# EDGAR Filing Document

**Accession Number:** 0001557156
**File Stem:** 0001410368-26-065426
**Filing Date:** 2026-6
**Character Count:** 124894
**Document Hash:** 736f0fb045f50ab70870bbbd4d4ee7e7
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-26-065426.hdr.sgml**: 20260624

**ACCESSION NUMBER**: 0001410368-26-065426

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260430

**FILED AS OF DATE**: 20260624

**DATE AS OF CHANGE**: 20260624

**PERIOD START**: 20261031

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Goldman Sachs Trust II
- **CENTRAL INDEX KEY:** 0001557156

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22781
- **FILM NUMBER:** 261115519

**BUSINESS ADDRESS:**
- **STREET 1:** 200 WEST STREET
- **STREET 2:** 15TH FLOOR
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10282
- **BUSINESS PHONE:** 212-902-1000

**MAIL ADDRESS:**
- **STREET 1:** 200 WEST STREET
- **STREET 2:** 15TH FLOOR
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10282

## Series and Classes Contracts Data

### Goldman Sachs Multi-Strategy Alternatives Fund (Series ID: S000040071)

| Class ID   | Class Name           | Ticker Symbol   |
|:---|:---|:---|
| C000124400 | Class A Shares       | GMAMX           |
| C000124401 | Class C Shares       | GMCMX           |
| C000124402 | Institutional Shares | GSMMX           |
| C000124403 | Investor Shares      | GIMMX           |
| C000198936 | Class R6 Shares      | GMMFX           |
| C000201711 | Class P Shares       | GMMPX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Goldman Sachs Trust II

- **b. Investment Company Act file number:** 811-22781

- **c. CIK number of Registrant:** 0001557156

- **d. LEI of Registrant:** 54930076LXUZ0NBAPG06

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

  - **Street Address 1:** 200 WEST STREET

  - **City:** NEW YORK

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10282

  - **Telephone number:** 212-902-1000

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

- **a. Name of Series:** Goldman Sachs Multi-Strategy Alternatives Fund

- **b. EDGAR series identifier (if any):** S000040071

- **c. LEI of Series:** 549300MY78M7TQEMXI71

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

- **a. Date of fiscal year-end:** 2026-10-31

- **b. Date as of which information is reported:** 2026-04-30

**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:** $57826334.98

**Total Liabilities:** $1075332.26

**Net Assets:** $56751002.72

**Amount of Assets Invested in Other Investment Companies:** $7958925.43

**Currency Risk Metrics (dv01):**

- 

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

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

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

- **3-Month:** -1.64000000 | **1-Year:** -50.15000000 | **5-Year:** 906.35000000 | **10-Year:** 38.87000000 | **30-Year:** 0.00000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000201711 | 0.27%                | -2.59%               | 4.95%                |
| Class ID C000124401 | 0.19%                | -2.60%               | 4.77%                |
| Class ID C000198936 | 0.27%                | -2.49%               | 4.84%                |
| Class ID C000124403 | 0.27%                | -2.51%               | 4.88%                |
| Class ID C000124402 | 0.27%                | -2.50%               | 4.85%                |
| Class ID C000124400 | 0.27%                | -2.55%               | 4.85%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $237259.34               | $-126495.97                                |
| Month 2  | $-38897.67               | $-188018.67                                |
| Month 3  | $118519.91               | $619190.90                                 |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Morgan Stanley & Co. LLC                                 | PURCHASED JPY / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |         1 | NC      | $3872.63      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED PLN / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | PL        |         1 | NC      | $5455.82      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED CZK / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CZ        |         1 | NC      | $-2069.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                        | EURO STOXX 50 PRICE INDEX                                                                          | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               |  | DE        |        -1 | NC      | $-0.12        | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED CHF / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CH        |         1 | NC      | $-8832.28     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division         | ICE 3MTH SONIA FU MAR27                                                                            | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              |  | GB        |        -9 | NC      | $4728.61      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe - Financial Products Division         | 3MO EURO EURIBOR JUN27                                                                             | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              |  | GB        |       -19 | NC      | $3518.10      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| London Metal Exchange                                    | LME PRI ALUM FUTR JAN27                                                                            | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |         1 | NC      | $-849.51      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | Long: ES133344  TRS USD R E .MSCBVMCL INDEX / Short: ES133344  TRS USD P F   .00000 INDEX TRS FIN  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |    130832 | OU      | $-803.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| iShares J.P. Morgan USD Emerging Markets Bond ETF        | iShares J.P. Morgan USD Emerging Markets Bond ETF                                                  | CUSIP: 464288281<br>LEI: 54930070R8WH6MNUJG74 | Long             | EC               | RF                | US        |      2200 | NS      | $210760.00    | 0.37%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD IDR                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $1685.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                        | EURO-BUND FUTURE JUN26                                                                             | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -19 | NC      | $2919.95      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank NA                                   | Long: ES133325  TRS USD R E .MSCBVMH3 INDEX / Short: ES133325  TRS USD P F   .00000 INDEX TRS FIN  | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               |  | US        |   7102109 | OU      | $49253.75     | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                        | EURO STOXX 50 WK4 INDEX                                                                            | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               |  | DE        |        -1 | NC      | $-139.66      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED EUR / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |         1 | NC      | $-1503.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Meff Financial Derivatives                               | IBEX 35 INDX FUTR MAY26                                                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | ES        |         2 | NC      | $-7920.96     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                              | LIVE CATTLE FUTR AUG26                                                                             | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              |  | US        |         1 | NC      | $8746.78      | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                              | LIVE CATTLE FUTR JUN26                                                                             | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              |  | US        |         1 | NC      | $3286.78      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD GBP                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-31363.30    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED GBP / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |         1 | NC      | $1050.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD JPY                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $319.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED EUR / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |         1 | NC      | $-1986.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | Long: ES133339  TRS USD R E .MSVXCS01 INDEX / Short: ES133339  TRS USD P F   .00000 INDEX TRS FIN  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |   4740062 | OU      | $50308.93     | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED EUR / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |         1 | NC      | $350.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                   | Long: ES130676  TRS USD R E .AMZX INDEX / Short: ES130676  TRS USD P V 00MSOFR SOFRRATE+68BPS      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               |  | US        |    261797 | OU      | $17997.09     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                              | 3 MONTH SOFR FUT JUN28                                                                             | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |        -5 | NC      | $250.00       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD JPY                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-9052.79     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Commodities Exchange Center                              | GOLD 100 OZ FUTR JUN26                                                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         1 | NC      | $-19632.76    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED CAD / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |         1 | NC      | $-94.81       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| London Metal Exchange                                    | LME ZINC FUTURE NOV26                                                                              | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |         3 | NC      | $1408.47      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                              | CATTLE FEEDER FUT AUG26                                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              |  | US        |         1 | NC      | $2821.78      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                        | EURO STOXX 50 PR                                                                                   | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               |  | DE        |        -1 | NC      | $-29.34       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| iShares Global Clean Energy ETF                          | iShares Global Clean Energy ETF                                                                    | CUSIP: 464288224<br>LEI: 549300WONOCNDW382894 | Long             | EC               | RF                | US        |      4800 | NS      | $99696.00     | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED CHF / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CH        |         1 | NC      | $-629.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ASX Clear (Futures)                                      | 90-DAY BANK BILL DEC26                                                                             | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |       -17 | NC      | $10594.10     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank NA                                   | Long: ES129892  TRS USD R E .BCOMRS INDEX / Short: ES129892  TRS USD P F   .00000                  | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCO              |  | US        |    159620 | OU      | $8130.94      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED NZD / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |         1 | NC      | $194.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED CAD / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |         1 | NC      | $3756.33      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED CAD / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |         1 | NC      | $1191.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                        | EURO STOXX 50 PRICE INDEX                                                                          | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               |  | DE        |        -2 | NC      | $-0.23        | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                   | SOYBEAN OIL FUTR DEC26                                                                             | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |         2 | NC      | $8153.40      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED GBP / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |         1 | NC      | $6520.27      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED GBP / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |         1 | NC      | $2537.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD IDR                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $15438.38     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| London Metal Exchange                                    | LME ZINC FUTURE JUL26                                                                              | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |        -1 | NC      | $663.74       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED CHF / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CH        |         1 | NC      | $1539.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                         | Long: ES133302  TRS EUR R E .DBCDSBEF INDEX / Short: ES133302  TRS EUR P F   .00000 INDEX TRS FIN  | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DE               |  | DE        |   4498091 | OU      | $-1003.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| London Metal Exchange                                    | LME PRI ALUM FUTR JAN27                                                                            | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |        -1 | NC      | $1737.24      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| London Metal Exchange                                    | LME LEAD FUTURE OCT26                                                                              | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |         2 | NC      | $-2570.02     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED EUR / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |         1 | NC      | $-184.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                        | EURO-BUXL 30Y BND JUN26                                                                            | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        -7 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                              | 3 MONTH SOFR FUT JUN27                                                                             | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |       -31 | NC      | $8587.73      | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures U.S., Inc.                                   | COTTON NO.2 FUTR JUL26                                                                             | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |         4 | NC      | $11447.40     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| The Montreal Exchange/Bourse De Montreal                 | CAN 10YR BOND FUT JUN26                                                                            | CUSIP: 000000000<br>LEI: 549300DKBYNOI0B1NP44 | N/A              | DIR              |  | CA        |        -7 | NC      | $2672.36      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                              | LEAN HOGS FUTURE JUN26                                                                             | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              |  | US        |        -2 | NC      | $-926.44      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD CAD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-7222.19     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| London Metal Exchange                                    | LME NICKEL FUTURE DEC26                                                                            | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |         2 | NC      | $27003.04     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD EUR                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-1739.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| London Metal Exchange                                    | LME PRI ALUM FUTR JUN26                                                                            | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |         5 | NC      | $4532.95      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Deutsche Bank AG                                         | Long: ES133304  TRS USD R E .DBCDSBUF INDEX / Short: ES133304  TRS USD P F   .00000 INDEX TRS FIN  | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DE               |  | US        |   5189417 | OU      | $-3019.14     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                   | S+P 500 INDEX                                                                                      | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |        -1 | NC      | $-20.00       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED HUF / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | HU        |         1 | NC      | $-594.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD NZD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-2733.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures U.S., Inc.                                   | SUGAR 11 (WORLD) JUL26                                                                             | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |       -13 | NC      | $-9845.59     | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                              | 3 MONTH SOFR FUT SEP26                                                                             | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |       -25 | NC      | $1533.10      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED CAD / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |         1 | NC      | $1410.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD CZK                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-7183.73     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| London Metal Exchange                                    | LME ZINC FUTURE DEC26                                                                              | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |         1 | NC      | $-478.76      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                   | SOYBEAN MEAL FUTR DEC26                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |         2 | NC      | $-1906.60     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED PHP / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | PH        |         1 | NC      | $-3455.89     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| London Metal Exchange                                    | LME PRI ALUM FUTR DEC26                                                                            | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |        -5 | NC      | $-19026.55    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD PHP                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $13467.46     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| ASX Clear (Futures)                                      | 90-DAY BANK BILL SEP26                                                                             | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |       -16 | NC      | $10384.69     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe - Financial Products Division         | 3MO EURO EURIBOR DEC26                                                                             | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              |  | GB        |       -22 | NC      | $8091.09      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Options Clearing Corp.                                   | CBOE VOLATILITY INDEX                                                                              | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |        30 | NC      | $7365.00      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| The Montreal Exchange/Bourse De Montreal                 | 3M CORRA FUTURES DEC26                                                                             | CUSIP: 000000000<br>LEI: 549300DKBYNOI0B1NP44 | N/A              | DIR              |  | CA        |        -2 | NC      | $441.71       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe - Financial Products Division         | THREE-MONTH SARON SEP26                                                                            | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              |  | GB        |        -2 | NC      | $79.99        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD SEK                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-1865.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                   | CBOE VOLATILITY INDEX                                                                              | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |        40 | NC      | $3360.00      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| The Montreal Exchange/Bourse De Montreal                 | S+P/TSX 60 IX FUT JUN26                                                                            | CUSIP: 000000000<br>LEI: 549300DKBYNOI0B1NP44 | N/A              | DE               |  | CA        |         2 | NC      | $13868.30     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| London Metal Exchange                                    | LME PRI ALUM FUTR MAY26                                                                            | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |        15 | NC      | $133220.61    | 0.23%             |  |  |  | No            |                  1 | On Loan: No      |
| Hong Kong Futures Exchange Ltd.                          | HANG SENG IDX FUT MAY26                                                                            | CUSIP: 000000000<br>LEI: 213800YTVSXYQN17BW16 | N/A              | DE               |  | HK        |         3 | NC      | $-3402.49     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Vanguard Short-Term Inflation-Protected Securities ETF   | Vanguard Short-Term Inflation-Protected Securities ETF                                             | CUSIP: 922020805<br>LEI: N/A                  | Long             | EC               | RF                | US        |    248400 | NS      | $12509424.00  | 22.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                              | 3 MONTH SOFR FUT MAR27                                                                             | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |       -35 | NC      | $9995.17      | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                   | US 5YR NOTE (CBT) JUN26                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -24 | NC      | $5390.63      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Goldman Sachs Central Government Fund                    | Goldman Sachs Central Government Fund                                                              | CUSIP: 38151N502<br>LEI: 984500U485FD112BFD72 | Long             | EC               | RF                | US        |  17872888 | NS      | $17872888.13  | 31.49%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED CHF / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CH        |         1 | NC      | $-886.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division         | THREE-MONTH SARON DEC26                                                                            | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              |  | GB        |        -3 | NC      | $-239.97      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe - Financial Products Division         | 3MO EURO EURIBOR MAR28                                                                             | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              |  | GB        |       -16 | NC      | $-107.76      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD EUR                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-18417.06    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                        | EURO STOXX 50 PR                                                                                   | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               |  | DE        |        -2 | NC      | $-1309.79     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe - Financial Products Division         | 3MO EURO EURIBOR DEC27                                                                             | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              |  | GB        |       -18 | NC      | $334.95       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD CHF                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-5549.05     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division         | ICE 3MTH SONIA FU SEP26                                                                            | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              |  | GB        |       -12 | NC      | $4298.15      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED CAD / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |         1 | NC      | $3341.35      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| London Metal Exchange                                    | LME NICKEL FUTURE DEC26                                                                            | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |        -2 | NC      | $-28391.36    | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED EUR / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |         1 | NC      | $4837.38      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| The Montreal Exchange/Bourse De Montreal                 | 3M CORRA FUTURES SEP26                                                                             | CUSIP: 000000000<br>LEI: 549300DKBYNOI0B1NP44 | N/A              | DIR              |  | CA        |        -1 | NC      | $-147.24      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| London Metal Exchange                                    | LME PRI ALUM FUTR JUN26                                                                            | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |        -1 | NC      | $1794.49      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED NOK / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NO        |         1 | NC      | $25812.34     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Nasdaq Stockholm AB                                      | OMXS30 IND FUTURE MAY26                                                                            | CUSIP: 000000000<br>LEI: 549300KBQIVNEJEZVL96 | N/A              | DE               |  | SE        |        16 | NC      | $-12247.16    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD PHP                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $7051.69      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED GBP / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |         1 | NC      | $1679.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED AUD / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |         1 | NC      | $22910.22     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| London Metal Exchange                                    | LME NICKEL FUTURE SEP26                                                                            | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |         4 | NC      | $102162.68    | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| London Metal Exchange                                    | LME NICKEL FUTURE MAY26                                                                            | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |       -11 | NC      | $-235051.04   | -0.41%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                              | E-MINI RUSS 2000 JUN26                                                                             | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |         8 | NC      | $62704.58     | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                              | 3 MONTH SOFR FUT SEP27                                                                             | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |       -24 | NC      | $6892.93      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                   | CORN FUTURE DEC26                                                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |         6 | NC      | $3205.20      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| London Metal Exchange                                    | LME ZINC FUTURE MAY26                                                                              | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |       -21 | NC      | $-228273.36   | -0.40%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD IDR                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $8178.20      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED EUR / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | XX        |         1 | NC      | $-2029.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Osaka Exchange                                           | TOPIX INDX FUTR JUN26                                                                              | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DE               |  | JP        |         3 | NC      | $10724.67     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD ZAR                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-9331.01     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                              | 3 MONTH SOFR FUT DEC26                                                                             | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |       -35 | NC      | $9841.26      | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe                                       | LOW SU GASOIL G JUL26                                                                              | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              |  | GB        |        -1 | NC      | $-14077.01    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD PHP                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $9297.99      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD CHF                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-6461.93     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Access U.S. Preferred Stock and Hybrid ETF | Goldman Sachs Access U.S. Preferred Stock and Hybrid ETF                                           | CUSIP: 38149W127<br>LEI: 98450007D46A49ED8684 | Long             | EC               | RF                | US        |     36500 | NS      | $1841790.00   | 3.25%             |  |  |  | No            |                  1 | On Loan: No      |
| Intercontinental Exchange, Inc.                          | Long: BX003377  CDS USD R V 03MEVENT 1 CCPCDX / Short: BX003377  CDS USD P F  1.00000 2 CCPCDX     | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   7150000 | OU      | $-150534.67   | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD AUD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-13626.54    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                              | 3 MONTH SOFR FUT DEC27                                                                             | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |       -16 | NC      | $3550.00      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe - Financial Products Division         | ICE 3MTH SONIA FU JUN28                                                                            | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              |  | GB        |        -7 | NC      | $187.10       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank NA                                   | Long: ES133314  TRS USD R E .JPOSSVV1 INDEX / Short: ES133314  TRS USD P F   .00000 INDEX TRS FIN  | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               |  | US        |   1146884 | OU      | $7246.25      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| London Metal Exchange                                    | LME PRI ALUM FUTR DEC26                                                                            | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |         5 | NC      | $34568.70     | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| London Metal Exchange                                    | LME ZINC FUTURE JAN27                                                                              | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |         2 | NC      | $4041.73      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD SEK                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-11100.84    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CBOE Futures Exchange LLC                                | CBOE VIX FUTURE MAY26                                                                              | CUSIP: 000000000<br>LEI: 254900O9GJPIWCP8RH13 | N/A              | DE               |  | US        |         4 | NC      | $-8410.64     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| ASX Clear (Futures)                                      | 90-DAY BANK BILL MAR27                                                                             | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |       -17 | NC      | $1300.29      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD SEK                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $6246.42      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                   | Long: ES133306  TRS USD R E .AMZX INDEX / Short: ES133306  TRS USD P V 00MSOFR SOFR RATE +71BPS    | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               |  | US        |    194142 | OU      | $13346.16     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                   | KC HRW WHEAT FUT SEP26                                                                             | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |         2 | NC      | $4168.40      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD CAD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-3710.11     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD PHP                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $4953.44      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD CZK                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-6163.07     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Hong Kong Futures Exchange Ltd.                          | HSCEI FUTURES MAY26                                                                                | CUSIP: 000000000<br>LEI: 213800YTVSXYQN17BW16 | N/A              | DE               |  | HK        |         3 | NC      | $-1857.64     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED NZD / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |         1 | NC      | $-5345.47     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD KRW                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $92.42        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| London Metal Exchange                                    | LME ZINC FUTURE FEB27                                                                              | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |         1 | NC      | $-343.51      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED ZAR / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | ZA        |         1 | NC      | $-4698.89     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED NZD / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |         1 | NC      | $-445.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                   | CORN FUTURE JUL26                                                                                  | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |       -11 | NC      | $-11406.30    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD PLN                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-7506.62     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD JPY                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $2015.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                             | GASOLINE RBOB FUT JUL26                                                                            | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |        -1 | NC      | $-19595.76    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED CZK / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CZ        |         1 | NC      | $3806.53      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD CHF                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $13244.92     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED SEK / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | SE        |         1 | NC      | $-2432.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                   | Long: ES133317  TRS USD R E .JPOSCUVS INDEX / Short: ES133317  TRS USD P F   .00000 INDEX TRS FIN  | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               |  | US        |    688040 | OU      | $12949.02     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED PLN / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | PL        |         1 | NC      | $-2524.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED CAD / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |         1 | NC      | $2603.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| London Metal Exchange                                    | LME ZINC FUTURE JAN27                                                                              | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |        -2 | NC      | $-6130.27     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| New York Mercantile Exchange                             | GASOLINE RBOB FUT JUN26                                                                            | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |         1 | NC      | $29653.44     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                   | US 10YR NOTE (CBT)JUN26                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -17 | NC      | $5218.76      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD INR                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $9731.89      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| London Metal Exchange                                    | LME ZINC FUTURE NOV26                                                                              | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |        -3 | NC      | $-816.53      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| London Metal Exchange                                    | LME LEAD FUTURE JUN26                                                                              | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |       -12 | NC      | $-71.62       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| London Metal Exchange                                    | LME LEAD FUTURE JUN26                                                                              | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |         4 | NC      | $-5576.04     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED CAD / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |         1 | NC      | $3515.53      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED CAD / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |         1 | NC      | $202.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED ILS / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IL        |         1 | NC      | $25225.58     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                        | EURO-BOBL FUTURE JUN26                                                                             | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -25 | NC      | $5256.73      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe - Financial Products Division         | ICE 3MTH SONIA FU SEP27                                                                            | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              |  | GB        |        -8 | NC      | $3448.66      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                   | WHEAT FUTURE(CBT) JUL26                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |         3 | NC      | $3115.10      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe - Financial Products Division         | ICE 3MTH SONIA FU DEC26                                                                            | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              |  | GB        |       -10 | NC      | $4309.98      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                        | EURO STOXX 50 JUN26                                                                                | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               |  | DE        |        26 | NC      | $28357.79     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED ZAR / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | ZA        |         1 | NC      | $-7179.54     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                          | Long: SX003378  CDS EUR R F  5.00000 2 CCPCDX / Short: SX003378  CDS EUR P V 03MEVENT 1 CCPCDX     | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   3200000 | OU      | $335613.11    | 0.59%             |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                        | DAX INDEX FUTURE JUN26                                                                             | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               |  | DE        |         1 | NC      | $4929.33      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Options Clearing Corp.                                   | CBOE VOLATILITY INDEX                                                                              | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |        20 | NC      | $3050.00      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED ILS / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IL        |         1 | NC      | $5086.20      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Blackstone Senior Loan ETF                  | State Street Blackstone Senior Loan ETF                                                            | CUSIP: 78467V608<br>LEI: 549300ME4SR63Y3TRD06 | Long             | EC               | RF                | US        |     12200 | NS      | $495320.00    | 0.87%             |  |  |  | No            |                  1 | On Loan: No      |
| London Metal Exchange                                    | LME NICKEL FUTURE JUN26                                                                            | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |        -2 | NC      | $-44192.24    | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| South African Futures Exchange                           | FTSE/JSE TOP 40 JUN26                                                                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | ZA        |         3 | NC      | $-4059.85     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD GBP                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-5472.78     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                   | SOYBEAN FUTURE NOV26                                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |         2 | NC      | $1955.90      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD TWD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-1191.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division         | 3MO EURO EURIBOR SEP26                                                                             | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              |  | GB        |       -18 | NC      | $7455.66      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD AUD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-5337.51     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED NZD / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |         1 | NC      | $-357.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| London Metal Exchange                                    | LME ZINC FUTURE DEC26                                                                              | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |        -1 | NC      | $-1560.76     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD GBP                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-9577.03     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| London Metal Exchange                                    | LME NICKEL FUTURE SEP26                                                                            | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |        -4 | NC      | $-104303.20   | -0.18%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                              | NASDAQ 100 E-MINI JUN26                                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |         6 | NC      | $171878.96    | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                        | STOXX W OPTIONS W2                                                                                 | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               |  | DE        |        -1 | NC      | $-18.78       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD NZD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-7520.89     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| London Metal Exchange                                    | LME NICKEL FUTURE JUN26                                                                            | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |         5 | NC      | $73746.64     | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                        | STOXX W OPTIONS W2                                                                                 | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               |  | DE        |        -2 | NC      | $-107.98      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| London Metal Exchange                                    | LME PRI ALUM FUTR JUL26                                                                            | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |        -5 | NC      | $-55371.05    | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| London Metal Exchange                                    | LME ZINC FUTURE JUN26                                                                              | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |         6 | NC      | $5843.94      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe - Financial Products Division         | ICE 3MTH SONIA FU DEC27                                                                            | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              |  | GB        |        -8 | NC      | $1408.20      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| London Metal Exchange                                    | LME NICKEL FUTURE JAN27                                                                            | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |        -1 | NC      | $-11169.76    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD JPY                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-4617.26     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED NZD / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |         1 | NC      | $653.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| London Metal Exchange                                    | LME NICKEL FUTURE AUG26                                                                            | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |        -1 | NC      | $-23316.58    | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Options Clearing Corp.                                   | S+P 500 INDEX                                                                                      | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |        -1 | NC      | $-40.00       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                        | EURO-OAT FUTURE JUN26                                                                              | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |         1 | NC      | $-445.99      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Vanguard Real Estate ETF                                 | Vanguard Real Estate ETF                                                                           | CUSIP: 922908553<br>LEI: B1HNOZOSPCLXHIVBEI82 | Long             | EC               | RF                | US        |     13000 | NS      | $1252290.00   | 2.21%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                   | SOYBEAN FUTURE JUL26                                                                               | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |         6 | NC      | $5155.20      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED AUD / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |         1 | NC      | $2603.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED TWD / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | TW        |         1 | NC      | $103.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CBOE Futures Exchange LLC                                | CBOE VIX FUTURE JUL26                                                                              | CUSIP: 000000000<br>LEI: 254900O9GJPIWCP8RH13 | N/A              | DE               |  | US        |        -3 | NC      | $425.52       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED BRL / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | BR        |         1 | NC      | $40173.66     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                              | S+P MID 400 EMINI JUN26                                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |         4 | NC      | $66657.18     | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| London Metal Exchange                                    | LME ZINC FUTURE MAY26                                                                              | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |        21 | NC      | $216012.65    | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED CAD / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CA        |         1 | NC      | $3345.59      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| London Metal Exchange                                    | LME LEAD FUTURE MAY26                                                                              | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |        17 | NC      | $-3460.36     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                   | US 2YR NOTE (CBT) JUN26                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       -28 | NC      | $10701.24     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                   | US LONG BOND(CBT) JUN26                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -6 | NC      | $3671.88      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures U.S., Inc.                                   | MSCI EAFE JUN26                                                                                    | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DE               |  | US        |        -2 | NC      | $630.00       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                        | EURO-SCHATZ FUT JUN26                                                                              | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -39 | NC      | $10378.27     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe                                       | BRENT CRUDE FUTR JUL26                                                                             | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              |  | GB        |         3 | NC      | $50083.97     | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED SEK / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | SE        |         1 | NC      | $1563.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                   | SOYBEAN OIL FUTR JUL26                                                                             | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |        -2 | NC      | $-8550.60     | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED CLP / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CL        |         1 | NC      | $-1970.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                   | S+P 500 INDEX                                                                                      | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |        -1 | NC      | $-860.00      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures U.S., Inc.                                   | DOLLAR INDEX JUN26                                                                                 | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DFE              |  | US        |         7 | NC      | $-7265.00     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Intercontinental Exchange, Inc.                          | Long: SX003379  CDS USD R F  5.00000 2 CCPCDX / Short: SX003379  CDS USD P V 03MEVENT 1 CCPCDX     | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | GB        |   3700000 | OU      | $263673.47    | 0.46%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD NOK                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-10570.39    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division         | 3MO EURO EURIBOR SEP27                                                                             | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              |  | GB        |       -18 | NC      | $2028.49      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD NZD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-10167.71    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED HUF / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | HU        |         1 | NC      | $28654.59     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures U.S., Inc.                                   | SUGAR 11 (WORLD) MAR27                                                                             | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |         4 | NC      | $5677.00      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD NZD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-7986.17     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED CLP / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CL        |         1 | NC      | $-2644.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Options Clearing Corp.                                   | S+P 500 INDEX                                                                                      | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |        -1 | NC      | $-425.00      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD CHF                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $241.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED SEK / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | SE        |         1 | NC      | $-4657.29     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| The Montreal Exchange/Bourse De Montreal                 | 3M CORRA FUTURES MAR27                                                                             | CUSIP: 000000000<br>LEI: 549300DKBYNOI0B1NP44 | N/A              | DIR              |  | CA        |        -4 | NC      | $404.90       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD IDR                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $8286.61      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| London Metal Exchange                                    | LME NICKEL FUTURE MAY26                                                                            | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |        11 | NC      | $220113.94    | 0.39%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe - Financial Products Division         | 3MO EURO EURIBOR MAR27                                                                             | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              |  | GB        |       -21 | NC      | $5712.38      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD TWD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-126.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| iShares Convertible Bond ETF                             | iShares Convertible Bond ETF                                                                       | CUSIP: 46435G102<br>LEI: 5493009GXGY863LN1X56 | Long             | EC               | RF                | US        |     18000 | NS      | $2028780.00   | 3.57%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe - Financial Products Division         | ICE 3MTH SONIA FU JUN27                                                                            | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              |  | GB        |        -9 | NC      | $1649.91      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD GBP                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-7474.77     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED AUD / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |         1 | NC      | $14066.50     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                             | GASOLINE RBOB FUT OCT26                                                                            | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |         1 | NC      | $15360.84     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                              | S+P500 EMINI FUT JUN26                                                                             | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |        33 | NC      | $558475.50    | 0.98%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank NA                                   | Long: ES128465  TRS USD R E BCOMRS INDEX / Short: ES128465  TRS USD P F   .00000                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCO              |  | US        |    678991 | OU      | $34587.34     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED JPY / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | JP        |         1 | NC      | $3745.70      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                   | WHEAT FUTURE(CBT) SEP26                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |         2 | NC      | $3918.40      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe                                       | LOW SU GASOIL G JUN26                                                                              | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              |  | GB        |         2 | NC      | $22445.98     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| iShares Core MSCI Emerging Markets ETF                   | iShares Core MSCI Emerging Markets ETF                                                             | CUSIP: 46434G103<br>LEI: 5493007C24Z3ZDJ0VD06 | Long             | EC               | RF                | US        |     11700 | NS      | $918333.00    | 1.62%             |  |  |  | No            |                  1 | On Loan: No      |
| London Metal Exchange                                    | LME PRI ALUM FUTR MAY26                                                                            | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |       -15 | NC      | $-159258.15   | -0.28%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD NZD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-1003.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED GBP / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |         1 | NC      | $3293.56      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED NOK / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NO        |         1 | NC      | $27580.56     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | Long: ES133336  TRS USD R E .MSFVWGTT INDEX / Short: ES133336  TRS USD P F   .00000 INDEX TRS FIN  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               |  | US        |  13049659 | OU      | $61980.64     | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD CAD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-1684.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| London Metal Exchange                                    | LME PRI ALUM FUTR JUL26                                                                            | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |         4 | NC      | $60574.46     | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Osaka Exchange                                           | JPN 10Y BOND(OSE) JUN26                                                                            | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              |  | JP        |        -1 | NC      | $4343.52      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED AUD / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |         1 | NC      | $2322.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD NZD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-3518.93     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD EUR                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-5830.55     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                             | WTI CRUDE FUTURE JUN26                                                                             | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |         4 | NC      | $61208.96     | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                        | VSTOXX FUTURE MAY26                                                                                | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               |  | DE        |       117 | NC      | $-6999.67     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED MXN / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | MX        |         1 | NC      | $7358.95      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Italian Derivatives Market                               | FTSE/MIB IDX FUT JUN26                                                                             | CUSIP: 000000000<br>LEI: 8156005391EE905D3124 | N/A              | DE               |  | IT        |         2 | NC      | $29735.67     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                                   | KC HRW WHEAT FUT JUL26                                                                             | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |        -2 | NC      | $-4106.60     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| ASX Clear (Futures)                                      | AUST 10Y BOND FUT JUN26                                                                            | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |        -9 | NC      | $5096.04      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| London Metal Exchange                                    | LME LEAD FUTURE MAY26                                                                              | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |       -17 | NC      | $11697.14     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD KRW                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $4114.24      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| iShares U.S. Treasury Bond ETF                           | iShares U.S. Treasury Bond ETF                                                                     | CUSIP: 46429B267<br>LEI: 549300YMK9GAMCTG8G20 | Long             | EC               | RF                | US        |      2600 | NS      | $59332.00     | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures U.S., Inc.                                   | MSCI EMGMKT JUN26                                                                                  | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DE               |  | US        |         4 | NC      | $16738.56     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD CAD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-18187.43    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD NZD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-13255.80    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| London Metal Exchange                                    | LME PRI ALUM FUTR NOV26                                                                            | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |         1 | NC      | $-1944.76     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Commodities Exchange Center                              | COPPER FUTURE JUL26                                                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         4 | NC      | $11551.46     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures U.S., Inc.                                   | COFFEE 'C' FUTURE JUL26                                                                            | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |        -1 | NC      | $1346.85      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED AUD / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | AU        |         1 | NC      | $9543.75      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division         | THREE-MONTH SARON MAR27                                                                            | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              |  | GB        |        -4 | NC      | $-143.97      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| New York Mercantile Exchange                             | NY HARB ULSD FUT JUN26                                                                             | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |         1 | NC      | $20946.84     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD HUF                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-25531.88    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                                   | SOYBEAN MEAL FUTR JUL26                                                                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |        -2 | NC      | $1793.40      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| New York Mercantile Exchange                             | WTI CRUDE FUTURE JUL26                                                                             | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |        -1 | NC      | $-14482.76    | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD INR                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $3456.89      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD INR                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $20347.93     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                                   | Long: ES133329  TRS USD R E .JCUBIXY1  INDEX / Short: ES133329  TRS USD P F   .00000 INDEX TRS FIN | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               |  | US        |    847831 | OU      | $19158.22     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD CLP                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-3461.95     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division         | ICE 3MTH SONIA FU MAR28                                                                            | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              |  | GB        |        -8 | NC      | $1439.35      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| State Street SPDR Bloomberg Convertible Securities ETF   | State Street SPDR Bloomberg Convertible Securities ETF                                             | CUSIP: 78464A359<br>LEI: 549300IXKU3G7R6DMX93 | Long             | EC               | RF                | US        |     10000 | NS      | $1010400.00   | 1.78%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD EUR                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-3446.51     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| London Metal Exchange                                    | LME NICKEL FUTURE JAN27                                                                            | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |         1 | NC      | $14266.16     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| London Metal Exchange                                    | LME LEAD FUTURE OCT26                                                                              | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |        -2 | NC      | $1787.48      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED GBP / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | GB        |         1 | NC      | $14612.25     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Euronext NV                                              | CAC40 10 EURO FUT MAY26                                                                            | CUSIP: 000000000<br>LEI: 724500QJ4QSZ3H9QU415 | N/A              | DE               |  | FR        |         4 | NC      | $-7302.45     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe - Financial Products Division         | LONG GILT FUTURE JUN26                                                                             | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              |  | GB        |        -8 | NC      | $19192.01     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| London Metal Exchange                                    | LME NICKEL FUTURE AUG26                                                                            | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |         1 | NC      | $23402.30     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED INR / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | IN        |         1 | NC      | $-2061.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED PHP / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | PH        |         1 | NC      | $-7078.63     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED NZD / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NZ        |         1 | NC      | $2800.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED CZK / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | CZ        |         1 | NC      | $8.35         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD CHF                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-2127.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD AUD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-5274.99     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division         | 3MO EURO EURIBOR JUN28                                                                             | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              |  | GB        |       -12 | NC      | $-689.51      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Options Clearing Corp.                                   | S+P 500 INDEX                                                                                      | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |        -1 | NC      | $-95.00       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMorgan Chase Bank NA                                   | Long: ES132635  TRS USD R E .BCOMRS INDEX / Short: ES132635  TRS USD P F  1.00000 TRS              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCO              |  | US        |    314046 | OU      | $15997.31     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD TWD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-707.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Korea Exchange (Futures Market)                          | KOREA 10YR BND FU JUN26                                                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | KR        |        -3 | NC      | $2251.89      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Options Clearing Corp.                                   | S+P 500 INDEX                                                                                      | CUSIP: 000000000<br>LEI: 549300CII6SLYGKNHA04 | N/A              | DE               |  | US        |        -1 | NC      | $-145.00      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD CAD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-9940.27     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                              | 3 MONTH SOFR FUT MAR28                                                                             | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |       -10 | NC      | $1412.50      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                        | EURO STOXX 50 WK4 INDEX                                                                            | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               |  | DE        |        -2 | NC      | $-640.81      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD CAD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-13017.43    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED NOK / SOLD USD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | NO        |         1 | NC      | $3156.12      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. LLC                                 | PURCHASED USD / SOLD CAD                                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              |  | US        |         1 | NC      | $-10269.67    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                          | Long: BX003372  CDS EUR R V 03MEVENT 1 CCPCDX / Short: BX003372  CDS EUR P F  1.00000 2 CCPCDX     | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   1600000 | OU      | $-36371.31    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                             | NATURAL GAS FUTR JUN26                                                                             | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |        -6 | NC      | $3763.44      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures Europe - Financial Products Division         | FTSE 100 IDX FUT JUN26                                                                             | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DE               |  | GB        |         6 | NC      | $-3985.08     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2026-06-01

**Name of Applicant:** Goldman Sachs Trust II

**Signature:** Allison Fracchiolla

**Name of Signer:** Allison Fracchiolla

**Title:** Vice President