# EDGAR Filing Document

**Accession Number:** 0000822671
**File Stem:** 0000869392-23-000436
**Filing Date:** 2023-2
**Character Count:** 118053
**Document Hash:** 5db426042b44363058ffb8bd1e60b83f
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000869392-23-000436.hdr.sgml**: 20230224

**ACCESSION NUMBER**: 0000869392-23-000436

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230224

**DATE AS OF CHANGE**: 20230224

**PERIOD START**: 20221231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PUTNAM VARIABLE TRUST
- **CENTRAL INDEX KEY:** 0000822671
- **IRS NUMBER:** 046649095
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05346
- **FILM NUMBER:** 23668213

**BUSINESS ADDRESS:**
- **STREET 1:** 100 FEDERAL STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02110
- **BUSINESS PHONE:** 6172921000

**MAIL ADDRESS:**
- **STREET 1:** 100 FEDERAL STREET
- **CITY:** BOSTON
- **STATE:** MA
- **ZIP:** 02110

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** PUTNAM CAPITAL MANAGER TRUST /MA/
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### Putnam VT Multi-Asset Absolute Return Fund (Series ID: S000032103)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000099977 | Class IA     |  |
| C000099978 | Class IB     |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Putnam Variable Trust

- **b. Investment Company Act file number:** 811-05346

- **c. CIK number of Registrant:** 0000822671

- **d. LEI of Registrant:** 549300TBVD21LYBGBD46

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

  - **Street Address 1:** 100 FEDERAL STREET

  - **City:** BOSTON

  - **State:** MA

  - **Foreign country:** US

  - **Zip / Postal Code:** 02110

  - **Telephone number:** 1-800-225-1581

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

- **a. Name of Series:** Putnam VT Multi-Asset Absolute Return Fund

- **b. EDGAR series identifier (if any):** S000032103

- **c. LEI of Series:** 549300FJ7VYUU81RIO14

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $38463155.64

**Total Liabilities:** $9445041.97

**Net Assets:** $29018113.67

**Cash Not Reported:** $18860.01

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -15.8 | **1-Year:** 347.35 | **5-Year:** 460.37 | **10-Year:** 322.73 | **30-Year:** -1.81

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

- **3-Month:** 0.04 | **1-Year:** 2.14 | **5-Year:** 0.11 | **10-Year:** 0 | **30-Year:** 0

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000099977 | 0.32%                | 0.43%                | 1.19%                |
| Class ID C000099978 | 0.43%                | 0.44%                | 1.10%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $29920.30                | $-127016.41                                |
| Month 2  | $-2255.17                | $598694.13                                 |
| Month 3  | $-25979.17               | $265431.73                                 |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-4              | ASSET BACKED SECURITY                 | CUSIP: 35563PMX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29000 | PA      | $24669.44     | 0.09%             | 2059-02-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| UBS-BARCLAYS COMMERCIAL MORTGAGE TRUST 2012-C2                 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 90269CAV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17000 | PA      | $0.17         | 0.00%             | 2063-05-10      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2006-LDP9 | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46629PAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8028 | PA      | $7482.43      | 0.03%             | 2047-05-15      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES TRUST 2014-GC24                         | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 36253GAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27000 | PA      | $17602.06     | 0.06%             | 2047-09-10      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| WFRBS COMMERCIAL MORTGAGE TRUST 2011-C3                        | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 92935VAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30000 | PA      | $0.30         | 0.00%             | 2044-03-15      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C14            | COMMERCIAL MORTGAGE BACKED SECURITIES | CUSIP: 46640LAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16000 | PA      | $13451.63     | 0.05%             | 2046-08-15      | Variable      | 4.55%                 | No            |                  2 | On Loan: No      |
| VALE SA                                                        | COMMON STOCK - ADR                    | CUSIP: 91912E105<br>LEI: 254900SMTWBX7RU2SR20 | Long             | EC               | CORP              | BR        |      4393 | NS      | $74549.21     | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| TAIWAN SEMICONDUCTOR MANUFACTURING CO LTD                      | COMMON STOCK - ADR                    | CUSIP: 874039100<br>LEI: 549300KB6NK5SBD14S87 | Long             | EC               | CORP              | TW        |      1957 | NS      | $145776.93    | 0.50%             |  |  |  | No            |                  1 | On Loan: No      |
| CHL MORTGAGE PASS-THROUGH TRUST 2005-3                         | CORP CMO                              | CUSIP: 12669GTP6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      4340 | PA      | $3746.38      | 0.01%             | 2035-04-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                       | CORP CMO                              | CUSIP: 30711XGQ1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |     10000 | PA      | $10845.67     | 0.04%             | 2029-09-25      | Floating      | 9.89%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE CONNECTICUT AVENUE SECURITIES                       | CORP CMO                              | CUSIP: 30711XCH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-CBDO         | CORP              | US        |     59437 | PA      | $65573.50     | 0.23%             | 2028-09-25      | Floating      | 16.64%                | No            |                  2 | On Loan: No      |
| WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2004-AR12 TRUST | CORP CMO                              | CUSIP: 92922FZV3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      9174 | PA      | $8364.65      | 0.03%             | 2044-10-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2007-AR5                         | CORP CMO                              | CUSIP: 17311LAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     17881 | PA      | $15124.17     | 0.05%             | 2037-04-25      | Variable      | 3.54%                 | No            |                  2 | On Loan: No      |
| STATION PLACE SECURITIZATION TRUST SERIES 2022-3               | CORP CMO                              | CUSIP: 85773LAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     15000 | PA      | $15000.00     | 0.05%             | 2023-05-29      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2022-R02                   | CORP CMO                              | CUSIP: 20754BAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     22000 | PA      | $20741.89     | 0.07%             | 2042-01-25      | Floating      | 6.93%                 | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2020-R01                   | CORP CMO                              | CUSIP: 20754CAF6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     10000 | PA      | $9315.31      | 0.03%             | 2040-01-25      | Floating      | 7.64%                 | No            |                  2 | On Loan: No      |
| 1SHARPE MORTGAGE TRUST 2020-1                                  | CORP CMO                              | CUSIP: 68257LAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      9091 | PA      | $8977.08      | 0.03%             | 2024-07-25      | Floating      | 3.02%                 | No            |                  2 | On Loan: No      |
| PETROBRAS GLOBAL FINANCE BV                                    | CORP. NOTE                            | CUSIP: 71647NAM1<br>LEI: 549300FNENFFSMO3GT38 | Long             | DBT              | CORP              | NL        |     21000 | PA      | $21082.66     | 0.07%             | 2024-03-17      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                                            | CORPORATE BONDS                       | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     30000 | PA      | $23557.41     | 0.08%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                                   | CORPORATE BONDS                       | CUSIP: 29250NAL9<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |     20000 | PA      | $19228.21     | 0.07%             | 2026-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE                                    | EQUITY INDEX FUTURE                   | CUSIP: N/A<br>LEI: SNZ2OJLFK8MNNCLQOF39       | N/A              | DE               | CORP              | US        |        10 | NC      | $1930500.00   | 6.65%             |  |  |  | No            |                  1 | On Loan: No      |
| UTILITIES SELECT SECTOR SPDR FUND                              | EXCHANGE TRADED FUND                  | CUSIP: 81369Y886<br>LEI: 549300ERQDM80PRYUH21 | Long             | EC               | RF                | US        |      6199 | NS      | $437029.50    | 1.51%             |  |  |  | No            |                  1 | On Loan: —       |
| ENERGY SELECT SECTOR SPDR FUND                                 | EXCHANGE TRADED FUND                  | CUSIP: 81369Y506<br>LEI: 54930064FLK0RD4TRU75 | Long             | EC               | RF                | US        |      8814 | NS      | $770960.58    | 2.66%             |  |  |  | No            |                  1 | On Loan: No      |
| HEALTH CARE SELECT SECTOR SPDR FUND                            | EXCHANGE TRADED FUND                  | CUSIP: 81369Y209<br>LEI: 549300EJNY3KKJHPOY44 | Long             | EC               | RF                | US        |      3118 | NS      | $423580.30    | 1.46%             |  |  |  | No            |                  1 | On Loan: —       |
| REAL ESTATE SELECT SECTOR SPDR FUND                            | EXCHANGE TRADED FUND                  | CUSIP: 81369Y860<br>LEI: 549300SPMSTD3BRHL041 | Long             | EC               | RF                | US        |     11272 | NS      | $416274.96    | 1.43%             |  |  |  | No            |                  1 | On Loan: —       |
| CONSUMER STAPLES SELECT SECTOR SPDR FUND                       | EXCHANGE TRADED FUND                  | CUSIP: 81369Y308<br>LEI: 549300Z52QUV3UXHLA68 | Long             | EC               | RF                | US        |      5691 | NS      | $424264.05    | 1.46%             |  |  |  | No            |                  1 | On Loan: —       |
| FREDDIE MAC REMICS                                             | FHLMC CMO IO                          | CUSIP: 3137FCPP3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     21987 | PA      | $2478.33      | 0.01%             | 2047-11-15      | Floating      | 1.88%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                              | FHLMC CMO IO                          | CUSIP: 3137FRN64<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     53379 | PA      | $12342.73     | 0.04%             | 2050-03-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                             | FHLMC CMO IO                          | CUSIP: 3137FG2T1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13321 | PA      | $1911.95      | 0.01%             | 2048-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                             | FHLMC CMO IO                          | CUSIP: 3137B1HN5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     13236 | PA      | $1968.08      | 0.01%             | 2043-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                              | FNMA CMO IO                           | CUSIP: 3136AU4G3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     58862 | PA      | $5063.34      | 0.02%             | 2047-02-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                              | FNMA CMO IO                           | CUSIP: 3136ANRR0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     79161 | PA      | $12860.42     | 0.04%             | 2045-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                              | FNMA CMO IO                           | CUSIP: 3136AX4V4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    154403 | PA      | $10363.83     | 0.04%             | 2047-10-25      | Floating      | 1.36%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                              | FNMA CMO IO                           | CUSIP: 3136ATSW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     36807 | PA      | $2788.66      | 0.01%             | 2046-09-25      | Floating      | 1.71%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                              | FNMA CMO IO                           | CUSIP: 3136AHZJ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     26647 | PA      | $3079.88      | 0.01%             | 2044-01-25      | Floating      | 2.21%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                              | FNMA CMO IO                           | CUSIP: 3136B0RS7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     42845 | PA      | $4780.79      | 0.02%             | 2048-01-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                              | FNMA CMO IO                           | CUSIP: 3136AWLG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40637 | PA      | $7909.39      | 0.03%             | 2047-05-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                              | FNMA CMO IO                           | CUSIP: 3136AUTB7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     55447 | PA      | $4836.67      | 0.02%             | 2046-12-25      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                              | FNMA CMO IO                           | CUSIP: 3136ARFT0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     23946 | PA      | $4233.66      | 0.01%             | 2046-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                              | FNMA CMO IO                           | CUSIP: 3136ADQT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     21616 | PA      | $605.58       | 0.00%             | 2042-02-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                              | FNMA CMO IO                           | CUSIP: 3136AA5E1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     17023 | PA      | $2219.29      | 0.01%             | 2043-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                              | FNMA CMO IO                           | CUSIP: 3136A97A0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      6305 | PA      | $319.72       | 0.00%             | 2042-11-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                              | FNMA CMO IO                           | CUSIP: 3136ADFW4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      3306 | PA      | $24.93        | 0.00%             | 2041-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                              | FNMA CMO IO                           | CUSIP: 3136B84H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     40830 | PA      | $4083.05      | 0.01%             | 2050-03-25      | Floating      | 1.66%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS                                              | FNMA CMO IO                           | CUSIP: 3136BAR55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     81384 | PA      | $15900.40     | 0.05%             | 2050-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                | FNMA TBA                              | CUSIP: 01F050619<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $2958282.60   | 10.19%            | 2053-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                | FNMA TBA                              | CUSIP: 01F022618<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $847812.50    | 2.92%             | 2053-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                | FNMA TBA                              | CUSIP: 01F020612<br>LEI: B1V7KEBTPIMZEU4LTD58 | Short            | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $816218.80    | 2.81%             | 2053-01-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                | FNMA TBA                              | CUSIP: 01F052615<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $1002969.20   | 3.46%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE POOL                                                | FNMA TBA                              | CUSIP: 01F042616<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1000000 | PA      | $963906.20    | 3.32%             | 2053-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA CMO IO                           | CUSIP: 38377XUL4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        69 | PA      | $5.40         | 0.00%             | 2040-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA CMO IO                           | CUSIP: 38376WP82<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      5152 | PA      | $978.35       | 0.00%             | 2040-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA CMO IO                           | CUSIP: 38382LNV9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    188028 | PA      | $25090.41     | 0.09%             | 2050-11-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA CMO IO                           | CUSIP: 38382DWA3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     90900 | PA      | $9529.26      | 0.03%             | 2050-03-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS                                             | GNMA CMO IO                           | CUSIP: 38382AAK1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGA              | US        |     27369 | PA      | $2391.24      | 0.01%             | 2049-08-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA CMO IO                           | CUSIP: 38375AX25<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20000 | PA      | $4187.70      | 0.01%             | 2040-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA CMO IO                           | CUSIP: 38378WY49<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9202 | PA      | $844.38       | 0.00%             | 2043-09-20      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA CMO IO                           | CUSIP: 38376VHX8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14063 | PA      | $2862.81      | 0.01%             | 2040-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA CMO IO                           | CUSIP: 38375AXQ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14564 | PA      | $3030.59      | 0.01%             | 2039-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA CMO IO                           | CUSIP: 38378T7Q7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      4102 | PA      | $300.70       | 0.00%             | 2043-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA CMO IO                           | CUSIP: 38379JVV0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     15611 | PA      | $1866.06      | 0.01%             | 2045-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA CMO IO                           | CUSIP: 38379LL46<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     30274 | PA      | $5482.22      | 0.02%             | 2045-04-16      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA CMO IO                           | CUSIP: 38379HDV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     14089 | PA      | $2182.60      | 0.01%             | 2044-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA CMO IO                           | CUSIP: 38378TJA9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      9089 | PA      | $369.28       | 0.00%             | 2039-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA CMO IO                           | CUSIP: 38375UVZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    117811 | PA      | $4233.43      | 0.01%             | 2065-03-20      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA CMO IO                           | CUSIP: 38376RAF3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     94794 | PA      | $4531.18      | 0.02%             | 2065-04-20      | Variable      | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA CMO IO                           | CUSIP: 38376REB8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55477 | PA      | $2441.01      | 0.01%             | 2065-07-20      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA CMO IO                           | CUSIP: 38376RFV3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    102004 | PA      | $4294.39      | 0.01%             | 2065-07-20      | Variable      | 1.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA CMO IO                           | CUSIP: 38376RFK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     97999 | PA      | $5164.56      | 0.02%             | 2065-08-20      | Variable      | 0.80%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA CMO IO                           | CUSIP: 38376RDF0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    161275 | PA      | $8015.38      | 0.03%             | 2065-06-20      | Variable      | 1.93%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA CMO IO                           | CUSIP: 38376RHY5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     53205 | PA      | $903.36       | 0.00%             | 2065-09-20      | Variable      | 2.09%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA CMO IO                           | CUSIP: 38379N2B7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      3615 | PA      | $392.29       | 0.00%             | 2045-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA CMO IO                           | CUSIP: 38376RJD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    165394 | PA      | $5954.18      | 0.02%             | 2065-09-20      | Variable      | 1.55%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA CMO IO                           | CUSIP: 38376RJF4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    138925 | PA      | $5529.20      | 0.02%             | 2065-10-20      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA CMO IO                           | CUSIP: 38375UWD8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    114670 | PA      | $3147.01      | 0.01%             | 2065-04-20      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA CMO IO                           | CUSIP: 38379GTZ0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20786 | PA      | $4273.93      | 0.01%             | 2044-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA CMO IO                           | CUSIP: 38376RPS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    170378 | PA      | $9387.84      | 0.03%             | 2065-11-20      | Variable      | 0.71%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA CMO IO                           | CUSIP: 38375UQB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    111017 | PA      | $3559.75      | 0.01%             | 2064-10-20      | Variable      | 0.44%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA CMO IO                           | CUSIP: 38376RQP4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     55343 | PA      | $1246.97      | 0.00%             | 2066-02-20      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA CMO IO                           | CUSIP: 38376RNL6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     75598 | PA      | $2469.56      | 0.01%             | 2066-01-20      | Variable      | 0.02%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA CMO IO                           | CUSIP: 38379TLM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     28670 | PA      | $4772.54      | 0.02%             | 2045-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA CMO IO                           | CUSIP: 38378FJF8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37106 | PA      | $2202.99      | 0.01%             | 2039-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA CMO IO                           | CUSIP: 38379NRH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     21002 | PA      | $4110.12      | 0.01%             | 2039-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA CMO IO                           | CUSIP: 38379FFA2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     23799 | PA      | $4520.90      | 0.02%             | 2045-04-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA CMO IO                           | CUSIP: 38376RV78<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     61327 | PA      | $2172.72      | 0.01%             | 2067-02-20      | Variable      | 2.47%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA CMO IO                           | CUSIP: 38376RWK8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     51539 | PA      | $2237.69      | 0.01%             | 2066-06-20      | Variable      | 1.39%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA CMO IO                           | CUSIP: 38375UYG9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     81359 | PA      | $2498.06      | 0.01%             | 2067-01-20      | Variable      | 2.67%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA CMO IO                           | CUSIP: 38380BUS2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     44002 | PA      | $8708.06      | 0.03%             | 2046-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA CMO IO                           | CUSIP: 38377JYM9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     85553 | PA      | $5980.36      | 0.02%             | 2040-01-16      | Floating      | 2.35%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA CMO IO                           | CUSIP: 38380XYB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     46005 | PA      | $4216.37      | 0.01%             | 2048-07-20      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA CMO IO                           | CUSIP: 38379HFK6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74586 | PA      | $14337.73     | 0.05%             | 2044-12-16      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA CMO IO                           | CUSIP: 38380X5F0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     29134 | PA      | $2484.61      | 0.01%             | 2048-08-20      | Floating      | 1.85%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA CMO IO                           | CUSIP: 38379YFD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     12037 | PA      | $1442.60      | 0.00%             | 2045-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA CMO IO                           | CUSIP: 38380YYB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     17130 | PA      | $2615.61      | 0.01%             | 2045-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA CMO IO                           | CUSIP: 38380LAB9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     74188 | PA      | $4084.91      | 0.01%             | 2068-02-20      | Variable      | 2.10%                 | No            |                  2 | On Loan: No      |
| GNMA                                                           | GNMA CMO IO                           | CUSIP: 38381AY26<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    102710 | PA      | $18756.87     | 0.06%             | 2045-09-16      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ORIENTAL REPUBLIC OF URUGUAY                                   | GOVERNMENT BOND                       | CUSIP: 760942BB7<br>LEI: 549300RDR012H2V82H43 | Long             | DBT              | NUSS              | UY        |     70000 | PA      | $70487.37     | 0.24%             | 2027-10-27      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                                          | GOVERNMENT BOND                       | CUSIP: 91086QBE7<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     35000 | PA      | $31392.93     | 0.11%             | 2045-01-21      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                         | GOVERNMENT FUTURES                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |        56 | NC      | $6288625.00   | 21.67%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO BOARD OF TRADE                                         | GOVERNMENT FUTURES                    | CUSIP: N/A<br>LEI: 549300EX04Q2QBFQTQ27       | N/A              | DIR              | CORP              | US        |         9 | NC      | $1845703.13   | 6.36%             |  |  |  | No            |                  1 | On Loan: No      |
| LCH Limited                                                    | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    159000 | NC      | $8788.72      | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                    | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |     63000 | NC      | $163.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                    | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |     64000 | NC      | $1835.28      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                    | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    940000 | NC      | $2614.63      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                    | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    139000 | NC      | $3143.50      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                    | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   2746000 | NC      | $13826.25     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                    | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |     71000 | NC      | $3817.58      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                    | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    847000 | NC      | $10336.05     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                    | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    668000 | NC      | $2397.70      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                    | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    622000 | NC      | $15972.96     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                    | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    727000 | NC      | $2050.14      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                    | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |     41000 | NC      | $1212.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                    | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    269000 | NC      | $7825.94      | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                    | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    669000 | NC      | $3265.85      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                    | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    548000 | NC      | $2476.96      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                    | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    337000 | NC      | $144.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                    | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |   1333000 | NC      | $25406.98     | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                    | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    523000 | NC      | $28545.34     | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                    | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    100000 | NC      | $748.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                    | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |     60000 | NC      | $171.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                    | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |     40000 | NC      | $264.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Limited                                                    | Interest Rate Swap                    | CUSIP: N/A<br>LEI: F226TOH6YD6XJB17KS62       | N/A              | DIR              | CORP              | US        |    236000 | NC      | $1192.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOFA FINANCE LLC                                               | LEVERAGED COMMODITY LINKED NOTES      | CUSIP: 09709PBA6<br>LEI: 549300CGZYSEY3ZSIW16 | Long             | COMM             | CORP              | US        |    380000 | NS      | $434055.99    | 1.50%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS HOLDINGS INC/UNITED STATES            | LEVERAGED COMMODITY LINKED NOTES      | CUSIP: 17330A3J9<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | COMM             | CORP              | US        |    310000 | NS      | $327166.87    | 1.13%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS HOLDINGS INC/UNITED STATES            | LEVERAGED COMMODITY LINKED NOTES      | CUSIP: 17330AQX3<br>LEI: 82VOJDD5PTRDMVVMGV31 | Long             | COMM             | CORP              | US        |    419000 | NS      | $558259.68    | 1.92%             |  |  |  | No            |                  2 | On Loan: No      |
| BOFA FINANCE LLC                                               | LEVERAGED COMMODITY LINKED NOTES      | CUSIP: 09709P2A6<br>LEI: 549300CGZYSEY3ZSIW16 | Long             | COMM             | CORP              | US        |    160000 | NS      | $191283.29    | 0.66%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG LONDON BRANCH VIA UBS LUXEMBOURG ISSUER SA              | LEVERAGED COMMODITY LINKED NOTES      | CUSIP: 902674ZG8<br>LEI: N/A                  | Long             | COMM             | CORP              | GB        |     39000 | NS      | $30852.90     | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG LONDON BRANCH VIA UBS LUXEMBOURG ISSUER SA              | LEVERAGED COMMODITY LINKED NOTES      | CUSIP: 902674ZH6<br>LEI: N/A                  | Long             | COMM             | CORP              | GB        |     64000 | NS      | $60655.00     | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL/UNITED STATES                      | LEVERAGED COMMODITY LINKED NOTES      | CUSIP: N/A<br>LEI: N/A                        | Long             | COMM             | CORP              | US        |    195000 | NS      | $167171.82    | 0.58%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                              | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DCR              | CORP              | US        |     25000 | NC      | $5352.50      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES                                         | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: ZBUT11V806EZRVTWT807       | N/A              | DCR              | CORP              | US        |    189000 | NC      | $40464.90     | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |    107000 | NC      | $22908.70     | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     20000 | NC      | $4282.00      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     17000 | NC      | $3639.70      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      8000 | NC      | $1712.80      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |     44000 | NC      | $14678.40     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |     50000 | NC      | $10705.00     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                           | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |     38000 | NC      | $8135.80      | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |      6000 | NC      | $1912.80      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |       966 | NC      | $348.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                   | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |       966 | NC      | $348.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |      6000 | NC      | $1912.80      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                   | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |      9000 | NC      | $1926.90      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                   | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |      3000 | NC      | $956.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                   | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |      3000 | NC      | $956.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                           | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      3000 | NC      | $956.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                           | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      6000 | NC      | $1867.20      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      3000 | NC      | $933.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY AND CO. INTERNATIONAL                           | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: 4PQUHN3JPFGFNF3BB653       | N/A              | DCR              | CORP              | US        |      3000 | NC      | $933.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DCR              | CORP              | US        |      3000 | NC      | $933.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |     15000 | NC      | $4668.00      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                   | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     36000 | NC      | $11203.20     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                   | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |      3000 | NC      | $642.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: GGDZP1UYGU9STUHRDP48       | N/A              | DCR              | CORP              | GB        |      9000 | NC      | $2800.80      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: GGDZP1UYGU9STUHRDP48       | N/A              | DCR              | CORP              | GB        |      6000 | NC      | $1912.80      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                   | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |     11623 | NC      | $4446.93      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC                                   | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | N/A              | DCR              | CORP              | US        |      9000 | NC      | $3002.40      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: GGDZP1UYGU9STUHRDP48       | N/A              | DCR              | CORP              | GB        |      7000 | NC      | $1498.70      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE INTERNATIONAL                                    | Mortgage Backed Swap Basket Index     | CUSIP: N/A<br>LEI: E58DKGMJYYYJLN8C3868       | N/A              | DCR              | CORP              | US        |     11623 | NC      | $4446.93      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| HAITIAN INTERNATIONAL HOLDINGS LTD                             | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 30030093DDRS825TVP62       | Long             | EC               | CORP              | CN        |      5000 | NS      | $13388.08     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| PAGE INDUSTRIES LTD                                            | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 335800D6UFCCKUP3KD53       | Long             | EC               | CORP              | IN        |        64 | NS      | $33138.51     | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| INDO TAMBANGRAYA MEGAH TBK PT                                  | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 52990056ZNHB217ZKL92       | Long             | EC               | CORP              | ID        |     11200 | NS      | $28076.44     | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| GLOW ENERGY PCL                                                | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | TH        |       700 | NS      | $0.20         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| BANGKOK DUSIT MEDICAL SERVICES PCL                             | ORDINARY SHARES                       | CUSIP: Y06071222<br>LEI: N/A                  | Long             | EC               | CORP              | TH        |      4600 | NS      | $3884.80      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| LG INNOTEK CO LTD                                              | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 988400KTHH2LMUX7EB48       | Long             | EC               | CORP              | KR        |       160 | NS      | $31949.39     | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| KB FINANCIAL GROUP INC                                         | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 529900TKE4MXG3Q6GW86       | Long             | EC               | CORP              | KR        |      1050 | NS      | $40272.84     | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| CHINA MINSHENG BANKING CORP LTD                                | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 549300HBUGSQD1VCXG94       | Long             | EC               | CORP              | CN        |     43500 | NS      | $15047.18     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| ZHONGSHENG GROUP HOLDINGS LTD                                  | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 3003005VYMEBAJNJ2Y26       | Long             | EC               | CORP              | CN        |      6500 | NS      | $33434.97     | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| AGRICULTURAL BANK OF CHINA LTD                                 | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 549300E7TSGLCOVSY746       | Long             | EC               | CORP              | CN        |    128000 | NS      | $43948.78     | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| TISCO FINANCIAL GROUP PCL                                      | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 529900OOUQI3OWX2WU06       | Long             | EC               | CORP              | TH        |      2400 | NS      | $6877.44      | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| CHINA YONGDA AUTOMOBILES SERVICES HOLDINGS LTD                 | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 529900G4APWIO18G0C95       | Long             | EC               | CORP              | CN        |     12000 | NS      | $8916.85      | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| JD.COM INC                                                     | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 549300HVTWB0GJZ16V92       | Long             | EC               | CORP              | CN        |      1885 | NS      | $53177.84     | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| ALIBABA GROUP HOLDING LTD                                      | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 5493001NTNQJDH60PM02       | Long             | EC               | CORP              | CN        |      9028 | NS      | $99759.14     | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| CHINA INTERNATIONAL CAPITAL CORP LTD                           | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 529900OS3SVVTT56QN67       | Long             | EC               | CORP              | CN        |     16800 | NS      | $32069.90     | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| MULTICHOICE GROUP                                              | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 254900BVQQ7DFBMSVJ81       | Long             | EC               | CORP              | ZA        |      1684 | NS      | $11619.64     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| HAIER SMART HOME CO LTD                                        | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 3003002BYTNGNJTWSH07       | Long             | EC               | CORP              | CN        |     14000 | NS      | $47710.25     | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| NORTHAM PLATINUM HOLDINGS LTD                                  | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 3789009D0712C7101695       | Long             | EC               | CORP              | ZA        |       988 | NS      | $10884.06     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| FERTIGLOBE PLC                                                 | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 984500A99D1B4CPBF744       | Long             | EC               | CORP              | AE        |      4559 | NS      | $5250.93      | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| FIRSTRAND LTD                                                  | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 529900XYOP8CUZU7R671       | Long             | EC               | CORP              | ZA        |       567 | NS      | $2072.95      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| HON HAI PRECISION INDUSTRY CO LTD                              | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 30030004CM3GSZXX7O56       | Long             | EC               | CORP              | TW        |     14000 | NS      | $45504.38     | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED MICROELECTRONICS CORP                                   | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 391200YJCAGH9LF96P73       | Long             | EC               | CORP              | TW        |     11000 | NS      | $14566.22     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| AMBEV SA                                                       | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 549300TH5Q6VRP8OT012       | Long             | EC               | CORP              | BR        |      2100 | NS      | $5775.27      | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| ASTRA INTERNATIONAL TBK PT                                     | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 529900L49TRJOMG4DK47       | Long             | EC               | CORP              | ID        |     89800 | NS      | $32880.04     | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| ANGLO AMERICAN PLATINUM LTD                                    | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 529900RORCZ0E5S5FX81       | Long             | EC               | CORP              | ZA        |       219 | NS      | $18365.26     | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| LENOVO GROUP LTD                                               | ORDINARY SHARES                       | CUSIP: Y5257Y107<br>LEI: 254900VUZRGD5U73RE46 | Long             | EC               | CORP              | CN        |     46000 | NS      | $37776.17     | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| BANCO BRADESCO S.A.                                            | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 549300CTUU1RFXHQJE44       | Long             | EC               | CORP              | BR        |      9317 | NS      | $26734.70     | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| CHEIL WORLDWIDE INC                                            | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | KR        |       729 | NS      | $13288.61     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| CIPLA LTD/INDIA                                                | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 335800KMJJYEDDK82Q34       | Long             | EC               | CORP              | IN        |       656 | NS      | $8531.65      | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| SAMSUNG ELECTRONICS CO LTD                                     | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 9884007ER46L6N7EI764       | Long             | EC               | CORP              | KR        |      2533 | NS      | $110774.93    | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| INFOSYS LTD                                                    | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 335800TYLGG93MM7PR89       | Long             | EC               | CORP              | IN        |      3061 | NS      | $55803.22     | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| WAL-MART DE MEXICO SAB DE CV                                   | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | MX        |      3030 | NS      | $10710.31     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| ITAUSA SA                                                      | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | BR        |     24420 | NS      | $39360.61     | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| INDOFOOD SUKSES MAKMUR TBK PT                                  | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 529900E61EV2GTYWZ485       | Long             | EC               | CORP              | ID        |     13000 | NS      | $5615.87      | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| BANCO DE CHILE                                                 | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 8B4EZFY8IHJC44TT2K84       | Long             | EC               | CORP              | CL        |    222509 | NS      | $23083.75     | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| GRUPO BIMBO SAB DE CV                                          | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 5493000RIXURZEBFEV60       | Long             | EC               | CORP              | MX        |      1966 | NS      | $8303.28      | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| KOC HOLDING AS                                                 | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 7890005U0H950VH19H45       | Long             | EC               | CORP              | TR        |     14248 | NS      | $63765.46     | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| HELLENIC TELECOMMUNICATIONS ORGANIZATION SA                    | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: ELPUFM0XZRZO4LFXW404       | Long             | EC               | CORP              | GR        |       907 | NS      | $14165.40     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| ASIAN PAINTS LTD                                               | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 335800HEHXGYRUNERD75       | Long             | EC               | CORP              | IN        |      1051 | NS      | $39228.61     | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| SUN PHARMACEUTICAL INDUSTRIES LTD                              | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 335800KJ7GE29LB4SS73       | Long             | EC               | CORP              | IN        |      2942 | NS      | $35611.25     | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| VEDANTA LTD                                                    | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 335800XDKX9KB5EMCO07       | Long             | EC               | CORP              | IN        |      5883 | NS      | $21930.58     | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| CATHAY FINANCIAL HOLDING CO LT                                 | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 5299009XR1QLFAMQ3X77       | Long             | EC               | CORP              | TW        |     15000 | NS      | $19521.40     | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| CSPC PHARMACEUTICAL GROUP LTD                                  | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 529900M3XQCW234H8O91       | Long             | EC               | CORP              | CN        |     38000 | NS      | $39920.82     | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| COROMANDEL INTERNATIONAL LTD                                   | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 335800U73K3HJSQKT249       | Long             | EC               | CORP              | IN        |      1567 | NS      | $16803.63     | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED TRACTORS TBK PT                                         | ORDINARY SHARES                       | CUSIP: Y7146Y140<br>LEI: 529900N9ELYOWQV4FW14 | Long             | EC               | CORP              | ID        |     10300 | NS      | $17252.13     | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| EVERGREEN MARINE CORP TAIWAN LTD                               | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 254900EIJA0A39C5SO15       | Long             | EC               | CORP              | TW        |      5200 | NS      | $27577.23     | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| HONG LEONG BANK BHD                                            | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 549300BUPYUQGB5BFX94       | Long             | EC               | CORP              | MY        |      7800 | NS      | $36405.90     | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| HYUNDAI MARINE  AND  FIRE INSURANCE CO LTD                     | ORDINARY SHARES                       | CUSIP: Y3842K104<br>LEI: 988400SYR92543UITC37 | Long             | EC               | CORP              | KR        |       396 | NS      | $9222.78      | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| INTERNATIONAL CONTAINER TERMINAL SERVICES INC                  | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 254900FU1MWK0I0Q4J61       | Long             | EC               | CORP              | PH        |       530 | NS      | $1902.11      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| INNER MONGOLIA ERDOS RESOURCES CO LTD                          | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 300300UPV0ZBASQKK574       | Long             | EC               | CORP              | CN        |     20100 | NS      | $32742.90     | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| KIA CORP                                                       | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 988400V8MJK9N7OI5X76       | Long             | EC               | CORP              | KR        |       762 | NS      | $35734.76     | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| KT CORP                                                        | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 9884005ACF8449EANY26       | Long             | EC               | CORP              | KR        |       236 | NS      | $6308.26      | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| EMBOTELLADORAS ARCA SA DE CV                                   | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 254900U2BSJCQHJCXN24       | Long             | EC               | CORP              | MX        |      5595 | NS      | $45376.74     | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| CHINA DEVELOPMENT FINANCIAL HOLDING COMPANY                    | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: N/A                        | Long             | EC               | CORP              | TW        |     72000 | NS      | $29516.36     | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| SHIN KONG FINANCIAL HOLDINGS C                                 | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 529900YF6H5G3WJC6V36       | Long             | EC               | CORP              | TW        |     18000 | NS      | $5136.08      | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| CTBC FINANCIAL HOLDING CO LTD                                  | ORDINARY SHARES                       | CUSIP: Y15093100<br>LEI: 549300IWDYIFW6JXM387 | Long             | EC               | CORP              | TW        |     56000 | NS      | $40266.14     | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| MARUTI UDYOG LTD                                               | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 335800D27PBEESKKD357       | Long             | EC               | CORP              | IN        |       146 | NS      | $14814.60     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| NETEASE INC                                                    | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 5299004AF4DSJDB0PA32       | Long             | EC               | CORP              | CN        |      2800 | NS      | $41073.87     | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| CENCOSUD SA                                                    | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 549300NLTGCFV7482429       | Long             | EC               | CORP              | CL        |     26148 | NS      | $43002.02     | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| TENCENT HOLDINGS LTD                                           | ORDINARY SHARES                       | CUSIP: G87572163<br>LEI: 254900N4SLUMW4XUYY11 | Long             | EC               | CORP              | CN        |      1500 | NS      | $64185.92     | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| PING AN INSURANCE GROUP CO OF CHINA LTD                        | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 529900M9MC28JLN35U89       | Long             | EC               | CORP              | CN        |       500 | NS      | $3308.59      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| TATA CONSULTANCY SERVICES LTD                                  | ORDINARY SHARES                       | CUSIP: Y85279100<br>LEI: 335800ZJKU9GPQRE2U66 | Long             | EC               | CORP              | IN        |      1336 | NS      | $52592.18     | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| CPFL ENERGIA SA                                                | ORDINARY SHARES                       | CUSIP: P3435F108<br>LEI: 529900GBWSBDXN8GGM28 | Long             | EC               | CORP              | BR        |      5800 | NS      | $36471.42     | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| CHINA SHENHUA ENERGY CO LTD                                    | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 529900N9JOX4C108MA40       | Long             | EC               | CORP              | CN        |     13000 | NS      | $37557.09     | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| COSCO SHIPPING HOLDINGS CO LTD                                 | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 3003009XI0QGYYA29S17       | Long             | EC               | CORP              | CN        |     13350 | NS      | $13614.33     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| BAIDU INC                                                      | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 254900AL64IANZYI1E02       | Long             | EC               | CORP              | CN        |      2050 | NS      | $29336.55     | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| CHINA CONSTRUCTION BANK CORP                                   | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 5493001KQW6DM7KEDR62       | Long             | EC               | CORP              | CN        |     16000 | NS      | $10023.77     | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| SCHAEFFLER INDIA LTD                                           | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 5299002TPXA36O9CVB70       | Long             | EC               | CORP              | IN        |       343 | NS      | $11387.66     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| HANA FINANCIAL GROUP INC                                       | ORDINARY SHARES                       | CUSIP: Y29975102<br>LEI: N/A                  | Long             | EC               | CORP              | KR        |      1204 | NS      | $40038.12     | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| HYUNDAI GLOVIS CO LTD                                          | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 988400U6RDXNJ5ZRN304       | Long             | EC               | CORP              | KR        |       303 | NS      | $39177.94     | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| COCA-COLA ICECEK AS                                            | ORDINARY SHARES                       | CUSIP: N/A<br>LEI: 789000WT80VVLUWJDK41       | Long             | EC               | CORP              | TR        |       771 | NS      | $8426.39      | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                                  | REPURCHASE AGREEMENT                  | CUSIP: N/A<br>LEI: MBNUM2BPBDO7JBLYG310       | Long             | RA               | CORP              | US        |  11886000 | PA      | $11886000.00  | 40.96%            |  |  |  | No            |                  2 | On Loan: No      |
| PUTNAM SHORT TERM INVESTMENT FUND                              | SHORT TERM INV FUND                   | CUSIP: 74676P664<br>LEI: 5493003MK0Q7JP8CPP42 | Long             | STIV             | PF                | US        |   9500000 | NS      | $9500000.00   | 32.74%            |  |  |  | No            |                  2 | On Loan: No      |
| PUTNAM CASH COLLATERAL POOL LLC                                | SHORT TERM INV FUND                   | CUSIP: N/A<br>LEI: 5493005HRIV7IFMKD774       | Long             | STIV             | PF                | US        |   1505300 | NS      | $1505300.00   | 5.19%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCO BTG PACTUAL S.A                                          | STOCK UNIT                            | CUSIP: N/A<br>LEI: ZXLTQRYIK6IJH3R0IK66       | Long             | EC               | CORP              | BR        |      1800 | OU      | $8161.75      | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| BANK OF AMERICA N.A.                                           | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    106400 | NC      | $1960.95      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                           | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    159600 | NC      | $14.36        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                           | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    106400 | NC      | $-1116.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                           | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    159600 | NC      | $-6.38        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                           | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    109700 | NC      | $-1230.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                           | SWAPTION                              | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DIR              | CORP              | US        |    109700 | NC      | $1917.56      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                    | Total Return Swap                     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DE               | CORP              | US        |     53582 | NC      | $7014359.07   | 24.17%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                    | Total Return Swap                     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DE               | CORP              | US        |     54468 | NC      | $6701237.26   | 23.09%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                    | Total Return Swap                     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DE               | CORP              | US        |      1784 | NC      | $218422.08    | 0.75%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                    | Total Return Swap                     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DE               | CORP              | US        |       865 | NC      | $308045.18    | 1.06%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                    | Total Return Swap                     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DE               | CORP              | US        |      2510 | NC      | $724519.28    | 2.50%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                    | Total Return Swap                     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DE               | CORP              | US        |      6938 | NC      | $749668.24    | 2.58%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                           | Total Return Swap                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DE               | CORP              | US        |       260 | NC      | $5202.77      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                    | Total Return Swap                     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DE               | CORP              | US        |       666 | NC      | $12733.92     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                    | Total Return Swap                     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DE               | CORP              | US        |       266 | NC      | $3274.46      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                  | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |        40 | NC      | $6448.40      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                  | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |       361 | NC      | $75163.81     | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                  | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |      2058 | NC      | $10742.76     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                  | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |       177 | NC      | $26024.31     | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                  | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |      1404 | NC      | $16848.00     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                  | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |      3161 | NC      | $19851.08     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                  | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |       719 | NC      | $75976.73     | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                  | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |       433 | NC      | $6023.03      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                  | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |       930 | NC      | $31201.50     | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                  | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |       270 | NC      | $33258.60     | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                  | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |       321 | NC      | $3579.15      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                  | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |       108 | NC      | $2155.68      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                  | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |       295 | NC      | $65625.70     | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                  | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |       213 | NC      | $23012.52     | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                  | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |       146 | NC      | $20653.16     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                  | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |        75 | NC      | $10763.25     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                  | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |       376 | NC      | $21541.04     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                                    | Total Return Swap                     | CUSIP: N/A<br>LEI: W22LROWP2IHZNBB6K528       | N/A              | DE               | CORP              | US        |      2171 | NC      | $2112.70      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                  | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |      1899 | NC      | $17280.90     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                  | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |       950 | NC      | $33231.00     | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                  | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |       684 | NC      | $28256.04     | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                  | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |       760 | NC      | $34868.80     | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                  | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |       528 | NC      | $17365.92     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                  | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |      3775 | NC      | $72970.75     | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                  | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |       453 | NC      | $16616.04     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                  | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |      1208 | NC      | $18409.92     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                  | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |       604 | NC      | $38039.92     | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                  | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |       302 | NC      | $25458.60     | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                  | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |       121 | NC      | $25518.90     | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                  | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |       170 | NC      | $50046.30     | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                                              | Total Return Swap                     | CUSIP: N/A<br>LEI: G5GSEF7VJP5I7OUK5573       | N/A              | DE               | CORP              | US        |      8051 | NC      | $1995524.08   | 6.88%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                           | Total Return Swap                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DE               | CORP              | US        |      2962 | NC      | $26758.89     | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                           | Total Return Swap                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DE               | CORP              | US        |      1398 | NC      | $12927.22     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                  | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |       582 | NC      | $7612.56      | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                  | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |       698 | NC      | $6100.52      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                  | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |       372 | NC      | $9835.68      | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                  | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |       814 | NC      | $7163.20      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                  | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |       186 | NC      | $12512.22     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                  | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |       233 | NC      | $12295.41     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                  | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |       124 | NC      | $10934.32     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                  | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |       194 | NC      | $8679.56      | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                  | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |       426 | NC      | $9785.22      | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                           | Total Return Swap                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DE               | CORP              | US        |       153 | NC      | $7369.08      | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                  | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |       329 | NC      | $8116.43      | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                  | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |        82 | NC      | $5709.66      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                  | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |       822 | NC      | $5532.06      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                  | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |        82 | NC      | $4134.44      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                  | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |       411 | NC      | $7319.91      | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                  | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |        82 | NC      | $3690.82      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                  | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |       822 | NC      | $7726.80      | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                  | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |        82 | NC      | $7024.12      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGANCHASE BANK                                            | Total Return Swap                     | CUSIP: N/A<br>LEI: 7H6GLXDRUGQFU57RNE97       | N/A              | DE               | CORP              | US        |      7217 | NC      | $1015185.08   | 3.50%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK N.A.                                                  | Total Return Swap                     | CUSIP: N/A<br>LEI: E57ODZWZ7FF32TWEFA76       | N/A              | DE               | CORP              | US        |      5085 | NC      | $2471615.10   | 8.52%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                         | Total Return Swap                     | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DE               | CORP              | US        |     62332 | NC      | $8430508.96   | 29.05%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                                         | Total Return Swap                     | CUSIP: N/A<br>LEI: BFM8T61CT2L1QCEMIK50       | N/A              | DE               | CORP              | US        |      1032 | NC      | $8439716.64   | 29.08%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                           | Total Return Swap                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DE               | CORP              | US        |     22267 | NC      | $5971822.36   | 20.58%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA N.A.                                           | Total Return Swap                     | CUSIP: N/A<br>LEI: B4TYDEB6GKMZO031MB27       | N/A              | DE               | CORP              | US        |       469 | NC      | $6010375.70   | 20.71%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                       | U.S. T BILLS                          | CUSIP: 912796ZL6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    400000 | PA      | $399103.83    | 1.38%             | 2023-01-24      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES OF AMERICA                                       | U.S. T BILLS                          | CUSIP: 912796ZK8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    200000 | PA      | $199713.88    | 0.69%             | 2023-01-17      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SHENZHEN MINDRAY BIO-MEDICAL ELECTRONICS CO LTD                | WARRANTS                              | CUSIP: N/A<br>LEI: N/A                        | Long             | DE               | CORP              | CN        |       700 | NS      | $32066.53     | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| INNER MONGOLIA YUAN XING ENERGY CO LTD                         | WARRANTS                              | CUSIP: N/A<br>LEI: 300300HF6XQ50FSVY467       | Long             | DE               | CORP              | CN        |      9700 | NS      | $11025.44     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF JIANGSU CO LTD                                         | WARRANTS                              | CUSIP: N/A<br>LEI: 300300C1086832000046       | Long             | DE               | CORP              | CN        |     37344 | NS      | $39469.02     | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| SHAANXI COAL INDUSTRY CO LTD                                   | WARRANTS                              | CUSIP: N/A<br>LEI: N/A                        | Long             | DE               | CORP              | CN        |      3800 | NS      | $10236.17     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| ENN NATURAL GAS CO LTD                                         | WARRANTS                              | CUSIP: N/A<br>LEI: 300300KVDMGNQNP52Z98       | Long             | DE               | CORP              | CN        |     12296 | NS      | $28701.05     | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| CHONGQING ZHIFEI BIOLOGICAL PRODUCTS CO LTD                    | WARRANTS                              | CUSIP: N/A<br>LEI: 300300DRZD9P8L2NA467       | Long             | DE               | CORP              | CN        |      2400 | NS      | $30560.62     | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2023-02-24

**Name of Applicant:** Putnam Investments Inc

**Signature:** Janet C. Smith

**Name of Signer:** NPORT

**Title:** Principal Financial Officer