# EDGAR Filing Document

**Accession Number:** 0001364924
**File Stem:** 0001752724-25-182811
**Filing Date:** 2025-7
**Character Count:** 462223
**Document Hash:** 4011b04b5423378ec00d0b720915a15b
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-25-182811.hdr.sgml**: 20250730

**ACCESSION NUMBER**: 0001752724-25-182811

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250531

**FILED AS OF DATE**: 20250730

**DATE AS OF CHANGE**: 20250729

**PERIOD START**: 20250531

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Fidelity Rutland Square Trust II
- **CENTRAL INDEX KEY:** 0001364924

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0228

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-21991
- **FILM NUMBER:** 251163406

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

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

## Series and Classes Contracts Data

### Strategic Advisers Alternatives Fund (Series ID: S000076543)

| Class ID   | Class Name                           | Ticker Symbol   |
|:---|:---|:---|
| C000236518 | Strategic Advisers Alternatives Fund | FSLTX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Fidelity Rutland Square Trust II

- **b. Investment Company Act file number:** 811-21991

- **c. CIK number of Registrant:** 0001364924

- **d. LEI of Registrant:** 1KZ3JN58GDRI3EZKKG06

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

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

  - **City:** Boston

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02210

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

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

- **a. Name of Series:** Strategic Advisers Alternatives Fund

- **b. EDGAR series identifier (if any):** S000076543

- **c. LEI of Series:** 549300L8V38YP5EMDB42

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

- **a. Date of fiscal year-end:** 2025-05-31

- **b. Date as of which information is reported:** 2025-05-31

**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:** $3122139228.31

**Total Liabilities:** $271364236.82

**Net Assets:** $2850774991.49

**Amount of Assets Invested in Other Investment Companies:** $27455421.72

**Delayed Delivery Securities:** $20253171.89

**Cash Not Reported:** $2981456.57

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 593.01745362 | **1-Year:** 1051.92433026 | **5-Year:** 669.19668418 | **10-Year:** 80.96430923 | **30-Year:** 16.36412872

**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 C000236518 | 0.51%                | -0.10%               | 1.12%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $124199.50               | $14675302.29                               |
| Month 2  | $-1814475.79             | $-4634988.19                               |
| Month 3  | $-2410714.89             | $28240532.94                               |

**Designated Index Information**

- **Index Name:** N/A

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                                                              | Title                                                                           | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |      Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: USD/PLN settle 2025-06-13                                           | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-32350.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MONTREAL EXCHANGE (THE)                                           | S and P/TSX 60 IX FUT JUN25 PTM5                                                | CUSIP: N/A<br>LEI: 549300DKBYNOI0B1NP44       | N/A              | DE               | CORP              | CA        |           46 | NC      | $586524.12    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/ILS settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-177104.43   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: AUD/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $8330.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | C$ CURRENCY FUT JUN25 CDM5                                                      | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DFE              | CORP              | US        |         -987 | NC      | $-2952364.04  | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | IRS EUR 2.25000 09/17/25 30Y LCH                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |     -3600000 | NC      | $-25987.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUROPEAN ENERGY DERIVATIVES EXCHANGE NV                           | ECX EMISSION FUT DEC25 MOZ25                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | NL        |           -3 | NC      | $33074.25     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SINGAPORE EXCHANGE DERIVATIVES CLEARING LTD                       | NIKKEI 225 (SGX) FUT JUN25 NIM5                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | SG        |            2 | NC      | $1102.27      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: ILS/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $19831.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: INR/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-2196.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | ZCS BRL 10.095 02-06-24-01-02-29 CME                                            | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |    -20300000 | NC      | $321018.92    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: USD/BRL settle 2025-06-18                                           | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-2821.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: EUR/USD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $37.09        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CLP 4.94000 10/30/24 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -1824600000 | NC      | $-29866.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: THB/USD settle 2025-07-16                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $27401.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/PLN settle 2025-06-06                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-49441.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | US 5YR NOTE (CBT) FUT SEP25 FVU5                                                | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |          -31 | NC      | $-15540.30    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY                                                    | FX Forward: PLN/USD settle 2025-06-20                                           | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | N/A              | DFE              | CORP              | US        |            1 | NC      | $229969.57    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                    | FX Forward: USD/ZAR settle 2025-06-18                                           | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-5274.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS HUF 6.55000 10-25-24-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   -542400000 | NC      | $-77434.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | OIS ILS SHIRON-4.17000 05-23-25-5Y LCH                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |     -9600000 | NC      | $-1815.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/SEK settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $1954.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS ZAR 9.09 09/28 5Y CME                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    -83300000 | NC      | $-229427.76   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON METAL EXCHANGE                                             | LME PRI ALUM FUTR JUL25 LAN25                                                   | CUSIP: N/A<br>LEI: 213800NB8G5VRT1DXC91       | N/A              | DCO              | CORP              | GB        |          -17 | NC      | $-28513.25    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/CZK settle 2025-08-22                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-619.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                                      | NY HARB ULSD FUT JUL25 HON5                                                     | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |           18 | NC      | $-70589.46    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: COP/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $8006.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CLP 4.64940 12-20-23-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   2802900000 | NC      | $7068.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | 3 MONTH SOFR FUT DEC26 SFRZ6                                                    | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DE               | CORP              | US        |         -158 | NC      | $-118410.56   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| SYDNEY FUTURES EXCHANGE LTD                                       | SPI 200 FUTURES JUN25 XPM5                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | AU        |            7 | NC      | $18886.46     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CPPIB CAP INC                                                     | CPPIB CAP INC FRN SOFR+125 03/11/2026 REGS                                      | CUSIP: 22411WAS5<br>LEI: 549300KW9NB55HTDK075 | Long             | DBT              | CORP              | CA        |      3000000 | PA      | $3024623.73   | 0.11%             | 2026-03-11      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                                      | NATURAL GAS FUT NOV25 NGX25                                                     | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |           -2 | NC      | $3976.06      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY                                                    | FX Forward: USD/MYR settle 2025-06-18                                           | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-47095.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: USD/EUR settle 2025-06-03                                           | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-597.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE                                | FX Forward: USD/MXN settle 2025-06-18                                           | CUSIP: N/A<br>LEI: 2IGI19DL77OX0HC3ZE78       | N/A              | DFE              | CORP              | CA        |            1 | NC      | $596.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CBOE FUTURES EXCHANGE                                             | CBOE VIX FUTURE JUL25 UXN5                                                      | CUSIP: N/A<br>LEI: 254900O9GJPIWCP8RH13       | N/A              | DE               | CORP              | US        |           37 | NC      | $-14212.83    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CZK 4.19000 11/09/23 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   -168600000 | NC      | $-451319.65   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                  | FX Forward: USD/SGD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | DE        |            1 | NC      | $-196.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CLP 5.27800 07/07/23 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   1843000000 | NC      | $41069.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | 3 MONTH SOFR FUT JUN26 SFRM6                                                    | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |         -238 | NC      | $-111136.16   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/INR settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $1430.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | OIS INR MIBOR 6.00000 09/17/25 5Y LCH                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |    702349000 | NC      | $106530.97    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | ZCS BRL 14.055 04/23/25 01/02/31 CME                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |      4300000 | NC      | $9271.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CLP 5.6985 06/01/23 5Y CME                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -1688700000 | NC      | $-77739.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS HUF 6.53000 04-05-24-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   -416800000 | NC      | $-22293.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                                                 | SHORT EURO-BTP FU FUT JUN25 BTSM5                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |          202 | NC      | $121838.40    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                                      | WTI CRUDE FUTURE JUL25 CLN5                                                     | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |           53 | NC      | $-31939.11    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: BRL/USD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $96223.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CZK 4.61100 06/06/23 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |     69200000 | NC      | $177661.12    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                       | IRS MYR P 3.50000 09-17-25-5Y GST                                               | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DIR              | CORP              | GB        |      7710000 | NC      | $-24313.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: ILS/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $73361.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: KRW/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $13172.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: USD/CNY settle 2025-06-18                                           | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-7098.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                                     | 3MO EURO EURIBOR FUT SEP25 ERU5                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | GB        |         -100 | NC      | $-54206.54    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS PLN 3.95200 07-29-25-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |      7045000 | NC      | $4628.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                               | FX Forward: CLP/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-1755.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: USD/TWD settle 2025-07-16                                           | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-22698.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD             | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+90 11/25/2054                            | CUSIP: 3137HJCB1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       269224 | PA      | $268762.01    | 0.01%             | 2054-11-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: USD/NOK settle 2025-06-03                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $618.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SINGAPORE EXCHANGE DERIVATIVES CLEARING LTD                       | FTSE TAIWAN INDEX FUT JUN25 TWTM5                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | SG        |          -10 | NC      | $9096.60      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| PROTECTIVE LIFE GLOBAL FUNDING                                    | PROTECTIVE LIFE GLOBAL FUNDING FRN SOFR+50 07/22/2026 144A                      | CUSIP: 743672AG2<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |       200000 | PA      | $199821.49    | 0.01%             | 2026-07-22      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                         | CDX IG43 5Y ICE                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              | CORP              | US        |     -9900000 | NC      | $-8028.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES US                                                    | CANOLA FUTR (WCE) JAN26 RSF6                                                    | CUSIP: N/A<br>LEI: 5493004R83R1LVX2IL36       | N/A              | DCO              | CORP              | US        |            2 | NC      | $735.78       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/TWD settle 2025-07-16                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-22411.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | ZCS BRL 10.48 06-26-23-01-02-29 CME                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    -17400000 | NC      | $252933.73    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/GBP settle 2025-06-03                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-127.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/KRW settle 2025-06-13                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-143.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | EURO FX CURR FUT JUN25 ECM5                                                     | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DE               | CORP              | US        |          163 | NC      | $909255.79    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| COMMODITY EXCHANGE INC                                            | SILVER FUTURE JUL25 SIN5                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | US        |         -122 | NC      | $194610.76    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                            | FX Forward: ZAR/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |            1 | NC      | $10642.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: USD/TRY settle 2025-06-10                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $-19.54       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: CAD/USD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $48225.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | IRS EUR 2.25000 09/17/25 10Y LCH                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |      5000000 | NC      | $51995.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | RFR GBP SONIO-3.75000 09-18-24-30Y LCH                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |       600000 | NC      | $-121171.64   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | IRS CZK 4.020 11/22/23 10Y CME                                                  | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     -4200000 | NC      | $-13506.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: USD/PLN settle 2025-06-06                                           | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-680.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EURONEXT PARIS MATIF                                              | MILL WHEAT EURO FUT MAR26 CAH6                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | FR        |          -26 | NC      | $14149.15     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| KUNTARAHOITUS OYJ                                                 | KUNTARAHOITUS OYJ FRN SOFRINDX+100 02/02/2029 144A                              | CUSIP: 62628PAH9<br>LEI: 529900HEKOENJHPNN480 | Long             | DBT              | CORP              | FI        |       800000 | PA      | $815052.35    | 0.03%             | 2029-02-02      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: ILS/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $11803.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | IRS MYR R 3.50000 09/17/25 5Y BPS                                               | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DIR              | CORP              | FR        |     34300000 | NC      | $108163.10    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                                     | 3MO EURO EURIBOR FUT SEP26 ERU6                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | GB        |          -59 | NC      | $-70752.64    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/JPY settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-16396.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                                      | NATURAL GAS FUT OCT25 NGV25                                                     | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |           -6 | NC      | $25628.18     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | OIS CAD CAONREPO 2.75000 09/15/25 2Y LCH                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |     12500000 | NC      | $-8588.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | KC HRW WHEAT FUT DEC25 KWZ5                                                     | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |          -35 | NC      | $49651.97     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: PEN/USD settle 2025-12-05                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $9095.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: COP/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-1574.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BERRY GLOBAL INC                                                  | BERRY GLOBAL INC 1.57% 01/15/2026                                               | CUSIP: 08576PAH4<br>LEI: 549300AP2Q7ERHX6RI89 | Long             | DBT              | CORP              | US        |      1000000 | PA      | $977912.35    | 0.03%             | 2026-01-15      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS HUF 7.00000 04/22/24 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -1393300000 | NC      | $66664.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EURONEXT PARIS MATIF                                              | MILL WHEAT EURO FUT MAY26 CAK6                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | FR        |           -4 | NC      | $177.25       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES US                                                    | COFFEE 'C' FUTURE SEP25 KCU5                                                    | CUSIP: N/A<br>LEI: 5493004R83R1LVX2IL36       | N/A              | DCO              | CORP              | US        |           -3 | NC      | $30779.94     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | 3 MONTH SOFR FUT MAR26 SFRH6                                                    | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |         -235 | NC      | $-46415.87    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | SOYBEAN OIL FUTR OCT25 BOV5                                                     | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |           -6 | NC      | $4431.39      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES US                                                    | COCOA FUTURE JUL25 CCN5                                                         | CUSIP: N/A<br>LEI: 5493004R83R1LVX2IL36       | N/A              | DCO              | CORP              | US        |           -7 | NC      | $-29467.64    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BAT CAPITAL CORP                                                  | BAT CAPITAL CORP 3.215% 09/06/2026                                              | CUSIP: 05526DBJ3<br>LEI: 2138005GYEXN7XRHFA84 | Long             | DBT              | CORP              | US        |       600000 | PA      | $589822.75    | 0.02%             | 2026-09-06      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS HUF 6.31000 10-24-24-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   -500000000 | NC      | $-57787.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS PLN 4.69200 03-31-25-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |      1800000 | NC      | $11064.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/CHF settle 2025-06-03                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $1831.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES US                                                    | SUGAR #11 (WORLD) FUT OCT25 SBV5                                                | CUSIP: N/A<br>LEI: 5493004R83R1LVX2IL36       | N/A              | DCO              | CORP              | US        |         -131 | NC      | $112838.17    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EURONEXT PARIS MATIF                                              | RAPESEED EURO FUT NOV25 IJX5                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | FR        |           -5 | NC      | $-1313.35     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: USD/TWD settle 2025-07-16                                           | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NSE IFSC                                                          | IFSC NIFTY 50 FUT JUN25 JGSM5                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | IN        |           28 | NC      | $-15610.41    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | OIS COP IBR -8.07000 11-14-23-01-23-5Y CME                                      | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |  13692000000 | NC      | $-17946.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS HUF 6.27000 05-22-24-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    894500000 | NC      | $17849.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: NZD/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $11000.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/CNY settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-13911.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | LEAN HOGS FUTURE AUG25 LHQ5                                                     | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DCO              | CORP              | US        |           12 | NC      | $11038.36     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                                      | NATURAL GAS FUT JUL25 NGN25                                                     | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |          -52 | NC      | $208567.56    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: MXN/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $57697.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                         | CDX HY44 5Y ICE 6/20/30                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              | CORP              | US        |      3900000 | NC      | $96182.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: EUR/USD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $3.64         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CZK 3.36500 11/28/24 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |     41300000 | NC      | $44373.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CLP 4.97000 03-25-24-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -5345000000 | NC      | $-98067.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                     | CITIGROUP INC FRN TSFR3M+151.161 07/01/2026                                     | CUSIP: 172967MB4<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |       600000 | PA      | $600699.11    | 0.02%             | 2026-07-01      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK OF NEW YORK MELLON EMPLOYEE BENEFIT COLLECTIVE INVT FD PLAN. | Federated Hermes MDT Market Neutral A                                           | CUSIP: 31423A440<br>LEI: 549300VMOZD9W6DJLT40 | Long             | EC               | RF                | US        |      9819753 | NS      | $204741857.81 | 7.18%             |  |  |  | No            |                  1 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS HUF 6.06500 12/13/23 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -1037500000 | NC      | $4051.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR-8.24000 11-05-24-5Y CME                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -9494400000 | NC      | $13092.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR-8.18000 11-01-24-5Y CME                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -9538200000 | NC      | $17882.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: USD/CNY settle 2025-08-20                                           | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-6142.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                                                 | EURO-BUXL 30Y BND FUT JUN25 UBM5                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |          -48 | NC      | $314948.72    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: HUF/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $5228.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: HUF/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $15930.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: PLN/USD settle 2025-06-20                                           | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $4035.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CLP 6.38 03/03/23 5Y CME                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   -992300000 | NC      | $-67153.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS HUF 5.97500 04-25-25-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   1152300000 | NC      | $-17066.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SINGAPORE EXCHANGE DERIVATIVES CLEARING LTD                       | FTSE TAIWAN INDEX FUT JUN25 TWTM5                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | SG        |           39 | NC      | $-30330.98    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/HUF settle 2025-06-18                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-5384.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CLP 5.00900 12/12/23 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   4796800000 | NC      | $101774.14    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/COP settle 2025-06-18                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-133488.93   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                                      | NY HARB ULSD FUT AUG25 HOQ5                                                     | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |            4 | NC      | $-1452.28     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | RFR GBP SONIO 4.25000 09/17/25 30Y LCH                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |     -4800000 | NC      | $141225.37    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: CAD/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $6679.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR-8.31000 03-19-25-5Y CME                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   6764300000 | NC      | $3807.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR-6.99000 09-20-24-5Y CME                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   5143800000 | NC      | $-64874.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: TRY/USD settle 2025-07-14                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $-8.04        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | SOYBEAN MEAL FUTR JUL25 SMN5                                                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |          -62 | NC      | $67278.43     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| TURKISH DERIVATIVES EXCHANGE                                      | BIST 30 FUTURES JUN25 A5M5                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | TR        |         -328 | NC      | $50189.89     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | IRS ZAR 8.25000 11-22-23-5Y CME                                                 | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |   -110200000 | NC      | $-309782.50   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                                     | ICE 3MTH SONIA FU FUT SEP25 SFIU5                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | GB        |          -16 | NC      | $25395.87     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/ILS settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-61935.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CLP 4.66000 10/18/24 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   1753700000 | NC      | $6589.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/CNY settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-33477.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JACKSON NATL LIFE GLOBAL FDG                                      | JACKSON NATL LIFE GLOBAL FDG 4.9% 01/13/2027 144A                               | CUSIP: 46849LVC2<br>LEI: 635400PQXLYXWJI5QD78 | Long             | DBT              | CORP              | US        |       150000 | PA      | $150569.85    | 0.01%             | 2027-01-13      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                                                 | SWISS MKT IX FUTR JUN25 SMM5                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | DE        |           83 | NC      | $-509911.07   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: USD/TWD settle 2025-07-16                                           | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-20035.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | IRS AUD 3.50000 09/17/25 2Y LCH                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |     11000000 | NC      | $48427.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE-ICE FUTURES LTD                                               | LOW SU GASOIL G FUT JUN25 QSM5                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |           13 | NC      | $17335.31     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| DEUTSCHE BANK AG                                                  | FX Forward: ZAR/USD settle 2025-06-23                                           | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | DE        |            1 | NC      | $640.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                                      | WTI CRUDE FUTURE AUG25 CLQ5                                                     | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |           14 | NC      | $-13316.18    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS GROUP INC (THE)                                     | GOLDMAN SACHS GROUP INC (THE) 1.431%/VAR 03/09/2027                             | CUSIP: 38141GYA6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |       800000 | PA      | $779864.37    | 0.03%             | 2027-03-09      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS HUF 7.10000 04-19-24-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   -475200000 | NC      | $-49114.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE                                | FX Forward: USD/GBP settle 2025-06-18                                           | CUSIP: N/A<br>LEI: 2IGI19DL77OX0HC3ZE78       | N/A              | DFE              | CORP              | CA        |            1 | NC      | $2013.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | SOYBEAN OIL FUTR OCT25 BOV5                                                     | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |            1 | NC      | $-1130.43     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/TWD settle 2025-07-16                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/HUF settle 2025-06-18                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-1028.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: USD/SEK settle 2025-06-18                                           | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $529.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CZK 3.52400 10/29/24 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    -66500000 | NC      | $-83064.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CLP 5.27000 06/25/24 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    959500000 | NC      | $20207.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                                      | GASOLINE RBOB FUT JUL25 XBN5                                                    | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |           10 | NC      | $-31102.90    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | ZCS BRL 11.71625 08/07/24 01/02/29 CME                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |      4300000 | NC      | $-31306.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN EXCHANGE GROUP INC                                          | TOPIX INDX FUTR JUN25 TPM5                                                      | CUSIP: N/A<br>LEI: 353800578ADEGIJTVW07       | N/A              | DE               | CORP              | JP        |           35 | NC      | $449166.53    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/PEN settle 2025-06-16                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-33628.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/SEK settle 2025-06-18                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $1845.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                      | UBS GROUP AG 6.373%/VAR 07/15/2026 144A                                         | CUSIP: 225401AY4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |       300000 | PA      | $300418.81    | 0.01%             | 2026-07-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: USD/ZAR settle 2025-06-18                                           | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-63869.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN EXCHANGE GROUP INC                                          | JPN 10Y BOND(OSE) FUT JUN25 JBM5                                                | CUSIP: N/A<br>LEI: 353800578ADEGIJTVW07       | N/A              | DIR              | CORP              | JP        |            6 | NC      | $17560.80     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: HUF/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $5452.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | IRS AUD 4.50000 09-17-25-10Y LCH                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |     -3300000 | NC      | $-34284.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY and CO. INTERNATIONAL PLC                          | KOSPI2 FUTURE TRS EQUITY *BULLET* MYI                                           | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DIR              | CORP              | GB        |       500000 | NC      | $4559.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR-9.26000 10-10-23-5Y CME                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -2980000000 | NC      | $-23078.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS ZAR 8.33000 07/27/23 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |     29700000 | NC      | $60756.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CLP 5.63140 08/23/23 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -3778500000 | NC      | $-168577.75   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: IDR/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $8620.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | 3 MONTH SOFR FUT SEP25 SFRU5                                                    | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |            4 | NC      | $-1818.78     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CLP 4.51670 02/01/24 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   1798000000 | NC      | $803.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: TRY/USD settle 2025-07-23                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $-22.24       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | ZCS BRL 11.1064 05-25-23-01-02-29 CME                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |     11800000 | NC      | $-120575.49   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                    | FX Forward: PLN/USD settle 2025-06-06                                           | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | N/A              | DFE              | CORP              | US        |            1 | NC      | $535.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | OIS ILS SHIRON-.901-3.92 4/21/25 5Y LCH                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |      9000000 | NC      | $-21166.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS HUF 5.85000 05-06-25-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   1518600000 | NC      | $-45024.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: USD/CNY settle 2025-07-16                                           | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-1039.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | WHEAT FUTURE(CBT) SEP25 W U5                                                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |          -43 | NC      | $54992.73     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/NOK settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-567.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: NZD/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $24527.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: USD/INR settle 2025-06-18                                           | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-1393.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | IRS CLP 6.38500 03/07/23 5Y CME                                                 | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |  -1683100000 | NC      | $-99567.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS PLN 4.30500 08-07-24-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |      3300000 | NC      | $23334.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: USD/EUR settle 2025-06-03                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $-135.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR-8.22500 06/18/25-5Y CME                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   4188000000 | NC      | $3010.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: SGD/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $22860.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/GBP settle 2025-06-03                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-68.62       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | OIS ILS SHIRON -.901-0 04/21/25 0Y* LCH                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |     -9000000 | NC      | $15945.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: USD/TRY settle 2025-06-20                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $-319.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/HUF settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-13977.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: THB/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $3794.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR 8.105 10/25/24 5Y CME                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -9875700000 | NC      | $25003.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/ZAR settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-20580.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | LEAN HOGS FUTURE JUL25 LHN5                                                     | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DCO              | CORP              | US        |          -70 | NC      | $-118259.40   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/CAD settle 2025-07-02                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-48098.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | IRS CLP 5.475000 11-13-23-23-5Y CME                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |   2748000000 | NC      | $107354.75    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS PLN 5.36000 04-19-24-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |      5700000 | NC      | $66927.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS PLN 4.90400 12-20-24-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    -12800000 | NC      | $-109538.52   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                                                 | EURO STOXX 50 FUT JUN25 VGM5                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | DE        |          -79 | NC      | $28623.76     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: INR/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-2998.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | OIS CAD CAONREPO-2.75 09/15/25 5Y LCH                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |      -300000 | NC      | $-1645.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/AUD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-52820.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/TWD settle 2025-08-20                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-25462.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | IRS CLP 5.54000 11-14-23-5Y CME                                                 | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |   1049000000 | NC      | $43423.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS HUF 5.79000 07/17/24 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    605500000 | NC      | $26886.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: CHF/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $61622.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | BNP PARIBAS 2.219%/VAR 06/09/2026 144A                                          | CUSIP: 09659W2L7<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |       600000 | PA      | $599692.89    | 0.02%             | 2026-06-09      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | RFR GBP SONIO-4.00000 09-17-25-2Y LCH                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |       200000 | NC      | $658.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CZK 4.61500 07/11/23 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   -113100000 | NC      | $-345022.42   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CARMX 2023-3 A3                                                   | CARMX 2023-3 A3 5.72% 11/16/2026                                                | CUSIP: 14319BAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        10184 | PA      | $10188.72     | 0.00%             | 2026-11-16      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: HUF/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $770.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                               | FX Forward: USD/GBP settle 2025-06-03                                           | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |            1 | NC      | $7866.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CZK 4.28000 11/08/23 10Y CME                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |     78000000 | NC      | $243783.39    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICAN FUTURES EXCHANGE                                    | FTSE/JSE TOP 40 FUT JUN25 AIM5                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | ZA        |           16 | NC      | $12104.20     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | EUR/SWED KRNA X-RAT FUT JUN25 EWM5                                              | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DE               | CORP              | US        |           -3 | NC      | $2478.35      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: USD/SGD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-2567.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS MXN 9.43 11/19/24 1Y*(WHT) CME                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    -25000000 | NC      | $-8006.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MONTREAL EXCHANGE (THE)                                           | 3M CORRA FUTURES MAR26 CORH6                                                    | CUSIP: N/A<br>LEI: 549300DKBYNOI0B1NP44       | N/A              | DIR              | CORP              | CA        |            6 | NC      | $-674.42      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | ZCS BRL 11.55 07/12/24 - 01/02/29 CME                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |     14100000 | NC      | $-102985.47   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | SOYBEAN MEAL FUTR OCT25 SMV5                                                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |           -5 | NC      | $3017.85      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                                     | 3MO EURO EURIBOR FUT MAR26 ERH6                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | GB        |           86 | NC      | $64032.62     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CBOE FUTURES EXCHANGE                                             | CBOE VIX FUTURE JUN25 UXM5                                                      | CUSIP: N/A<br>LEI: 254900O9GJPIWCP8RH13       | N/A              | DE               | CORP              | US        |           97 | NC      | $-86640.95    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: CLP/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $-11712.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS HUF 6.09000 10-21-24-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   -645500000 | NC      | $-58079.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | SOYBEAN FUTURE AUG25 S Q5                                                       | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |           -8 | NC      | $7055.50      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CLP 5.45500 08-16-23-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -3347300000 | NC      | $-125452.88   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CLP 5.00000 03/04/24 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -1709200000 | NC      | $-32399.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | BP CURRENCY FUT JUN25 BPM5                                                      | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DFE              | CORP              | US        |          809 | NC      | $2666164.33   | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                       | BOVESPA INDEX FUT TRS EQUITY GST                                                | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DIR              | CORP              | GB        |           24 | NC      | $-10528.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | CORN FUTURE JUL25 C N5                                                          | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |         -145 | NC      | $285772.65    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | SOYBEAN FUTURE JUL25 S N5                                                       | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |          -90 | NC      | $42443.59     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| STANDARD CHARTERED BANK NEW YORK BRANCH                           | STANDARD CHARTERED BANK NEW YORK BRH 4.853% 12/03/2027                          | CUSIP: 85325X2B1<br>LEI: RILFO74KP1CM8P6PCT96 | Long             | DBT              | CORP              | US        |       250000 | PA      | $251987.21    | 0.01%             | 2027-12-03      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| UBS AG                                                            | FX Forward: USD/JPY settle 2025-06-03                                           | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | CH        |            1 | NC      | $-9732.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CLP 4.87000 10/29/24 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -1306800000 | NC      | $-16878.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/PLN settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-14402.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE - AGRICULTURAL PRODUCTS DIVISION               | COCOA FUTURE - IC JUL25 QCN5                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |           -5 | NC      | $16112.39     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS ZAR 8.55000 08/23/23 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    -75100000 | NC      | $-176947.58   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CLP 5.15778 06/15/23 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   3756000000 | NC      | $105371.86    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                    | FX Forward: USD/JPY settle 2025-06-03                                           | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-12251.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                                      | GASOLINE RBOB FUT AUG25 XBQ5                                                    | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |            3 | NC      | $-3932.61     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS ZAR 8.62500 08/23/23 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    -63100000 | NC      | $-155838.26   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: COP/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $3404.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SYDNEY FUTURES EXCHANGE LTD                                       | AUST 3YR BOND FUT JUN25 YMM5                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | AU        |          239 | NC      | $138816.15    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | CATTLE FEEDER FUT AUG25 FCQ5                                                    | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DCO              | CORP              | US        |           -2 | NC      | $-6467.34     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CLP 5.23670 06/14/23 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   1316000000 | NC      | $39168.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                                     | 3MO EURO EURIBOR FUT MAR26 ERH6                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | GB        |         -111 | NC      | $-120952.86   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/COP settle 2025-06-18                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-28830.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR-9.65000 10-11-23-5Y CME                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        | -12050000000 | NC      | $-126220.01   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE                                | FX Forward: CZK/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: 2IGI19DL77OX0HC3ZE78       | N/A              | DFE              | CORP              | CA        |            1 | NC      | $-380.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MONTREAL EXCHANGE (THE)                                           | CAN 5YR BOND FUT SEP25 XQU5                                                     | CUSIP: N/A<br>LEI: 549300DKBYNOI0B1NP44       | N/A              | DIR              | CORP              | CA        |            6 | NC      | $1795.85      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR-8.13000 08/22/23 5Y CME                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -7433900000 | NC      | $-6078.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: ILS/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $60004.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CZK 4.45500 06-01-23-10Y CME                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |     34700000 | NC      | $44463.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE-ICE FUTURES LTD                                               | BRENT CRUDE FUTR SEP25 COU5                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |            7 | NC      | $-16387.91    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/HUF settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-15018.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: EUR/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $42879.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES US                                                    | COTTON NO.2 FUTR DEC25 CTZ5                                                     | CUSIP: N/A<br>LEI: 5493004R83R1LVX2IL36       | N/A              | DCO              | CORP              | US        |          -12 | NC      | $3577.02      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: BRL/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-8829.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR-8.3383 11/09/23 5Y CME                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   7604900000 | NC      | $5147.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CARVAL CLO I LTD / CARVAL CLO I LLC                               | CARVAL CLO I LTD / CARVAL CLO I LLC AR TSFR3M+123 07/16/2031 144A               | CUSIP: 146865AJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       892402 | PA      | $891503.28    | 0.03%             | 2031-07-16      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CLP 5.50000 03/19/25 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -3214300000 | NC      | $-130018.92   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR-8.15000 04-11-24-5Y CME                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -4394900000 | NC      | $4930.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: PLN/USD settle 2025-06-06                                           | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $1073.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BLACKROCK FDS                                                     | BlackRock Global Equity Mkt Netrl A                                             | CUSIP: 091936542<br>LEI: OA6RHYR6LGM5LRCG2L62 | Long             | EC               | RF                | US        |     18731479 | NS      | $269358667.78 | 9.45%             |  |  |  | No            |                  1 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                               | FX Forward: GBP/USD settle 2025-07-02                                           | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-7880.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                    | FX Forward: SEK/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | N/A              | DFE              | CORP              | US        |            1 | NC      | $16969.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: TRY/USD settle 2025-06-20                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $139.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | ZCS BRL 10.21 01-17-24-01-02-29 CME                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |      8502000 | NC      | $-128747.77   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: USD/CLP settle 2025-06-18                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $-3529.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUROPEAN ENERGY EXCHANGE AG                                       | PHELIX DE BASE Q FUT JUL25 JXTN5                                                | CUSIP: N/A<br>LEI: 529900J0JGLSFDWNFC20       | N/A              | DCO              | CORP              | DE        |           -1 | NC      | $14435.51     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIZENS AUTO RECEIVABLES TRUST 2023-2                            | CITIZENS AUTO RECEIVABLES TRUST 2023-2 SOFR30A+ 10/15/2026 144A                 | CUSIP: 17295FAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        11895 | PA      | $11897.03     | 0.00%             | 2026-10-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: USD/CZK settle 2025-08-22                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $-7392.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE                                | FX Forward: USD/BRL settle 2025-06-18                                           | CUSIP: N/A<br>LEI: 2IGI19DL77OX0HC3ZE78       | N/A              | DFE              | CORP              | CA        |            1 | NC      | $4635.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON METAL EXCHANGE                                             | LME NICKEL FUTURE AUG25 LNQ5                                                    | CUSIP: N/A<br>LEI: 213800NB8G5VRT1DXC91       | N/A              | DCO              | CORP              | GB        |            6 | NC      | $-15770.88    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| DEUTSCHE BANK AG                                                  | FX Forward: TRY/USD settle 2025-06-16                                           | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | DE        |            1 | NC      | $511.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VOLKSWAGEN AUTO LOAN ENHANCED TRUST 2023-1                        | VOLKSWAGEN AUTO LOAN ENHANCED TRUST 2023-1 SOFR30A+52 12/21/2026                | CUSIP: 92867WAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |         7073 | PA      | $7074.43      | 0.00%             | 2026-12-21      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: USD/HUF settle 2025-06-18                                           | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $357.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS ZAR 8.45900 05/22/24-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    120900000 | NC      | $284736.95    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                       | BOVESPA INDEX FUT TRS EQUITY GST                                                | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DIR              | CORP              | GB        |            8 | NC      | $2340.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DBS GROUP HOLDINGS LTD                                            | DBS GROUP HLDGS LTD FRN SOFR+61 09/12/2025 144A                                 | CUSIP: 24023KAK4<br>LEI: 5493007FKT78NKPM5V55 | Long             | DBT              | CORP              | SG        |       400000 | PA      | $400268.10    | 0.01%             | 2025-09-12      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/CLP settle 2025-06-18                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-10188.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | OIS CAD CAONREPO-3.0000 09/15/25 30Y LCH                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |     -7500000 | NC      | $179790.32    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                     | CFM CDX ITXEX S43 5Y T0 CDX                                                     | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | GB        |     28000000 | NC      | $498689.74    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| HONG KONG FUTURES EXCHANGE                                        | HSCEI FUTURES JUN25 HCM5                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | HK        |            7 | NC      | $-20.83       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CLP 5.01250 11/04/24 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -2583400000 | NC      | $-49313.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | US 10YR NOTE FUT (CBT)SEP25 TYU5                                                | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |          -93 | NC      | $-73089.25    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                                      | PALLADIUM FUTURE SEP25 PAU5                                                     | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |           16 | NC      | $-41745.65    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                                      | WTI CRUDE FUTURE OCT25 CLV5                                                     | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |            5 | NC      | $-7939.35     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: ZAR/USD settle 2025-06-23                                           | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $167795.98    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG NEW YORK BNCH                                    | DEUTSCHE BANK AG NEW YORK BNCH 2.129%/VAR 11/24/2026                            | CUSIP: 251526CE7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | US        |       700000 | PA      | $690206.90    | 0.02%             | 2026-11-24      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: GBP/USD settle 2025-07-02                                           | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $22.51        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS MXN TIIE1+24-9.38* 12/26/25 4Y* CME                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    -36200000 | NC      | $-59735.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JOHN HANCOCK GLOBAL REAL ESTATE FUND47803N                        | JHancock Diversified Macro A                                                    | CUSIP: 47803N539<br>LEI: N/A                  | Long             | EC               | RF                | US        |          567 | NS      | $4818.91      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                     | CFM CDX ITXEB S43 5Y T0 CDX                                                     | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |     81000000 | NC      | $261678.49    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UST BILLS                                                         | UST BILLS 0% 07/31/2025                                                         | CUSIP: 912797PG6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       715000 | PA      | $710046.19    | 0.02%             | 2025-07-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR-7.92700 04/09/24 5Y CME                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -3348500000 | NC      | $10888.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UST BILLS                                                         | UST BILLS 0% 07/10/2025                                                         | CUSIP: 912797LW5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       161000 | PA      | $160281.99    | 0.01%             | 2025-07-10      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS ZAR 8.5300 05-16-24-5Y CME                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |     60600000 | NC      | $151594.02    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | IRS HKD 3.50000 09/17/25-5Y LCH                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |     23600000 | NC      | $31226.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                                      | NATURAL GAS FUT AUG25 NGQ25                                                     | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |           -9 | NC      | $72392.27     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                            | FX Forward: USD/NOK settle 2025-06-18                                           | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-3620.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | RFR USD SOFR-3.75000 09/17/25 10Y LCH                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |      6900000 | NC      | $9386.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: AUD/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: JPY/USD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-11474.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                            | FX Forward: THB/USD settle 2025-07-16                                           | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | CH        |            1 | NC      | $5992.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                                     | ICE 3MTH SONIA FU FUT MAR26 SFIH6                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | GB        |          -10 | NC      | $-2114.69     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| SOUND POINT CLO XXVIII LTD                                        | SOUND POINT CLO XXVIII LTD A1R TSFR3M+128 01/25/2032 144A                       | CUSIP: 83615CAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       873810 | PA      | $873907.12    | 0.03%             | 2032-01-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: USD/AUD settle 2025-07-02                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $-2717.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: EUR/USD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $801.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CLP 5.54000 08/17/23 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -2555300000 | NC      | $-105220.62   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CLP 6.49 03/06/23 5Y CME                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -2011100000 | NC      | $-143866.75   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: TRY/USD settle 2025-06-20                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $-358.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: USD/TWD settle 2025-08-20                                           | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-113121.12   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS MXN TIIE1-9.43000 12/16/25 4Y CME                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    -25000000 | NC      | $-69810.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: THB/USD settle 2025-07-16                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $1076.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MOUNTAIN VIEW CLO XVI LTD                                         | MOUNTAIN VIEW CLO XVI LTD A1R TSFR3M+146 04/15/2034 144A                        | CUSIP: 62432UAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1000000 | PA      | $1000750.00   | 0.04%             | 2034-04-15      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD             | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+115 12/25/2054                           | CUSIP: 3137HHUD1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       255969 | PA      | $255623.44    | 0.01%             | 2054-12-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                     | PIMCO CDX EM40 ICE 12/20/28                                                     | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |      3200000 | NC      | $122452.54    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR-8.25000 10-30-24-5YCME                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -3268800000 | NC      | $4155.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/GBP settle 2025-06-03                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-200.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | ZCS BRL 9.87 12-27-23-01-02-29 CME                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    -25900000 | NC      | $341677.24    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: TRY/USD settle 2025-06-24                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $175.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/TWD settle 2025-07-16                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-20290.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: PLN/USD settle 2025-06-06                                           | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $157.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR-7.27500 08/13/24 5Y CME                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   3212800000 | NC      | $-29556.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CLP 5.49000 08-18-23-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -1468400000 | NC      | $-57607.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/PLN settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-3448.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: GBP/USD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $142.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: ZAR/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $81648.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: NOK/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $35855.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SYDNEY FUTURES EXCHANGE LTD                                       | 90-DAY BANK BILL FUT JUN26 IRM6                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | AU        |           18 | NC      | $13009.61     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES US                                                    | COTTON NO.2 FUTR JUL25 CTN5                                                     | CUSIP: N/A<br>LEI: 5493004R83R1LVX2IL36       | N/A              | DCO              | CORP              | US        |           24 | NC      | $-25500.48    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | KC HRW WHEAT FUT SEP25 KWU5                                                     | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |         -108 | NC      | $142113.98    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | 3 MONTH SOFR FUT SEP25 SFRU5                                                    | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |         -279 | NC      | $189990.61    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: ZAR/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-2467.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS ZAR 7.56000 08-23-24-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    -31200000 | NC      | $-44590.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | EURO/PLZ X-RATE FUT JUN25 EIM5                                                  | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DE               | CORP              | US        |           56 | NC      | $-39062.97    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                     | CFM CDX CDXIG S44 5Y T0 CDX                                                     | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | GB        |     85000000 | NC      | $341602.25    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTER CR CARD TR II                                              | MASTER CR CARD TR II 23-2A A SOFR30A+85 01/21/2027 144A                         | CUSIP: 576339DJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | CA        |      1200000 | PA      | $1200609.36   | 0.04%             | 2027-01-21      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                                      | NY HARB ULSD FUT AUG25 HOQ5                                                     | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |           -3 | NC      | $1428.24      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: USD/EUR settle 2025-06-03                                           | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-1894.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: ILS/USD settle 2025-06-04                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $35.23        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: IDR/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $3940.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | AUDUSD CRNCY FUT JUN25 ADM5                                                     | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DFE              | CORP              | US        |          283 | NC      | $551553.24    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| CUMULUS STATIC CLO 2024 1 DESIGNATED ACTIVITY CO                  | CUMULUS STATIC CLO 2024 1 DESIGNATED ACTIVITY CO A 3MEUR+120 11/15/2033 144A    | CUSIP: N/A<br>LEI: N/A                        | Long             | ABS-CBDO         | CORP              | IE        |       263180 | PA      | $298613.49    | 0.01%             | 2033-11-15      | Variable      | 0.03%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: BRL/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-21413.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: COP/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-5226.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                                                 | EURO-BUND FUTURE JUN25 RXM5                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |          632 | NC      | $373816.78    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| DEUTSCHE BANK AG                                                  | FX Forward: CLP/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | DE        |            1 | NC      | $-6081.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SYDNEY FUTURES EXCHANGE LTD                                       | 90-DAY BANK BILL FUT MAR26 IRH6                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | AU        |           27 | NC      | $21352.87     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | SOYBEAN OIL FUTR SEP25 BOU5                                                     | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |           -4 | NC      | $5372.28      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ROYAL BANK OF CANADA                                              | ROYAL BANK OF CANADA FRN SOFRINDX+46 08/03/2026                                 | CUSIP: 78017DAE8<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |       700000 | PA      | $700259.00    | 0.02%             | 2026-08-03      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CLP 4.84000 08/12/24 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   4693700000 | NC      | $52245.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CLP 5.28000 07/02/24-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -3663800000 | NC      | $-113013.23   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | US ULTRA BOND CBT FUT SEP25 WNU5                                                | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |          -52 | NC      | $-100519.61   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | 3 MONTH SOFR FUT MAR26 SFRH6                                                    | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |           21 | NC      | $-1173.25     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| DEUTSCHE BANK AG                                                  | FX Forward: USD/SGD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | DE        |            1 | NC      | $-20.62       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE-ICE FUTURES LTD                                               | ICE RTD MONTH COA FUT AUG25 XAQ5                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |           -3 | NC      | $6867.69      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR-8.03500 05-28-24-5Y CME                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   4574000000 | NC      | $-9116.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE-ICE FUTURES LTD                                               | ICE RTD MONTH COA FUT JUL25 XAN5                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |           -3 | NC      | $8217.69      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CZK 5.09 04/20/23 5Y CME                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    -50200000 | NC      | $-112872.58   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES US                                                    | COFFEE 'C' FUTURE DEC25 KCZ5                                                    | CUSIP: N/A<br>LEI: 5493004R83R1LVX2IL36       | N/A              | DCO              | CORP              | US        |           -1 | NC      | $8378.73      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SINGAPORE EXCHANGE DERIVATIVES CLEARING LTD                       | MSCI SING IX ETS FUT JUN25 QZM5                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | SG        |          109 | NC      | $4255.31      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR-7.90000 12/15/23 5Y CME                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   9132300000 | NC      | $-30147.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                            | FX Forward: HUF/USD settle 2025-08-22                                           | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |            1 | NC      | $64512.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                              | UMBS 30YR 6% 07/01/2055 #TBA                                                    | CUSIP: 01F060675<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |      -800000 | PA      | $-807000.08   | -0.03%            | 2055-07-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| EURONEXT PARIS MATIF                                              | MILL WHEAT EURO FUT DEC25 CAZ5                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | FR        |         -171 | NC      | $139198.32    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: EUR/USD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-499.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE-ICE FUTURES LTD                                               | LOW SU GASOIL G FUT JUL25 QSN5                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |           27 | NC      | $-48580.51    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MEFF RENTA VAR EXCH (MADRID)                                      | IBEX 35 INDX FUTR JUN25 IBM5                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | ES        |          -57 | NC      | $-213263.54   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: EUR/USD settle 2025-07-02                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $51.05        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES US                                                    | SUGAR #11 (WORLD) FUT MAR26 SBH6                                                | CUSIP: N/A<br>LEI: 5493004R83R1LVX2IL36       | N/A              | DCO              | CORP              | US        |          -14 | NC      | $4175.92      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: NOK/USD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $2592.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: SGD/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-3498.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | 3 MONTH SOFR FUT MAR27 SFRH7                                                    | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |            5 | NC      | $4617.15      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES US                                                    | COTTON NO.2 FUTR MAR26 CTH6                                                     | CUSIP: N/A<br>LEI: 5493004R83R1LVX2IL36       | N/A              | DCO              | CORP              | US        |            1 | NC      | $317.48       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| OFSI BSL XI LTD                                                   | OFSI BSL XI LTD AR TSFR3M+127 04/20/2034 144A                                   | CUSIP: 67115PAW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       500000 | PA      | $499054.50    | 0.02%             | 2034-04-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | KC HRW WHEAT FUT JUL25 KWN5                                                     | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |         -180 | NC      | $475116.65    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: ILS/USD settle 2025-06-04                                           | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $12976.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: NZD/USD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $4554.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/COP settle 2025-06-18                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-9775.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SINGAPORE EXCHANGE DERIVATIVES CLEARING LTD                       | NIKKEI 225 (SGX) FUT JUN25 NIM5                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | SG        |          -11 | NC      | $-49565.83    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: HUF/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $757.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES TREASURY                                            | US TREASURY RP 4.43% 6/2/25                                                     | CUSIP: N/A<br>LEI: 254900HROIFWPRGM1V77       | Long             | RA               | UST               | US        |      9800000 | PA      | $9800000.00   | 0.34%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/GBP settle 2025-06-03                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-232.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UST BILLS                                                         | UST BILLS 0% 06/26/2025                                                         | CUSIP: 912797NW3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |        43000 | PA      | $42878.78     | 0.00%             | 2025-06-26      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: USD/GBP settle 2025-06-03                                           | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-22.28       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CLP 4.79750 08/13/24 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   2797700000 | NC      | $25945.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | MEXICAN PESO FUT JUN25 PEM5                                                     | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DFE              | CORP              | US        |          734 | NC      | $1024812.42   | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CZK 4.63750 10-03-23-10Y CME                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    -53600000 | NC      | $-209444.02   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: PLN/USD settle 2025-06-06                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $549.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | 3 MONTH SOFR FUT JUN27 SFRM7                                                    | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DE               | CORP              | US        |          -80 | NC      | $-48225.60    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                     | CDX IG44 5Y ICE SWAP 06/20/2030                                                 | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |     13900000 | NC      | $40290.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES US                                                    | FCOJ-A FUTURE SEP25 JOU5                                                        | CUSIP: N/A<br>LEI: 5493004R83R1LVX2IL36       | N/A              | DCO              | CORP              | US        |            2 | NC      | $4749.96      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR 7.54550 10/17/24 5Y CME                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -5415500000 | NC      | $40398.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SYDNEY FUTURES EXCHANGE LTD                                       | 90-DAY BANK BILL FUT SEP25 IRU5                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | AU        |           51 | NC      | $24748.18     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: CAD/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $3264.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                                      | PLATINUM FUTURE JUL25 PLN5                                                      | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |           14 | NC      | $-22391.35    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CZK 4.25000 04/18/24 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |     14400000 | NC      | $-11022.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS and ELECTRIC CO                                       | PACIFIC GAS and ELECTRIC CO 3.15% 01/01/2026                                    | CUSIP: 694308JP3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      1000000 | PA      | $989065.99    | 0.03%             | 2026-01-01      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: USD/TRY settle 2025-06-10                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $-837.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/JPY settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-96801.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CZK 3.48000 07/15/24 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    109000000 | NC      | $97001.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CLP 5.62 06-02-23-5Y CME                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -2772000000 | NC      | $-120803.43   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: CLP/USD settle 2025-06-30                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-49086.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS ZAR 8.22000 08/31/23 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    -66200000 | NC      | $-208444.27   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: USD/SGD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-2526.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/BRL settle 2025-06-03                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $25846.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                                      | WTI CRUDE FUTURE SEP25 CLU5                                                     | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |            7 | NC      | $-11423.09    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/ZAR settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-103493.78   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: USD/TRY settle 2025-06-26                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $-5.86        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                            | FX Forward: JPY/USD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | CH        |            1 | NC      | $-5885.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUROPEAN ENERGY DERIVATIVES EXCHANGE NV                           | TTF NAT GAS F FUT AUG25 TZTQ5                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | NL        |           -5 | NC      | $3276.08      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS ZAR 8.82000 04/12/24 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |     30500000 | NC      | $13238.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CLP 4.65000 06/18/25 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  10603100000 | NC      | $4080.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | ZCS BRL 11.66 05/04/23-01//02/29 CME                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |     12100000 | NC      | $-73420.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: PLN/USD settle 2025-06-06                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $5.15         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/GBP settle 2025-06-03                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-1619.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: SGD/USD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $348.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UST BILLS                                                         | UST BILLS 0% 07/15/2025                                                         | CUSIP: 912797QA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       500000 | PA      | $497479.72    | 0.02%             | 2025-07-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS MXN TIIE1-9.05000 12-18-24-5Y* CME                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    111200000 | NC      | $164623.05    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS PLN 4.77000 10/17/24 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    -11700000 | NC      | $-159052.99   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CZK 4.22000 03/21/23 10Y CME                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |     49700000 | NC      | $136276.48    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                                      | GASOLINE RBOB FUT OCT25 XBV5                                                    | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |            1 | NC      | $1749.53      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: MYR/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $37388.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | ZCS BRL 11.31 05/16/23-01/02/29 CME                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |     16300000 | NC      | $-144291.47   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| American Beacon Global Evoluti                                    | American Beacon AHL Mgd Futs Strat Inv                                          | CUSIP: 024525651<br>LEI: N/A                  | Long             | EC               | RF                | US        |      6169035 | NS      | $53177080.23  | 1.87%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: GBP/USD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-5.94        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE - AGRICULTURAL PRODUCTS DIVISION               | COFF ROBUSTA 10TN FUT JUL25 DFN5                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |           16 | NC      | $-88039.43    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: USD/TRY settle 2025-06-16                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $140.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS ZAR 8.35500 11/03/23 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |     72400000 | NC      | $154179.26    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: COP/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $4535.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF NEW YORK MELLON EMPLOYEE BENEFIT COLLECTIVE INVT FD PLAN. | Absolute Convertible Arbitrage Inv                                              | CUSIP: 90470L352<br>LEI: 549300VMOZD9W6DJLT40 | Long             | EC               | RF                | US        |     14465656 | NS      | $166933674.84 | 5.86%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | CORN FUTURE DEC25 C Z5                                                          | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |          -91 | NC      | $67478.75     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                               | FX Forward: GBP/USD settle 2025-07-02                                           | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-21089.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: SEK/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $20879.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS PLN 4.97500 03-29-24-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    -13000000 | NC      | $-103467.43   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | ZCS BRL 10.5325 11-17-23-01-02-29 CME                                           | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     13600000 | NC      | $-182831.39   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | WHEAT FUTURE(CBT) MAR26 W H6                                                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |           -2 | NC      | $2570.14      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: CAD/USD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $579.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                    | FX Forward: USD/HKD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | N/A              | DFE              | CORP              | US        |            1 | NC      | $6753.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | SOYBEAN OIL FUTR JUL25 BON5                                                     | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |          -85 | NC      | $-33651.59    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | EURO/HUF X-RATE FUT JUN25 ELM5                                                  | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DE               | CORP              | US        |           54 | NC      | $-8093.65     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| TOYOTA AUTO RECEIVABLES 2023-C OWNER TR                           | TOYOTA AUTO RECEIVABLES 2023-C A2B OWNER TR SOFR30A+40 08/17/2026               | CUSIP: 89231FAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |        26325 | PA      | $26328.65     | 0.00%             | 2026-08-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                     | PIMCO ICE CDX EM41 ICE 06/20/2029                                               | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | US        |       700000 | NC      | $6996.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS ZAR 9.35 05/18/23 5Y CME                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   -129700000 | NC      | $-436328.96   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/HUF settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $532.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: USD/ILS settle 2025-06-18                                           | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-24242.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | LEAN HOGS FUTURE AUG25 LHQ5                                                     | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DCO              | CORP              | US        |          -35 | NC      | $-67384.70    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | SOYBEAN OIL FUTR JAN26 BOF6                                                     | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |           -2 | NC      | $1903.14      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/HUF settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-4477.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: KRW/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-1382.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS MXN+24-9.48 12/16/25 9Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    -25100000 | NC      | $-63427.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/MXN settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-209800.02   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS HUF 6.56000 04/08/24 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   -851500000 | NC      | $-48851.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: MXN/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $68.54        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SYDNEY FUTURES EXCHANGE LTD                                       | 90-DAY BANK BILL FUT SEP26 IRU6                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | AU        |            9 | NC      | $5864.58      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/AUD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | ZCS BRL 12.56 03-22-23-01-02-29 CME                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |      7700000 | NC      | $-3209.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | IRS PLN 4.71500 10-10-24-5Y CME                                                 | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     -8300000 | NC      | $-104661.68   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS PLN 1.21500 07-29-25-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |     14455000 | NC      | $43700.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR-8.56667 04-15-24-5Y CME                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -6493300000 | NC      | $-17648.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/TWD settle 2025-07-16                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | ZCS BRL 12.49 10-09-24-01-02-29 CME                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |     12100000 | NC      | $-19964.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CLP 4.97500 11/05/24 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -1147400000 | NC      | $-20060.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: PEN/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $20383.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | ZCS BRL 14.45 02-14-25-01-02-31 CME                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |      -100000 | NC      | $-487.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/BRL settle 2025-09-03                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $99.23        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/CNY settle 2025-08-20                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-2870.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES US                                                    | FCOJ-A FUTURE JUL25 JON5                                                        | CUSIP: N/A<br>LEI: 5493004R83R1LVX2IL36       | N/A              | DCO              | CORP              | US        |            6 | NC      | $18824.88     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR 7.59500 10/18/24 5Y CME                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -2714300000 | NC      | $19058.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                            | FX Forward: HUF/USD settle 2025-08-22                                           | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-30.60       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/TWD settle 2025-08-20                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-27335.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: USD/ILS settle 2025-06-18                                           | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-129144.45   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                               | FX Forward: GBP/USD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |            1 | NC      | $16602.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | 3 MONTH SOFR FUT DEC25 SFRZ5                                                    | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |         -306 | NC      | $63782.08     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/MXN settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-385.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES US                                                    | COCOA FUTURE SEP25 CCU5                                                         | CUSIP: N/A<br>LEI: 5493004R83R1LVX2IL36       | N/A              | DCO              | CORP              | US        |           -2 | NC      | $-16945.04    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OPTIONS EXCHANGE                                    | S and P 500 INDX PUT 5330 06/20/2025                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | US        |           30 | NC      | $19500.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: CHF/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $66148.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                    | FX Forward: MYR/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | N/A              | DFE              | CORP              | US        |            1 | NC      | $15194.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS ZAR 8.67000 04-02-24-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    -52300000 | NC      | $-147588.58   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: EUR/USD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-329.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: TRY/USD settle 2025-07-21                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $-22.07       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | ZCS BRL 10.2344 01-22-24-01-02-29 CME                                           | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |    -17100000 | NC      | $255861.77    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MONTREAL EXCHANGE (THE)                                           | 3M CORRA FUTURES JUN26 CORM6                                                    | CUSIP: N/A<br>LEI: 549300DKBYNOI0B1NP44       | N/A              | DE               | CORP              | CA        |            5 | NC      | $761.62       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: CNY/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-265.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: ILS/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $19355.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: CLP/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-17682.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: HUF/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $6989.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE-ICE FUTURES LTD                                               | WTI CRUDE FUTURE AUG25 ENQ5                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |            6 | NC      | $-13656.78    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR-7.360000 08/09/24 5Y CME                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   7046500000 | NC      | $-59183.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                               | GLOBAL PAYMENTS INC 1.2% 03/01/2026                                             | CUSIP: 37940XAE2<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |       800000 | PA      | $778600.18    | 0.03%             | 2026-03-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ICE-ICE FUTURES LTD                                               | WTI CRUDE FUTURE JUL25 ENN5                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |            7 | NC      | $2932.09      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE-ICE FUTURES LTD                                               | BRENT CRUDE FUTR AUG25 COQ5                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |          -10 | NC      | $232.16       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MUFG BANK LTD SYDNEY BRANCH                                       | BANK OF TOKYO-MITSUBISHI UFJ LTD SYDNEY BRH CD 3AUS+87 02/17/2026               | CUSIP: N/A<br>LEI: C3GTMMZIHMY46P4OIX74       | Long             | DBT              | CORP              | AU        |       500000 | PA      | $323373.26    | 0.01%             | 2026-02-17      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: PEN/USD settle 2025-09-17                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $18889.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR-7.91375 05//24/24 5Y CME                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   9013400000 | NC      | $-27346.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                                          | FORD MTR CR CO LLC 4.687% 06/09/2025                                            | CUSIP: 345397ZJ5<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |       700000 | PA      | $699927.33    | 0.02%             | 2025-06-09      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: HUF/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $7241.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                               | FX Forward: USD/INR settle 2025-06-18                                           | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |            1 | NC      | $974.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR-8.10600 06-15-23-5Y CME                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  14886400000 | NC      | $-12921.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                            | FX Forward: USD/BRL settle 2025-10-02                                           | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-2820.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | ZCS BRL 11.08 05-26-23-01-02-29 CME                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |     50700000 | NC      | $-541060.42   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: USD/BRL settle 2025-06-18                                           | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $2274.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CLP 4.89900 12-11-23-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   4651400000 | NC      | $76302.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COMMODITY EXCHANGE INC                                            | SILVER FUTURE SEP25 SIU5                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | US        |           -1 | NC      | $-1321.92     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK LIFE GLOBAL FDG                                          | NEW YORK LIFE GLOBAL FDG FRN SOFRINDX+58 01/16/2026 144A                        | CUSIP: 64953BBK3<br>LEI: 635400DPNHEAUHB7ZI15 | Long             | DBT              | CORP              | US        |      1000000 | PA      | $1002356.94   | 0.04%             | 2026-01-16      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: MXN/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $23568.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: EUR/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $345.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                           | BAYER US FIN II LLC 4.25% 12/15/2025 144A                                       | CUSIP: 07274NAJ2<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |       500000 | PA      | $498140.83    | 0.02%             | 2025-12-15      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | OIS COP IBR-7.43625 08-12-24-5Y CME                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |   4283900000 | NC      | $-33171.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | INF SWAP US IT 2.5975 04/10/24 10Y LCH                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |      1000000 | NC      | $-1427.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | SOYBEAN MEAL FUTR JAN26 SMF6                                                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |           -2 | NC      | $-764.86      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: COP/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $39.74        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Cedar Ridge Unconstrained Cred                                    | First Trust Merger Arbitrage Cl I                                               | CUSIP: 46141T869<br>LEI: 549300BGHA8LNTCXW526 | Long             | EC               | RF                | US        |      4710826 | NS      | $51253783.14  | 1.80%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: CZK/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $23496.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS MXN TIIE1-8.0900 06-18-25-5Y* CME                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |      9500000 | NC      | $7028.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CLP 5.79750 05-31Y CME                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -2024600000 | NC      | $-100925.49   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | ZCS BRL 12.7464 03/13/23 01/02/29 CME                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |      7700000 | NC      | $8409.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                            | FX Forward: USD/CZK settle 2025-06-18                                           | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-5396.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | KC HRW WHEAT FUT DEC25 KWZ5                                                     | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |            4 | NC      | $-409.84      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS HUF 5.97000 04-25-25-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |     72300000 | NC      | $-1113.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: AUD/USD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $2630.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK CR CARD ISSUANCE TR                                      | CITIBANK CR CARD ISSUANCE TR 5.23% 12/08/2027                                   | CUSIP: 17305EGW9<br>LEI: R8AG6FXVDQAMDKCSJJ64 | Long             | ABS-CBDO         | CORP              | US        |       500000 | PA      | $501647.30    | 0.02%             | 2027-12-08      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CLP 5.01000 11/05/24 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -3399800000 | NC      | $-64535.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES US                                                    | COFFEE 'C' FUTURE SEP25 KCU5                                                    | CUSIP: N/A<br>LEI: 5493004R83R1LVX2IL36       | N/A              | DCO              | CORP              | US        |           10 | NC      | $-121810.39   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | PIMCO CME SWAP 01/04/2027                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |     -4700000 | NC      | $1544.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: ZAR/USD settle 2025-06-23                                           | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $2358.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | ZCS BRL 10.89762 11/09/23-01/02/29 CME                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |     29200000 | NC      | $-309328.73   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE - AGRICULTURAL PRODUCTS DIVISION               | WHITE SUGAR (ICE) FUT DEC25 QWZ5                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |           -4 | NC      | $3535.03      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                                      | WTI CRUDE FUTURE SEP25 CLU5                                                     | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |          -12 | NC      | $20929.08     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS ZAR 8.27600 06-14-24-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |     62000000 | NC      | $130878.47    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: BRL/USD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-94.10       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: ILS/USD settle 2025-06-11                                           | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $329.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS MXN 9.41500 10/31/24 1Y (WHT) CME                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |     24600000 | NC      | $7246.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | ZCS BRL 11-8425 07/18/24-01/02/29 CME                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |     15700000 | NC      | $79158.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCM 31 LTD                                                        | LCM 31 LTD AR TSFR3M+128 07/20/2034 144A                                        | CUSIP: 50201QAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       300000 | PA      | $299913.90    | 0.01%             | 2034-07-20      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: KRW/USD settle 2025-06-12                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $138.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                                     | ICE 3MTH SONIA FU FUT JUN26 SFIM6                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | GB        |            9 | NC      | $-3645.13     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MONTREAL EXCHANGE (THE)                                           | CAN 10YR BOND FUT SEP25 CNU5                                                    | CUSIP: N/A<br>LEI: 549300DKBYNOI0B1NP44       | N/A              | DIR              | CORP              | CA        |          146 | NC      | $101278.95    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/NZD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-67274.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS MXN 9.48000 11-19-24-1Y* (WHT) CME                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    -25100000 | NC      | $-8421.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: USD/PLN settle 2025-06-06                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $-3018.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: EUR/USD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $101.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: INR/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $17313.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON METAL EXCHANGE                                             | LME LEAD FUTURE AUG25 LLQ5                                                      | CUSIP: N/A<br>LEI: 213800NB8G5VRT1DXC91       | N/A              | DCO              | CORP              | GB        |          -16 | NC      | $726.50       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE-ICE FUTURES LTD                                               | LOW SU GASOIL G FUT SEP25 QSU5                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |            2 | NC      | $-4027.26     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/CZK settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-505.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                                                 | DAX INDEX FUTURE JUN25 GXM5                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | DE        |           11 | NC      | $198730.83    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CLP 4.43900 02-02-24-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   3071000000 | NC      | $-8729.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                                     | 3MO EURO EURIBOR FUT JUN26 ERM6                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | GB        |          -85 | NC      | $-100232.97   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | INF SWAP US IT 2.5 03/29/23 10Y LCH                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |     -3800000 | NC      | $-20416.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE - AGRICULTURAL PRODUCTS DIVISION               | WHITE SUGAR (ICE) FUT AUG25 QWQ5                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |          -77 | NC      | $125046.38    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                                      | NATURAL GAS FUT SEP25 NGU25                                                     | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |           -9 | NC      | $82262.27     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: TWD/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-22572.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | CORN FUTURE JUL26 C N6                                                          | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |           -3 | NC      | $-407.38      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: CZK/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $15906.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI BANKING CORP SYDNEY BRANCH                        | SUMITOMO MIT BKNG CORP SYDNEY BRH CD 3AUS+85 02/20/2026                         | CUSIP: N/A<br>LEI: 5U0XI89JRFVHWIBS4F54       | Long             | DBT              | CORP              | AU        |       400000 | PA      | $258677.98    | 0.01%             | 2026-02-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: SGD/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $28864.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/SGD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-42208.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fidelity Greenwood Street Trust                                   | Fidelity SAI Convertible Arbitrage Fund                                         | CUSIP: 31624J778<br>LEI: 549300467DYGTZIRI308 | Long             | EC               | MUN               | US        |     41005617 | NS      | $448191398.63 | 15.72%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | ISRAELI SHEKEL FUT JUN25 ISM5                                                   | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DFE              | CORP              | US        |          -19 | NC      | $-160173.63   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CLP 5.75000 09/28/23 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   4763400000 | NC      | $151355.40    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS HUF 6.58710 04-05-24-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   -876700000 | NC      | $-51732.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: MYR/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $-3079.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: EUR/USD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $80.52        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES US                                                    | COFFEE 'C' FUTURE JUL25 KCN5                                                    | CUSIP: N/A<br>LEI: 5493004R83R1LVX2IL36       | N/A              | DCO              | CORP              | US        |          -16 | NC      | $186390.93    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                           | HYUNDAI CAP AMER FRN SOFR+115 08/04/2025 144A                                   | CUSIP: 44891ACL9<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |       300000 | PA      | $300317.49    | 0.01%             | 2025-08-04      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                                     | LONG GILT FUTURE SEP25 G U5                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |          154 | NC      | $-1444.20     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OPTIONS EXCHANGE                                    | S and P 500 INDX PUT 5610 08/15/2025                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | US        |           39 | NC      | $338520.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: NOK/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $14343.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: CHF/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $13255.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SWEDBANK AB                                                       | SWEDBANK AB 5.337% 09/20/2027 REGS                                              | CUSIP: N/A<br>LEI: M312WZV08Y7LYUC71685       | Long             | DBT              | CORP              | SE        |       600000 | PA      | $609651.85    | 0.02%             | 2027-09-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CLP 4.74000 8/7/24 5Y CME                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    986400000 | NC      | $6722.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/THB settle 2025-06-18                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-61948.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | ZCS BRL 12.025 06-12-24-01-02-29 CME                                            | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     10400000 | NC      | $-48617.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                         | CDX EM42 ICE                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              | CORP              | US        |     -5500000 | NC      | $-21393.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS MXN TIIE1-9.10000 12/18/24 10Y* CME                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |     68500000 | NC      | $139848.11    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CZK 4.73000 10-03-23-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    220700000 | NC      | $493316.03    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS HUF 6.83000 04-17-24-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   -520600000 | NC      | $-41680.97    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | RFR GBP SONIO-3.75000 09-18-24-10Y LCH                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |      -900000 | NC      | $63892.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                           | BANK OF NOVA SCOTIA FRN 3AUS+90 10/27/2025                                      | CUSIP: N/A<br>LEI: L3I9ZG2KFGXZ61BMYR72       | Long             | DBT              | CORP              | CA        |      1000000 | PA      | $645805.40    | 0.02%             | 2025-10-27      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| VERDELITE STATIC CLO 2024-1 LTD                                   | VERDELITE STATIC CLO 2024-1 LTD A TSFR3M+113 07/20/2032 144A                    | CUSIP: 92338VAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |       420460 | PA      | $420502.62    | 0.01%             | 2032-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: USD/BRL settle 2025-06-18                                           | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-4348.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: JPY/USD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-7469.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES US                                                    | CANOLA FUTR (WCE) NOV25 RSX5                                                    | CUSIP: N/A<br>LEI: 5493004R83R1LVX2IL36       | N/A              | DCO              | CORP              | US        |           34 | NC      | $15627.07     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: KRW/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-769.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/HUF settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-1876.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR-8.43500 04/12/24 5Y CME                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -9530800000 | NC      | $-14256.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RAD CLO 4 LTD                                                     | RAD CLO 4 LTD AR TSFR3M+123 04/25/2032 144A                                     | CUSIP: 749984AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       513241 | PA      | $512731.17    | 0.02%             | 2032-04-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                              | UMBS 30YR 6.5% 07/01/2055 #TBA                                                  | CUSIP: 01F062671<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |     -1100000 | PA      | $-1128530.70  | -0.04%            | 2055-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/CNY settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-1627.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS MXN TIIE1+24-9.4150 12/25/25 4Y CME                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |     24600000 | NC      | $44578.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | OIS COP IBR-8.750000 04/11/23 5Y CME                                            | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |   8197300000 | NC      | $28409.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | RFR USD SOFR-3.50000 09-17-25-30Y LCH                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |     -4200000 | NC      | $133536.58    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/IDR settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-27756.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | INF SWAP US IT 2.595 07/12/23 10Y LCH                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |      2900000 | NC      | $-6043.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: THB/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $4920.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR-8.750000 03/27/23 5Y CME                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   6718000000 | NC      | $25561.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | IRS EUR 2.00000 09/17/25-2Y LCH                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |      8100000 | NC      | $63972.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE - AGRICULTURAL PRODUCTS DIVISION               | COFF ROBUSTA 10TN FUT JUL25 DFN5                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |           -8 | NC      | $23033.59     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS ZAR 8.13000 01/25/24 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |     15300000 | NC      | $31602.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MONTREAL EXCHANGE (THE)                                           | 3M CORRA FUTURES SEP25 CORU5                                                    | CUSIP: N/A<br>LEI: 549300DKBYNOI0B1NP44       | N/A              | DIR              | CORP              | CA        |            6 | NC      | $-530.76      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| HONG KONG FUTURES EXCHANGE                                        | HANG SENG IDX FUT JUN25 HIM5                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | HK        |            7 | NC      | $530.79       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: HUF/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $546.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: MXN/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-14366.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BRAZIL LETRAS DO TESOURO NACIONAL                                 | BRAZIL LETRAS DO TESOURO NACIONAL 0% 10/01/2025                                 | CUSIP: N/A<br>LEI: 254900ZFY40OYEADAP90       | Long             | DBT              | NUSS              | BR        |       200000 | PA      | $33382.64     | 0.00%             | 2025-10-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: PLN/USD settle 2025-06-20                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $3614.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CZK 4.695 05/04/23 5Y CME                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |     50000000 | NC      | $104041.33    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TOYOTA LEASE OWNER TRUST 2025-A                                   | TOYOTA LEASE OWNER TRUST 2025-A 4.58% 07/20/2027 144A                           | CUSIP: 89239NAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       400000 | PA      | $400474.72    | 0.01%             | 2027-07-20      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: USD/BRL settle 2025-06-18                                           | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-18036.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | IRS ZAR 8.35200 11-09-23-5Y CME                                                 | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |    133700000 | NC      | $248264.50    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CZK 4.29000 04-18-24-10Y CME                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    -35800000 | NC      | $1733.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/COP settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-10525.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS ZAR 8.65000 04-02-24-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    -26200000 | NC      | $-72958.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fidelity Greenwood Street Trust                                   | FIDELITY SAI ALTERNATIVE RISK PREMIA STRATEGY FUND                              | CUSIP: 31624J752<br>LEI: 549300467DYGTZIRI308 | Long             | EC               | MUN               | US        |      2813130 | NS      | $26949786.87  | 0.95%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: PLN/USD settle 2025-06-20                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $3626.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: PEN/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $5302.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS MXN 9.38500 11/01/24 1Y (WHT) CME                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    -36200000 | NC      | $-10409.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN EXCHANGE GROUP INC                                          | NIKKEI 225 MINI FUT JUN25 NOM5                                                  | CUSIP: N/A<br>LEI: 353800578ADEGIJTVW07       | N/A              | DE               | CORP              | JP        |         -193 | NC      | $-177274.89   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS HUF 5.72200 07/18/24 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    408700000 | NC      | $14994.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OPTIONS EXCHANGE                                    | S and P 500 INDX PUT 3450 04/17/2026                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | US        |           73 | NC      | $198925.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS PLN 4.70900 10/11/24 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    -12700000 | NC      | $-161682.70   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                            | FX Forward: MYR/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-19153.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: USD/JPY settle 2025-06-03                                           | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-90.12       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | DJIA MINI E-CBOT FUT JUN25 DMM5                                                 | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DE               | CORP              | US        |           12 | NC      | $49515.20     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                                            | FX Forward: NOK/USD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | CH        |            1 | NC      | $59318.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                            | FX Forward: HUF/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |            1 | NC      | $1528.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | ZCS BRL 11.8374 04/13/23-01/02/29 CME                                           | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     18600000 | NC      | $-98361.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR-9.83000 03/10/23 CME                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -6277100000 | NC      | $-58897.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/KRW settle 2025-06-18                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-74410.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | RFR JPY MUTK-1.00000 09-17-25-10Y LCH                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |   -296000000 | NC      | $-1423.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CZK 3.55000 03-07-25-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |     98900000 | NC      | $15791.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/CAD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-46630.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: MXN/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $7931.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | EURO/CZK X-RATE FUT JUN25 EXM5                                                  | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DE               | CORP              | US        |           18 | NC      | $15343.12     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR 7.74625 10-21-24-5Y CME                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -4888700000 | NC      | $27918.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/IDR settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-15107.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: USD/TRY settle 2025-06-27                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $-13.00       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | S and P500 EMINI FUT JUN25 ESM5                                                 | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DE               | CORP              | US        |           76 | NC      | $1287792.10   | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE - AGRICULTURAL PRODUCTS DIVISION               | COCOA FUTURE - IC SEP25 QCU5                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |           -2 | NC      | $-8562.86     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| DEUTSCHE BANK AG                                                  | FX Forward: USD/KRW settle 2025-06-18                                           | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | DE        |            1 | NC      | $-6156.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | RFR USD SOFR-3.75000 09/17/25-2Y LCH                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |      1400000 | NC      | $4989.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS HUF 5.54500 08-02-24-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   1008500000 | NC      | $17851.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: NOK/USD settle 2025-07-02                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $-622.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: PLN/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $3703.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CLP- 4.96000 05/10/24-5Y CME                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   3595600000 | NC      | $61221.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                                     | 3MO EURO EURIBOR FUT DEC25 ERZ5                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | GB        |         -119 | NC      | $-106008.86   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CLP 5.00000 11/04/24 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -1015700000 | NC      | $-18845.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | IRS TWD 1.75000 09/17/25 5Y LCH                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |     13200000 | NC      | $-2326.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MONTREAL EXCHANGE (THE)                                           | 3M CORRA FUTURES DEC25 CORZ5                                                    | CUSIP: N/A<br>LEI: 549300DKBYNOI0B1NP44       | N/A              | DIR              | CORP              | CA        |            8 | NC      | $959.79       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: USD/TRY settle 2025-06-17                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $128.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE-ICE FUTURES LTD                                               | LOW SU GASOIL G FUT AUG25 QSQ5                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |           10 | NC      | $-15911.30    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | RFR JPY MUTK-2.00000 09/17/25 30Y LCH                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |   -154500000 | NC      | $-9510.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: USD/EUR settle 2025-07-02                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $-131.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS HUF 7.77000 10-27-23-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   1190500000 | NC      | $168706.38    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | NASDAQ 100 E-MINI FUT JUN25 NQM5                                                | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DE               | CORP              | US        |            1 | NC      | $3290.60      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: TRY/USD settle 2025-06-12                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $308.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: AUD/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: KRW/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-4785.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | OIS THB THORON-2.00000 09/17/25 5Y LCH                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |    291000000 | NC      | $142461.77    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                                                 | EURO-OAT FUTURE JUN25 OATM5                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |           69 | NC      | $32248.62     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                            | FX Forward: USD/ILS settle 2025-06-18                                           | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |            1 | NC      | $685.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE - AGRICULTURAL PRODUCTS DIVISION               | COFF ROBUSTA 10TN FUT SEP25 DFU5                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |           13 | NC      | $-66316.23    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY                                                    | FX Forward: JPY/USD settle 2025-07-02                                           | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | N/A              | DFE              | CORP              | US        |            1 | NC      | $12238.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: EUR/USD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $2.77         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | IRS ILS 0.00000 04-21-25-0Y* LCH                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |      9000000 | NC      | $-15878.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES US                                                    | CANOLA FUTR (WCE) JUL25 RSN5                                                    | CUSIP: N/A<br>LEI: 5493004R83R1LVX2IL36       | N/A              | DCO              | CORP              | US        |           39 | NC      | $29925.86     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: GBP/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $105294.79    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS HUF 6.11750 10-22-24-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   -860700000 | NC      | $-79824.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: PLN/USD settle 2025-06-06                                           | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $38.10        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS HUF 6.25000 05-21-24-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    512800000 | NC      | $9617.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: USD/CLP settle 2025-06-18                                           | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-33307.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR-8.23000 11-08-24-5Y CME                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  11545500000 | NC      | $7037.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS HUF 6.07900 10-22-24-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -2009900000 | NC      | $-251982.37   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CLP 5.59000 08/21/23 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -2929500000 | NC      | $-126814.53   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: USD/SGD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $-783.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/HUF settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-21088.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | OIS CAD CAONREPO-3.0000 09/15/25 10Y LCH                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |      7400000 | NC      | $-83137.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR-8.08000 04-11-24-5Y CME                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -5480900000 | NC      | $9654.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS ZAR 8.51000 05-17-24-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |     91200000 | NC      | $224053.25    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CLP 5.55000 08/17/23 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -2555300000 | NC      | $-106231.29   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OPTIONS EXCHANGE                                    | S and P 500 INDX PUT 3750 03/20/2026                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | US        |           87 | NC      | $281445.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: USD/TRY settle 2025-07-01                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $-13.25       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | WHEAT FUTURE(CBT) DEC25 W Z5                                                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |          -16 | NC      | $24286.12     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: USD/HUF settle 2025-06-18                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $380.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | US LONG BOND(CBT) FUT SEP25 USU5                                                | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |         -159 | NC      | $-248839.19   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR-7.33500 08/09/24 5Y CME                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   4651200000 | NC      | $-40070.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CZK 3.54500 07/16/24 10Y CME                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |     76500000 | NC      | $42701.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | ZCS BRL 12.235 09/26/24/01/02/29 CME                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |     -6900000 | NC      | $30027.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | ZCS BRL 10.55 08/16/23-01/02/29 CME                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    -13300000 | NC      | $179511.55    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES US                                                    | COCOA FUTURE DEC25 CCZ5                                                         | CUSIP: N/A<br>LEI: 5493004R83R1LVX2IL36       | N/A              | DCO              | CORP              | US        |           -2 | NC      | $10464.96     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/SEK settle 2025-06-03                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-330.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                               | FX Forward: USD/HUF settle 2025-06-18                                           | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-19754.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE-ICE FUTURES LTD                                               | LOW SU GASOIL G FUT AUG25 QSQ5                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |           -4 | NC      | $8705.91      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE                                | FX Forward: INR/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: 2IGI19DL77OX0HC3ZE78       | N/A              | DFE              | CORP              | CA        |            1 | NC      | $4865.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: EUR/USD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $162.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | SOYBEAN OIL FUTR AUG25 BOQ5                                                     | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |           -9 | NC      | $6614.10      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/INR settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $1110.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UST BILLS                                                         | UST BILLS 0% 08/14/2025                                                         | CUSIP: 912797PN1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |        71000 | PA      | $70389.56     | 0.00%             | 2025-08-14      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| EATON VANCE MUT FDS TR                                            | Eaton Vance Glbl Macro Abs Ret Advtg A                                          | CUSIP: 277923280<br>LEI: 549300FGUNKHMTW51F25 | Long             | EC               | RF                | US        |     24420806 | NS      | $267163619.35 | 9.37%             |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: HUF/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $3969.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                    | FX Forward: PLN/USD settle 2025-06-06                                           | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | N/A              | DFE              | CORP              | US        |            1 | NC      | $0.79         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                         | CDX ITRAXX MAIN43 5Y ICE                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              | CORP              | US        |      5500000 | NC      | $-2561.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/ILS settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-28814.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                                                 | EURO-OAT FUTURE JUN25 OATM5                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |           -3 | NC      | $-3800.21     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: USD/EUR settle 2025-06-03                                           | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-70.97       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MONTREAL EXCHANGE (THE)                                           | CAN 2YR BOND FUT SEP25 CVU5                                                     | CUSIP: N/A<br>LEI: 549300DKBYNOI0B1NP44       | N/A              | DIR              | CORP              | CA        |            3 | NC      | $351.65       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS PLN 4.89000 02-16-24-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    -10400000 | NC      | $-70488.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | IRS CLP 4.76000 08-08-24-5Y CME                                                 | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |   2436300000 | NC      | $18807.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/MXN settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-27479.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS             | GOVERNMENT NATIONAL MORTGAGE 2023-H20 FL SOFR30A+110 05/20/2073                 | CUSIP: 38383KDY5<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       168935 | PA      | $169607.76    | 0.01%             | 2073-05-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS PLN 5.05400 05/15/24 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |      6100000 | NC      | $44820.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                    | FEDERAL NAT MTG ASN GTD REM PA SOFR30A+90 12/25/2050                            | CUSIP: 3136BQ6A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |        66738 | PA      | $67325.23     | 0.00%             | 2050-12-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | ZCS BRL 11.94 04-12-23-01-2-29 CME                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |      5300000 | NC      | $-24218.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: KRW/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-1302.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                               | FX Forward: EUR/USD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: RR3QWICWWIPCS8A4S074       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $206.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/CHF settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $16504.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COMMODITY EXCHANGE INC                                            | COPPER FUT SEP25 HGU5                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | US        |          -10 | NC      | $-62251.41    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES US                                                    | SUGAR #11 (WORLD) FUT JUL25 SBN5                                                | CUSIP: N/A<br>LEI: 5493004R83R1LVX2IL36       | N/A              | DCO              | CORP              | US        |         -172 | NC      | $235796.96    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: AUD/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $38914.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NORTHERN LTS FD TR IV                                             | Fulcrum Diversified Abslt Ret Spr Instl                                         | CUSIP: 66537J101<br>LEI: N/A                  | Long             | EC               | RF                | US        |      5439078 | NS      | $52595884.49  | 1.84%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | LIVE CATTLE FUTR OCT25 LCV5                                                     | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DCO              | CORP              | US        |          -13 | NC      | $-58461.46    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS HUF 5.84163 07-22-24-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   1145100000 | NC      | $59387.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: TRY/USD settle 2025-06-10                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $2113.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EURONEXT PARIS MATIF                                              | MILL WHEAT EURO FUT SEP25 CAU5                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | FR        |         -291 | NC      | $287160.82    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| LONDON METAL EXCHANGE                                             | LME NICKEL FUTURE JUL25 LNN5                                                    | CUSIP: N/A<br>LEI: 213800NB8G5VRT1DXC91       | N/A              | DCO              | CORP              | GB        |          -18 | NC      | $-81442.36    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| LONDON METAL EXCHANGE                                             | LME PRI ALUM FUTR AUG25 LAQ25                                                   | CUSIP: N/A<br>LEI: 213800NB8G5VRT1DXC91       | N/A              | DCO              | CORP              | GB        |           19 | NC      | $-18599.67    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| LONDON METAL EXCHANGE                                             | LME ZINC FUTURE AUG25 LXQ5                                                      | CUSIP: N/A<br>LEI: 213800NB8G5VRT1DXC91       | N/A              | DCO              | CORP              | GB        |          -12 | NC      | $7800.50      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                              | UMBS 30YR 6.5% 06/01/2055 #TBA                                                  | CUSIP: 01F062663<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |     -2400000 | PA      | $-2464498.80  | -0.09%            | 2025-06-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                              | UMBS 30YR 6% 06/01/2055 #TBA                                                    | CUSIP: 01F060667<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |    -15200000 | PA      | $-15352594.32 | -0.54%            | 2025-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS PLN 4.27000 08/08/24 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |     10400000 | NC      | $66656.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/HUF settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-12558.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/KRW settle 2025-06-12                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-12589.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS             | GOVERNMENT NAT MTG ASSN HECM TSFR1M+ 02/20/2067                                 | CUSIP: 38376RU61<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       895135 | PA      | $897345.29    | 0.03%             | 2067-02-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMER FIN LLC                                     | VOLKSWAGEN GROUP AMER FIN LLC 1.25% 11/24/2025 144A                             | CUSIP: 928668BL5<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |       800000 | PA      | $786016.14    | 0.03%             | 2025-11-24      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | SOYBEAN FUTURE NOV25 S X5                                                       | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |            9 | NC      | $-7334.35     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| LONDON METAL EXCHANGE                                             | LME LEAD FUTURE AUG25 LLQ5                                                      | CUSIP: N/A<br>LEI: 213800NB8G5VRT1DXC91       | N/A              | DCO              | CORP              | GB        |           10 | NC      | $-11329.30    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BMW US CAPITAL LLC                                                | BMW US CAPITAL LLC FRN SOFRINDX+80 08/13/2026 144A                              | CUSIP: 05565ECN3<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |       700000 | PA      | $702434.60    | 0.02%             | 2026-08-13      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | WHEAT FUTURE(CBT) JUL25 W N5                                                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |          -94 | NC      | $151645.90    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                                      | GASOLINE RBOB FUT AUG25 XBQ5                                                    | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |           -2 | NC      | $-770.49      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                        | FNMA GTD MTG PASS THRU CTF 25-16 FN SOFR30A+95 01/25/2055                       | CUSIP: 3136BU6A3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       289383 | PA      | $289230.69    | 0.01%             | 2055-01-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CLP 5.16000 04-05-24-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -3518200000 | NC      | $-89208.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MONTREAL EXCHANGE (THE)                                           | 3M CORRA FUTURES SEP26 CORU6                                                    | CUSIP: N/A<br>LEI: 549300DKBYNOI0B1NP44       | N/A              | DE               | CORP              | CA        |            4 | NC      | $-872.62      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/PEN settle 2025-11-17                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-7597.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: USD/EUR settle 2025-07-02                                           | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-758.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                                                 | EURO-BTP FUTURE JUN25 IKM5                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |          425 | NC      | $650197.50    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | IRS KRW 2.50000 09/17/25 5Y LCH                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |  12073456000 | NC      | $33685.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS PLN 4.82500 03/13/24 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    -22400000 | NC      | $-139938.05   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS ZAR 8.31000 07/27/23 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |     26300000 | NC      | $52553.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: USD/AUD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-20785.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: USD/INR settle 2025-06-30                                           | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-124.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: EUR/USD settle 2025-07-02                                           | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $565.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: IDR/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $10505.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS HUF 5.82000 07-22-24-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    803900000 | NC      | $40347.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                  | FX Forward: IDR/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | DE        |            1 | NC      | $-957.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SYDNEY FUTURES EXCHANGE LTD                                       | AUST 10Y BOND FUT JUN25 XMM5                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | AU        |         -155 | NC      | $-198951.10   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE-ICE FUTURES LTD                                               | ICE RTD MONTH COA FUT SEP25 XAU5                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |           -3 | NC      | $5217.69      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: NZD/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-8058.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: PLN/USD settle 2025-06-06                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $65.85        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                            | FX Forward: USD/MXN settle 2025-06-18                                           | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |            1 | NC      | $2933.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS PLN 4.49500 11/22/24 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |     15800000 | NC      | $174212.69    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | 3 MONTH SOFR FUT SEP26 SFRU6                                                    | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DE               | CORP              | US        |         -174 | NC      | $-115285.68   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| AGL CLO 14 LTD                                                    | AGL CLO 14 LTD AR TSFR3M+113 12/02/2034 144A                                    | CUSIP: 00851WAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       300000 | PA      | $299424.60    | 0.01%             | 2034-12-02      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR-8.44860 04/16/24-5Y CME                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -7334200000 | NC      | $-11997.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                               | FX Forward: USD/CAD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-1096.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CLP 5.28500 12/24/24 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   -756300000 | NC      | $-23614.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | US 10YR ULTRA FUT SEP25 UXYU5                                                   | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |           13 | NC      | $10747.42     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: USD/CNY settle 2025-08-20                                           | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-4628.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: MXN/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $50015.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/THB settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-111785.83   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STONE RIDGE TR                                                    | Stone Ridge Diversified Alternatives I                                          | CUSIP: 861728624<br>LEI: 549300OSYMMPL5LGIM86 | Long             | EC               | RF                | US        |     26059254 | NS      | $265804390.72 | 9.32%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | JPN YEN CURR FUT JUN25 JYM5                                                     | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DFE              | CORP              | US        |          159 | NC      | $565033.15    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/GBP settle 2025-06-03                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-555.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | ZCS BRL 10.0375 01-04-24-01-02-29 CME                                           | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     -6600000 | NC      | $108069.81    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: USD/ZAR settle 2025-06-18                                           | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-95614.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                     | CFM CDX CDXEM S43 5Y T0 CDX                                                     | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | GB        |      3000000 | NC      | $20849.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | ZCS BRL 12.058 04/05/23-01/02/29 CME                                            | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     28700000 | NC      | $-108132.60   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | 3 MONTH SOFR FUT MAR27 SFRH7                                                    | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |         -119 | NC      | $-93436.83    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | SOYBEAN FUTURE JAN26 S F6                                                       | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |           -4 | NC      | $915.25       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/CNY settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-6602.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fidelity Revere Street Trust                                      | Fidelity Cash Central Fund                                                      | CUSIP: 31635A105<br>LEI: 549300BDV45LJNXBZC55 | Long             | STIV             | RF                | US        |      5525890 | NS      | $5526995.45   | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: GBP/USD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $26.23        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | LIVE CATTLE FUTR OCT25 LCV5                                                     | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DCO              | CORP              | US        |            8 | NC      | $7190.51      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR-9.37000 10/02/23 5Y CME                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        | -27630000000 | NC      | $-236769.36   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                         | CDX HY43 5Y ICE                                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              | CORP              | US        |     -3400000 | NC      | $16600.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                                     | FTSE 100 IDX FUT JUN25 Z M5                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | GB        |          -21 | NC      | $-30408.17    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS HUF 5.85000 07/22/24 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    537300000 | NC      | $28419.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                               | FX Forward: USD/ZAR settle 2025-06-18                                           | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |            1 | NC      | $4465.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/KRW settle 2025-06-18                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-19696.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WARSAW STOCK EXCHANGE/FINANCIAL DERIVATIVES                       | WIG20 INDEX FUT JUN25 KRSM5                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | PL        |           46 | NC      | $9143.93      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: TRY/USD settle 2025-07-10                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $-14.59       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UST BILLS                                                         | UST BILLS 0% 08/07/2025                                                         | CUSIP: 912797MG9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      1090000 | PA      | $1081547.05   | 0.04%             | 2025-08-07      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: AUD/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $6991.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                                                 | EURO STOXX BANK FUT JUN25 CAM5                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | DE        |           62 | NC      | $60194.67     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | KC HRW WHEAT FUT MAR26 KWH6                                                     | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |           -8 | NC      | $-1594.68     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                            | FX Forward: USD/PLN settle 2025-06-13                                           | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-49825.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: EUR/USD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $68.47        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | CORN FUTURE MAR26 C H6                                                          | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |           -7 | NC      | $2820.49      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO 2015-4 LTD                   | CARLYLE GLOBAL MARKET STRATEGIES CLO 2015-4 LTD A1RR TSFR3M+122 07/20/2032 144A | CUSIP: 14311NAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       257537 | PA      | $257635.80    | 0.01%             | 2032-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS HUF 6.06250 04-24-25-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    289200000 | NC      | $-1247.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                                     | ICE 3MTH SONIA FU FUT JUN26 SFIM6                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | GB        |          -10 | NC      | $-1978.44     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OPTIONS EXCHANGE                                    | S and P 500 INDX PUT 5030 07/18/2025                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | US        |           30 | NC      | $40200.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fidelity Colchester Street Trust                                  | FIMM MM Government Portfolio - Instl Cl                                         | CUSIP: 31607A703<br>LEI: 549300SHPEJB1OPRCV46 | Long             | EC               | RF                | US        |    267871458 | NS      | $267871458.37 | 9.40%             |  |  |  | No            |                  1 | On Loan: No      |
| LONDON METAL EXCHANGE                                             | LME NICKEL FUTURE JUL25 LNN5                                                    | CUSIP: N/A<br>LEI: 213800NB8G5VRT1DXC91       | N/A              | DCO              | CORP              | GB        |            8 | NC      | $-41469.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/TWD settle 2025-08-20                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-100130.18   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE - AGRICULTURAL PRODUCTS DIVISION               | WHITE SUGAR (ICE) FUT OCT25 QWV5                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |          -19 | NC      | $29876.60     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CZK 4.06000 04-17-24-10Y CME                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    -48100000 | NC      | $-80119.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                            | FX Forward: PLN/USD settle 2025-06-06                                           | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |            1 | NC      | $319.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAT INTERNATIONAL FINANCE PLC                                     | BAT INTL FINANCE PLC 1.668% 03/25/2026                                          | CUSIP: 05530QAN0<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |       300000 | PA      | $292892.76    | 0.01%             | 2026-03-25      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: PHP/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $12299.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UST BILLS                                                         | UST BILLS 0% 08/19/2025                                                         | CUSIP: 912797QK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       359000 | PA      | $355706.36    | 0.01%             | 2025-08-19      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| WORLD OMNI AUTO RECEIVABLES TR 2023-C                             | WORLD OMNI AUTO RECEIVABLES TR 2023-C A2B SOFR30A+41 12/15/2026                 | CUSIP: 98164FAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |         4296 | PA      | $4296.07      | 0.00%             | 2026-12-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: THB/USD settle 2025-07-16                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $28962.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: USD/CNY settle 2025-07-16                                           | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-1804.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERGER FUND                                                       | The Merger Fund A                                                               | CUSIP: 589509108<br>LEI: 549300TXJCENVSEMYP88 | Long             | EC               | RF                | US        |      8140501 | NS      | $145145131.24 | 5.09%             |  |  |  | No            |                  1 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR-7.93000 10-23-24-5Y CME                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -5014000000 | NC      | $20456.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICAN FUTURES EXCHANGE                                    | FTSE/JSE TOP 40 FUT JUN25 AIM5                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | ZA        |          -53 | NC      | $-116595.01   | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                                     | ICE 3MTH SONIA FU FUT DEC25 SFIZ5                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | GB        |          -13 | NC      | $21737.41     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/KRW settle 2025-06-18                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-13058.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | LIVE CATTLE FUTR DEC25 LCZ5                                                     | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DCO              | CORP              | US        |          -11 | NC      | $-59266.62    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: BRL/USD settle 2025-07-02                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-26292.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fidelity Greenwood Street Trust                                   | FIDELITY SAI ALTERNATIVE RISK PREMIA COMMODITY STRATEGY FUND                    | CUSIP: 31624J760<br>LEI: 549300467DYGTZIRI308 | Long             | EC               | MUN               | US        |      6044608 | NS      | $60687860.17  | 2.13%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA GTD MTG PASS THRU CTF                                        | FNMA GTD MTG PASS THRU CTF 2024-100 FA SOFR30A+110 05/25/2054                   | CUSIP: 3136BUFY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       265553 | PA      | $263749.71    | 0.01%             | 2054-06-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF NEW YORK MELLON EMPLOYEE BENEFIT COLLECTIVE INVT FD PLAN. | BlackRock Systematic Multi-Strat Inv A                                          | CUSIP: 09260C109<br>LEI: 549300VMOZD9W6DJLT40 | Long             | EC               | RF                | US        |     25322932 | NS      | $263105267.32 | 9.23%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                                            | FX Forward: JPY/USD settle 2025-07-02                                           | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | CH        |            1 | NC      | $9724.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EURONEXT PARIS MATIF                                              | RAPESEED EURO FUT FEB26 IJG6                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | FR        |           -1 | NC      | $-298.52      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                         | CDX EM43 ICE                                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              | CORP              | US        |      4800000 | NC      | $12354.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                                                 | EURO-BOBL FUTURE JUN25 OEM5                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |          276 | NC      | $347737.72    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD             | FEDERAL HOME LN MTG MLT CTF GT SOFR30A+100 08/15/2048                           | CUSIP: 3137HBGQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |        63932 | PA      | $64517.81     | 0.00%             | 2048-08-15      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| ICE-ICE FUTURES LTD                                               | BRENT CRUDE FUTR AUG25 COQ5                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |           43 | NC      | $-65938.59    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: USD/PEN settle 2025-06-18                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $-18737.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: IDR/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $3263.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS ZAR 8.36 11/06/23 5Y CME                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |     73600000 | NC      | $157464.56    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CLP 4.950 06/18/25 5Y CME                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   1820500000 | NC      | $26458.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/NZD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-87620.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                                                 | EURO-SCHATZ FUT SEP25 DUU5                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |          -54 | NC      | $-3625.58     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES US                                                    | MSCI EMGMKT FUT JUN25 MESM5                                                     | CUSIP: N/A<br>LEI: 5493004R83R1LVX2IL36       | N/A              | DE               | CORP              | US        |          102 | NC      | $268539.76    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: CLP/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-34770.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: PEN/USD settle 2025-06-16                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $8028.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | SOYBEAN FUTURE NOV25 S X5                                                       | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |          -46 | NC      | $-12761.84    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                               | FX Forward: USD/CLP settle 2025-06-18                                           | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-26877.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CLP 4.92000 08/12/24-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    938800000 | NC      | $13805.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UST BILLS                                                         | UST BILLS 0% 06/05/2025                                                         | CUSIP: 912797NP8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       476000 | PA      | $475831.38    | 0.02%             | 2025-06-05      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/ZAR settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-15261.26    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR-7.06000 08-16-24-5Y CME                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  12497100000 | NC      | $-138350.01   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                               | FX Forward: USD/CLP settle 2025-06-18                                           | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-53524.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN EXCHANGE GROUP INC                                          | NIKKEI 225 (OSE) FUT JUN25 NKM5                                                 | CUSIP: N/A<br>LEI: 353800578ADEGIJTVW07       | N/A              | DE               | CORP              | JP        |          -20 | NC      | $-189056.03   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                                            | FX Forward: SEK/USD settle 2025-07-02                                           | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | CH        |            1 | NC      | $8770.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE-ICE FUTURES LTD                                               | BRENT CRUDE FUTR OCT25 COV5                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |            1 | NC      | $-2831.13     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| STATE STR INVT TR                                                 | State Street Instl US Govt MMkt Premier                                         | CUSIP: 857492706<br>LEI: 549300CCOK7OZZUAS108 | Long             | EC               | RF                | US        |    168874547 | NS      | $168874547.13 | 5.92%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: USD/SGD settle 2025-07-02                                           | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $1159.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SYDNEY FUTURES EXCHANGE LTD                                       | 90-DAY BANK BILL FUT DEC25 IRZ5                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | AU        |           39 | NC      | $27150.64     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                               | SUMITOMO MITSUI FINL GRP INC FRN SOFR+130 07/13/2026                            | CUSIP: 86562MCZ1<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |       500000 | PA      | $504054.97    | 0.02%             | 2026-07-13      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS ZAR 8.88000 04-11-24-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    -46600000 | NC      | $-149701.24   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CZK 3.48900 10-30-24-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    -71000000 | NC      | $-83999.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: BRL/USD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $1374.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                            | FX Forward: GBP/USD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | CH        |            1 | NC      | $539.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: USD/JPY settle 2025-06-03                                           | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-20.32       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR-7.340000 08-09-24-5Y CME                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   2325600000 | NC      | $-19934.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: THB/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $-3806.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: USD/HUF settle 2025-06-18                                           | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-17.76       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR-8.12750 11-10-23-5Y CME                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   5156900000 | NC      | $-4394.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: GBP/USD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $43.75        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR-9.05000 03/24/23 5Y CME                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  10329000000 | NC      | $55337.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | NEW ZEALAND $ FUT JUN25 NVM5                                                    | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DFE              | CORP              | US        |           10 | NC      | $2291.30      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR 10.24 02-24-23-5Y CME                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        | -12000000000 | NC      | $-128690.82   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: SGD/USD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $-223.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: MXN/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $21454.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | LIVE CATTLE FUTR JUN25 LCM5                                                     | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DCO              | CORP              | US        |          -18 | NC      | $-76943.56    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: GBP/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $4323.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/CLP settle 2025-06-09                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $49128.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: USD/CLP settle 2025-06-18                                           | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-29706.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR-8.10500 10/28/24 5Y CME                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -8369000000 | NC      | $21206.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                                      | NY HARB ULSD FUT SEP25 HOU5                                                     | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |            3 | NC      | $-4197.21     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/NOK settle 2025-06-18                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $3843.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CZK 3.34 01/06/22 10Y CME                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    -35700000 | NC      | $-192405.71   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SCCU AUTO RECEIVABLES TRUST 2024-1                                | SCCU AUTO RECEIVABLES TRUST 2024-1 A2 5.45% 12/15/2027 144A                     | CUSIP: 78436RAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       255047 | PA      | $255583.79    | 0.01%             | 2027-12-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| ITALIAN DERIVATIVES MARKET                                        | FTSE/MIB IDX FUT JUN25 STM5                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | IT        |           11 | NC      | $113272.03    | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES US                                                    | COTTON NO.2 FUTR DEC25 CTZ5                                                     | CUSIP: N/A<br>LEI: 5493004R83R1LVX2IL36       | N/A              | DCO              | CORP              | US        |           10 | NC      | $-4810.20     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/TWD settle 2025-08-20                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-84309.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: TRY/USD settle 2025-07-11                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $-15.56       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                               | NATWEST MARKETS PLC 5.0546% 08/12/2025 REGS                                     | CUSIP: N/A<br>LEI: RR3QWICWWIPCS8A4S074       | Long             | DBT              | CORP              | GB        |       400000 | PA      | $258275.75    | 0.01%             | 2025-08-12      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/HUF settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $445.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CLP 4.86000 10/28/24 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -2638400000 | NC      | $-32948.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: GBP/USD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $53843.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: PLN/USD settle 2025-06-06                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $141.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/BRL settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-2152.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: GBP/USD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $87.74        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: USD/SGD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-1691.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: HUF/USD settle 2025-08-22                                           | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $2285.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UST BILLS                                                         | UST BILLS 0% 07/22/2025                                                         | CUSIP: 912797QB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       200000 | PA      | $198827.67    | 0.01%             | 2025-07-22      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/KRW settle 2025-06-18                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-29686.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: NOK/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $28356.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: GBP/USD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $167.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                    | FX Forward: USD/CAD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-4537.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: EUR/USD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $37.37        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | ZCS BRL 12.71 01-19-23-01-04-27 CME                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |     -6800000 | NC      | $-3298.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                                     | 3MO EURO EURIBOR FUT JUN27 ERM7                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | GB        |          -19 | NC      | $-23646.87    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: USD/ILS settle 2025-06-18                                           | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-55678.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: USD/TRY settle 2025-06-12                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $412.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: ILS/USD settle 2025-06-04                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $14.01        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | ZCS BRL 12.26 01-11-23-01-04-27                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |     13600000 | NC      | $-32757.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/CNY settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-4222.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES                                   | SET50 FUTURE TRS EQUITY *BULLET* MYI                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |     21622467 | NC      | $5211.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                            | FX Forward: EUR/USD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | CH        |            1 | NC      | $531.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE-ICE FUTURES LTD                                               | UK NATURAL GAS FUTJUL25 FNN5                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |          -20 | NC      | $48806.44     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CLP 5.23000 06-14-23-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    967400000 | NC      | $28513.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: EUR/USD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $39.40        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/TWD settle 2025-07-16                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-19495.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS PLN 4.67000 03/31/25-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |      9100000 | NC      | $53623.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                                            | FX Forward: PLN/USD settle 2025-06-06                                           | CUSIP: N/A<br>LEI: KD3XUN7C6T14HNAYLU02       | N/A              | DFE              | CORP              | US        |            1 | NC      | $1229.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | ZCS BRL 11.025 09/25/23-01/02/29 CME                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    -15600000 | NC      | $158025.49    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CZK 4.42000 06/01/23 10Y CME                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    -83500000 | NC      | $-238006.72   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CLP 4.80000 08/08/24 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   1630800000 | NC      | $15466.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: USD/GBP settle 2025-06-03                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $-100.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: TRY/USD settle 2025-06-17                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $828.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE INC                                     | CFM CDX CDXHY S44 5Y T0 CDX                                                     | CUSIP: N/A<br>LEI: 5493000F4ZO33MV32P92       | N/A              | DCR              | CORP              | GB        |     14000000 | NC      | $229573.37    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: USD/CLP settle 2025-06-18                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $-26572.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | US 2YR NOTE (CBT) FUT SEP25 TUU5                                                | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |          176 | NC      | $59270.50     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: PEN/USD settle 2025-12-05                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $4614.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: SEK/USD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $16340.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EURONEXT PARIS MATIF                                              | RAPESEED EURO FUT MAY26 IJK6                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | FR        |           -1 | NC      | $-636.99      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                                     | 3MO EURO EURIBOR FUT DEC25 ERZ5                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | GB        |           14 | NC      | $13957.64     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: ILS/USD settle 2025-06-04                                           | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $47351.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | ZCS BRL 10.285 08/09/23 01/02/29 CME                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |     -7800000 | NC      | $107657.59    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: CNY/USD settle 2025-08-20                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $6618.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                              | UMBS 30YR 6.5% 07/01/2055 #TBA                                                  | CUSIP: 01F062671<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |      2400000 | PA      | $2462248.80   | 0.09%             | 2055-07-01      | Fixed         | 0.07%                 | No            |                  2 | On Loan: No      |
| EUROPEAN ENERGY DERIVATIVES EXCHANGE NV                           | ECX EMISSION FUT DEC25 MOZ25                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | NL        |            6 | NC      | $-19280.76    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FEDERAL HOME LN MTG CORP MULTICLASS MTG PARTN CTF GTD             | FEDERAL HOME LN MTG MLT CTF GT 5442 FB SOFR30A+97 08/25/2054                    | CUSIP: 3137HF4U6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-CBDO         | USGSE             | US        |       341523 | PA      | $341469.97    | 0.01%             | 2054-08-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS HUF 6.80000 04-16-24-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   -527500000 | NC      | $-40694.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | LIVE CATTLE FUTR AUG25 LCQ5                                                     | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DCO              | CORP              | US        |          -46 | NC      | $-92571.32    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/AUD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS ZAR 8.70000 08-22-23-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    -10600000 | NC      | $-27454.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | INF SWAP US IT 2.525 06/07/23 10Y LCH                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |       900000 | NC      | $-254.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/PLN settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $712.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS ZAR 8.64900 04-03-24-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    -37500000 | NC      | $-104358.65   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/TWD settle 2025-08-20                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-71536.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CLP 5.3 03/22/23-5Y CME                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   2179800000 | NC      | $58374.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | RFR GBP SONIO-4.25000 09-18-24-2Y LCH                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |      4000000 | NC      | $-34806.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: CLP/USD settle 2025-06-09                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-48180.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EURONEXT PARIS MATIF                                              | RAPESEED EURO FUT AUG25 IJQ5                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | FR        |           -4 | NC      | $-60.44       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: GBP/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $2971.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS HUF 5.82500 07/17/24 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    605500000 | NC      | $29493.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | LEAN HOGS FUTURE JUN25 LHM5                                                     | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DCO              | CORP              | US        |          -20 | NC      | $3341.60      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/INR settle 2025-06-30                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-767.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS HUF 5.70000 07/18/24 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    606100000 | NC      | $20587.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERNATIONAL FLAVORS and FRAGRANCES INC                          | INTERNATIONAL FLAVS and FRAG INC 1.23% 10/01/2025 144A                          | CUSIP: 459506AN1<br>LEI: BZLRL03D3GPGMOGFO832 | Long             | DBT              | CORP              | US        |       124000 | PA      | $122460.23    | 0.00%             | 2025-10-01      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| ELEVANCE HEALTH INC                                               | ELEVANCE HEALTH INC 5.35% 10/15/2025                                            | CUSIP: 036752AV5<br>LEI: 8MYN82XMYQH89CTMTH67 | Long             | DBT              | CORP              | US        |       500000 | PA      | $500775.15    | 0.02%             | 2025-10-15      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                                      | NATURAL GAS FUT JUL25 NGN25                                                     | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |           10 | NC      | $-81030.06    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                               | FX Forward: USD/ZAR settle 2025-06-18                                           | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-4050.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR                | AERCAP IRELAND CAP LTD / AERCAP GLOBAL AVIATION TR 1.75% 01/30/2026             | CUSIP: 00774MAS4<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |       500000 | PA      | $489870.85    | 0.02%             | 2026-01-30      | Fixed         | 0.02%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: TWD/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $120216.74    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES                                   | KOSPI2 FUTURE TRS EQUITY *BULLET* MYI                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |      1250000 | NC      | $90.46        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                            | FX Forward: USD/NOK settle 2025-06-03                                           | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | CH        |            1 | NC      | $14311.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | BARCLAYS PLC 4.375% 01/12/2026                                                  | CUSIP: 06738EAN5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |       200000 | PA      | $199518.57    | 0.01%             | 2026-01-12      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CLP 4.96500 03-01-24-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -8817300000 | NC      | $-154445.18   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE                                         | CDX ITRAXX XOV43 5Y ICE                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCR              | CORP              | US        |       500000 | NC      | $558.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR-9.22000 10-02-23- 5Y CME                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  15865400000 | NC      | $45475.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | ZCS BRL 10.68925 04/04/24 01/29 CME                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    -55000000 | NC      | $656237.34    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | ZCS BRL 10.77 08-21-23-01-02-29 CME                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    -16700000 | NC      | $198926.30    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/PLN settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-2869.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUROPEAN ENERGY DERIVATIVES EXCHANGE NV                           | TTF NAT GAS F FUT JUL25 TZTN5                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | NL        |          -25 | NC      | $69187.01     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| COMMODITY EXCHANGE INC                                            | COPPER FUTURE JUL25 HGN5                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | US        |          -36 | NC      | $215305.88    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| SINGAPORE EXCHANGE DERIVATIVES CLEARING LTD                       | SGX IRON ORE 62% FUT JUL25 SCON5                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | SG        |          145 | NC      | $-45782.80    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                               | FX Forward: USD/PLN settle 2025-06-18                                           | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-15522.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: PLN/USD settle 2025-06-06                                           | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $20.97        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK CR CARD ISSUANCE TR                                      | CITIBANK CR CARD ISSUANCE TR 2017-A6 A6 TSFR1M+88.448 05/14/2029                | CUSIP: 17305EGE9<br>LEI: R8AG6FXVDQAMDKCSJJ64 | Long             | ABS-CBDO         | CORP              | US        |       900000 | PA      | $908258.22    | 0.03%             | 2029-05-14      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: USD/BRL settle 2025-06-18                                           | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-10077.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/CNY settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-4164.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | LEAN HOGS FUTURE OCT25 LHV5                                                     | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DCO              | CORP              | US        |           -7 | NC      | $-16116.94    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: TRY/USD settle 2025-06-12                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $1090.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CBOE FUTURES EXCHANGE                                             | CBOE VIX FUTURE AUG25 UXQ5                                                      | CUSIP: N/A<br>LEI: 254900O9GJPIWCP8RH13       | N/A              | DE               | CORP              | US        |            9 | NC      | $-169.64      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: NZD/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $52739.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EURONEXT PARIS-MONEP                                              | CAC40 10 EURO FUT JUN25 CFM5                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | FR        |          -33 | NC      | $14009.62     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: CAD/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $15246.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WESTINGHOUSE AIR BRAKE TECH CORP                                  | WESTINGHOUSE AIR BRAKE TECH CORP 3.2% 06/15/2025                                | CUSIP: 960386AQ3<br>LEI: 06BTX5UWZD0GQ5N5Y745 | Long             | DBT              | CORP              | US        |       800000 | PA      | $799080.94    | 0.03%             | 2025-06-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: EUR/USD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $61.92        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/ZAR settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-25645.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | CORN FUTURE MAY26 C K6                                                          | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |          -11 | NC      | $7935.77      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | SOYBEAN FUTURE SEP25 S U5                                                       | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |           -4 | NC      | $3927.75      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR-7.88500 04/08/24 5Y CME                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -6562100000 | NC      | $24031.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR-7.53000 01-02-24-5Y CME                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   -833600000 | NC      | $-9497.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                                     | ICE 3MTH SONIA FU FUT DEC25 SFIZ5                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | GB        |            2 | NC      | $669.72       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UST BILLS                                                         | UST BILLS 0% 07/24/2025                                                         | CUSIP: 912797PF8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       100000 | PA      | $99389.43     | 0.00%             | 2025-07-24      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                                     | 3MO EURO EURIBOR FUT DEC26 ERZ6                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | GB        |          -64 | NC      | $-78063.74    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | SOYBEAN MEAL FUTR SEP25 SMU5                                                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |           -8 | NC      | $4250.56      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: USD/CNY settle 2025-06-18                                           | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-10235.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR-7.80500 10/22/24 5Y CME                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -3666600000 | NC      | $19020.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                               | FX Forward: HUF/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |            1 | NC      | $20694.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FING 2022-3 LLC                                  | ENTERPRISE FLEET FING 2022-3 LLC 4.38% 07/20/2029 144A                          | CUSIP: 29374FAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       478125 | PA      | $477549.54    | 0.02%             | 2029-07-20      | Fixed         | 0.04%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: USD/AUD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $16.43        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: USD/EUR settle 2025-06-03                                           | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $717.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | US 10YR ULTRA FUT SEP25 UXYU5                                                   | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |          -28 | NC      | $-20773.71    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS ZAR 8.29100 07/27/23 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |     26300000 | NC      | $51710.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                            | FX Forward: NOK/USD settle 2025-07-02                                           | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | CH        |            1 | NC      | $-14314.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: TWD/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-205443.65   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: MXN/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $44683.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                                     | ICE 3MTH SONIA FU FUT SEP25 SFIU5                                               | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | GB        |            6 | NC      | $-110.10      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS ZAR 8.22000 08/30/23 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |     60200000 | NC      | $112372.10    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | SOYBEAN OIL FUTR DEC25 BOZ5                                                     | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |           67 | NC      | $70565.92     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | CHF CURRENCY FUT JUN25 SFM5                                                     | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DO               | CORP              | US        |         -328 | NC      | $-2593592.26  | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | US 5YR NOTE (CBT) FUT SEP25 FVU5                                                | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |          152 | NC      | $87663.92     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: TRY/USD settle 2025-06-12                                           | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $207.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: EUR/USD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-48.22       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                  | FX Forward: USD/INR settle 2025-06-30                                           | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | DE        |            1 | NC      | $-1050.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | IRS CNY 1.50000 09/17/25 5Y LCH                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |     46000000 | NC      | $-7732.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ILLUMINA INC                                                      | ILLUMINA INC 5.8% 12/12/2025                                                    | CUSIP: 452327AN9<br>LEI: SQ95QG8SR5Q56LSNF682 | Long             | DBT              | CORP              | US        |       622000 | PA      | $624073.61    | 0.02%             | 2025-12-12      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: HUF/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $4091.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | ZCS BRL 13.165 01/04/23-01/04/27 CME                                            | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |     -7000000 | NC      | $-9618.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NAT MTG ASSN HECM MBS REMIC PASS THRU SECS             | GOVERNMENT NATIONAL MORTGAGE 2024-H12 FC SOFR30A+90 07/20/2074                  | CUSIP: 38383KZF2<br>LEI: N/A                  | Long             | ABS-CBDO         | USGA              | US        |       400867 | PA      | $399658.53    | 0.01%             | 2074-07-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/KRW settle 2025-07-16                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $1337.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CLP 4.87000 06/14/24 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   1249600000 | NC      | $15398.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CLP 4.81000 02-16-24-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -5190500000 | NC      | $-61101.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: USD/TRY settle 2025-06-16                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $-684.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR-8.12000 04/10/24-5Y CME                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -2604400000 | NC      | $3728.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: INR/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-3585.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS PLN 4.51300 11-25-24-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |      8000000 | NC      | $89416.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CLP 5.53 08/22/23 5Y CME                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -1578900000 | NC      | $-64493.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR-7.65000 10/18/24 5Y CME                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -2740400000 | NC      | $17910.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SINGAPORE EXCHANGE DERIVATIVES CLEARING LTD                       | FTSE CHINA A50 FUT JUN25 XUM5                                                   | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | SG        |          473 | NC      | $-20185.50    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CZK 4.35250 08/23-5Y CME                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   -113200000 | NC      | $-363048.11   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| TRILLIUM CREDIT CARD TRUST II                                     | TRILLIUM CREDIT CARD TRUST II SOFR+85 08/26/2028 144A                           | CUSIP: 89621ABT5<br>LEI: 549300P7QN1SDIOQVL28 | Long             | ABS-CBDO         | CORP              | CA        |      1200000 | PA      | $1200987.72   | 0.04%             | 2028-08-26      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: SGD/USD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-1142.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CLP 5.38000 03-24-23-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   5416600000 | NC      | $159489.58    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                  | FX Forward: SGD/USD settle 2025-07-02                                           | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | DE        |            1 | NC      | $20.34        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: CAD/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $106017.13    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: EUR/USD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $132.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MF1 2021-FL7 A                                                    | MF1 2021-FL7 A TSFR1M+119.448 10/16/2036 144A                                   | CUSIP: 55284AAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       291555 | PA      | $291181.92    | 0.01%             | 2036-10-16      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: USD/SGD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-149.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: PLN/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $5331.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: ZAR/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $24009.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | IRS CLP 4.43000 09-11-24-5Y CME                                                 | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |   3785000000 | NC      | $-25615.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS HUF 6.08000 04-24-25-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   1149100000 | NC      | $-5123.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GM FINANCIAL AUTOMOBILE LEASING TRUST 2025-1                      | GM FINANCIAL AUTOMOBILE LEASING TRUST 2025-1 VAR 05/20/2027                     | CUSIP: 36271VAB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |       800000 | PA      | $800510.16    | 0.03%             | 2027-05-20      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                              | UMBS 15YR 5% 07/01/2040 #TBA                                                    | CUSIP: 01F050478<br>LEI: N/A                  | Short            | ABS-MBS          | USGA              | US        |      -600000 | PA      | $-600070.38   | -0.02%            | 2040-07-01      | Fixed         | 0.05%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: USD/MXN settle 2025-06-18                                           | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-105871.24   | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: INR/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-6828.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UST BILLS                                                         | UST BILLS 0% 08/21/2025                                                         | CUSIP: 912797PP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       115000 | PA      | $113918.04    | 0.00%             | 2025-08-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | EUR/NOR KRONE X-RAT FUT JUN25 ENM5                                              | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DFE              | CORP              | US        |           39 | NC      | $-64072.02    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | SOYBEAN MEAL FUTR DEC25 SMZ5                                                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |          -45 | NC      | $7079.46      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MADISON PARK FUNDING XLIX LTD                                     | MADISON PARK FUNDING XLIX LTD AR TSFR3M+105 10/19/2034 144A                     | CUSIP: 55820VAL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       300000 | PA      | $299592.00    | 0.01%             | 2034-10-19      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/THB settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-53043.97    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS ZAR 8.64500 04-02-24-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    -52000000 | NC      | $-144318.26   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR-7.95000 04-05-24-5Y CME                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -4464700000 | NC      | $13508.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR-7.52000 03-01-24-5Y CME                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        | -10983300000 | NC      | $77153.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | PIMCO CME SWAP 01/04/27                                                         | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |    -18500000 | NC      | $-52555.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS ZAR 8.3700 07-20-23-5Y CME                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    104100000 | NC      | $221887.21    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: TRY/USD settle 2025-06-12                                           | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $645.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: USD/EUR settle 2025-06-03                                           | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $285.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/BRL settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-199105.20   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/TWD settle 2025-07-16                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-20548.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | OIS COP IBR-9.19000 10/13/23 5Y CME                                             | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |  -8320000000 | NC      | $-59879.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS ZAR 8.30500 07/27/23 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |     46400000 | NC      | $93121.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | PIMCO CME SWAP 01/04/2027                                                       | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |    -20200000 | NC      | $-24787.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | S and P MID 400 EMINI FUT JUN25 FAM5                                            | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DE               | CORP              | US        |           -7 | NC      | $-53861.90    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | CORN FUTURE SEP25 C U5                                                          | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |          -90 | NC      | $52650.52     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: USD/ILS settle 2025-06-04                                           | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-232.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                                     | 3MO EURO EURIBOR FUT MAR27 ERH7                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | GB        |          -53 | NC      | $-65116.66    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE - AGRICULTURAL PRODUCTS DIVISION               | COFF ROBUSTA 10TN FUT NOV25 DFX5                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |            1 | NC      | $-8101.25     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/SGD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-54463.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                    | FX Forward: JPY/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-7391.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                    | FX Forward: USD/SEK settle 2025-06-18                                           | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | N/A              | DFE              | CORP              | US        |            1 | NC      | $1790.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR-7.40000 08/09/24 5Y CME                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   4681400000 | NC      | $-37700.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON METAL EXCHANGE                                             | LME ZINC FUTURE AUG25 LXQ5                                                      | CUSIP: N/A<br>LEI: 213800NB8G5VRT1DXC91       | N/A              | DCO              | CORP              | GB        |            5 | NC      | $-6993.40     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | 3 MONTH SOFR FUT JUN26 SFRM6                                                    | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DIR              | CORP              | US        |           11 | NC      | $3970.23      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UST BILLS                                                         | UST BILLS 0% 07/17/2025                                                         | CUSIP: 912797PE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       100000 | PA      | $99472.21     | 0.00%             | 2025-07-17      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ICE-ICE FUTURES LTD                                               | WTI CRUDE FUTURE SEP25 ENU5                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |            2 | NC      | $597.74       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | ZCS BRL 10.245 07/13/23 01/02/29 CME                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |     -7900000 | NC      | $123178.84    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RABOBANK NEDERLAND NEW YORK BRH                                   | RABOBANK NEDERLAND NY BRH FRN SOFRINDX+62 08/28/2026                            | CUSIP: 21688ABG6<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | US        |       700000 | PA      | $702247.00    | 0.02%             | 2026-08-28      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS PLN 4.28250 08/08/24 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |     10400000 | NC      | $68162.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR-8.18750 11-15-23-5Y CME                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   6317200000 | NC      | $-2330.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MEFF RENTA VAR EXCH (MADRID)                                      | IBEX 35 INDX FUTR JUN25 IBM5                                                    | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | ES        |            5 | NC      | $25971.66     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | RFR GBP SONIO-4.00000 09-17-25-10Y LCH                                          | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |      4100000 | NC      | $-3458.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: USD/HUF settle 2025-06-18                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $356.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                  | FX Forward: ZAR/USD settle 2025-06-23                                           | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | DE        |            1 | NC      | $296.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                | ENERGY TRANSFER LP 5.95% 12/01/2025                                             | CUSIP: 86765BAS8<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       500000 | PA      | $501383.54    | 0.02%             | 2025-12-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | ZCS BRL 10.9629 04-11-24-01-02-29 CME                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    -26100000 | NC      | $268842.52    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: MXN/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $6192.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                            | FX Forward: USD/SEK settle 2025-06-03                                           | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DFE              | CORP              | CH        |            1 | NC      | $-8795.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: USD/NZD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $-3965.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TRALEE CLO VI LTD                                                 | TRALEE CLO VI LTD A1RR TSFR3M+122 10/25/2032 144A                               | CUSIP: 89289EBL7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       290843 | PA      | $290675.58    | 0.01%             | 2032-10-25      | Variable      | 0.06%                 | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CLP 5.29000 06-13-23-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |    953800000 | NC      | $30427.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                  | FX Forward: USD/KRW settle 2025-06-18                                           | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | DE        |            1 | NC      | $-28492.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EURONEXT PARIS MATIF                                              | MILL WHEAT EURO FUT SEP25 CAU5                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | FR        |           31 | NC      | $-1823.31     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: JPY/USD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $-3367.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR-7.96000 09/01/23 5Y CME                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -8428900000 | NC      | $-30058.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OPTIONS EXCHANGE                                    | S and P 500 INDX PUT 3900 05/15/2026                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | US        |           82 | NC      | $367360.00    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: USD/SEK settle 2025-06-03                                           | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-518.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: TRY/USD settle 2025-06-16                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $511.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                                     | FTSE 100 IDX FUT JUN25 Z M5                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | GB        |            5 | NC      | $-1032.98     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: USD/TWD settle 2025-08-20                                           | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-44221.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON METAL EXCHANGE                                             | LME ZINC FUTURE JUL25 LXN5                                                      | CUSIP: N/A<br>LEI: 213800NB8G5VRT1DXC91       | N/A              | DCO              | CORP              | GB        |           -9 | NC      | $-6761.25     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | ZCS BRL 12.16 01-18-23-01-04-27 CME                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |      6500000 | NC      | $-19117.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON CLEARING HOUSE                                             | OIS SGD SIBSORA 2.50000 09/17/25 5Y LCH                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | GB        |     16100000 | NC      | $216577.09    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| COMMODITY EXCHANGE INC                                            | GOLD 100 OZ FUTR AUG25 GCQ5                                                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | US        |           48 | NC      | $192666.84    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: USD/KRW settle 2025-06-18                                           | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-51306.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CLP 5.65000 06/01/23 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |  -1071300000 | NC      | $-47371.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/IDR settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-14211.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, N.A.                                             | FX Forward: USD/AUD settle 2025-06-03                                           | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DFE              | CORP              | US        |            1 | NC      | $434.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS PLN 4.69500 03-28-25-5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |     16700000 | NC      | $102925.05    | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG                                                  | FX Forward: USD/KRW settle 2025-06-12                                           | CUSIP: N/A<br>LEI: 7LTWFZYICNSX8D621K86       | N/A              | DFE              | CORP              | DE        |            1 | NC      | $-8967.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                               | FX Forward: USD/GBP settle 2025-06-03                                           | CUSIP: N/A<br>LEI: 571474TGEMMWANRLN572       | N/A              | DFE              | CORP              | US        |            1 | NC      | $21053.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/TWD settle 2025-07-16                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-22823.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | SOYBEAN MEAL FUTR AUG25 SMQ5                                                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |          -11 | NC      | $6443.27      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | E-MINI RUSS 2000 FUT JUN25 RTYM5                                                | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DE               | CORP              | US        |          -71 | NC      | $33782.85     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| HONG KONG FUTURES EXCHANGE                                        | HSCEI FUTURES JUN25 HCM5                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | HK        |          -21 | NC      | $2087.25      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | SOYBEAN OIL FUTR DEC25 BOZ5                                                     | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |          -16 | NC      | $2439.06      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: HUF/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $11127.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/PHP settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $2835.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FEDERAL NAT MTG ASN GTD REM PA                                    | FANNIE MAE REMICS SOFR30A+97 08/25/2054                                         | CUSIP: 3136BSSC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | USGSE             | US        |       288980 | PA      | $288647.52    | 0.01%             | 2054-08-25      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE                                      | GASOLINE RBOB FUT SEP25 XBU5                                                    | CUSIP: N/A<br>LEI: 5493008GFNDTXFPHWI47       | N/A              | DCO              | CORP              | US        |            3 | NC      | $-7649.61     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: USD/TWD settle 2025-07-16                                           | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COX COMMUNICATIONS INC                                            | COX COMMUNICATIONS INC 3.35% 09/15/2026 144A                                    | CUSIP: 224044CG0<br>LEI: 5493001NEDZNIFRP2R92 | Long             | DBT              | CORP              | US        |      1000000 | PA      | $981165.79    | 0.03%             | 2026-09-15      | Fixed         | 0.03%                 | No            |                  2 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: USD/IDR settle 2025-06-18                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-58522.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                    | FX Forward: USD/CHF settle 2025-06-18                                           | CUSIP: N/A<br>LEI: IGJSJL3JD5P30I6NJZ34       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-722.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: USD/PLN settle 2025-06-06                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $-6315.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: KRW/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $36150.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/COP settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-83966.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | WHEAT FUTURE(CBT) MAY26 W K6                                                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |           -1 | NC      | $-489.93      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CITIBANK, N.A.                                                    | FX Forward: PHP/USD settle 2025-06-17                                           | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DFE              | CORP              | US        |            1 | NC      | $88.48        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE-ICE FUTURES LTD                                               | LOW SU GASOIL G FUT JUL25 QSN5                                                  | CUSIP: N/A<br>LEI: N/A                        | N/A              | DCO              | CORP              | GB        |           -9 | NC      | $-11336.11    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG AUSTRALIA BRANCH                                           | UBS AG AUSTRALIA BRH FRN 3AUS+87 07/30/2025 REGS                                | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | Long             | DBT              | CORP              | AU        |      1000000 | PA      | $645006.10    | 0.02%             | 2025-07-30      | Variable      | 0.05%                 | No            |                  2 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | OIS COP IBR-7.37000 08/08/24 5Y CME                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   7116300000 | NC      | $-59062.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUREX DEUTSCHLAND                                                 | EURO-SCHATZ FUT JUN25 DUM5                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | DE        |         -163 | NC      | $-53575.38    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA/FHLG TBA ISSUER                                              | UMBS 30YR 6% 06/01/2055 #TBA                                                    | CUSIP: 01F060667<br>LEI: N/A                  | Long             | ABS-MBS          | USGA              | US        |     15200000 | PA      | $15352594.32  | 0.54%             | 2025-06-01      | Fixed         | 0.06%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCH INC                                       | SA RAND CURR(CME) FUT JUN25 RAM5                                                | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DFE              | CORP              | US        |          107 | NC      | $183420.61    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CMEC CHICAGO MERCANTILE EXCH                                      | IRS CLP 4.80000 06/18/25 5Y CME                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              | CORP              | US        |   2368600000 | NC      | $13262.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UST BILLS                                                         | UST BILLS 0% 09/23/2025                                                         | CUSIP: 912797QV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       200000 | PA      | $197347.53    | 0.01%             | 2025-09-23      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK NA NEW YORK NY                                | FX Forward: USD/NZD settle 2025-07-02                                           | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DFE              | CORP              | US        |            1 | NC      | $-4679.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                            | WHEAT FUTURE(CBT) JUL25 W N5                                                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DCO              | CORP              | US        |            1 | NC      | $-4477.43     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: USD/HUF settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-4279.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: CAD/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $14256.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: CZK/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $756.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                                 | FX Forward: USD/MYR settle 2025-06-18                                           | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DFE              | CORP              | GB        |            1 | NC      | $5606.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE FINANCIALS                                     | 3MO EURO EURIBOR FUT MAR27 ERH7                                                 | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | GB        |           15 | NC      | $18432.98     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SYDNEY FUTURES EXCHANGE LTD                                       | SPI 200 FUTURES JUN25 XPM5                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               | CORP              | AU        |           -4 | NC      | $-28556.08    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                                       | FX Forward: TWD/USD settle 2025-06-18                                           | CUSIP: N/A<br>LEI: R0MUWSFPU8MPRO8K5P83       | N/A              | DFE              | CORP              | FR        |            1 | NC      | $-16033.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON METAL EXCHANGE                                             | LME PRI ALUM FUTR AUG25 LAQ25                                                   | CUSIP: N/A<br>LEI: 213800NB8G5VRT1DXC91       | N/A              | DCO              | CORP              | GB        |          -19 | NC      | $-24875.75    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2025-06-30

**Name of Applicant:** Heather Bonner

**Signature:** Heather Bonner

**Name of Signer:** Heather Bonner

**Title:** President and Treasurer