         4 | NC      | $10300.42     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                         | BUTTER CASH FUTR DEC25 UDAZ5           | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DCO              | CORP              | US        |       -24 | NC      | $91232.52     | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA, N.A.                               | FX Forward: USD/COP settle 2025-12-17  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-891.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                               | FX Forward: SEK/USD settle 2025-12-17  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-3625.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                  | FX Forward: USD/CAD settle 2025-12-17  | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1276.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                        | PLATINUM FUTURE JAN26 PLF6             | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |        11 | NC      | $96191.28     | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA, N.A.                               | FX Forward: USD/PHP settle 2025-12-17  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $3729.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                              | US LONG BOND(CBT) FUT DEC25 USZ5       | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        17 | NC      | $-18620.23    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                         | 3 MONTH SOFR FUT JUN26 SFRM6           | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DE               | CORP              | US        |        15 | NC      | $-5353.80     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                 | FX Forward: USD/CHF settle 2025-12-17  | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $-836.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COMMODITY EXCHANGE INC                              | COPPER FUTURE MAR26 HGH6               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | US        |         5 | NC      | $43704.07     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| EURONEXT PARIS-MONEP                                | CAC40 10 EURO FUT NOV25 CFX5           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | FR        |        27 | NC      | $5004.82      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| COMMODITY EXCHANGE INC                              | HOT ROLLED STEEL FUT DEC25 HRCZ5       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | US        |       -25 | NC      | $-15333.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE - AGRICULTURAL PRODUCTS DIVISION | COFF ROBUSTA 10TN FUT JAN26 DFF6       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |         6 | NC      | $3129.80      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES US                                      | MSCI EMGMKT FUT DEC25 MESZ5            | CUSIP: N/A<br>LEI: 5493004R83R1LVX2IL36       | N/A              | DE               | CORP              | US        |         6 | NC      | $5847.01      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA, N.A.                               | FX Forward: USD/SEK settle 2025-12-17  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $6358.23      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                               | FX Forward: USD/PHP settle 2025-12-17  | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |         1 | NC      | $6732.87      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                 | FX Forward: USD/CAD settle 2025-12-17  | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $375.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                         | CHEESE FUTURES DEC25 CHEZ5             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DCO              | CORP              | US        |        -7 | NC      | $6738.86      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                 | FX Forward: USD/JPY settle 2025-12-17  | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $24490.25     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                 | FX Forward: USD/TWD settle 2025-12-17  | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |         1 | NC      | $390.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                              | DJIA MINI E-CBOT FUT DEC25 DMZ5        | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DE               | CORP              | US        |         7 | NC      | $29037.24     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                        | NATURAL GAS FUTR MAR26 NGH26           | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |       -16 | NC      | $-21945.32    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2025-11-30

**Name of Applicant:** Heather Bonner

**Signature:** Heather Bonner

**Name of Signer:** Heather Bonner

**Title:** President and Treasurer