# EDGAR Filing Document

**Accession Number:** 0000052136
**File Stem:** 0001752724-23-046345
**Filing Date:** 2023-2
**Character Count:** 75351
**Document Hash:** e06af982f2ad320f28008cf79a100f3c
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-046345.hdr.sgml**: 20230228

**ACCESSION NUMBER**: 0001752724-23-046345

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230228

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Natixis Funds Trust II
- **CENTRAL INDEX KEY:** 0000052136
- **IRS NUMBER:** 041990692
- **STATE OF INCORPORATION:** MA

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-00242
- **FILM NUMBER:** 23682180

**BUSINESS ADDRESS:**
- **STREET 1:** 888 BOYLSTON STREET
- **STREET 2:** 8TH FLOOR
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02199
- **BUSINESS PHONE:** 800-283-1155

**MAIL ADDRESS:**
- **STREET 1:** 888 BOYLSTON STREET
- **STREET 2:** 8TH FLOOR
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02199

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** IXIS Advisor Funds Trust II
- **DATE OF NAME CHANGE:** 20050502

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** CDC NVEST FUNDS TRUST II
- **DATE OF NAME CHANGE:** 20010503

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** NVEST FUNDS TRUST II
- **DATE OF NAME CHANGE:** 20000202

## Series and Classes Contracts Data

### AlphaSimplex Managed Futures Strategy Fund (Series ID: S000029564)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000090725 | Class A      | AMFAX           |
| C000090726 | Class C      | ASFCX           |
| C000090727 | Class Y      | ASFYX           |
| C000190721 | Class N      | AMFNX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Natixis Funds Trust II

- **b. Investment Company Act file number:** 811-00242

- **c. CIK number of Registrant:** 0000052136

- **d. LEI of Registrant:** R4B5ZXLI2IMIOWT67V76

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

  - **Street Address 1:** 888 BOYLSTON STREET

  - **City:** BOSTON

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02199-8197

  - **Telephone number:** 617-449-2139

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

- **a. Name of Series:** AlphaSimplex Managed Futures Strategy Fund

- **b. EDGAR series identifier (if any):** S000029564

- **c. LEI of Series:** 5493003UQM09GTIXUQ46

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

- **a. Date of fiscal year-end:** 2022-12-31

- **b. Date as of which information is reported:** 2022-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $2880036695.01

**Total Liabilities:** $15545910.05

**Net Assets:** $2864490784.96

**Amount of Assets Invested in Other Investment Companies:** $102513734.47

**Cash Not Reported:** $184688314.86

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

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000090727 | -0.61%               | -6.81%               | -0.77%               |
| Class ID C000190721 | -0.61%               | -6.79%               | -0.66%               |
| Class ID C000090726 | -0.73%               | -6.84%               | -0.86%               |
| Class ID C000090725 | -0.68%               | -6.75%               | -0.80%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $0.00                    | $-2476728.55                               |
| Month 2  | $0.00                    | $1681928.53                                |
| Month 3  | $1020.75                 | $2063260.45                                |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| UBS AG                                           | PURCHASED PLN / SOLD USD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | PL        |         1 | NC      | $61174.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED USD / SOLD CHF                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |         1 | NC      | $-78082.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Skandinaviska Enskilda Banken AB/New York NY     | Skandinaviska Enskilda Banken AB/New York NY | CUSIP: 83050PN47<br>LEI: F3JS33DEI6XQ4ZBPTN86 | Long             | STIV             | CORP              | SE        |  42000000 | PA      | $41985904.80  | 1.47%             | 2023-02-06      | Fixed         | 4.08%                 | No            |                  2 | On Loan: No      |
| Euronext Eqf, Equities And Indices Derivatives   | AMSTERDAM IDX FUT JAN23                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | NL        |       198 | NC      | $-1429153.92  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED CHF / SOLD USD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | CH        |         1 | NC      | $17648.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| London Metal Exchange                            | LME COPPER FUTURE MAR23                      | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |       -57 | NC      | $-1256422.50  | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| SUMITOMO MITSUI BANK NY                          | Sumitomo Mitsui Banking Corp/New York        | CUSIP: 86565FUU4<br>LEI: 549300MS3WYYVQ4HXM15 | Long             | STIV             | CORP              | JP        |  75000000 | PA      | $75000574.50  | 2.62%             | 2023-02-23      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                     | NATURAL GAS FUTR FEB23                       | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |      -694 | NC      | $3469864.38   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                           | PURCHASED SGD / SOLD USD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | SG        |         1 | NC      | $128279.80    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED USD / SOLD ZAR                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |         1 | NC      | $-4141539.87  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED USD / SOLD NZD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |         1 | NC      | $-332085.64   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Singapore Exchange Derivatives Clearing Limited  | INR/USD JAN23                                | CUSIP: 000000000<br>LEI: 549300ZLWT3FK3F0FW61 | N/A              | DFE              |  | SG        |     -1843 | NC      | $-51402.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                           | PURCHASED CNH / SOLD USD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | CN        |         1 | NC      | $74844.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED PLN / SOLD USD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | PL        |         1 | NC      | $90369.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED CNH / SOLD USD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | CN        |         1 | NC      | $33907.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Euronext N.V.                                    | CAC40 10 EURO FUT JAN23                      | CUSIP: 000000000<br>LEI: 724500QJ4QSZ3H9QU415 | N/A              | DE               |  | FR        |       629 | NC      | $-1314504.88  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Nasdaq Stockholm AB                              | OMXS30 IND FUTURE JAN23                      | CUSIP: 000000000<br>LEI: 549300KBQIVNEJEZVL96 | N/A              | DE               |  | SE        |      2077 | NC      | $-1505296.21  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division | FTSE 100 IDX FUT MAR23                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | GB        |       989 | NC      | $-248304.37   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fixed Income Clearing Corp                       | FIXED INC CLEARING CORP.REPO                 | CUSIP: 000000000<br>LEI: 549300H47WTHXPU08X20 | Long             | RA               | CORP              | US        |  62044392 | PA      | $62044392.15  | 2.17%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED MXN / SOLD USD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | MX        |         1 | NC      | $5013989.20   | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| MIZUHO BANK LTD/NY                               | Mizuho Bank Ltd/New York NY                  | CUSIP: 60710RUU7<br>LEI: RB0PEZSDGCO3JS6CEU02 | Long             | STIV             | CORP              | JP        |  22500000 | PA      | $22502020.28  | 0.79%             | 2023-01-20      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED PLN / SOLD USD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | PL        |         1 | NC      | $73687.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED USD / SOLD CHF                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |         1 | NC      | $-25034.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                     | GASOLINE RBOB FUT FEB23                      | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |       100 | NC      | $509681.93    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                           | PURCHASED SGD / SOLD USD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | SG        |         1 | NC      | $3502596.46   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Bill                  | CUSIP: 912796YL7<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  25000000 | PA      | $24792675.00  | 0.87%             | 2023-03-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Singapore Exchange Derivatives Clearing Limited  | SGX IRON ORE 62 FEB23                        | CUSIP: 000000000<br>LEI: 549300ZLWT3FK3F0FW61 | N/A              | DCO              |  | SG        |       960 | NC      | $695255.00    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| MITSUBISHI TST&BNK C                             | MITSUBISHI TST&BNK C                         | CUSIP: 60683DBL2<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |  40000000 | PA      | $39965050.40  | 1.40%             | 2023-04-21      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| South African Futures Exchange                   | FTSE/JSE TOP 40 MAR23                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | ZA        |       457 | NC      | $-479151.29   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED SGD / SOLD USD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | SG        |         1 | NC      | $156162.51    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Italian Derivatives Market                       | FTSE/MIB IDX FUT MAR23                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | IT        |       466 | NC      | $-1453168.54  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI TRUST NY                         | SUMITOMO MITSUI TRUST NY                     | CUSIP: 86564MUY2<br>LEI: N/A                  | Long             | STIV             | CORP              | JP        |  20000000 | PA      | $19995515.40  | 0.70%             | 2023-01-17      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | CAD CURRENCY FUT MAR23                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              |  | US        |     -3980 | NC      | $-20298.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                           | PURCHASED PLN / SOLD USD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | PL        |         1 | NC      | $-33448.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US LONG BOND(CBT) MAR23                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -813 | NC      | $485315.46    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury                           | United States Treasury Bill                  | CUSIP: 912796YK9<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  74000000 | PA      | $73433054.92  | 2.56%             | 2023-03-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                | DAX INDEX FUTURE MAR23                       | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               |  | DE        |       102 | NC      | $-1388181.83  | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED CHF / SOLD USD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | CH        |         1 | NC      | $23940.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| London Metal Exchange                            | LME ZINC FUTURE MAR23                        | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |      -127 | NC      | $-180885.00   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                      | 3 MONTH SOFR FUT JUN23                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |     -9659 | NC      | $4716779.47   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury                           | United States Treasury Bill                  | CUSIP: 912796ZK8<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  60000000 | PA      | $59914162.20  | 2.09%             | 2023-01-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| London Metal Exchange                            | LME PRI ALUM FUTR MAR23                      | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |       170 | NC      | $-66007.50    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal       | CAN 10YR BOND FUT MAR23                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |      -168 | NC      | $-6159.53     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                           | US 10YR ULTRA FUT MAR23                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |     -1123 | NC      | $202730.26    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                           | PURCHASED CHF / SOLD USD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | CH        |         1 | NC      | $-25254.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROYAL BK OF CANADA                               | ROYAL BK OF CANADA                           | CUSIP: 78012U6K6<br>LEI: 549300LCO2FLSSVFFR64 | Long             | STIV             | CORP              | CA        |  50000000 | PA      | $49569171.50  | 1.73%             | 2023-06-05      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED PLN / SOLD USD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | PL        |         1 | NC      | $28063.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| London Metal Exchange                            | LME PRI ALUM FUTR MAR23                      | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |      -446 | NC      | $-378554.00   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury                           | United States Treasury Bill                  | CUSIP: 912796Z93<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  25000000 | PA      | $24730212.50  | 0.86%             | 2023-04-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED NZD / SOLD USD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | NZ        |         1 | NC      | $-427960.14   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US 10YR NOTE (CBT)MAR23                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |     -2239 | NC      | $637723.62    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| ASX Clear (Futures)                              | AUST 10Y BOND FUT MAR23                      | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |     -1322 | NC      | $569846.84    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                      | LIVE CATTLE FUTR FEB23                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              |  | US        |      1651 | NC      | $1448931.80   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Commodities Exchange Center                      | SILVER FUTURE MAR23                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |       958 | NC      | $2214443.65   | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                           | PURCHASED NOK / SOLD USD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | NO        |         1 | NC      | $-14853.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | S+P500 EMINI FUT MAR23                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |      -158 | NC      | $333238.56    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                           | PURCHASED CNH / SOLD USD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | CN        |         1 | NC      | $32925.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| London Metal Exchange                            | LME COPPER FUTURE MAR23                      | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |        57 | NC      | $42941.25     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF MONTREAL                                 | BANK OF MONTREAL                             | CUSIP: 06367CYD3<br>LEI: N/A                  | Long             | STIV             | CORP              | CA        |  43000000 | PA      | $42879888.96  | 1.50%             | 2023-10-06      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | SOYBEAN OIL FUTR MAR23                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |       493 | NC      | $-2083763.25  | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                           | PURCHASED ZAR / SOLD USD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | ZA        |         1 | NC      | $9400.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures Europe                               | BRENT CRUDE FUTR MAR23                       | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              |  | GB        |      -104 | NC      | $-826608.94   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury                           | United States Treasury Bill                  | CUSIP: 912796XR5<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        | 115000000 | PA      | $114900165.05 | 4.01%             | 2023-01-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BK                             | CANADIAN IMPERIAL BK                         | CUSIP: 13606KRR9<br>LEI: N/A                  | Long             | STIV             | CORP              | CA        |  40000000 | PA      | $39982188.40  | 1.40%             | 2023-09-21      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                     | WTI CRUDE FUTURE FEB23                       | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |      -441 | NC      | $-3713938.64  | -0.13%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures U.S., Inc.                           | MSCI EAFE MAR23                              | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DE               |  | US        |       127 | NC      | $-484342.15   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                           | PURCHASED USD / SOLD CHF                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |         1 | NC      | $-203970.25   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF NOVA SCOTIA HOUS                         | Bank of Nova Scotia/Houston                  | CUSIP: 06417ML52<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | STIV             | CORP              | CA        |  50000000 | PA      | $50070183.50  | 1.75%             | 2023-08-17      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED USD / SOLD NZD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |         1 | NC      | $3496.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COOPERAT RABOBANK UA/NY                          | Cooperatieve Rabobank UA/NY                  | CUSIP: 21684LFJ6<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | STIV             | CORP              | NL        |  60000000 | PA      | $60109927.80  | 2.10%             | 2023-11-24      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI TST&BNK C                             | MITSUBISHI TST&BNK C                         | CUSIP: 60683DCE7<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |  53000000 | PA      | $53064791.97  | 1.85%             | 2023-05-17      | Variable      | 5.28%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED SGD / SOLD USD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | SG        |         1 | NC      | $54991.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                               | Bank of America NA                           | CUSIP: 06052TS68<br>LEI: B4TYDEB6GKMZO031MB27 | Long             | STIV             | CORP              | US        |  50000000 | PA      | $50072474.50  | 1.75%             | 2023-04-12      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                | STOXX EUROPE 600 MAR23                       | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               |  | DE        |       813 | NC      | $-576057.04   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                | EURO-BTP FUTURE MAR23                        | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |      -609 | NC      | $2632172.57   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                           | PURCHASED NOK / SOLD USD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | NO        |         1 | NC      | $-15858.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                     | PLATINUM FUTURE APR23                        | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |       514 | NC      | $1837707.82   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                           | PURCHASED USD / SOLD CNH                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |         1 | NC      | $-1656549.00  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                 | BANK OF MONTREAL                             | CUSIP: 06367CW45<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | STIV             | CORP              | CA        |  55000000 | PA      | $54624310.40  | 1.91%             | 2023-06-23      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Osaka Exchange                                   | TOPIX INDX FUTR MAR23                        | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DE               |  | JP        |       165 | NC      | $-778331.99   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| ASX Clear (Futures)                              | 90-DAY BANK BILL MAR23                       | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |       302 | NC      | $-69756.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures U.S., Inc.                           | COFFEE 'C' FUTURE MAR23                      | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |     -1032 | NC      | $-1774821.61  | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| Osaka Exchange                                   | NIKKEI 225 (OSE) MAR23                       | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DE               |  | JP        |      -264 | NC      | $689052.82    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                | EURO-SCHATZ FUT MAR23                        | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |    -18675 | NC      | $20584851.10  | 0.72%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                           | PURCHASED USD / SOLD NOK                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |         1 | NC      | $-789031.12   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MITSUBISHI TST&BNK C                             | MITSUBISHI TST&BNK C                         | CUSIP: 60683DBN8<br>LEI: N/A                  | Long             | STIV             | CORP              | US        |  45000000 | PA      | $44960763.60  | 1.57%             | 2023-04-21      | Fixed         | 4.52%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Bill                  | CUSIP: 912796YM5<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  60000000 | PA      | $59385369.00  | 2.07%             | 2023-03-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED TRY / SOLD USD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | TR        |         1 | NC      | $-52377.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED PLN / SOLD USD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | PL        |         1 | NC      | $35015.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED USD / SOLD NZD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |         1 | NC      | $-24258.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI TRUST NY                         | SUMITOMO MITSUI TRUST NY                     | CUSIP: 86564MB49<br>LEI: N/A                  | Long             | STIV             | CORP              | JP        |  50000000 | PA      | $50000014.00  | 1.75%             | 2023-01-04      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| Singapore Exchange Derivatives Clearing Limited  | MSCI SING IX ETS JAN23                       | CUSIP: 000000000<br>LEI: 549300ZLWT3FK3F0FW61 | N/A              | DE               |  | SG        |      -106 | NC      | $10160.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Commodities Exchange Center                      | COPPER FUTURE MAR23                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |       -36 | NC      | $-137998.38   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                           | PURCHASED CHF / SOLD USD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | CH        |         1 | NC      | $5114.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division | LONG GILT FUTURE MAR23                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |     -1009 | NC      | $3532983.11   | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| SVENSKA HANDLSBNKN A                             | SVENSKA HANDLSBNKN A                         | CUSIP: 86959RZZ6<br>LEI: 549300LCO2FLSSVFFR64 | Long             | STIV             | CORP              | SE        |  46000000 | PA      | $45682602.76  | 1.59%             | 2023-06-13      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| TORONTO DOMINION                                 | TORONTO DOMINION                             | CUSIP: 89114WYL3<br>LEI: PT3QB789TSUIDF371261 | Long             | STIV             | CORP              | CA        |  15000000 | PA      | $14866605.30  | 0.52%             | 2023-06-07      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| ASX Clear (Futures)                              | SPI 200 FUTURES MAR23                        | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DE               |  | AU        |       893 | NC      | $-3084725.86  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | BP CURRENCY FUT MAR23                        | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              |  | US        |      -270 | NC      | $-31444.31    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                           | PURCHASED SGD / SOLD USD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | SG        |         1 | NC      | $112769.33    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | SOYBEAN FUTURE MAR23                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |       838 | NC      | $2735242.14   | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                           | DJIA MINI E-CBOT MAR23                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DE               |  | US        |       238 | NC      | $-690648.35   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                           | PURCHASED CHF / SOLD USD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | CH        |         1 | NC      | $9889.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | NASDAQ 100 E-MINI MAR23                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |      -341 | NC      | $3086427.79   | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury                           | United States Treasury Bill                  | CUSIP: 912796Y60<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  80000000 | PA      | $79547403.20  | 2.78%             | 2023-02-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                | EURO-OAT FUTURE MAR23                        | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |     -2481 | NC      | $13171194.56  | 0.46%             |  |  |  | No            |                  1 | On Loan: No      |
| SVENSKA HANDELSBANKEN NY                         | Svenska Handelsbanken/New York NY            | CUSIP: 86959RM80<br>LEI: NHBDILHZTYCNBV5UYZ31 | Long             | STIV             | CORP              | SE        |  52000000 | PA      | $52058988.28  | 1.82%             | 2023-10-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED ZAR / SOLD USD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | ZA        |         1 | NC      | $24803.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | LEAN HOGS FUTURE FEB23                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              |  | US        |       -97 | NC      | $-206902.99   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| ROYAL BK OF CANADA                               | ROYAL BK OF CANADA                           | CUSIP: 78015JAE7<br>LEI: 549300LCO2FLSSVFFR64 | Long             | STIV             | CORP              | CA        |  50000000 | PA      | $49826381.50  | 1.74%             | 2023-05-08      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| Hong Kong Futures Exchange Ltd.                  | HANG SENG IDX FUT JAN23                      | CUSIP: 000000000<br>LEI: 213800YTVSXYQN17BW16 | N/A              | DE               |  | HK        |       -18 | NC      | $-3117.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Bill                  | CUSIP: 912796X95<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  40000000 | PA      | $39991922.40  | 1.40%             | 2023-01-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division | ICE 3MTH SONIA FU MAR23                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |     -2039 | NC      | $-5114414.95  | -0.18%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures U.S., Inc.                           | SUGAR 11 (WORLD) MAR23                       | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |      4482 | NC      | $-395392.24   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                | EURO-BOBL FUTURE MAR23                       | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |     -5015 | NC      | $11621683.50  | 0.41%             |  |  |  | No            |                  1 | On Loan: No      |
| COOPERATIEVE CENTRALE                            | COOPERATIEVE CENTRALE                        | CUSIP: 21684XYQ3<br>LEI: N/A                  | Long             | STIV             | CORP              | NL        |  50000000 | PA      | $49932589.00  | 1.74%             | 2023-02-13      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| ICE Endex Derivatives                            | ECX EMISSION DEC23                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | NL        |       153 | NC      | $-1218393.45  | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                           | WHEAT FUTURE(CBT) MAR23                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |     -1148 | NC      | $-2632752.14  | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| TORONTO DOMINION BK                              | TORONTO DOMINION BK                          | CUSIP: 89115BN71<br>LEI: N/A                  | Long             | STIV             | CORP              | CA        |  50000000 | PA      | $50006026.50  | 1.75%             | 2023-09-27      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Bill                  | CUSIP: 912796ZJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  95000000 | PA      | $94933174.15  | 3.31%             | 2023-01-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WESTPAC BKING CORP N                             | WESTPAC BKING CORP N                         | CUSIP: 96130AQA9<br>LEI: N/A                  | Long             | STIV             | CORP              | AU        |  40000000 | PA      | $39999938.40  | 1.40%             | 2023-04-11      | Fixed         | 4.60%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Bill                  | CUSIP: 912796U31<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  25000000 | PA      | $24767313.50  | 0.86%             | 2023-03-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                | SHORT EURO-BTP FU MAR23                      | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |     -1908 | NC      | $744117.19    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                           | PURCHASED PLN / SOLD USD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | PL        |         1 | NC      | $1431026.81   | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | KC HRW WHEAT FUT MAR23                       | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |      -130 | NC      | $-270397.96   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                           | PURCHASED NZD / SOLD USD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | NZ        |         1 | NC      | $-47319.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | CORN FUTURE MAR23                            | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |      -249 | NC      | $-441978.51   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| United States Treasury                           | United States Treasury Bill                  | CUSIP: 912796T33<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  25500000 | PA      | $25346536.41  | 0.88%             | 2023-02-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED SGD / SOLD USD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | SG        |         1 | NC      | $98593.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Bill                  | CUSIP: 912796ZT9<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  15000000 | PA      | $14942981.55  | 0.52%             | 2023-02-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED CHF / SOLD USD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | CH        |         1 | NC      | $-76093.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                     | NY HARB ULSD FUT FEB23                       | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |       113 | NC      | $541695.43    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Board of Trade                           | US 2YR NOTE (CBT) MAR23                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |     -6553 | NC      | $-1078113.04  | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                           | PURCHASED ZAR / SOLD USD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | ZA        |         1 | NC      | $12182.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures Europe                               | LOW SU GASOIL G FEB23                        | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              |  | GB        |       120 | NC      | $374518.82    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| SUMITOMO MITSUI BANK NY                          | Sumitomo Mitsui Banking Corp/New York        | CUSIP: 86565FSZ6<br>LEI: 549300MS3WYYVQ4HXM15 | Long             | STIV             | CORP              | JP        |  40000000 | PA      | $40002190.40  | 1.40%             | 2023-03-16      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED SEK / SOLD USD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | SE        |         1 | NC      | $-140734.27   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Bill                  | CUSIP: 912796ZU6<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  25500000 | PA      | $25380127.31  | 0.89%             | 2023-02-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED SEK / SOLD USD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | SE        |         1 | NC      | $14588.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED USD / SOLD NZD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |         1 | NC      | $-117788.18   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED ZAR / SOLD USD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | ZA        |         1 | NC      | $44080.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| London Metal Exchange                            | LME ZINC FUTURE MAR23                        | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |        82 | NC      | $-548835.00   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Meff Financial Derivatives                       | IBEX 35 INDX FUTR JAN23                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | ES        |       529 | NC      | $-183227.21   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                | EURO STOXX 50 MAR23                          | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               |  | DE        |      1629 | NC      | $-2829445.82  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED CNH / SOLD USD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | CN        |         1 | NC      | $92432.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division | 3MO EURO EURIBOR  MAR23                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |    -15231 | NC      | $2450410.89   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| COMMONWEALTH BK AUSTR NY                         | Commonwealth Bank of Australia/New York NY   | CUSIP: 20271EZP7<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | STIV             | CORP              | AU        |  50000000 | PA      | $50000130.00  | 1.75%             | 2023-04-20      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | AUDUSD CRNCY FUT MAR23                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              |  | US        |     -1739 | NC      | $-1169145.20  | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures U.S., Inc.                           | COTTON NO.2 FUTR MAR23                       | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              |  | US        |      -517 | NC      | $-770080.00   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE Futures U.S., Inc.                           | MSCI EMGMKT MAR23                            | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DE               |  | US        |      -866 | NC      | $1169966.00   | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Commodities Exchange Center                      | GOLD 100 OZ FUTR FEB23                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |       102 | NC      | $121985.50    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                           | PURCHASED USD / SOLD NZD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |         1 | NC      | $13511.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MIZUHO BANK LTD                                  | MIZUHO BANK LTD                              | CUSIP: 60710R4L6<br>LEI: N/A                  | Long             | STIV             | CORP              | JP        | 100000000 | PA      | $100052905.00 | 3.49%             | 2023-04-28      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED NOK / SOLD USD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | NO        |         1 | NC      | $14742.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COMMONWEALTH BK AUSTR NY                         | Commonwealth Bank of Australia/New York NY   | CUSIP: 20271EB24<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | STIV             | CORP              | AU        |  50000000 | PA      | $50066226.00  | 1.75%             | 2023-06-05      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US 5YR NOTE (CBT) MAR23                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |     -3590 | NC      | $761333.43    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| MIZUHO BANK LTD                                  | MIZUHO BANK LTD                              | CUSIP: 60710RBV6<br>LEI: N/A                  | Long             | STIV             | CORP              | JP        |  19000000 | PA      | $18999837.55  | 0.66%             | 2023-02-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Bill                  | CUSIP: 912796ZL6<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  60000000 | PA      | $59865573.60  | 2.09%             | 2023-01-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| OVERSEA-CHINESE BK CO NY                         | Oversea-Chinese Banking Corp Ltd/New York    | CUSIP: 69033MT72<br>LEI: 5493007O3QFXCPOGWK22 | Long             | STIV             | CORP              | SG        |  31000000 | PA      | $30998706.06  | 1.08%             | 2023-02-23      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| New York Mercantile Exchange                     | PALLADIUM FUTURE MAR23                       | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              |  | US        |       -41 | NC      | $-234541.11   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                      | BRAZIL REAL FUT FEB23                        | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              |  | US        |       831 | NC      | $-477197.06   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                           | PURCHASED USD / SOLD SEK                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |         1 | NC      | $1192088.43   | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED USD / SOLD NZD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |         1 | NC      | $-195467.35   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| OVERSEA CHINESE BANKING                          | OVERSEA CHINESE BANKING                      | CUSIP: 69033MW52<br>LEI: N/A                  | Long             | STIV             | CORP              | GB        |  61000000 | PA      | $60985547.27  | 2.13%             | 2023-03-13      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | JPN YEN CURR FUT MAR23                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              |  | US        |     -1331 | NC      | $-5964993.00  | -0.21%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                      | E-MINI RUSS 2000 MAR23                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |      -444 | NC      | $440002.49    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Bank of America NA                               | Bank of America NA                           | CUSIP: 06052TR93<br>LEI: B4TYDEB6GKMZO031MB27 | Long             | STIV             | CORP              | US        |  51000000 | PA      | $50978104.17  | 1.78%             | 2023-01-13      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED PLN / SOLD USD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | PL        |         1 | NC      | $-13159.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED USD / SOLD CHF                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |         1 | NC      | $-229823.29   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED SEK / SOLD USD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | SE        |         1 | NC      | $-11673.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ASX Clear (Futures)                              | AUST 3YR BOND FUT MAR23                      | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |     -2348 | NC      | $216200.91    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF NOVA SCOTIA HOUS                         | Bank of Nova Scotia/Houston                  | CUSIP: 06417MD93<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | STIV             | CORP              | CA        |  46000000 | PA      | $46059417.74  | 1.61%             | 2023-08-16      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED PLN / SOLD USD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | PL        |         1 | NC      | $-4854.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA NY                          | Royal Bank of Canada/New York NY             | CUSIP: 78015JKN6<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | STIV             | CORP              | CA        |  24500000 | PA      | $24541714.93  | 0.86%             | 2023-10-23      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED NZD / SOLD USD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | NZ        |         1 | NC      | $-1792718.19  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| Singapore Exchange Derivatives Clearing Limited  | FTSE TAIWAN INDEX JAN23                      | CUSIP: 000000000<br>LEI: 549300ZLWT3FK3F0FW61 | N/A              | DE               |  | SG        |       145 | NC      | $-118182.80   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Chicago Mercantile Exchange                      | S+P MID 400 EMINI MAR23                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               |  | US        |        30 | NC      | $-215226.75   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                           | PURCHASED SEK / SOLD USD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | SE        |         1 | NC      | $-95070.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED TRY / SOLD USD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | TR        |         1 | NC      | $-67667.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Bill                  | CUSIP: 912796ZH5<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  35000000 | PA      | $35000000.00  | 1.22%             | 2023-01-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                           | United States Treasury Bill                  | CUSIP: 912796XZ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |  30000000 | PA      | $29880315.30  | 1.04%             | 2023-02-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED USD / SOLD NZD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |         1 | NC      | $-304483.88   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED NZD / SOLD USD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | NZ        |         1 | NC      | $-206242.10   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED USD / SOLD CHF                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |         1 | NC      | $-140639.40   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI TRUST NY                         | SUMITOMO MITSUI TRUST NY                     | CUSIP: 86564MXU7<br>LEI: N/A                  | Long             | STIV             | CORP              | JP        |  50000000 | PA      | $50023198.00  | 1.75%             | 2023-02-24      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal       | S+P/TSX 60 IX FUT MAR23                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | CA        |       111 | NC      | $-661409.16   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| NORDEA BANK ABP NEW YORK                         | Nordea Bank Abp/New York NY                  | CUSIP: 65558UXZ0<br>LEI: 529900ODI3047E2LIV03 | Long             | STIV             | CORP              | FI        |  50000000 | PA      | $50094004.50  | 1.75%             | 2023-10-23      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| TORONTO DOMINION BK                              | TORONTO DOMINION BK                          | CUSIP: 89115BK66<br>LEI: N/A                  | Long             | STIV             | CORP              | CA        |  31000000 | PA      | $30751324.20  | 1.07%             | 2023-08-22      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                | EURO-BUXL 30Y BND MAR23                      | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |      -481 | NC      | $4797870.32   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                           | PURCHASED PLN / SOLD USD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | PL        |         1 | NC      | $32356.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| London Metal Exchange                            | LME NICKEL FUTURE MAR23                      | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              |  | GB        |       115 | NC      | $981303.06    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal       | BANK ACCEPT FUTR MAR23                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |     -1985 | NC      | $955123.71    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                           | PURCHASED CNH / SOLD USD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | CN        |         1 | NC      | $41267.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                           | PURCHASED CNH / SOLD USD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | CN        |         1 | NC      | $61245.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SVENSKA HANDELSBANKEN NY                         | Svenska Handelsbanken/New York NY            | CUSIP: 86959RJ27<br>LEI: NHBDILHZTYCNBV5UYZ31 | Long             | STIV             | CORP              | SE        |  45000000 | PA      | $44996296.95  | 1.57%             | 2023-04-26      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | US ULTRA BOND CBT MAR23                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -661 | NC      | $208459.96    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                           | PURCHASED CHF / SOLD USD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | CH        |         1 | NC      | $15166.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NORDEA BK AB PUBL NY                             | NORDEA BK AB PUBL NY                         | CUSIP: 65558UUE0<br>LEI: 529900ODI3047E2LIV03 | Long             | STIV             | CORP              | US        |  30000000 | PA      | $29744838.00  | 1.04%             | 2023-06-08      | Fixed         | 2.97%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                      | EURO FX CURR FUT MAR23                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              |  | US        |       469 | NC      | $288999.75    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                           | PURCHASED CNH / SOLD USD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | CN        |         1 | NC      | $52778.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                           | SOYBEAN MEAL FUTR MAR23                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              |  | US        |      2309 | NC      | $8427169.16   | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| Eurex Deutschland                                | EURO-BUND FUTURE MAR23                       | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |     -1992 | NC      | $9711211.91   | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                           | PURCHASED ZAR / SOLD USD                     | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | ZA        |         1 | NC      | $7512.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BK                             | CANADIAN IMPERIAL BK                         | CUSIP: 13606KKX3<br>LEI: N/A                  | Long             | STIV             | CORP              | CA        |  40000000 | PA      | $39942800.40  | 1.39%             | 2023-02-24      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| Singapore Exchange Derivatives Clearing Limited  | FTSE CHINA A50 JAN23                         | CUSIP: 000000000<br>LEI: 549300ZLWT3FK3F0FW61 | N/A              | DE               |  | SG        |     -1827 | NC      | $-143228.12   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BK                             | CANADIAN IMPERIAL BK                         | CUSIP: 13606KJT4<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | STIV             | CORP              | CA        |  35000000 | PA      | $34745622.10  | 1.21%             | 2023-06-26      | Fixed         | 3.59%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-01-27

**Name of Applicant:** Natixis Funds Trust II

**Signature:** John Sgroi

**Name of Signer:** John Sgroi

**Title:** Assistant Treasurer