# EDGAR Filing Document

**Accession Number:** 0000882443
**File Stem:** 0000940400-26-022565
**Filing Date:** 2026-6
**Character Count:** 123735
**Document Hash:** 21bf36a3db2a6c5cc486440e91796511
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-26-022565.hdr.sgml**: 20260601

**ACCESSION NUMBER**: 0000940400-26-022565

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260601

**DATE AS OF CHANGE**: 20260601

**PERIOD START**: 20260930

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** AMG Funds I
- **CENTRAL INDEX KEY:** 0000882443

**ORGANIZATION NAME:**
- **EIN:** 561773580
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0331

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-06520
- **FILM NUMBER:** 261048173

**BUSINESS ADDRESS:**
- **STREET 1:** 680 WASHINGTON BOULEVARD, SUITE 500
- **CITY:** STAMFORD
- **STATE:** CT
- **ZIP:** 06901
- **BUSINESS PHONE:** 2032993500

**MAIL ADDRESS:**
- **STREET 1:** 680 WASHINGTON BOULEVARD, SUITE 500
- **CITY:** STAMFORD
- **STATE:** CT
- **ZIP:** 06901

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MANAGERS TRUST I
- **DATE OF NAME CHANGE:** 20000801

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** SMITH BREEDEN TRUST
- **DATE OF NAME CHANGE:** 19920929

## Series and Classes Contracts Data

### AMG Systematica Trend-Enhanced Markets Fund (Series ID: S000090511)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000257774 | Class Z      | STMZX           |
| C000257775 | Class N      | STMBX           |
| C000257776 | Class I      | STMIX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** AMG Funds I

- **b. Investment Company Act file number:** 811-06520

- **c. CIK number of Registrant:** 0000882443

- **d. LEI of Registrant:** 549300SY4O1O812XWI71

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

  - **Street Address 1:** 680 Washington Blvd.

  - **City:** Stamford

  - **State:** CT

  - **Foreign country:** US

  - **Zip / Postal Code:** 06901

  - **Telephone number:** 800-548-4539

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

- **a. Name of Series:** AMG Systematica Trend-Enhanced Markets Fund

- **b. EDGAR series identifier (if any):** S000090511

- **c. LEI of Series:** 254900IHZFLKRI1EDE46

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

- **a. Date of fiscal year-end:** 2026-09-30

- **b. Date as of which information is reported:** 2026-03-31

**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:** $7732645.77

**Total Liabilities:** $693588.17

**Net Assets:** $7039057.60

**Cash Not Reported:** $3200417.34

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -29.80586000 | **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 C000257775 | 2.94%                | 2.21%                | -8.21%               |
| Class ID C000257776 | 2.94%                | 2.21%                | -8.21%               |
| Class ID C000257774 | 2.94%                | 2.21%                | -8.21%               |

**Monthly Gains & Losses**

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

**Designated Index Information**

- **Index Name:** S&P 500 INDEX

- **Index Identifier:** SPX Index

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BARCLAYS PLC                                       | USD/NZD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-4646.36     | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | HUF/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $18.30        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED | USD/HUF FORWARD                                                                        | CUSIP: 000000000<br>LEI: 8NAV47T0Y26Q87Y0QP81 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-397.60      | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| THE ROYAL BANK OF SCOTLAND INTERNATIONAL LIMITED   | USD/NZD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 21380078CCZSEEIIKA41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-385.27      | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| THE ROYAL BANK OF SCOTLAND INTERNATIONAL LIMITED   | USD/PLN FORWARD                                                                        | CUSIP: 000000000<br>LEI: 21380078CCZSEEIIKA41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-422.41      | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | USD/CNH FORWARD                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-299.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                 | Henry Hub Natural Gas Futures, Jul-2026,ETH                                            | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |        -1 | NC      | $5188.22      | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Citibank, National Association                     | KRW/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $109.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | USD/CHF FORWARD                                                                        | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED | USD/HUF FORWARD                                                                        | CUSIP: 000000000<br>LEI: 8NAV47T0Y26Q87Y0QP81 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.28         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/EUR FORWARD                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-522.54      | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                     | USD/INR FORWARD                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $3.61         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | INR/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-184.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OSAKA EXCHANGE,INC                                 | 10-YEAR JGB TRADE FUTURE, JUN 2026                                                     | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              | CORP              | JP        |        -2 | NC      | $21482.59     | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS PLC                                       | USD/AUD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1604.16      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | USD/CHF FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-5.75        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                | MXN/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.04         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THAILAND FUTURES EXCHANGE PUBLIC COMPANY LIMITED   | SET50 INDEX FUTURES, Jun-2026                                                          | CUSIP: 000000000<br>LEI: 5493006G4X6OUMF0CE07 | N/A              | DE               | CORP              | TH        |        51 | NC      | $2972.25      | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | MXN/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-93.45       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.        | Soybean Oil Futures, May-2026,ETH                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |         5 | NC      | $31553.48     | 0.45%             |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS PLC                                       | SGD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-8.55        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED | USD/SEK FORWARD                                                                        | CUSIP: 000000000<br>LEI: 8NAV47T0Y26Q87Y0QP81 | N/A              | DFE              | CORP              | US        |         1 | NC      | $43.22        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | USD/CNH FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-367.17      | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | EUR/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $152.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | USD/TWD FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | MXN/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-5466.67     | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | USD/MXN FORWARD                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $230.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | PLN/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-377.18      | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | ZAR/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $202.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | SGD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1.35        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | CNH/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1158.74     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | KRW/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1.80        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                            | USD/SEK FORWARD                                                                        | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | CAD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1320.71      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED | CAD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 8NAV47T0Y26Q87Y0QP81 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1341.76      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                   | USD/KRW FORWARD                                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |         1 | NC      | $669.71       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                     | CHF/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1694.17      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.        | Ultra U.S. Treasury Bond Futures, Jun-2026,ETH                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -1 | NC      | $-94.22       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | USD/SEK FORWARD                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-10063.01    | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | USD/CNH FORWARD                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.24        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | CNH/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.44        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | SGD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $3.67         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | USD/JPY FORWARD                                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $316.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | USD/SGD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $772.64       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| KOREA EXCHANGE, INC.                               | BMA Future, JUN 2026                                                                   | CUSIP: 000000000<br>LEI: 549300TJ3RRV6Q1UEW14 | N/A              | DIR              | CORP              | KR        |       -10 | NC      | $8851.72      | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                  | Euro(FOAT) OAT Futures                                                                 | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |         2 | NC      | $-9525.22     | -0.14%            |  |  |  | No            |                  1 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC  | AUD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-324.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                  | Long(FBTP) Term Euro                                                                   | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |         1 | NC      | $-5768.29     | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | USD/KRW FORWARD                                                                        | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $3952.10      | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | JPY/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-5.16        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED | USD/INR FORWARD                                                                        | CUSIP: 000000000<br>LEI: 8NAV47T0Y26Q87Y0QP81 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1019.35      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | USD/CHF FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.09         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED    | AUD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: JHE42UYNWWTJB8YTTU19 | N/A              | DFE              | CORP              | US        |         1 | NC      | $4782.57      | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | USD/ZAR FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $23.24        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THE TORONTO-DOMINION BANK                          | USD/NOK FORWARD                                                                        | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              | CORP              | US        |         1 | NC      | $12.28        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | SEK/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.26         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | EUR/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-554.75      | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | USD/HUF FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.08         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | USD/SEK FORWARD                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $7.28         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | INR/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $30.13        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.        | Chicago SRW Wheat Futures, May-2026,ETH                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |         2 | NC      | $970.49       | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.        | Soybean Futures, May-2026,ETH                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |         6 | NC      | $236.36       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | USD/CHF FORWARD                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $974.19       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| THE ROYAL BANK OF SCOTLAND INTERNATIONAL LIMITED   | USD/CHF FORWARD                                                                        | CUSIP: 000000000<br>LEI: 21380078CCZSEEIIKA41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-8.47        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | USD/CAD FORWARD                                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1597.96      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | CNH/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.24         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO SECURITIES, LLC                        | MXN/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1093.89     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | USD/HUF FORWARD                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-40.48       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | AUD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-4274.10     | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/AUD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1.07         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| XTX MARKETS TRADING LIMITED                        | JPY/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800N2KFBZBWWT8D92 | N/A              | DFE              | CORP              | US        |         1 | NC      | $21.85        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.        | 2-Year T-Note Futures, Jun-2026,ETH                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -6 | NC      | $2518.11      | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| SINGAPORE EXCHANGE LIMITED                         | MSCI Singapore Index Futures, April 2026                                               | CUSIP: 000000000<br>LEI: 549300IQ650PPXM76X03 | N/A              | DE               | CORP              | SG        |         1 | NC      | $91.51        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| THE LONDON METAL EXCHANGE                          | LME COPPER FUTURE MAY26                                                                | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DIR              | CORP              | GB        |        -1 | NC      | $20421.56     | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | CNH/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.96         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | USD/CNH FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.30        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | NOK/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1.88         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | SGD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-264.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | USD/CHF FORWARD                                                                        | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.79        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE ROYAL BANK OF SCOTLAND INTERNATIONAL LIMITED   | USD/HUF FORWARD                                                                        | CUSIP: 000000000<br>LEI: 21380078CCZSEEIIKA41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-10.36       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ASX CLEARING CORPORATION LIMITED                   | ASX 10 Year Treasury Bond Futures                                                      | CUSIP: 000000000<br>LEI: 549300USWUR0S7VMM868 | N/A              | DIR              | CORP              | AU        |       -14 | NC      | $7795.19      | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| SOCIETE GENERALE                                   | GBP/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $409.39       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FIXED INCOME CLEARING CORPORATION                  | FICC                                                                                   | CUSIP: 000000000<br>LEI: 549300H47WTHXPU08X20 | Long             | RA               | CORP              | US        |   4116000 | PA      | $4116000.00   | 58.47%            |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC  | SGD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1182.48      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | USD/SEK FORWARD                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.54         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | MXN/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $21.98        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED | SGD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 8NAV47T0Y26Q87Y0QP81 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-215.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | USD/PLN FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1.95         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | MXN/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.27        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE ROYAL BANK OF SCOTLAND INTERNATIONAL LIMITED   | HUF/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 21380078CCZSEEIIKA41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-7.84        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                  | EURO(FGBX) Buxl Futures                                                                | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |        -1 | NC      | $-2104.05     | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| THE LONDON METAL EXCHANGE                          | LME COPPER FUTURE MAY26                                                                | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $-25913.94    | -0.37%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/CAD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.24        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE TORONTO-DOMINION BANK                          | NOK/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-7.62        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO SECURITIES, LLC                        | SGD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              | CORP              | US        |         1 | NC      | $185.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | USD/NZD FORWARD                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-357.01      | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                   | Lean Hog Futures, Jun-2026,ETH                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              | CORP              | US        |         1 | NC      | $-1022.38     | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | KRW/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-54.93       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED | USD/PLN FORWARD                                                                        | CUSIP: 000000000<br>LEI: 8NAV47T0Y26Q87Y0QP81 | N/A              | DFE              | CORP              | US        |         1 | NC      | $3.82         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | USD/CAD FORWARD                                                                        | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1.88         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                 | Platinum Futures, Jul-2026,ETH                                                         | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |         1 | NC      | $968.20       | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                             | CAD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1.22         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/SGD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.43         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | GBP/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1988.40     | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED    | JPY/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: JHE42UYNWWTJB8YTTU19 | N/A              | DFE              | CORP              | US        |         1 | NC      | $213.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED | ZAR/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 8NAV47T0Y26Q87Y0QP81 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1.64         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED | CHF/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 8NAV47T0Y26Q87Y0QP81 | N/A              | DFE              | CORP              | US        |         1 | NC      | $3637.46      | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | USD/JPY FORWARD                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-8.67        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/MXN FORWARD                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $54.37        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | USD/CNH FORWARD                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-514.05      | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/ZAR FORWARD                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $78.76        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | USD/HUF FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $8.31         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | SEK/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $60.74        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | CNH/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $4.31         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | USD/SGD FORWARD                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $278.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THE TORONTO-DOMINION BANK                          | USD/NOK FORWARD                                                                        | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              | CORP              | US        |         1 | NC      | $53.91        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                             | Canola Futures - ICUS                                                                  | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |         2 | NC      | $-53.47       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Citibank, National Association                     | NOK/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.54         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | HUF/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $170.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED | TWD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 8NAV47T0Y26Q87Y0QP81 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-2.41        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | ZAR/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-3.98        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | TWD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-8.36        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | SGD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $236.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | SGD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-9929.42     | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | USD/MXN FORWARD                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.36         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | USD/CNH FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.31         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | USD/NZD FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $381.91       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED    | USD/JPY FORWARD                                                                        | CUSIP: 000000000<br>LEI: JHE42UYNWWTJB8YTTU19 | N/A              | DFE              | CORP              | US        |         1 | NC      | $3335.74      | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| XTX MARKETS TRADING LIMITED                        | USD/JPY FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800N2KFBZBWWT8D92 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-33.95       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | TWD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1.30        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | ZAR/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-2435.65     | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED | USD/INR FORWARD                                                                        | CUSIP: 000000000<br>LEI: 8NAV47T0Y26Q87Y0QP81 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-2353.80     | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | USD/SEK FORWARD                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-12.97       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | USD/ZAR FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-6.97        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                  | VSTOXX Futures(FVS) Vola Index Fut                                                     | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               | CORP              | DE        |         2 | NC      | $51.09        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | CHF/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-6.39        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | CAD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $958.25       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | USD/SEK FORWARD                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1396.14      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.        | Ultra 10-Year U.S. Treasury Note Futures, Jun-2026,ETH                                 | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -1 | NC      | $-266.57      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | NZD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $674.74       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NATIONAL STOCK EXCHANGE OF INDIA LIMITED           | IFSC NIFTY 50 FUT APR26                                                                | CUSIP: 000000000<br>LEI: 335800NLY5HYW9I7YE03 | N/A              | DE               | CORP              | IN        |        -5 | NC      | $4324.78      | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| SOCIETE GENERALE                                   | USD/PLN FORWARD                                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.29         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | USD/NOK FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $24.90        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | CAD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.48        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | NOK/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.70        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                  | Euro(FGBS) Schatz Futures                                                              | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |        -7 | NC      | $2568.94      | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.        | 5-Year T-Note Futures, Jun-2026,ETH                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -2 | NC      | $-64.37       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC  | USD/INR FORWARD                                                                        | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |         1 | NC      | $4502.51      | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | NOK/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.40        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | USD/CHF FORWARD                                                                        | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-88.11       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | USD/GBP FORWARD                                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1648.48      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SECURITIES (USA) INC.              | USD/INR FORWARD                                                                        | CUSIP: 000000000<br>LEI: 549300WO2DKF0Q3YMV43 | N/A              | DFE              | CORP              | US        |         1 | NC      | $8825.68      | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | CNH/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $64.92        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | ZAR/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $45.07        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | CHF/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $68.79        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company                | MXN/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |         1 | NC      | $97.70        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | JPY/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $29.33        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COMMODITIES EXCHANGE CENTER                        | Copper Futures, May-2026,ETH                                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              | CORP              | US        |         1 | NC      | $-7201.74     | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS PLC                                       | USD/CNH FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.07        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                   | USD/SEK FORWARD                                                                        | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DFE              | CORP              | US        |         1 | NC      | $5.59         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | CAD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-6104.59     | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| EURONEXT PARIS SA                                  | CAC 40 Index Future, Apr 2026                                                          | CUSIP: 000000000<br>LEI: 969500HMVSZ0TCV65D58 | N/A              | DE               | CORP              | FR        |         1 | NC      | $-1844.20     | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | USD/HUF FORWARD                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.83        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | INR/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-400.80      | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| THE ROYAL BANK OF SCOTLAND INTERNATIONAL LIMITED   | USD/AUD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 21380078CCZSEEIIKA41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-387.85      | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ASX CLEARING CORPORATION LIMITED                   | ASX SPI 200 Index Futures                                                              | CUSIP: 000000000<br>LEI: 549300USWUR0S7VMM868 | N/A              | DE               | CORP              | AU        |         1 | NC      | $-2140.50     | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS PLC                                       | USD/EUR FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-969.49      | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED    | AUD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: JHE42UYNWWTJB8YTTU19 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-2448.92     | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | USD/SEK FORWARD                                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-4.53        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | TWD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO SECURITIES, LLC                        | MXN/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | USD/TWD FORWARD                                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1.08         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THE ROYAL BANK OF SCOTLAND INTERNATIONAL LIMITED   | USD/SEK FORWARD                                                                        | CUSIP: 000000000<br>LEI: 21380078CCZSEEIIKA41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1030.79      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HONG KONG FUTURES EXCHANGE LTD.                    | HANG SENG CHINA ENTERPRISES INDEX (HSCEI) FUTURES, APR-2026                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               | CORP              | HK        |        -2 | NC      | $99.09        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS PLC                                       | EUR/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-970.07      | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | CAD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.42        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                   | USD/NOK FORWARD                                                                        | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DFE              | CORP              | US        |         1 | NC      | $11.64        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | USD/SGD FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-185.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE TORONTO-DOMINION BANK                          | USD/JPY FORWARD                                                                        | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              | CORP              | US        |         1 | NC      | $304.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MONTREAL EXCHANGE INC.                             | S&P/TSX 60 Index Standard Futures                                                      | CUSIP: 000000000<br>LEI: 549300DKBYNOI0B1NP44 | N/A              | DE               | CORP              | CA        |         1 | NC      | $-1855.68     | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED | USD/SGD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 8NAV47T0Y26Q87Y0QP81 | N/A              | DFE              | CORP              | US        |         1 | NC      | $808.90       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.        | KC HRW Wheat Futures, May-2026,ETH                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |         1 | NC      | $322.69       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SINGAPORE EXCHANGE LIMITED                         | FTSE CHINA A50 INDEX FUTURE, April 2026                                                | CUSIP: 000000000<br>LEI: 549300IQ650PPXM76X03 | N/A              | DE               | CORP              | SG        |         2 | NC      | $139.41       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | USD/NOK FORWARD                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $80.51        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Nomura Securities International, Inc.              | HUF/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.69         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | USD/NZD FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $352.63       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| THE ROYAL BANK OF SCOTLAND INTERNATIONAL LIMITED   | HUF/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 21380078CCZSEEIIKA41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $7.75         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | KRW/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $4.68         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED | USD/CHF FORWARD                                                                        | CUSIP: 000000000<br>LEI: 8NAV47T0Y26Q87Y0QP81 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-21.55       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                   | USD/JPY FORWARD                                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |         1 | NC      | $12.81        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| The Bank of New York Mellon                        | EUR/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: HPFHU0OQ28E4N0NFVK49 | N/A              | DFE              | CORP              | US        |         1 | NC      | $388.56       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| THE ROYAL BANK OF SCOTLAND INTERNATIONAL LIMITED   | SEK/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 21380078CCZSEEIIKA41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1129.97      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | CHF/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.04        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | GBP/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-41.05       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | SGD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THE TORONTO-DOMINION BANK                          | USD/HUF FORWARD                                                                        | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-17.73       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | USD/KRW FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $56.64        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | CNH/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $275.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | CNH/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.19         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KOREA EXCHANGE, INC.                               | BM3 Future, JUN 2026                                                                   | CUSIP: 000000000<br>LEI: 549300TJ3RRV6Q1UEW14 | N/A              | DIR              | CORP              | KR        |       -21 | NC      | $8268.21      | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| SOCIETE GENERALE                                   | SEK/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.87         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                   | USD/MXN FORWARD                                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |         1 | NC      | $40.12        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO SECURITIES, LLC                        | USD/SGD FORWARD                                                                        | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-44.64       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE ROYAL BANK OF SCOTLAND INTERNATIONAL LIMITED   | NZD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 21380078CCZSEEIIKA41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $3970.70      | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | AUD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1703.09     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| THE TORONTO-DOMINION BANK                          | USD/MXN FORWARD                                                                        | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-602.28      | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| OSAKA EXCHANGE,INC                                 | TOPIX TRADE FUTURE, JUN 2026                                                           | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DE               | CORP              | JP        |         1 | NC      | $-8947.62     | -0.13%            |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS PLC                                       | USD/KRW FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-166.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | USD/SGD FORWARD                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $390.94       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                   | USD/HUF FORWARD                                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |         1 | NC      | $9.67         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC  | CNH/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-198.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company                | HUF/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.02         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | ZAR/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-27.21       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                            | USD/INR FORWARD                                                                        | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-97.22       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | USD/INR FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $43.55        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | CAD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.56         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | USD/TWD FORWARD                                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-32.42       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE ROYAL BANK OF SCOTLAND INTERNATIONAL LIMITED   | USD/AUD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 21380078CCZSEEIIKA41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-6551.63     | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SECURITIES (USA) INC.              | KRW/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 549300WO2DKF0Q3YMV43 | N/A              | DFE              | CORP              | US        |         1 | NC      | $963.01       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | INR/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $3.98         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | HUF/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-2768.36     | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | JPY/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $42.84        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | ZAR/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-191.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/PLN FORWARD                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $5.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | USD/INR FORWARD                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $9.71         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SINGAPORE EXCHANGE LIMITED                         | SGX FTSE Taiwan Index Futures, April 2026                                              | CUSIP: 000000000<br>LEI: 549300IQ650PPXM76X03 | N/A              | DE               | CORP              | SG        |         3 | NC      | $-16980.50    | -0.24%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.        | Corn Futures, May-2026,ETH                                                             | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |        18 | NC      | $2396.58      | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.                   | E-mini S&P 500 Futures, Jun-2026,ETH                                                   | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               | CORP              | US        |        16 | NC      | $-92567.20    | -1.32%            |  |  |  | No            |                  1 | On Loan: No      |
| MONTREAL EXCHANGE INC.                             | Ten-Year Government of Canada Bond Futures                                             | CUSIP: 000000000<br>LEI: 549300DKBYNOI0B1NP44 | N/A              | DIR              | CORP              | CA        |         4 | NC      | $-6940.61     | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| SOCIETE GENERALE                                   | CNH/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.28        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | USD/MXN FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1705.67     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | USD/CNH FORWARD                                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $202.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THE ROYAL BANK OF SCOTLAND INTERNATIONAL LIMITED   | USD/ZAR FORWARD                                                                        | CUSIP: 000000000<br>LEI: 21380078CCZSEEIIKA41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-22.90       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/CHF FORWARD                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-13.77       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                   | NOK/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1208.57     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | USD/SEK FORWARD                                                                        | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-899.72      | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                     | USD/NZD FORWARD                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $2561.62      | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC  | INR/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.01        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                  | Short(FBTS) Term Euro                                                                  | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |        -2 | NC      | $-440.43      | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | USD/PLN FORWARD                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-481.98      | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED | KRW/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 8NAV47T0Y26Q87Y0QP81 | N/A              | DFE              | CORP              | US        |         1 | NC      | $5506.63      | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | USD/SGD FORWARD                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-473.12      | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | NOK/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-22.60       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | ZAR/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $4.05         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | CHF/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-80.35       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NASDAQ OMX NORDIC                                  | OMX Stockholm 30 Index Price Return Cash Settled Monthly Future SEK,Dec-2030,Composite | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               | CORP              | SE        |         3 | NC      | $-2063.28     | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| SOCIETE GENERALE                                   | USD/CNH FORWARD                                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-227.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | USD/SEK FORWARD                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $73.75        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                     | USD/KRW FORWARD                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-27.22       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | KRW/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $903.98       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | ZAR/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-3.01        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.        | 10-Year T-Note Futures, Jun-2026,ETH                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -1 | NC      | $-94.81       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                  | Euro(FGBM) Bobl Futures                                                                | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |        -1 | NC      | $-566.97      | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | INR/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $68.77        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | CNH/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-501.28      | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| THE ROYAL BANK OF SCOTLAND INTERNATIONAL LIMITED   | PLN/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 21380078CCZSEEIIKA41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $6.46         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | USD/NOK FORWARD                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-7.81        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | TWD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1147.54      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | SEK/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-15.69       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| XTX MARKETS TRADING LIMITED                        | ZAR/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800N2KFBZBWWT8D92 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.06         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THE TORONTO-DOMINION BANK                          | JPY/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1.76         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                 | FTSE 100 - Stnd Index Future - ICEU, Jun26                                             | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DE               | CORP              | GB        |         1 | NC      | $-1857.24     | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | CNH/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-4.35        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| XTX MARKETS TRADING LIMITED                        | SEK/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800N2KFBZBWWT8D92 | N/A              | DFE              | CORP              | US        |         1 | NC      | $2.06         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | NOK/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $14.82        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                   | USD/SGD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |         1 | NC      | $396.88       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | USD/JPY FORWARD                                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $35.63        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| The Bank of New York Mellon                        | NZD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: HPFHU0OQ28E4N0NFVK49 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1941.99     | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | USD/EUR FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-214.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | USD/INR FORWARD                                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $87.52        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | USD/INR FORWARD                                                                        | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-494.43      | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ASX CLEARING CORPORATION LIMITED                   | ASX 3 Year Treasury Bond Futures                                                       | CUSIP: 000000000<br>LEI: 549300USWUR0S7VMM868 | N/A              | DIR              | CORP              | AU        |       -27 | NC      | $9757.69      | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                 | Henry Hub Natural Gas Futures, Jun-2026,ETH                                            | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |        -1 | NC      | $1287.92      | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS PLC                                       | INR/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $3251.58      | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC  | USD/SGD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |         1 | NC      | $470.28       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                 | Long Gilt Future - ICEU                                                                | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $-1919.75     | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | EUR/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1556.43     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED | TWD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 8NAV47T0Y26Q87Y0QP81 | N/A              | DFE              | CORP              | US        |         1 | NC      | $646.65       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | USD/JPY FORWARD                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.03         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| XTX MARKETS TRADING LIMITED                        | CNH/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800N2KFBZBWWT8D92 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1.95        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | USD/KRW FORWARD                                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1.71        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC  | USD/AUD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-812.08      | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | ZAR/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-3579.95     | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | CNH/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $233.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                     | SGD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $31.54        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                  | EURO STOXX 50 Index Futures(FESX) Index Fut                                            | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               | CORP              | DE        |         1 | NC      | $-1509.19     | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| SOCIETE GENERALE                                   | JPY/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-417.16      | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | USD/MXN FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-13.82       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | AUD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-923.93      | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | USD/INR FORWARD                                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-153.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | KRW/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1058.46      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | ZAR/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-13.98       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED | USD/KRW FORWARD                                                                        | CUSIP: 000000000<br>LEI: 8NAV47T0Y26Q87Y0QP81 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-239.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE TORONTO-DOMINION BANK                          | MXN/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              | CORP              | US        |         1 | NC      | $530.71       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | SGD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $12.68        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.        | Soybean Meal Futures, May-2026,ETH                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |         3 | NC      | $-1876.93     | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                            | SGD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1.31        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | JPY/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $364.69       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                   | USD/SEK FORWARD                                                                        | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-7.68        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | USD/HUF FORWARD                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $14.79        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | HUF/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-84.24       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                   | CNH/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1.17         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | USD/KRW FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $4368.59      | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                             | Sugar No. 11 Futures - NYCC                                                            | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |        -5 | NC      | $-9668.54     | -0.14%            |  |  |  | No            |                  1 | On Loan: No      |
| XTX MARKETS TRADING LIMITED                        | ZAR/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800N2KFBZBWWT8D92 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.01         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | USD/CNH FORWARD                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $2.26         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/TWD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                  | VSTOXX Futures(FVS) Vola Index Fut                                                     | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               | CORP              | DE        |         1 | NC      | $-168.00      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                 | Henry Hub Natural Gas Futures, Aug-2026,ETH                                            | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |        -1 | NC      | $2888.22      | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |

### Signature

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

**Name of Applicant:** AMG Funds I

**Signature:** Thomas Disbrow

**Name of Signer:** Thomas Disbrow

**Title:** Principal Financial Officer