# EDGAR Filing Document

**Accession Number:** 0001535538
**File Stem:** 0000940400-25-005174
**Filing Date:** 2025-10
**Character Count:** 2003800
**Document Hash:** bd74c3f8d5356fc0ea0756f31ab11e8a
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-25-005174.hdr.sgml**: 20251023

**ACCESSION NUMBER**: 0000940400-25-005174

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250829

**FILED AS OF DATE**: 20251023

**DATE AS OF CHANGE**: 20251023

**PERIOD START**: 20260531

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** Franklin Alternative Strategies Funds
- **CENTRAL INDEX KEY:** 0001535538

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0531

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22641
- **FILM NUMBER:** 251412393

**BUSINESS ADDRESS:**
- **STREET 1:** ONE FRANKLIN PARKWAY
- **CITY:** SAN MATEO
- **STATE:** CA
- **ZIP:** 94403-1906
- **BUSINESS PHONE:** 650-312-2000

**MAIL ADDRESS:**
- **STREET 1:** ONE FRANKLIN PARKWAY
- **CITY:** SAN MATEO
- **STATE:** CA
- **ZIP:** 94403-1906

## Series and Classes Contracts Data

### K2 Alternative Strategies Fund (Series ID: S000042023)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000130561 | Class A       | FAAAX           |
| C000130562 | Class C       | FASCX           |
| C000130563 | Class R       | FSKKX           |
| C000130564 | Class R6      | FASRX           |
| C000130565 | Advisor Class | FABZX           |

## Nport-Ex

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

**Consolidated Schedule of Investments, August 31, 2025 (unaudited)** 

**K2 Alternative Strategies Fund** 

---

| | | | |
|:---|:---|:---|:---|
| | **Country** | **Shares/<br> Warrants/<br>Rights** | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Common Stocks and Other Equity Interests 21.7%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Aerospace & Defense 0.5%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>,<sup>b</sup>The Boeing Co. | United States | 10535 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2472354 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Satellogic Inc., A, 1/25/27, wts. | United States | 2058 | 896 |
|  |  |  | 2473250 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Automobile Components 0.1%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dowlais Group PLC | United Kingdom | 398200 | 419893 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Automobiles 0.3%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bayerische Motoren Werke AG | Germany | 9837 | 1029152 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Ferrari NV | Italy | 571 | 272487 |
|  |  |  | 1301639 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Biotechnology 4.5%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Akero Therapeutics Inc. | United States | 7474 | 349260 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Alnylam Pharmaceuticals Inc. | United States | 4032 | 1800328 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Apellis Pharmaceuticals Inc. | United States | 62267 | 1716701 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Arcutis Biotherapeutics Inc. | United States | 123050 | 1909736 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Argenx SE, ADR | Netherlands | 2507 | 1785486 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Beone Medicines Ltd., ADR | China | 2988 | 914477 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Caris Life Sciences Inc. | United States | 1383 | 53093 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Gilead Sciences Inc. | United States | 13606 | 1537070 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Insmed Inc. | United States | 14982 | 2039050 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,c</sup>Kymera Therapeutics Inc. | United States | 23335 | 961402 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Metsera Inc. | United States | 5762 | 203341 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Moonlake Immunotherapeutics, A | United States | 7647 | 426320 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Natera Inc. | United States | 4497 | 756620 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Neurocrine Biosciences Inc. | United States | 13322 | 1859751 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>NewAmsterdam Pharma Co. NV | Netherlands | 41299 | 993241 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Rhythm Pharmaceuticals Inc. | United States | 9615 | 991787 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Scholar Rock Holding Corp. | United States | 21564 | 704065 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Soleno Therapeutics Inc. | United States | 6946 | 470036 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Travere Therapeutics Inc. | United States | 36851 | 644893 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Vaxcyte Inc. | United States | 26523 | 816643 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Vertex Pharmaceuticals Inc. | United States | 3774 | 1475710 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Xenon Pharmaceuticals Inc. | Canada | 30203 | 1169158 |
|  |  |  | 23578168 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Building Products 0.3%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Johnson Controls International PLC | United States | 16691 | 1784101 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Chemicals 0.8%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>b</sup>Air Products & Chemicals Inc. | United States | 6859 | 2017300 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Celanese Corp., A | United States | 12431 | 592089 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Covestro AG | Germany | 23863 | 1658291 |
|  |  |  | 4267680 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Communications Equipment 0.4%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,d</sup>CommScope Holding Co. Inc. | United States | 63506 | 1018636 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,e</sup>Riverbed Technology, Inc. | United States | 1499 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Spirent Communications PLC | United Kingdom | 322683 | 854827 |
|  |  |  | 1873463 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Construction & Engineering 0.7%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Mastec Inc. | United States | 13595 | 2470076 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>b</sup>Quanta Services Inc. | United States | 3497 | 1321726 |
|  |  |  | 3791802 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Consumer Discretionary 0.0%†** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,e</sup>Vinty Holding 5 SA | Luxembourg | 10236402 | 30709 |

---

Quarterly Consolidated Schedule of Investments \| See Notes to the Consolidated Schedule of Investments.

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

---

| | | | |
|:---|:---|:---|:---|
| | **Country** | **Shares/<br> Warrants/<br>Rights** | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Common Stocks and Other Equity Interests (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Consumer Staples, Distribution & Retail 0.1%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>b</sup>Albertsons Cos. Inc., A | United States | 15907 | $309550 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Diversified Telecommunication Services 0.3%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Frontier Communications Parent Inc. | United States | 37428 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1387830 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Uniti Group Inc. | United States | 31622 | 199219 |
|  |  |  | 1587049 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Electric Utilities 2.5%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Aux Electric Co. Ltd. | Hong Kong | 1491 | 3152 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Constellation Energy Corp. | United States | 9175 | 2825717 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>b</sup>Edison International | United States | 10662 | 598458 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>b</sup>Entergy Corp. | United States | 25788 | 2271665 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>b</sup>Exelon Corp. | United States | 26933 | 1176433 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>b</sup>NextEra Energy Inc. | United States | 31727 | 2285930 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>b</sup>PG&E Corp. | United States | 31065 | 474673 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>b</sup>PPL Corp. | United States | 36764 | 1340783 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>b</sup>Xcel Energy Inc. | United States | 29486 | 2134492 |
|  |  |  | 13111303 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Electrical Equipment 1.2%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,b</sup>Array Technologies Inc. | United States | 56004 | 504596 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,b</sup>Enovix Corp. | United States | 114230 | 1098893 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fujikura Ltd. | Japan | 5292 | 448967 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>b</sup>GE Vernova Inc. | United States | 2577 | 1579624 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Generac Holdings Inc. | United States | 2699 | 499990 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Mitsubishi Electric Corp. | Japan | 64087 | 1529951 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Nextracker Inc., A | United States | 8232 | 553684 |
|  |  |  | 6215705 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Electronic Equipment, Instruments & Components 0.5%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Aeva Technologies Inc. | United States | 966 | 14302 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Spectris PLC | United Kingdom | 15810 | 865078 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Zebra Technologies Corp., A | United States | 4636 | 1470029 |
|  |  |  | 2349409 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Energy Equipment & Services 0.1%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Aris Water Solutions Inc., A | United States | 24038 | 583402 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Nabors Industries Ltd. | United States | 5225 | 194788 |
|  |  |  | 778190 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Entertainment 0.1%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,b</sup>Warner Bros Discovery Inc. | United States | 47639 | 554518 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Financial Services 0.1%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>DSG TopCo Inc. | United States | 27996 | 566919 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Nabors Energy Transition Corp. II, 9/05/28, wts. | United States | 2168 | 718 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,e</sup>Pershing Square Tontine Holdings Ltd., A | United States | 42829 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>e</sup>Pershing Square Tontine Holdings Ltd., A, 12/31/33, Contingent Value, rts. | United States | 10707 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,b</sup>Southport Acquisition Corp., 5/24/28, wts. | United States | 4946 | 3165 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,e</sup>Spree Acquisition Corp. 1 Ltd., 12/22/28, wts. | Israel | 3069 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Target Global Acquisition I Corp., A, 12/08/26, wts. | Israel | 3516 | 41 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Teract SA, 11/16/25, wts. | France | 3920 | 5 |
|  |  |  | 570848 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Food Products 0.6%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>JBS NV, A | United States | 37274 | 604212 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; JDE Peet's NV | Netherlands | 15938 | 583672 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>b</sup>Kellanova | United States | 17648 | 1403016 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

---

| | | | |
|:---|:---|:---|:---|
| | **Country** | **Shares/<br> Warrants/<br>Rights** | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Common Stocks and Other Equity Interests (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Food Products (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Wk Kellogg Co. | United States | 34813 | $797914 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3388814 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Ground Transportation 0.1%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Norfolk Southern Corp. | United States | 1016 | 284460 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Health Care Equipment & Supplies 1.5%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>DexCom Inc. | United States | 13500 | 1017090 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Edwards Lifesciences Corp. | United States | 23868 | 1941423 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; GE Healthcare Technologies Inc. | United States | 24601 | 1813832 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Intuitive Surgical Inc. | United States | 2353 | 1113663 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Solventum Corp. | United States | 14555 | 1063825 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Surmodics Inc. | United States | 12620 | 429585 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Tandem Diabetes Care Inc. | United States | 37660 | 471126 |
|  |  |  | 7850544 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Health Care Providers & Services 0.7%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Community Health Systems Inc. | United States | 78596 | 216925 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CVS Health Corp. | United States | 22399 | 1638487 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Enhabit Inc. | United States | 9869 | 77768 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Genedx Holdings Corp., A | United States | 6450 | 835210 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,c</sup>Guardant Health Inc. | United States | 15756 | 1062270 |
|  |  |  | 3830660 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Hotels, Restaurants & Leisure 0.0%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,f</sup>Delivery Hero SE, A, 144A | South Korea | 2117 | 56162 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,e</sup>HomeToGo SE, 2/18/26, wts. | Luxembourg | 716 |  |
|  |  |  | 56162 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Independent Power & Renewable Electricity Producers 0.2%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>b</sup>XPLR Infrastructure LP | United States | 74053 | 784962 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Industrial Conglomerates 0.4%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3M Co. | United States | 13216 | 2055484 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Insurance 0.2%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Aspen Insurance Holdings Ltd. | Bermuda | 15738 | 574437 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Just Group PLC | United Kingdom | 252644 | 720531 |
|  |  |  | 1294968 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Interactive Media & Services 0.1%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Tencent Holdings Ltd. | China | 3924 | 303892 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Internet & Direct Marketing Retail 0.0%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,f</sup>Deliveroo PLC, A, 144A | United Kingdom | 71245 | 171806 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **IT Services 0.0%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,c</sup>Applied Digital Corp. | United States | 2200 | 35156 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Bigbear.Ai Holdings, Inc. | United States | 2411 | 12224 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Brand Engagement Network, Inc., A, 3/14/29, wts. | United States | 241 | 5 |
|  |  |  | 47385 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Life Sciences Tools & Services 1.5%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Danaher Corp., W | United States | 6859 | 1411719 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Lonza Group AG | Switzerland | 2446 | 1735899 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>Revvity Inc. | United States | 13815 | 1244870 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Stevanato Group SpA | Italy | 55914 | 1286581 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

---

| | | | |
|:---|:---|:---|:---|
| | **Country** | **Shares/<br> Warrants/<br>Rights** | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Common Stocks and Other Equity Interests (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Life Sciences Tools & Services (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Thermo Fisher Scientific Inc. | United States | 4004 | $1972851 |
|  |  |  | 7651920 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Machinery 0.3%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Chart Industries Inc. | United States | 2864 | 570967 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fanuc Corp. | Japan | 17007 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;472786 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ihi Corp. | Japan | 6314 | 656164 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,e</sup>Maxeon Solar Technologies, 1/15/28, wts. | United States | 32750 | 5779 |
|  |  |  | 1705696 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Media 0.2%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,b</sup>Altice USA Inc., A | United States | 122191 | 285927 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,b</sup>Clear Channel Outdoor Holdings Inc., A | United States | 201413 | 249752 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; The Interpublic Group of Cos. Inc. | United States | 21212 | 569330 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Tegna Inc. | United States | 6993 | 148252 |
|  |  |  | 1253261 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Metals & Mining 0.0%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,e</sup>Samarco Mineracao SA Escrow | Brazil | 384000 | 14209 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Office REITs 0.1%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; City Office REIT Inc. | United States | 41273 | 286022 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Oil, Gas & Consumable Fuels 0.2%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,e</sup>Gazprom PJSC | Russia | 615160 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Golar LNG Ltd. | Cameroon | 11059 | 484605 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; PetroChina Co. Ltd., H | China | 286257 | 277185 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,d</sup>Sable Offshore Corp. | United States | 2545 | 68664 |
|  |  |  | 830454 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Pharmaceuticals 1.3%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; AstraZeneca PLC, ADR | United Kingdom | 15493 | 1237891 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,c</sup>Crinetics Pharmaceuticals Inc. | United States | 30329 | 939896 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Tarsus Pharmaceuticals Inc. | United States | 28962 | 1696594 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; UCB SA | Belgium | 9920 | 2327025 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Verona Pharma PLC, ADR | United Kingdom | 6784 | 718493 |
|  |  |  | 6919899 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Professional Services 0.5%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Dayforce Inc. | United States | 4200 | 293034 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,b</sup>Falcon's Beyond Global, Inc., A, 3/16/26, wts. | United States | 180 | 106 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ul Solutions Inc., A | United States | 13067 | 825442 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>WNS Holdings Ltd. | United Kingdom | 19101 | 1441171 |
|  |  |  | 2559753 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Real Estate Management & Development 0.0%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; <sup>a,b,e</sup>Conx Corp., A, 10/30/27, wts. | United States | 14679 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Residential REITs 0.2%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dream Residential Real Estate Investment Trust | Canada | 13555 | 141785 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interrent Real Estate Investment Trust | Canada | 91261 | 889120 |
|  |  |  | 1030905 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Semiconductors & Semiconductor Equipment 0.2%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a,b</sup>SolarEdge Technologies Inc. | United States | 27205 | 920073 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Software 0.4%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Bitdeer Technologies Group | United States | 6214 | 88798 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Core Scientific Inc. | United States | 22407 | 321541 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Corecard Corp. | United States | 4886 | 135196 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Cyberark Software Ltd. | United States | 667 | 302324 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Country** | **Shares/<br> Warrants/<br>Rights** | | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Common Stocks and Other Equity Interests (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Software (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Informatica Inc., A | United States | 17368 |  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;432984 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Olo Inc., A | United States | 27993 |  | 286928 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Sapiens International Corp NV | Israel | 16402 |  | 703646 |
|  |  |  |  | 2271417 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Specialty Retail 0.3%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Ceconomy AG | Germany | 81759 |  | 425825 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Douglas AG | Germany | 5297 |  | 75432 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Guess? Inc. | United States | 51308 |  | 862487 |
|  |  |  |  | 1363744 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Textiles, Apparel & Luxury Goods 0.1%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>Skechers USA Inc., A | United States | 6786 |  | 428061 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Trading Companies & Distributors 0.1%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>a</sup>GMS Inc. | United States | 6554 |  | 720481 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Wireless Telecommunication Services 0.0%<sup>†</sup>** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Freenet AG | Germany | 2066 |  | 69004 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Common Stocks and Other Equity Interests<br>(Cost $98,602,096)** |  |  |  | 113091313 |
|  | **Principal**<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Amount<sup>\*</sup>** | **Principal**<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Amount<sup>\*</sup>** |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Convertible Bonds 13.8%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Aerospace & Defense 0.1%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Astronics Corp., senior note, 144A, 5.50%, 3/15/30 | United States | 261000 |  | 479363 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Automobiles 0.2%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ford Motor Co., senior note, zero cpn., 3/15/26 | United States | 994000 |  | 1005230 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Basic Materials 0.0%<sup>†</sup>** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Danimer Scientific Inc. 12/15/26 | United States | 264000 |  | 554 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Biotechnology 0.8%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; BioMarin Pharmaceutical Inc., senior sub. note, 1.25%, 5/15/27 | United States | 319000 |  | 303477 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bridgebio Pharma Inc., senior note, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.50%, 3/15/27 | United States | 475000 |  | 663307 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 2/01/29 | United States | 166000 |  | 163448 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>144A, 1.75%, 3/01/31 | United States | 86000 |  | 113193 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Dynavax Technologies Corp., senior note, 144A, 2.00%, 3/15/30 | United States | 374000 |  | 347558 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Exact Sciences Corp., senior note, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>b</sup>0.375%, 3/15/27 | United States | 478000 |  | 454347 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.375%, 3/01/28 | United States | 137000 |  | 124262 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>Guardant Health Inc., senior note, 1.25%, 2/15/31 | United States | 54000 |  | 73332 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Pharming Group NV, senior note, Reg S, 4.50%, 4/25/29 | Netherlands | 100000 | EUR | 145309 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; PTC Therapeutics Inc., senior note, 1.50%, 9/15/26 | United States | 655000 |  | 753665 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Transmedics Group Inc., senior note, 1.50%, 6/01/28 | United States | 333000 |  | 480856 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Travere Therapeutics Inc., senior note, 2.50%, 9/15/25 | United States | 210000 |  | 209328 |
|  |  |  |  | 3832082 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Broadline Retail 0.4%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>b</sup>Alibaba Group Holding Ltd., senior note, 0.50%, 6/01/31 | China | 1418000 |  | 2053264 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Capital Markets 0.1%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>b</sup>Coinbase Global Inc., senior note, 0.50%, 6/01/26 | United States | 346000 |  | 371920 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Chemicals 0.0%<sup>†</sup>** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>b</sup>Amyris Inc., senior note, zero cpn., 11/15/26 | United States | 1108000 |  | 9972 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

---

| | | | |
|:---|:---|:---|:---|
| | **Country** | **Principal**<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Amount<sup>\*</sup>** | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Convertible Bonds (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Commercial Services & Supplies 0.0%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Block Inc., senior note, 0.25%, 11/01/27 | United States | 126000 | $114132 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Pitney Bowes Inc., senior note, 144A, 1.50%, 8/15/30 | United States | 122000 | 130357 |
|  |  |  | 244489 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Communications Equipment 0.6%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comcast Holdings Corp., |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior bond, 2.00%, 10/15/29 | United States | 386500 | 237118 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; sub. bond, 2.00%, 11/15/29 | United States | 338600 | 238713 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; InterDigital Inc., senior note, 3.50%, 6/01/27 | United States | 183000 | 644147 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Lumentum Holdings Inc., senior note, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>b</sup>0.50%, 12/15/26 | United States | 1065000 | 1533813 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.50%, 6/15/28 | United States | 194000 | 235133 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 12/15/29 | United States | 136000 | 273360 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3162284 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Consumer Cyclical 0.1%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; H World Group Ltd., senior note, 3.00%, 5/01/26 | China | 203000 | 216451 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Wayfair Inc., senior note, 3.50%, 11/15/28 | United States | 147000 | 263047 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Winnebago Industries Inc., senior note, 3.25%, 1/15/30 | United States | 88000 | 78936 |
|  |  |  | 558434 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Consumer Finance 0.3%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>b</sup>Encore Capital Group Inc., senior note, 4.00%, 3/15/29 | United States | 506000 | 502205 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>EZCORP Inc., senior note, 144A, 3.75%, 12/15/29 | United States | 120000 | 196620 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>SoFi Technologies Inc., senior note, 144A, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.25%, 3/15/29 | United States | 329000 | 907382 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; zero cpn., 10/15/26 | United States | 156000 | 199868 |
|  |  |  | 1806075 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Diversified Consumer Services 0.2%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Affirm Holdings Inc., senior note, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; zero cpn., 11/15/26 | United States | 608000 | 576112 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>144A, 0.75%, 12/15/29 | United States | 514000 | 619015 |
|  |  |  | 1195127 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Diversified Telecommunication Services 0.3%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>A10 Networks Inc., senior note, 144A, 2.75%, 4/01/30 | United States | 245000 | 255180 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Ast Spacemobile Inc., senior note, 144A, 4.25%, 3/01/32 | United States | 96000 | 201081 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>b,f</sup>Match Group Financeco 2 Inc., senior note, 144A, 0.875%, 6/15/26 | United States | 927000 | 902247 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c,f</sup>Match Group Financeco 3 Inc., senior bond, 144A, 2.00%, 1/15/30 | United States | 386000 | 356494 |
|  |  |  | 1715002 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Electric Utilities 0.2%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>b,g</sup>Echostar Corp., senior secured note, PIK, 3.875%, 11/30/30 | United States | 571275 | 1164087 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Electrical Equipment 0.4%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bloom Energy Corp., senior note, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.00%, 6/01/28 | United States | 441000 | 1270083 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>3.00%, 6/01/29 | United States | 374000 | 998461 |
|  |  |  | 2268544 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Electronic Equipment, Instruments & Components 0.2%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Advanced Energy Industries Inc., senior note, 2.50%, 9/15/28 | United States | 135000 | 172623 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Applied Optoelectronics Inc., senior note, 2.75%, 1/15/30 | United States | 164000 | 157983 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Itron Inc., senior note, 1.375%, 7/15/30 | United States | 121000 | 138807 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>OSI Systems Inc., senior note, 2.25%, 8/01/29 | United States | 311000 | 428091 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; PAR Technology Corp., senior note, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.875%, 4/15/26 | United States | 36000 | 47683 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.50%, 10/15/27 | United States | 313000 | 315815 |
|  |  |  | 1261002 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

---

| | | | |
|:---|:---|:---|:---|
| | **Country** | **Principal**<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Amount<sup>\*</sup>** | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Convertible Bonds (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Energy Equipment & Services 0.1%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TETRA Tech Inc., senior note, 2.25%, 8/15/28 | United States | 219000 | $246508 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Transocean Inc., senior note, 4.625%, 9/30/29 | United States | 66000 | 76428 |
|  |  |  | 322936 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Entertainment 0.5%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Live Nation Entertainment Inc., senior note, 144A, 2.875%, 1/15/30 | United States | 163000 | 182897 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sea Ltd., senior note, 2.375%, 12/01/25 | Singapore | 1076000 | 2221402 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2404299 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Financial Services 0.4%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Euronet Worldwide Inc., senior note, 144A, 0.625%, 10/01/30 | United States | 136000 | 134626 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Mara Holdings Inc., senior note, 144A, zero cpn., 8/01/32 | United States | 266000 | 250212 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Qfin Holdings, Inc., senior note, 144A, 0.50%, 4/01/30 | China | 86000 | 72713 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Repay Holdings Corp., senior note, 144A, 2.875%, 7/15/29 | United States | 58000 | 52149 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c,f</sup>Upstart Holdings Inc., senior note, 144A, 2.00%, 10/01/29 | United States | 530000 | 962751 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; WisdomTree Inc., senior note, 3.25%, 8/15/29 | United States | 647000 | 826866 |
|  |  |  | 2299317 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Food & Beverage 0.2%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>b,f</sup>The Cheesecake Factory Inc., senior note, 144A, 2.00%, 3/15/30 | United States | 608000 | 656721 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>MGP Ingredients Inc., senior bond, 1.875%, 11/15/41 | United States | 437000 | 414418 |
|  |  |  | 1071139 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Food Products 0.0%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; JBT Marel Corp., senior note, 0.25%, 5/15/26 | United States | 129000 | 132270 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Rogers Sugar Inc., sub. note, 6.00%, 6/30/30 | Canada | 40000 CAD | 30728 |
|  |  |  | 162998 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Health Care Equipment & Supplies 0.7%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Alphatec Holdings Inc., senior note, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.75%, 8/01/26 | United States | 227000 | 245160 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>144A, 0.75%, 3/15/30 | United States | 266000 | 334149 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>b,c</sup>Conmed Corp., senior note, 2.25%, 6/15/27 | United States | 825000 | 789360 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; DexCom Inc., senior note, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>b</sup>0.25%, 11/15/25 | United States | 876000 | 868335 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.375%, 5/15/28 | United States | 354000 | 327804 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Enovis Corp., senior note, 3.875%, 10/15/28 | United States | 70000 | 68880 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Exact Sciences Corp., senior note, 144A, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 3/01/30 | United States | 140000 | 136567 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 4/15/31 | United States | 70000 | 61856 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Livanova PLC, senior note, 2.50%, 3/15/29 | United States | 170000 | 188870 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Repligen Corp., senior note, 1.00%, 12/15/28 | United States | 429000 | 423254 |
|  |  |  | 3444235 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Health Care Providers & Services 0.1%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Guardant Health Inc., senior note, zero cpn., 11/15/27 | United States | 715000 | 693908 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Health Care Technology 0.3%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Guidewire Software Inc., senior note, 144A, 1.25%, 11/01/29 | United States | 181000 | 204258 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Nutanix Inc., senior note, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.25%, 10/01/27 | United States | 565000 | 726872 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>144A, 0.50%, 12/15/29 | United States | 58000 | 62037 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pros Holdings Inc., senior note, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.25%, 9/15/27 | United States | 96000 | 91632 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>144A, 2.50%, 7/01/30 | United States | 361000 | 386451 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>b</sup>Unity Software Inc., senior note, zero cpn., 11/15/26 | United States | 234000 | 221130 |
|  |  |  | 1692380 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Hotel & Resort REITs 0.2%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>b</sup>Pebblebrook Hotel Trust, senior note, 1.75%, 12/15/26 | United States | 463000 | 444013 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Country** | **Principal**<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Amount<sup>\*</sup>** | | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Convertible Bonds (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Hotel & Resort REITs (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Summit Hotel Properties Inc., senior note, 1.50%, 2/15/26 | United States | 433000 |  | $424158 |
|  |  |  |  | 868171 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Hotels, Restaurants & Leisure 0.9%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Carnival Corp., senior note, 5.75%, 12/01/27 | United States | 704000 |  | 1728737 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>b,f</sup>Cracker Barrel Old Country Store Inc., senior note, 144A, 1.75%, 9/15/30 | United States | 439000 |  | 471486 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>b</sup>Expedia Group Inc., senior note, zero cpn., 2/15/26 | United States | 420000 |  | 423144 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>b</sup>Marriott Vacations Worldwide Corp., senior note, zero cpn., 1/15/26 | United States | 1054000 |  | 1032861 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>b</sup>Trip.com Group Ltd., senior note, 0.75%, 6/15/29 | China | 780000 |  | 980900 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4637128 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Insurance 0.1%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Ping An Insurance Group Co. of China Ltd., senior note, Reg S, 0.875%, 7/22/29 | China | 200000 |  | 281250 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Interactive Media & Services 0.0%<sup>†</sup>** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Snap Inc., senior note, 0.125%, 3/01/28 | United States | 72000 |  | 63553 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Internet & Direct Marketing Retail 0.8%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Delivery Hero SE, senior note, Reg S, 3.25%, 2/21/30 | South Korea | 2000000 | EUR | 2264569 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Etsy Inc., senior note, 0.25%, 6/15/28 | United States | 200000 |  | 174450 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c,f</sup>Hims & Hers Health Inc., senior note, 144A, zero cpn., 5/15/30 | United States | 173000 |  | 169108 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Lyft Inc., senior note, 0.625%, 3/01/29 | United States | 410000 |  | 448804 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Opendoor Technologies Inc., senior note, 144A, 7.00%, 5/15/30 | United States | 115000 |  | 349965 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ziff Davis Inc., senior note, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 11/01/26 | United States | 251000 |  | 241713 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>144A, 3.625%, 3/01/28 | United States | 537000 |  | 519691 |
|  |  |  |  | 4168300 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **IT Services 0.9%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Akamai Technologies Inc., senior note, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.375%, 9/01/27 | United States | 676000 |  | 653185 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.125%, 2/15/29 | United States | 473000 |  | 450769 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Applied Digital Corp., senior note, 144A, 2.75%, 6/01/30 | United States | 98000 |  | 179526 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cloudflare Inc., senior note, zero cpn., 8/15/26 | United States | 302000 |  | 369137 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Core Scientific Inc., senior note, 144A, 3.00%, 9/01/29 | United States | 127000 |  | 193713 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Okta Inc., senior note, 0.375%, 6/15/26 | United States | 68000 |  | 66008 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Par Technology Corp., senior note, 144A, 1.00%, 1/15/30 | United States | 122000 |  | 110532 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shift4 Payments Inc., senior note, 0.50%, 8/01/27 | United States | 340000 |  | 350710 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Snowflake Inc., senior note, 144A, zero cpn., |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10/01/27 | United States | 141000 |  | 224966 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10/01/29 | United States | 81000 |  | 132789 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>Western Digital Corp., senior note, 3.00%, 11/15/28 | United States | 889000 |  | 1982470 |
|  |  |  |  | 4713805 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Leisure Products 0.2%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Peloton Interactive Inc., senior note, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; zero cpn., 2/15/26 | United States | 413000 |  | 403191 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 12/01/29 | United States | 202000 |  | 396930 |
|  |  |  |  | 800121 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Life Sciences Tools & Services 0.1%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Inotiv Inc., senior note, 3.25%, 10/15/27 | United States | 244000 |  | 59933 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Tempus AI Inc., senior note, 144A, 0.75%, 7/15/30 | United States | 203000 |  | 243210 |
|  |  |  |  | 303143 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Machinery 0.1%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>b</sup>The Greenbrier Cos. Inc., senior note, 2.875%, 4/15/28 | United States | 327000 |  | 351443 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

---

| | | | |
|:---|:---|:---|:---|
| | **Country** | **Principal**<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Amount<sup>\*</sup>** | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Convertible Bonds (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Media 0.3%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Liberty Interactive LLC, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior bond, 4.00%, 11/15/29 | United States | 569000 | $56900 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior note, 3.75%, 2/15/30 | United States | 860000 | 81700 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Liberty Media Corp., senior bond, 144A, 2.375%, 9/30/53 | United States | 476000 | 790302 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sirius XM Holdings Inc., senior note, 3.75%, 3/15/28 | United States | 426000 | 445383 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sphere Entertainment Co., senior note, 3.50%, 12/01/28 | United States | 35000 | 52006 |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1426291 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Metals & Mining 0.1%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>B2gold Corp., senior note, 144A, 2.75%, 2/01/30 | Canada | 193000 | 282238 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fortuna Mining Corp., senior note, 3.75%, 6/30/29 | Canada | 125000 | 177000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Silvercorp Metals Inc., senior note, 144A, 4.75%, 12/15/29 | China | 113000 | 154669 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; SSR Mining Inc., senior bond, 2.50%, 4/01/39 | Canada | 82000 | 98200 |
|  |  |  | 712107 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Oil, Gas & Consumable Fuels 0.0%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Solaris Energy Infrastructure Inc., senior note, 4.75%, 5/01/30 | United States | 86000 | 126833 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Pharmaceuticals 0.4%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Amphastar Pharmaceuticals Inc., senior note, 2.00%, 3/15/29 | United States | 108000 | 100267 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>ANI Pharmaceuticals Inc., senior note, 144A, 2.25%, 9/01/29 | United States | 148000 | 211241 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>b</sup>Collegium Pharmaceutical Inc., senior note, 2.875%, 2/15/29 | United States | 493000 | 621476 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>b</sup>Jazz Investments I Ltd., senior note, 2.00%, 6/15/26 | United States | 787000 | 828184 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pacira Biosciences Inc., senior note, 2.125%, 5/15/29 | United States | 286000 | 294122 |
|  |  |  | 2055290 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Professional Services 0.2%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>b</sup>Dayforce Inc., senior note, 0.25%, 3/15/26 | United States | 997000 | 978556 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Real Estate Management & Development 0.1%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>LCI Industries, senior note, 144A, 3.00%, 3/01/30 | United States | 386000 | 422829 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; fStoragevault Canada Inc., senior note, 144A, 5.00%, 3/31/28 | Canada | 296000 CAD | 217126 |
|  |  |  | 639955 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Retail REITs 0.0%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Kite Realty Group LP, senior note, 144A, 0.75%, 4/01/27 | United States | 36000 | 37543 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Semiconductors & Semiconductor Equipment 0.9%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Impinj Inc., senior note, 1.125%, 5/15/27 | United States | 273000 | 479425 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Macom Technology Solutions Holdings Inc., senior note, 0.25%, 3/15/26 | United States | 239000 | 374058 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Microchip Technology Inc., senior note, 0.75%, 6/01/30 | United States | 605000 | 591431 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; On Semiconductor Corp., senior note, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.50%, 3/01/29 | United States | 409000 | 378836 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; zero cpn., 5/01/27 | United States | 622000 | 712967 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Penguin Solutions Inc., senior note, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 2/01/29 | United States | 451000 | 588330 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2.00%, 8/15/30 | United States | 382000 | 426387 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Semtech Corp., senior note, 1.625%, 11/01/27 | United States | 218000 | 362954 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Veeco Instruments Inc., senior note, 2.875%, 6/01/29 | United States | 396000 | 457033 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Vishay Intertechnology Inc., senior note, 2.25%, 9/15/30 | United States | 493000 | 446344 |
|  |  |  | 4817765 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Software 1.3%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Akamai Technologies Inc., senior note, 144A, 0.25%, 5/15/33 | United States | 384000 | 396284 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Alarm.com Holdings Inc., senior note, 2.25%, 6/01/29 | United States | 107000 | 105522 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Alkami Technology Inc., senior note, 144A, 1.50%, 3/15/30 | United States | 34000 | 36968 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bentley Systems Inc., senior note, 0.125%, 1/15/26 | United States | 58000 | 58232 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Bigbear.Ai Holdings Inc., senior secured note, 144A, 6.00%, 12/15/29 | United States | 143000 | 236180 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Bill Holdings Inc., senior note, 144A, zero cpn., 4/01/30 | United States | 614000 | 529882 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Box Inc., senior note, zero cpn., 1/15/26 | United States | 313000 | 397353 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Cloudflare Inc., senior note, 144A, zero cpn., 6/15/30 | United States | 136000 | 152456 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

---

| | | | |
|:---|:---|:---|:---|
| | **Country** | **Principal**<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Amount<sup>\*</sup>** | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Convertible Bonds (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Software (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Digitalocean Holdings Inc., senior note, 144A, zero cpn., 8/15/30 | United States | 351000 | $381467 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dropbox Inc., senior note, zero cpn., |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3/01/26 | United States | 629000 | 623026 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3/01/28 | United States | 396000 | 402112 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Five9 Inc., senior note, 1.00%, 3/15/29 | United States | 238000 | 212156 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Mitek Systems Inc., senior note, 0.75%, 2/01/26 | United States | 533000 | 524204 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Nice Ltd., senior note, zero cpn., 9/15/25 | Israel | 237000 | 236585 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Pagaya Technologies Ltd., senior note, 144A, 6.125%, 10/01/29 | United States | 104000 | 298136 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Porch Group Inc., senior secured note, 144A, 6.75%, 10/01/28 | United States | 250000 | 258875 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>Progress Software Corp., senior note, 3.50%, 3/01/30 | United States | 356000 | 365434 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c</sup>Q2 Holdings Inc., senior note, 0.75%, 6/01/26 | United States | 511000 | 549255 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Rubrik Inc., senior note, 144A, zero cpn., 6/15/30 | United States | 470000 | 493898 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Strategy Inc., senior note, 2.25%, 6/15/32 | United States | 204000 | 374136 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Vertex Inc., senior note, 0.75%, 5/01/29 | United States | 315000 | 323807 |
|  |  |  | 6955968 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Specialty Retail 0.5%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; The Cheesecake Factory Inc., senior note, 0.375%, 6/15/26 | United States | 179000 | 183062 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Etsy Inc., senior note, 0.125%, 9/01/27 | United States | 201000 | 183322 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Gamestop Corp., senior note, 144A, zero cpn., |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4/01/30 | United States | 162000 | 165761 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6/15/32 | United States | 769000 | 777459 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; The Realreal Inc., senior note, 4.00%, 2/15/31 | United States | 196000 | 201586 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Wayfair Inc., senior note, 3.25%, 9/15/27 | United States | 709000 | 973953 |
|  |  |  | 2485143 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Technology Hardware, Storage & Peripherals 0.3%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Super Micro Computer Inc., senior note, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>c,f</sup>144A, 2.25%, 7/15/28 | United States | 518000 | 553590 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.50%, 3/01/29 | United States | 402000 | 397810 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>144A, zero cpn., 6/15/30 | United States | 422000 | 429873 |
|  |  |  | 1381273 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Trading Companies & Distributors 0.2%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Xometry Inc., senior note, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.00%, 2/01/27 | United States | 334000 | 385821 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>144A, 0.75%, 6/15/30 | United States | 305000 | 399122 |
|  |  |  | 784943 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Convertible Bonds (Cost $64,866,423)** |  |  | 71807222 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Convertible Bonds in Reorganization 0.0%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Airlines 0.0%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; e,hGOL Equity Finance SA, senior note, 3.75%, 7/15/24 | Brazil | 348000 |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Automobiles 0.0%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; <sup>e,f,h</sup>Fisker Inc., senior note, 144A, 2.50%, 9/15/26 | United States | 951000 | 4285 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Semiconductors & Semiconductor Equipment 0.0%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>h</sup>Wolfspeed Inc., senior note, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.75%, 5/01/26 | United States | 123000 | 44895 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 0.25%, 2/15/28 | United States | 200000 | 73000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1.875%, 12/01/29 | United States | 238000 | 87465 |
|  |  |  | 205360 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Specialty Retail 0.0%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; <sup>e,f,h</sup>Shift Technologies Inc., senior note, 144A, 4.75%, 5/15/26 | United States | 1014000 | 671 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Convertible Bonds in Reorganization<br>(Cost $1,974,439)** |  |  | 210316 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Country** | **Principal**<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Amount<sup>\*</sup>** | | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Corporate Bonds and Notes 4.0%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Advertising 0.0%<sup>†</sup>** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>WPP Finance 2013, E, senior bond, Reg S, 2.875%, 9/14/46 | United Kingdom | 100000 | GBP | $81302 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Airlines 0.0%<sup>†</sup>** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>GOL Finance Inc., senior secured note, 144A, 14.375%, 6/06/30 | Brazil | 131500 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;134623 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Banks 0.4%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f,i</sup>Akbank TAS, junior sub. note, 144A, 9.369%, Perpetual | Turkey | 536000 |  | 564086 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Asian Development Bank, senior note, zero cpn., 3/03/35 | Supranational <sup>j</sup> | 59920000 |  | 162588 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; European Bank for Reconstruction & Development, zero cpn., |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior note, 3/04/31 | Supranational <sup>j</sup> | 57000000 |  | 316608 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior bond, 7/11/36 | Supranational <sup>j</sup> | 133400000 | TRY | 234359 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Yapi Kredi Bankasi, senior bond, 9.25%, 1/17/34 | Turkey | 537000 |  | 572663 |
|  |  |  |  | 1850304 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Building Products 0.2%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>e,k</sup>Atlas Security Products, zero cpn., 2/08/28 | United States | 1093204 |  | 952658 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Communications Equipment 0.2%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>b</sup>Echostar Corp., senior secured note, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>PIK, 6.75%, 11/30/30 | United States | 638718 |  | 630836 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10.75%, 11/30/29 | United States | 426490 |  | 459400 |
|  |  |  |  | 1090236 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Diversified Telecommunication Services 0.2%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Tele2 AB, E, senior bond, Reg S, 0.75%, 3/23/31 | Sweden | 100000 | EUR | 104826 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>VMED O2 UK Financing I PLC, senior secured bond, Reg S, 4.50%, 7/15/31 | United Kingdom | 550000 | GBP | 679047 |
|  |  |  |  | 783873 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Electric Utilities 0.2%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>XPLR Infrastructure Operating Partners LP, senior note, 144A, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.375%, 1/15/31 | United States | 480000 |  | 502288 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.625%, 3/15/33 | United States | 528000 |  | 557197 |
|  |  |  |  | 1059485 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Financial Services 0.2%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Credicorp Capital Sociedad Titulizadora SA, senior bond, 144A, Reg S, 10.10%, 12/15/43 | Peru | 500000 | PEN | 152152 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>b,f</sup>LBM Acquisition LLC, senior secured note, 144A, 9.50%, 6/15/31 | United States | 583000 |  | 611725 |
|  |  |  |  | 763877 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Food Products 0.0%<sup>†</sup>** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Viking Baked Goods Acquisition Corp., senior secured note, 144A, 8.625%, 11/01/31 | United States | 138000 |  | 137017 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Health Care Providers & Services 0.1%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>CHS/Community Health Systems Inc., senior secured note, 144A, 9.75%, 1/15/34 | United States | 700000 |  | 709826 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Household Durables 0.3%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>b,f</sup>K. Hovnanian Enterprises Inc., senior secured note, 144A, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 9/30/28 | United States | 500000 |  | 507495 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11.75%, 9/30/29 | United States | 1081000 |  | 1170150 |
|  |  |  |  | 1677645 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Information Technology 0.1%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Xerox Holdings Corp., senior note, 144A, 5.50%, 8/15/28 | United States | 542000 |  | 353049 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Insurance 0.0%<sup>†</sup>** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Ardonagh Finco Ltd., senior secured note, Reg S, 6.875%, 2/15/31 | United Kingdom | 194000 | EUR | 237236 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Media 0.1%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>CSC Holdings LLC, senior bond, 144A, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 1/15/30 | United States | 561000 |  | 264133 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Country** | **Principal**<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Amount<sup>\*</sup>** | | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Corporate Bonds and Notes (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Media (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>CSC Holdings LLC, senior bond, 144A, (continued) |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>b</sup>4.625%, 12/01/30 | United States | 21000 |  | $9216 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.00%, 11/15/31 | United States | 24000 |  | 10498 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Ziggo Bond Co. BV, senior bond, 144A, 5.125%, 2/28/30 | Netherlands | 291000 |  | 257153 |
|  |  |  |  | 541000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Metals & Mining 0.1%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f,g</sup>Samarco Mineracao SA, senior note, PIK, Reg S, 9.50%, 6/30/31 | Brazil | 744991 |  | 741886 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Oil, Gas & Consumable Fuels 0.7%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ecopetrol SA, senior note, 7.75%, 2/01/32 | Colombia | 717000 |  | 730352 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>b,f</sup>Moss Creek Resources Holdings Inc., senior note, 144A, 8.25%, 9/01/31 | United States | 650000 |  | 643349 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Petroleos Mexicanos, senior note, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.35%, 2/12/28 | Mexico | 757000 |  | 742656 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.75%, 6/02/29 | Mexico | 506000 |  | 537320 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.70%, 2/16/32 | Mexico | 264000 |  | 253984 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Vital Energy Inc., senior note, 144A, 7.875%, 4/15/32 | United States | 171000 |  | 168594 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Yinson Boronia Production BV, senior secured bond, Reg S, 8.947%, 7/31/42 | Brazil | 568051 |  | 621108 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3697363 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Packaging & Containers 0.1%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>LABL Inc., senior secured note, 144A, 9.50%, 11/01/28 | United States | 320000 |  | 267110 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Passenger Airlines 0.7%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f,g</sup>American Airlines Group Inc., senior secured note, 144A, PIK, 10.75%, 2/15/26 | United States | 3459000 |  | 3466053 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Software 0.1%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>b</sup>X.AI LLC / X.AI Co. Issuer Corp., senior secured note, 12.50%, 6/30/30 | United States | 500000 |  | 498680 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Specialty Retail 0.3%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp; <sup>b,f,g</sup>Guitar Center Inc., senior secured note, 144A, PIK, 8.50%, 1/15/29 | United States | 627900 |  | 486974 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>b,f</sup>S&S Holdings LLC, senior secured note, 144A, 8.375%, 10/01/31 | United States | 832000 |  | 782141 |
|  |  |  |  | 1269115 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Telecommunications 0.0%<sup>†</sup>** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; America Movil SAB de CV, senior note, 10.30%, 1/30/34 | Mexico | 3,810,000l | MXN | 214809 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Corporate Bonds and Notes (Cost $20,316,554)** |  |  |  | 20527147 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Corporate Bonds and Notes in Reorganization 0.1%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Airlines 0.0%<sup>†</sup>** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>h</sup>Azul Secured Finance LLP, senior secured note, 11.93%, 8/28/28 | Brazil | 239000 |  | 58555 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Diversified Telecommunication Services 0.1%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f,h</sup>Ligado Networks LLC, senior secured note, 144A, 15.50%, 7/07/24 | United States | 1772131 |  | 584803 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Real Estate Management & Development 0.0%<sup>†</sup>** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f,h</sup>Kaisa Group Holdings Ltd., Reg S, senior secured note, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11.95%, 10/22/22 | China | 399000 |  | 16958 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.50%, 6/30/22 | China | 420000 |  | 18900 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11.25%, 4/16/25 | China | 537000 |  | 24165 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>h</sup>Zhenro Properties Group Ltd., senior note, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 3/06/23 | China | 981000 |  | 6867 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

---

| | | | |
|:---|:---|:---|:---|
| | **Country** | **Principal**<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Amount<sup>\*</sup>** | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Corporate Bonds and Notes in Reorganization (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Real Estate Management & Development (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>h</sup>Zhenro Properties Group Ltd., senior note, (continued) |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Reg S, 6.63%, 1/07/26 | China | 203000 | $1145 |
|  |  |  | 68035 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Corporate Bonds and Notes in Reorganization<br>(Cost $1,226,937)** |  |  | 711393 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>m</sup>**Senior Floating Rate Interests 2.8%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Building Products 0.0%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cornerstone Building Brands, Inc., Term Loan B, 7.713%, (1-Month SOFR + 3.25%), 4/12/28 | United States | 41319 | 39314 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Communications Equipment 0.1%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>n</sup>CommScope Technologies LLC, Initial Term Loan, 9.066%, (SOFR + 5.25%), 12/17/29 | United States | 439776 | 448365 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ligado Networks LLC, DIP Roll-Up, 17.50%, (fixed), 2/10/26 | United States | 84048 | 75223 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>e</sup>Ligado Networks LLC, DIP New Money Loan, 17.50%, (fixed), 2/10/26 | United States | 88515 | 88515 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>g</sup>Riverbed Technology Inc., Exit Term Loan, PIK, 8.796%, (1- Month SOFR + 4.50%), 7/01/28 | United States | 58237 | 28973 |
|  |  |  | 641076 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Diversified Telecommunication Services 0.0%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>n</sup>Liberty Communications of Puerto Rico LLC, Term Loan B, 8.219%, (SOFR + 3.75%), 10/16/28 | United States | 55348 | 34464 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Financial Services 0.4%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>e</sup>Midcap Financial Issuer Trust, Initial Term Loan, 10.00%, (fixed), 1/07/32 | United States | 2020000 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2067279 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Food & Staples Retailing 0.5%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; H-Food Holdings LLC, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Initial Term Loan, 12.188%, (3-Month SOFR + 3.95%), 9/30/25 | United States | 1000742 | 500371 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Initial Term Loan, 12.50%, (3-Month SOFR + 4.26%), 9/30/25 | United States | 339377 | 169689 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Incremental Term Loan B-3, 13.75%, (3-Month SOFR + 5.26%), 9/30/25 | United States | 49841 | 24920 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Market Bidco Ltd., Facility B4, 9.327%, (1-Day SONIA + 5.36%), 11/04/30 | United Kingdom | 1240000 | 1662493 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>n</sup>Upfield Group BV, Term Loan RC, 6.151%, (3-Month EURIBOR + 3.00%), 10/04/27 | Netherlands | 24963 | 25992 |
|  |  |  | 2383465 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Health Care Providers & Services 0.1%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Gainwell Acquisition Corp, Term Loan B, 8.396%, (1-Month SOFR + 4.10%), 10/01/27 | United States | 701209 | 691216 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Petco Health & Wellness Co. Inc., First Lien Term Loan, 7.807%, (3-Month SOFR + 3.51%), 3/03/28 | United States | 19500 | 18887 |
|  |  |  | 710103 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Household Durables 0.2%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;K. Hovnanian Enterprises, Inc., Initial Term Loan, 10.00%, (fixed), 1/31/28 | United States | 778000 | 785780 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **IT Services 0.1%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Databricks, Inc., Initial Closing Date Term Loan, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.849%, (1-Month SOFR + 4.50%), 12/20/30 | United States | 413483 | 417617 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.809%, (1-Month SOFR + 4.50%), 1/03/31 | United States | 91517 | 92433 |
|  |  |  | 510050 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Country** | **Principal**<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Amount<sup>\*</sup>** | | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp; <sup>m</sup>**Senior Floating Rate Interests (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Leisure Products 0.1%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Peloton Interactive Inc., Initial Term Loan, 9.816%, (1-Month SOFR + 6.00%), 5/30/29 | United States | 550055 |  | $560643 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Media 0.9%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Altice USA Inc., Term Loan B-5, 9.00%, (1-Month SOFR + 2.50%), 4/15/27 | United States | 283173 |  | 277613 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CSC Holdings LLC, Term Loan B, 8.863%, (1-Month SOFR + 4.50%), 1/18/28 | United States | 2715420 |  | 2712664 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; MH Sub I LLC, Bank Debt Term Loan, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.566%, (1-Month SOFR + 4.25%), 5/03/28 | United States | 55195 |  | 51363 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.566%, (1-Month SOFR + 4.25%), 12/31/31 | United States | 43183 |  | 37452 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; X Corp., |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Term Loan B-3, 9.50%, (fixed), 10/26/29 | United States | 776330 |  | 764406 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Term Loan B-1, 10.958%, (3-Month SOFR + 6.65%), 10/26/29 | United States | 761110 |  | 745074 |
|  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4588572 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Packaging & Containers 0.1%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>n</sup>Multi-Color, Initial Term Loan, 9.416%, (1-Month SOFR + 5.10%), 10/30/28 | United States | 858378 |  | 683037 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Software 0.3%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>n</sup>Solera Holdings, First Lien Dollar Term Loan, 8.32%, (1-Month SOFR + 4.00%), 6/02/28 | United States | 1160839 |  | 1107742 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; XAI Holdings, Initial Fixed Rate Term Loan, 12.50%, (fixed), 6/28/30 | United States | 500000 |  | 501017 |
|  |  |  |  | 1608759 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Specialty Retail 0.0%<sup>†</sup>** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Harbor Freight Tools, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Term Loan B, 6.566%, (SOFR + 2.50%), 6/11/31 | United States | 15187 |  | 15028 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Initial Term Loan, 6.606%, (SOFR + 2.50%), 6/11/31 | United States | 6408 |  | 6342 |
|  |  |  |  | 21370 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Senior Floating Rate Interests (Cost $15,097,070)** |  |  |  | 14633912 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Foreign Government and Agency Securities 4.8%** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Development Bank of Kazakhstan JSC, senior note, 144A, 13.489%, 5/23/28 | Kazakhstan | 100000000 | KZT | 171668 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government of Argentina, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior bond, 4.125%, 7/09/46 | Argentina | 1526318 |  | 934870 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior bond, zero cpn., 12/15/35 | Argentina | 7320000 |  | 221064 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior bond, zero cpn., 12/15/35 | Argentina | 2842000 | EUR | 305945 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior note, 0.75%, 7/09/30 | Argentina | 501600 |  | 376877 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government of Colombia, senior bond, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; B, 13.25%, 2/09/33 | Colombia | 3060700000 | COP | 814096 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.75%, 11/07/36 | Colombia | 695000 |  | 713570 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; B, 7.25%, 10/26/50 | Colombia | 1573700000 | COP | 249344 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.375%, 11/07/54 | Colombia | 755000 |  | 768967 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Government of Dominican Republic, senior bond, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 144A, 10.75%, 6/01/36 | Dominican Republic | 42750000 | DOP | 717405 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 144A, 11.25%, 9/15/35 | Dominican Republic | 11150000 | DOP | 192211 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reg S, 10.75%, 6/01/36 | Dominican Republic | 8100000 | DOP | 137884 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government of Ecuador, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>senior bond, Reg S, 6.90%, 7/31/35 | Ecuador | 1564048 |  | 1182843 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior note, 7/31/30 | Ecuador | 751000 |  | 563460 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Country** | **Principal**<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Amount<sup>\*</sup>** | | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Foreign Government and Agency Securities (continued)** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government of Egypt, senior note, zero cpn., 10/02/25 | Egypt | 19200000 | EGP | $370996 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government of El Salvador, senior bond, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.50%, 7/15/52 | El Salvador | 185000 |  | 191706 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Reg S, 9.65%, 11/21/54 | El Salvador | 400000 |  | 418000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Government of Ghana, senior note, Reg S, zero cpn., 7/03/26 | Ghana | 320976 |  | 308620 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government of Indonesia, senior bond, 7.125%, 6/15/38 | Indonesia16,781,000,000 | Indonesia16,781,000,000 | IDR | 1060276 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government of Italy, senior note, 1.25%, 2/17/26 | Italy | 350000 |  | 345406 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Government of Nigeria, senior bond, Reg S, 10.375%, 12/09/34 | Nigeria | 1035000 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1136762 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Government of Pakistan, Reg S, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior bond, 6.875%, 12/05/27 | Pakistan | 652000 |  | 645657 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior note, 6.00%, 4/08/26 | Pakistan | 818000 |  | 815411 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Government of Paraguay, senior bond, 144A, 8.50%, 3/04/35 | Paraguay | 4945000000 | PYG | 648219 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government of Peru, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior note, 6.85%, 8/12/35 | Peru | 1766000 | PEN | 525253 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>senior bond, 144A, 7.60%, 8/12/39 | Peru | 1338000 | PEN | 407186 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Government of Romania, senior bond, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 144A, 6.625%, 5/16/36 | Romania | 1280000 |  | 1281523 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reg S, 6.75%, 7/11/39 | Romania | 775000 | EUR | 924788 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government of South Africa, senior bond, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.50%, 1/31/37 | South Africa | 24127000 | ZAR | 1219751 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.875%, 2/28/35 | South Africa | 5388000 | ZAR | 292312 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Reg S, 7.95%, 11/19/54 | South Africa | 515000 |  | 499619 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government of Sri Lanka, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior bond, 3.60%, 6/15/35 | Sri Lanka | 265000 |  | 213624 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>senior note, Reg S, 3.10%, 1/15/30 | Sri Lanka | 165000 |  | 143235 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>senior note, Reg S, 4.00%, 4/15/28 | Sri Lanka | 69350 |  | 66233 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Government of Tunisia, senior note, Reg S, 6.375%, 7/15/26 | Tunisia | 820000 | EUR | 951499 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government of Turkey, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior bond, 10.117%, 7/24/74 | Turkey | 480000 |  | 515514 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior note, 31.08%, 11/08/28 | Turkey | 6051000 | TRY | 140280 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior note, 26.20%, 10/05/33 | Turkey | 10324000 | TRY | 232729 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior note, 27.70%, 9/27/34 | Turkey | 34568000 | TRY | 806932 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Government of Zambia, senior bond, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.75%, 6/30/33 | Zambia | 1039233 |  | 972981 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Reg S, 0.50%, 12/31/53 | Zambia | 388528 |  | 260612 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Istanbul Metropolitan Municipality, senior note, 10.50%, 12/06/28 | Turkey | 260000 |  | 284763 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Provincia de Buenos Aires, senior bond, Reg S, 6.625%, 9/01/37 | Argentina | 2354861 |  | 1611078 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Provincia de Cordoba, senior note, 144A, 9.75%, 7/02/32 | Argentina | 437000 |  | 440496 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Foreign Government and Agency Securities<br>(Cost $23,177,693)** |  |  |  | 25081665 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Foreign Government and Agency Securities in Reorganization 0.1%** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Foreign Government and Agency Securities in Reorganization 0.1%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f,h</sup>Government of Lebanon, Reg S, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior bond, 6.00%, 1/27/23 | Lebanon | 212000 |  | 41827 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior bond, 6.75%, 11/29/27 | Lebanon | 103000 |  | 20355 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior bond, E, 6.10%, 10/04/22 | Lebanon | 1010000 |  | 198793 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior bond, G, 6.375%, 3/09/20 | Lebanon | 212000 |  | 41923 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior note, G, 6.15%, 6/19/20 | Lebanon | 212000 |  | 41510 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior note, G, 6.25%, 11/04/24 | Lebanon | 212000 |  | 41817 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f,h</sup>Government of Venezuela, senior bond, Reg S, |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.00%, 5/07/23 | Venezuela | 459000 |  | 92420 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.65%, 4/21/25 | Venezuela | 463000 |  | 94498 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11.75%, 10/21/26 | Venezuela | 389000 |  | 91065 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Foreign Government and Agency Securities in<br>Reorganization (Cost $613,385)** |  |  |  | 664208 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

---

| | | | |
|:---|:---|:---|:---|
| | **Country** | **Principal**<br> &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Amount<sup>\*</sup>** | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **U.S. Government and Agency Securities 1.2%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Note, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.875%, 7/31/27 | United States | 194000 | $194819 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 3/31/30 | United States | 4627000 | 4691163 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.00%, 7/31/32 | United States | 3000 | 3014 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.25%, 8/15/35 | United States | 1154000 | 1156434 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total U.S. Government and Agency Securities<br>(Cost $5,978,440)** |  |  | 6045430 |
|  | **Number of<br>Contracts** | **Notional<br> Amount<sup>#</sup>** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Options Purchased 0.1%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Calls - Exchange-Traded 0.1%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Alibaba Group Holding, Ltd., February Strike Price $160.00, Expires 2/20/26 | 97 | 1323565 | 74787 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Barclays PLC, December Strike Price 3.80 GBP, Expires 12/19/25 | 91 | 327964 | 20909 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Barclays PLC, March Strike Price 3.80 GBP, Expires 3/20/26 | 66 | 237864 | 21186 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Deustche Bank AG, December Strike Price 30.00 EUR, Expires 12/19/25 | 71 | 213071 | 19021 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Deustche Bank AG, March Strike Price 30.00 EUR, Expires 3/20/26 | 50 | 150050 | 18368 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Porch Group, Inc., December Strike Price $12.50, Expires 12/19/25 | 3 | 5349 | 1665 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Porch Group, Inc., January Strike Price $15.00, Expires 1/16/26 | 8 | 14264 | 3344 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sable Offshore Corp., September Strike Price $32.50, Expires 9/19/25 | 83 | 188908 | 4980 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sarepta Therapeutics, Inc., November Strike Price $30.00, Expires 11/21/25 | 2 | 3790 | 204 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sarepta Therapeutics, Inc., January Strike Price $30.00, Expires 1/16/26 | 3 | 5685 | 597 |
|  |  |  | 165061 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Puts - Exchange-Traded 0.0%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bloom Energy Corp., September Strike Price $47.00, Expires 9/12/25 | 5 | 26225 | 625 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bloom Energy Corp., January Strike Price $19.00, Expires 1/16/26 | 3 | 5484 | 113 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Booz Allen Hamilton Holding Corp., December Strike Price $55.00, Expires 12/19/25 | 73 | 779275 | 2190 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Booz Allen Hamilton Holding Corp., December Strike Price $65.00, Expires 12/19/25 | 49 | 523075 | 2646 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Booz Allen Hamilton Holding Corp., December Strike Price $70.00, Expires 12/19/25 | 39 | 416325 | 3023 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CoreWeave, Inc., June Strike Price $80.00, Expires 6/18/26 | 40 | 359520 | 61200 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; iShares Russell 2000 ETF, September Strike Price $220.00, Expires 9/19/25 | 261 | 6098787 | 21924 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

---

| | | | |
|:---|:---|:---|:---|
| | **Number of<br>Contracts** | **Notional<br> Amount<sup>#</sup>** | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Options Purchased (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Puts - Exchange-Traded (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Opendoor Technologies, Inc., September Strike Price $3.50, Expires 9/05/25 | 13 | 6669 | $78 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Opendoor Technologies, Inc., September Strike Price $3.00, Expires 9/12/25 | 13 | 6669 | 91 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Opendoor Technologies, Inc., January Strike Price $1.50, Expires 1/16/26 | 27 | 13851 | 432 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; SPDR S&P 500 ETF Trust, September Strike Price $642.00, Expires 9/30/25 | 61 | 3926814 | 47885 |
|  |  |  | 140207 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Options Purchased (Cost $378,601)** |  |  | 305268 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments before Short Term Investments<br>(Cost $232,231,638)** |  |  | &nbsp;&nbsp;&nbsp;&nbsp;253077874 |
|  | **Country** | **Shares** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Short Term Investments 45.0%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Money Market Funds 32.1%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>o,p</sup>Dreyfus Government Cash Management, Institutional, 4.18% | United States | 124811926 | 124811926 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>o</sup>Fidelity Investments Money Market Government Portfolio, Institutional, 4.20% | United States | 42707534 | 42707534 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Money Market Funds (Cost $167,519,460)** |  |  | 167519460 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Investments from Cash Collateral Received for Loaned<br>Securities (Cost $2,758,000) 0.5%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Money Market Fund 0.5%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>o,q</sup>Institutional Fiduciary Trust Money Market Portfolio, 4.25% | United States | 2758000 | 2758000 |
|  |  | **Principal<br>Amount<sup>\*</sup>** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **U.S. Government and Agency Securities 12.4%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>r</sup> U.S. Treasury Bill, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9/02/25 | United States | 8000000 | 8000000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10/07/25 | United States | 6000000 | 5975530 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10/09/25 | United States | 10000000 | 9956936 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10/23/25 | United States | 12000000 | 11930045 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11/06/25 | United States | 11000000 | 10918973 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11/13/25 | United States | 10000000 | 9918629 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 11/20/25 | United States | 8000000 | 7928954 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total U.S. Government and Agency Securities<br>(Cost $64,614,482)** |  |  | 64629067 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Short Term Investments (Cost $234,891,942)** |  |  | &nbsp;&nbsp;&nbsp;&nbsp;234906527 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

---

| | | | |
|:---|:---|:---|:---|
|  | | | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Investments (Cost $467,123,580) 93.6%** |  |  | $487984401 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Options Written (0.0)%<sup>†</sup>** |  |  | (37730) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Securities Sold Short (14.5)%** |  |  | (75882739) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Other Assets, less Liabilities 20.9%** |  |  | 109800723 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Net Assets 100.0%** |  |  | $&nbsp;&nbsp;&nbsp;&nbsp;521864655 |
|  | **Number of<br>Contracts** | **Notional<br> Amount<sup>#</sup>** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Options Written (0.0)%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Calls - Exchange-Traded (0.0)%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CommScope Holding Co., Inc., September Strike Price $15.00, Expires 9/19/25 | 30 | 48360 | (3300) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; CommScope Holding Co., Inc., January Strike Price $15.00, Expires 1/16/26 | 24 | 38688 | (4848) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sable Offshore Corp., September Strike Price $40.00, Expires 9/19/25 | 83 | 188908 | (664) |
|  |  |  | (8812) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Puts - Exchange-Traded (0.0)%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; iShares Russell 2000 ETF, September Strike Price $213.00, Expires 9/19/25 | 261 | 6098787 | (9918) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Porch Group, Inc., January Strike Price $10.00, Expires 1/16/26 | 25 | 44575 | (1188) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; SPDR S&P 500 ETF Trust, September Strike Price $615.00, Expires 9/30/25 | 61 | 3926814 | (17812) |
|  |  |  | (28918) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Options Written (Premiums Received $52,309)** |  |  | (37730) |
|  | **Country** | **Shares** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Securities Sold Short (14.5)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Common Stocks (9.1)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Aerospace & Defense (0.1)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Astronics Corp. | United States | 9927 | (361045) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Air Freight & Logistics (0.0)%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; FedEx Corp. | United States | 1413 | (326502) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Automobile Components (0.1)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; American Axle & Manufacturing Holdings Inc. | United States | 35081 | (204171) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; LCI Industries | United States | 2164 | (228129) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Quantumscape Corp., A | United States | 11214 | (88927) |
|  |  |  | (521227) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

---

| | | | |
|:---|:---|:---|:---|
| | **Country** | **Shares** | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Securities Sold Short (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Common Stocks (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Automobiles (0.3)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ford Motor Co. | United States | 27713 | $(326182) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Mercedes-Benz Group AG | Germany | 11131 | (696632) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Stellantis NV | United States | 34170 | (327188) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Winnebago Industries Inc. | United States | 307 | (11046) |
|  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;(1361048) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Biotechnology (0.2)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bridgebio Pharma Inc. | United States | 10750 | (556420) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dynavax Technologies Corp. | United States | 9763 | (98801) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Exact Sciences Corp. | United States | 1795 | (85119) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pharming Group NV | Netherlands | 52164 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(76711) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; PTC Therapeutics Inc. | United States | 6927 | (341709) |
|  |  |  | (1158760) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Broadline Retail (0.7)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Alibaba Group Holding Ltd., ADR | China | 9510 | (1283850) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sea Ltd., ADR | Singapore | 11835 | (2207701) |
|  |  |  | (3491551) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Building Products (0.0)%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Lennox International, Inc. | United States | 374 | (208640) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Capital Markets (0.2)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ares Capital Corp. | United States | 22148 | (496115) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Coinbase Global Inc., A | United States | 432 | (131561) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Wisdomtree Inc. | United States | 42481 | (578167) |
|  |  |  | (1205843) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Chemicals (0.2)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dow Inc. | United States | 10516 | (259009) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Linde PLC | United States | 1262 | (603602) |
|  |  |  | (862611) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Commercial Services & Supplies (0.0)%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pitney Bowes Inc. | United States | 5783 | (70090) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; TETRA Tech Inc. | United States | 3568 | (129947) |
|  |  |  | (200037) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Communications Equipment (0.3)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Applied Optoelectronics Inc. | United States | 2807 | (67929) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Lumentum Holdings Inc. | United States | 11381 | (1511511) |
|  |  |  | (1579440) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Consumer Finance (0.4)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Encore Capital Group Inc. | United States | 7957 | (332921) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; EZCORP Inc., A | United States | 9881 | (164716) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Qfin Holdings, Inc., ADR | China | 710 | (20675) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; SoFi Technologies Inc. | United States | 37904 | (968068) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Upstart Holdings Inc. | United States | 10160 | (744525) |
|  |  |  | (2230905) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Diversified Telecommunication Services (0.0)%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; AST Spacemobile Inc., A | United States | 4107 | (200997) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

---

| | | | |
|:---|:---|:---|:---|
| | **Country** | **Shares** | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Securities Sold Short (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Common Stocks (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Electric Utilities (0.5)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; American Electric Power Co. Inc. | United States | 6029 | $(669339) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Duke Energy Corp. | United States | 8591 | (1052312) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; The Southern Co. | United States | 8540 | (788242) |
|  |  |  | (2509893) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Electrical Equipment (0.6)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; ABB Ltd. | Switzerland | 13612 | (913517) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bloom Energy Corp., A | United States | 39229 | (2076783) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Plug Power Inc. | United States | 56498 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(88702) |
|  |  |  | (3079002) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Electronic Equipment, Instruments & Components (0.1)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Advanced Energy Industries Inc. | United States | 728 | (108967) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Itron Inc. | United States | 672 | (82616) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; OSI Systems Inc. | United States | 1276 | (293544) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; PAR Technology Corp. | United States | 3125 | (159937) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Vishay Intertechnology Inc. | United States | 7522 | (116290) |
|  |  |  | (761354) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Energy Equipment & Services (0.0)%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Solaris Energy Infrastructure Inc., A | United States | 2745 | (86715) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Transocean Ltd. | United States | 14801 | (44847) |
|  |  |  | (131562) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Entertainment (0.2)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Live Nation Entertainment Inc. | United States | 4648 | (773846) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sphere Entertainment Co. | United States | 800 | (36248) |
|  |  |  | (810094) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Financial Services (0.1)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Affirm Holdings Inc., A | United States | 4289 | (379405) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Euronet Worldwide Inc. | United States | 1611 | (150129) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Repay Holdings Corp., A | United States | 2102 | (12444) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Shift4 Payments Inc., A | United States | 1285 | (116202) |
|  |  |  | (658180) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Food Products (0.1)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Rogers Sugar Inc., Common Subscription Receipt | Canada | 1637 | (7557) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Tyson Foods Inc., A | United States | 5537 | (314391) |
|  |  |  | (321948) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Ground Transportation (0.1)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Lyft Inc., A | United States | 12687 | (205783) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Union Pacific Corp. | United States | 1016 | (227147) |
|  |  |  | (432930) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Health Care Equipment & Supplies (0.2)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Alphatec Holdings Inc. | United States | 20257 | (322086) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Conmed Corp. | United States | 551 | (29952) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; DexCom Inc. | United States | 687 | (51759) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Enovis Corp. | United States | 466 | (14400) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; LivaNova PLC | United States | 1552 | (87486) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Transmedics Group Inc. | United States | 2781 | (319704) |
|  |  |  | (825387) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Health Care Providers & Services (0.0)%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Guardant Health Inc. | United States | 2582 | (174078) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

---

| | | | |
|:---|:---|:---|:---|
| | **Country** | **Shares** | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Securities Sold Short (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Common Stocks (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Health Care Providers & Services (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Hims & Hers Health Inc. | United States | 1936 | $(81990) |
|  |  |  | (256068) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Hotel & Resort REITs (0.0)%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pebblebrook Hotel Trust | United States | 139 | (1549) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Hotels, Restaurants & Leisure (0.6)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Carnival Corp. | United States | 50550 | (1612039) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; The Cheesecake Factory Inc. | United States | 6759 | (415408) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cracker Barrel Old Country Store Inc. | United States | 4239 | (253577) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Expedia Group Inc. | United States | 511 | (109763) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; H World Group Ltd., ADR | China | 2858 | (105317) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Trip.Com Group Ltd., ADR | China | 9070 | (668913) |
|  |  |  | (3165017) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Independent Power & Renewable Electricity Producers (0.1)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; The AES Corp. | United States | 14832 | (200825) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Vistra Corp. | United States | 1809 | (342100) |
|  |  |  | (542925) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Industrial Conglomerates (0.1)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Honeywell International Inc. | United States | 2868 | (629526) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Insurance (0.0)%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ping An Insurance Group Co. of China Ltd., H | China | 32600 | (237349) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Interactive Media & Services (0.0)%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Match Group Inc. | United States | 1636 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(61088) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ziff Davis Inc. | United States | 798 | (30492) |
|  |  |  | (91580) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **IT Services (0.3)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Akamai Technologies Inc. | United States | 6180 | (489023) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Applied Digital Corp. | United States | 11127 | (177810) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bigbear.Ai Holdings, Inc. | United States | 36487 | (184989) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cloudflare Inc., A | United States | 1453 | (303256) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Digitalocean Holdings Inc. | United States | 6461 | (210758) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Snowflake Inc., A | United States | 1235 | (294745) |
|  |  |  | (1660581) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Leisure Products (0.1)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Peloton Interactive Inc., A | United States | 38674 | (293922) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Life Sciences Tools & Services (0.1)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Inotiv Inc. | United States | 18533 | (31321) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Repligen Corp. | United States | 1024 | (125255) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Tempus AI Inc., A | United States | 1793 | (136017) |
|  |  |  | (292593) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Machinery (0.3)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Caterpillar Inc. | United States | 1464 | (613475) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; The Greenbrier Cos. Inc. | United States | 3169 | (147770) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Illinois Tool Works Inc. | United States | 2721 | (720113) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; John Bean Technologies Corp. | United States | 315 | (45136) |
|  |  |  | (1526494) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Media (0.1)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Omnicom Group Inc. | United States | 7296 | (571496) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

---

| | | | |
|:---|:---|:---|:---|
| | **Country** | **Shares** | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Securities Sold Short (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Common Stocks (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Media (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sirius XM Holdings Inc. | United States | 6327 | $(149570) |
|  |  |  | (721066) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Metals & Mining (0.1)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; B2gold Corp. | Canada | 49286 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(203551) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fortuna Mining Corp. | Canada | 15229 | (117263) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Silvercorp Metals Inc. | China | 20098 | (97274) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; SSR Mining Inc. | Canada | 3089 | (59649) |
|  |  |  | (477737) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Multi-Utilities (0.3)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Ameren Corp. | United States | 6316 | (630210) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Public Service Enterprise Group Inc. | United States | 8327 | (685562) |
|  |  |  | (1315772) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Pharmaceuticals (0.2)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Amphastar Pharmaceuticals Inc. | United States | 659 | (20179) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; ANI Pharmaceuticals Inc. | United States | 1624 | (151844) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Collegium Pharmaceutical Inc. | United States | 10094 | (391647) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Jazz Pharmaceuticals PLC | United States | 1736 | (221774) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pacira Biosciences Inc. | United States | 4327 | (115401) |
|  |  |  | (900845) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Real Estate Management & Development (0.1)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Opendoor Technologies Inc. | United States | 71243 | (317031) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Storagevault Canada Inc. | Canada | 5448 | (18962) |
|  |  |  | (335993) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Retail REITs (0.0)%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Kite Realty Group Trust | United States | 815 | (18598) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Semiconductors & Semiconductor Equipment (0.5)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Enphase Energy Inc. | United States | 10249 | (386387) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Impinj Inc. | United States | 2239 | (419745) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Macom Technology Solutions Holdings Inc. | United States | 2896 | (371122) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Microchip Technology Inc. | United States | 1453 | (94445) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; ON Semiconductor Corp. | United States | 8350 | (414077) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Penguin Solutions Inc. | United States | 26779 | (646177) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Semtech Corp. | United States | 4539 | (263671) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Veeco Instruments Inc. | United States | 8773 | (215114) |
|  |  |  | (2810738) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Software (0.8)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; A10 Networks Inc. | United States | 6421 | (113716) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Alarm.Com Holdings Inc. | United States | 598 | (35061) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Alkami Technology Inc. | United States | 705 | (18048) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bentley Systems Inc., B | United States | 159 | (8848) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bill Holdings Inc. | United States | 2322 | (107787) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Bitdeer Technologies Group | United States | 6214 | (88798) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Box Inc., A | United States | 11800 | (385034) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Core Scientific Inc. | United States | 10784 | (154750) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Dropbox Inc., A | United States | 6975 | (202694) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Five9 Inc. | United States | 835 | (22478) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Guidewire Software Inc. | United States | 496 | (107642) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; InterDigital Inc. | United States | 2361 | (641507) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Marathon Digital Holdings Inc. | United States | 10478 | (167438) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Nutanix Inc., A | United States | 7631 | (512880) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Pagaya Technologies, Ltd. | United States | 7033 | (259377) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

---

| | | | |
|:---|:---|:---|:---|
| | **Country** | **Shares** | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Securities Sold Short (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Common Stocks (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Software (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Palo Alto Networks Inc. | United States | 1467 | $(279493) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Porch Group Inc. | United States | 3894 | (66081) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Progress Software Corp. | United States | 2648 | (122576) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; PROS Holdings Inc. | United States | 11976 | (185628) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Q2 Holdings Inc. | United States | 2720 | (214146) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Rubrik Inc., A | United States | 2634 | (235480) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Strategy, Inc., A | United States | 899 | (300635) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Vertex Inc., A | United States | 5227 | (134961) |
|  |  |  | (4365058) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Specialty Retail (0.3)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Gamestop Corp., A | United States | 22537 | (505054) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; The Realreal Inc. | United States | 14438 | (110162) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Wayfair Inc., A | United States | 10484 | (782107) |
|  |  |  | (1397323) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Technology Hardware, Storage & Peripherals (0.5)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Super Micro Computer Inc. | United States | 14343 | (595808) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Western Digital Corp. | United States | 22145 | (1779130) |
|  |  |  | (2374938) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Trading Companies & Distributors (0.1)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Xometry Inc., A | United States | 8532 | (422163) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Water Utilities (0.1)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; American Water Works Co. Inc. | United States | 3161 | (453635) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Common Stocks (Proceeds $43,427,062)** |  |  | (47530426) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Exchange Traded Funds (0.5)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Industrial Select Sector SPDR Fund | United States | 4669 | (709735) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; iShares iBoxx High Yield Corporate Bond ETF | United States | 5434 | (439393) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; iShares MSCI Brazil ETF | Brazil | 14666 | (432647) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Materials Select Sector SPDR Fund | United States | 8996 | (830151) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Exchange Traded Funds (Proceeds $2,129,772)** |  |  | (2411926) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Preferred Stocks (Proceeds $300,751) (0.0)%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Automobiles (0.0)%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Volkswagen AG, pfd., 2.08% | Germany | 2574 | (299942) |
|  |  | **Principal**<br> **Amount<sup>\*</sup>** |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **U.S. Government and Agency Securities (0.7)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Note, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.875%, 3/31/27 | United States | 375000 | (376018) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 4/30/27 | United States | 490000 | (490565) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.75%, 6/30/27 | United States | 703000 | (704236) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.875%, 7/31/27 | United States | 709000 | (711991) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.875%, 4/30/30 | United States | 979000 | (987451) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.875%, 6/30/30 | United States | 349000 | (351904) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3.875%, 7/31/30 | United States | 306000 | (308510) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total U.S. Government and Agency Securities<br>(Proceeds $3,902,985)** |  |  | (3930675) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

---

| | | | |
|:---|:---|:---|:---|
| | **Country** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Principal**<br> **Amount<sup>\*</sup>** | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Securities Sold Short (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Corporate Bonds and Notes (2.9)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Banks (0.1)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f,i</sup>Industrial & Commercial Bank of China Ltd., junior sub. note, Reg S, 3.20% to 9/24/26, FRN thereafter, Perpetual | China | 479000 | $(472138) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Basic Materials (0.2)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Cleveland-Cliffs Inc., senior note, 144A, 7.375%, 5/01/33 | United States | 764000 | (761699) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Building Materials (0.2)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>MIWD Holdco II LLC / MIWD Finance Corp., senior note, 144A, 5.50%, 2/01/30 | United States | 368000 | (362678) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Smyrna Ready Mix Concrete LLC, senior secured note, 144A, 8.875%, 11/15/31 | United States | 684000 | (730134) |
|  |  |  | (1092812) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Chemicals (0.1)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Celanese US Holdings LLC, senior note, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.50%, 4/15/30 | United States | 50000 | (50492) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 6.75%, 4/15/33 | United States | 392000 | (395055) |
|  |  |  | (445547) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Communications Equipment (0.1)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Equipmentshare.Com Inc., senior secured note, 144A, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 9.00%, 5/15/28 | United States | 48000 | (50897) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.00%, 3/15/33 | United States | 371000 | (394462) |
|  |  |  | (445359) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Consumer Cyclical (0.1)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Sabre Glbl Inc., senior secured note, 144A, 10.75%, 11/15/29 | United States | 444000 | (430899) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Electric Utilities (0.2)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Edison International, junior sub. bond, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.125%, 6/15/53 | United States | 451000 | (452288) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 7.875%, 6/15/54 | United States | 313000 | (310203) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>s</sup>PG&E Corp., junior sub. bond, FRN, 7.375%, (US 5 Year CMT T-Note + 3.88%), 3/15/55 | United States | 537000 | (534253) |
|  |  |  | (1296744) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Financial Services (0.6)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Encore Capital Group Inc., senior secured note, 144A, 8.50%, 5/15/30 | United States | 205000 | (216788) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Jefferson Capital Holdings LLC, senior note, 144A, 8.25%, 5/15/30 | United States | 194000 | (203298) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>LBM Acquisition LLC, senior note, 144A, 6.25%, 1/15/29 | United States | 731000 | (671374) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Medline Borrower LP, senior note, 144A, 5.25%, 10/01/29 | United States | 133000 | (131795) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>PRA Group Inc., senior note, 144A, 8.875%, 1/31/30 | United States | 243000 | (255541) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>RFNA LP, senior note, 144A, 7.875%, 2/15/30 | United States | 494000 | (511661) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Wash Multifamily Acquisition Inc., senior secured note, 144A, 5.75%, 4/15/26 | United States | 1085000 | (1085385) |
|  |  |  | (3075842) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Industrial Conglomerates (0.0)%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 3M Co., senior bond, 2.25%, 9/19/26 | United States | 220000 | (215793) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **IT Services (0.3)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Booz Allen Hamilton Inc., |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior bond, 5.95%, 8/04/33 | United States | 488000 | (510176) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; senior bond, 5.95%, 4/15/35 | United States | 551000 | (568425) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>senior note, 144A, 4.00%, 7/01/29 | United States | 488000 | (475524) |
|  |  |  | (1554125) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

---

| | | | |
|:---|:---|:---|:---|
| | **Country** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Principal**<br> **Amount<sup>\*</sup>** | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Securities Sold Short (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Corporate Bonds and Notes (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Media (0.1)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Univision Communications Inc., senior secured note, 144A, 4.50%, 5/01/29 | United States | 730000 | $(685248) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Oil, Gas & Consumable Fuels (0.3)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Helmerich & Payne Inc., senior note, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4.85%, 12/01/29 | United States | 580000 | (578168) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 5.50%, 12/01/34 | United States | 390000 | (375263) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Nabors Industries Ltd., senior note, 144A, 7.50%, 1/15/28 | United States | 173000 | (173809) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Saturn Oil & Gas Inc., senior secured note, 144A, 9.625%, 6/15/29 | Canada | 503000 | (513918) |
|  |  |  | (1641158) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Packaging & Containers (0.1)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>LABL Inc., senior secured note, 144A, 8.625%, 10/01/31 | United States | 813000 | (600933) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Pharmaceuticals (0.3)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Organon & Co. / Organon Foreign Debt Co.-Issuer BV, senior bond, 144A, 5.125%, 4/30/31 | United States | 1626000 | (1394529) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Specialty Retail (0.2)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>f</sup>Victra Holdings LLC / Victra Finance Corp., senior secured note, 144A, 8.75%, 9/15/29 | United States | 988000 | (1036007) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Corporate Bonds and Notes (Proceeds $15,069,679)** |  |  | (15148833) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>m</sup>**Senior Floating Rate Interests (1.3)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Automobile Components (0.4)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>n</sup>First Brands Group LLC, First Lien Term Loan, 10.59%, (3- Month SOFR + 5.00%), 3/30/27 | United States | 2035657 | (1945080) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Building Products (0.0)%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Cornerstone Building Brands, Inc., Term Loan B, 7.713%, (1- Month SOFR + 3.25%), 4/12/28 | United States | 41319 | (39314) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Diversified Telecommunication Services (0.1)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; DTI Holdings Inc., 2025 Refinancing Term Loan, 8.316%, (SOFR + 4.00%), 4/26/29 | United States | 462574 | (442288) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>n</sup>Liberty Communications of Puerto Rico LLC, Term Loan B, 8.219%, (SOFR + 3.75%), 10/16/28 | United States | 163623 | (101885) |
|  |  |  | (544173) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Entertainment (0.1)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Stubhub, Term Loan B, 9.077%, (SOFR + 4.75%), 3/15/30 | United States | 753973 | (731353) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Financial Services (0.0)%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>n</sup>LBM Acquisition LLC, Incremental Term Loan, 9.36%, (SOFR + 5.00%), 6/06/31 | United States | 39126 | (38134) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Health Care Providers & Services (0.2)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Petco Health & Wellness Co. Inc., First Lien Term Loan, 7.807%, (3-Month SOFR + 3.51%), 3/03/28 | United States | 885257 | (857411) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **IT Services (0.2)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>n</sup>Idera, Inc., Bank Debt Term Loan, 7.791%, (SOFR + 3.50%), 3/02/28 | United States | 435263 | (405338) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; SonicWall, Bank Debt Term Loan, 9.329%, (SOFR + 5.00%), 5/18/28 | United States | 634916 | (624732) |
|  |  |  | (1030070) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

---

| | | | |
|:---|:---|:---|:---|
| | **Country** | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Principal**<br> **Amount<sup>\*</sup>** | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Securities Sold Short (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; <sup>m</sup>**Senior Floating Rate Interests (continued)** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Media (0.1)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; MH Sub I LLC, Bank Debt Term Loan, |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.566%, (1-Month SOFR + 4.25%), 5/03/28 | United States | 55195 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(51362) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 8.566%, (SOFR + 4.25%), 12/31/31 | United States | 576060 | (499611) |
|  |  |  | (550973) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Software (0.2)%** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Perforce, Term Loan B, 9.077%, (SOFR + 4.75%), 7/02/29 | United States | 413956 | (394119) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Skopima Consilio Parent LLC, Amendment No. 5 Term Loan, 8.066%, (SOFR + 3.75%), 5/12/28 | United States | 192453 | (181971) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Tungsten Automation, Bank Debt Term Loan, 9.641%, (SOFR + 5.25%), 7/20/29 | United States | 250911 | (226969) |
|  |  |  | (803059) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Specialty Retail (0.0)%<sup>†</sup>** |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Harbor Freight Tools, Term Loan B, 6.566%, (SOFR + 2.50%), 6/11/31 | United States | 21595 | (21370) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Senior Floating Rate Interests (Proceeds $6,695,756)** |  |  | (6560937) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; **Total Securities Sold Short (Proceeds $71,526,005)** |  |  | $(75882739) |

---

---

| | |
|:---|:---|
| <sup>†</sup> | Rounds to less than 0.1% of net assets.  |

---

<sup>\*</sup> The principal amount is stated in U.S. dollars unless otherwise indicated. 

---

| | |
|:---|:---|
| <sup>#</sup> | Notional amount is the number of contracts multiplied by contract size, and may be multiplied by the underlying price. May include currency units, bushels, shares, pounds, barrels or other units. Currency units are stated in U.S. dollars unless otherwise indicated.  |

---

<sup>a</sup> Non-income producing.

<sup>b</sup> A portion or all of the security has been segregated as collateral for securities sold short, open swap contracts, open forward exchange contracts, open futures contracts and/or open written option contracts. At August 31, 2025, the aggregate value of these securities and/or cash pledged amounted to $104,695,704, representing 20.1% of net assets. 

<sup>c</sup> A portion or all of the security is on loan at August 31, 2025.

<sup>d</sup> A portion or all of the security is held in connection with written option contracts open at period end.

<sup>e</sup> Fair valued using significant unobservable inputs. See Note 7 regarding fair value measurements.

<sup>f</sup> Security was purchased pursuant to Rule 144A or Regulation S under the Securities Act of 1933. 144A securities may be sold in transactions exempt from registration only to qualified institutional buyers or in public offering registered under the Securities Act of 1933. Regulation S securities cannot be sold in the United States without either an effective registration statement filed pursuant to the Securities Act of 1933, or pursuant to an exemption from registration. At August 31, 2025, the net value of these securities was $38,195,445, representing 7.3% of net assets. 

<sup>g</sup> Income may be received in additional securities and/or cash.

<sup>h</sup> Defaulted security or security for which income has been deemed uncollectible.

<sup>i</sup> Perpetual security with no stated maturity date.

<sup>j</sup> A supranational organization is an entity formed by two or more central governments through international treaties.

<sup>k</sup> See Note 3 regarding restricted securities.

<sup>l</sup> Principal amount is stated in 100 Mexican Peso Units. 

<sup>m</sup> The coupon rate shown represents the rate inclusive of any caps or floors, if applicable, in effect at period end.

<sup>n</sup> See Note 4 regarding unfunded loan commitments.

<sup>o</sup> The rate shown is the annualized seven-day effective yield at period end.

<sup>p</sup> A portion or all of the security is owned by K2 Holdings Investment Corp., a wholly-owned subsidiary of the Fund. See Note 6. 

<sup>q</sup> See Note 5 regarding investments in affiliated investment companies.

<sup>r</sup> The security was issued on a discount basis with no stated coupon rate.

<sup>s</sup> The coupon rate shown represents the rate at period end.

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

At August 31, 2025, the Fund had the following futures contracts outstanding.

**Futures Contracts** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Description** | **Type** | **Number of<br>Contracts** | **Notional<br>Amount<sup>\*</sup>** | **Expiration<br>Date** | **Value/Unrealized<br>Appreciation<br>(Depreciation)** |
|  **Commodity Contracts<sup>a</sup>** |  |  |  |  |  |
|  Aluminum | Long | 10 | $654388 | 9/15/25 | $24862 |
|  Aluminum | Short | 10 | 654388 | 9/15/25 | (7991) |
|  Aluminum | Long | 7 | 458019 | 12/15/25 | 1569 |
|  Brent Crude Oil | Long | 16 | 1079680 | 9/30/25 | 19172 |
|  Brent Crude Oil | Long | 3 | 200670 | 10/31/25 | 1657 |
|  Canola | Short | 3 | 27367 | 11/14/25 | 2679 |
|  Cocoa | Long | 2 | 143324 | 12/11/25 | (4395) |
|  Cocoa | Short | 1 | 71662 | 12/11/25 | (451) |
|  Cocoa | Short | 2 | 154200 | 12/15/25 | 20985 |
|  Cocoa | Short | 1 | 75020 | 3/16/26 | (2842) |
|  Coffee | Long | 5 | 723938 | 12/18/25 | 123754 |
|  Coffee | Short | 3 | 434362 | 12/18/25 | (88976) |
|  Copper | Long | 7 | 1722903 | 9/15/25 | 55601 |
|  Copper | Short | 7 | 1722903 | 9/15/25 | (13240) |
|  Copper | Long | 5 | &nbsp;&nbsp;&nbsp;&nbsp;1240030 | 12/15/25 | 13325 |
|  Copper | Short | 2 | 496012 | 12/15/25 | (7455) |
|  Copper | Short | 5 | 573812 | 12/29/25 | (12133) |
|  Corn | Short | 97 | 2038212 | 12/12/25 | 71818 |
|  Corn | Short | 15 | 328312 | 3/13/26 | (2146) |
|  Corn | Short | 3 | 67162 | 5/14/26 | &nbsp;&nbsp;&nbsp;&nbsp;4431 |
|  Corn | Short | 4 | 90750 | 7/14/26 | 1979 |
|  Corn | Short | 1 | 22575 | 9/14/26 | (177) |
|  Cotton | Long | 8 | 266160 | 12/08/25 | (4309) |
|  Cotton | Short | 7 | 232890 | 12/08/25 | 4424 |
|  Cotton | Long | 2 | 68440 | 3/09/26 | (845) |
|  ECX Emission | Short | 1 | 85391 | 12/15/25 | 8959 |
|  Frozen Concentrated Orange Juice | Long | 1 | 36682 | 11/07/25 | (212) |
|  Gasoline | Long | 8 | 661550 | 9/30/25 | 4986 |
|  Gasoline | Long | 2 | 160726 | 10/31/25 | 1778 |
|  Gasoline | Long | 1 | 78695 | 11/28/25 | (228) |
|  Gasoline | Long | 1 | 77981 | 12/31/25 | 397 |
|  Gold 100 Oz | Long | 23 | 8087030 | 12/29/25 | 316391 |
|  Hard Red Winter Wheat | Short | 73 | 1897088 | 12/12/25 | 68392 |
|  Hard Red Winter Wheat | Short | 11 | 297413 | 3/13/26 | 8001 |
|  Hard Red Winter Wheat | Short | 3 | 83250 | 5/14/26 | 2318 |
|  Lean Hogs | Short | 12 | 456120 | 10/14/25 | (19916) |
|  Lean Hogs | Short | 7 | 244720 | 12/12/25 | (12525) |
|  Lean Hogs | Short | 4 | 143400 | 2/13/26 | (3259) |
|  Lean Hogs | Short | 2 | 73960 | 4/15/26 | (2194) |
|  Live Cattle | Short | 5 | 479300 | 10/31/25 | (33391) |
|  Live Cattle | Short | 3 | 288930 | 12/31/25 | (28477) |
|  Live Cattle | Short | 2 | 193800 | 2/27/26 | (14564) |
|  Live Cattle | Short | 1 | 96980 | 4/30/26 | (3742) |
|  Low Sulphur Gas Oil | Long | 1 | 67525 | 9/11/25 | 974 |
|  Low Sulphur Gas Oil | Long | 20 | 1345000 | 10/10/25 | 21846 |
|  Low Sulphur Gas Oil | Long | 2 | 132600 | 11/12/25 | 223 |
|  Low Sulphur Gas Oil | Long | 1 | 65100 | 12/11/25 | (26) |
|  Milling Wheat | Short | 1 | 11202 | 9/10/25 | 583 |
|  Milling Wheat | Short | 65 | 737623 | 12/10/25 | 90571 |
|  Milling Wheat | Short | 23 | 270423 | 3/10/26 | 3514 |
|  Milling Wheat | Short | 8 | 96400 | 5/11/26 | 1788 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

**Futures Contracts (continued)** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Description** | **Type** | **Number of<br>Contracts** | **Notional<br>Amount<sup>\*</sup>** | **Expiration<br>Date** | **Value/Unrealized<br>Appreciation<br>(Depreciation)** |
|  **Commodity Contracts<sup>a</sup> (continued)** |  |  |  |  |  |
|  Milling Wheat | Short | 2 | $24685 | 9/10/26 | $548 |
|  Natural Gas | Short | 17 | 509490 | 9/26/25 | (8324) |
|  Natural Gas | Short | 2 | 66660 | 10/29/25 | (1433) |
|  Natural Gas | Short | 2 | 84860 | 12/29/25 | 1957 |
|  NY Harbor Ultra Low Sulfur Diesel | Long | 13 | &nbsp;&nbsp;&nbsp;&nbsp;1239310 | 9/30/25 | 17491 |
|  NY Harbor Ultra Low Sulfur Diesel | Long | 2 | 189949 | 10/31/25 | 1143 |
|  NY Harbor Ultra Low Sulfur Diesel | Long | 1 | 94303 | 11/28/25 | (4857) |
|  Palladium | Long | 2 | 224800 | 12/29/25 | &nbsp;&nbsp;&nbsp;&nbsp;1836 |
|  Platinum | Short | 22 | 1507550 | 10/29/25 | 54123 |
|  Platinum | Short | 1 | 69175 | 1/28/26 | (1252) |
|  Rapeseed | Short | 2 | 54108 | 10/31/25 | 2416 |
|  Rapeseed | Short | 3 | 82303 | 1/30/26 | 2409 |
|  Rapeseed | Short | 2 | 55307 | 4/30/26 | 1374 |
|  Rapeseed | Short | 1 | 26952 | 7/31/26 | 425 |
|  Robusta Coffee | Long | 8 | 385200 | 11/24/25 | 91941 |
|  Robusta Coffee | Long | 1 | 47030 | 1/26/26 | 13569 |
|  Silver | Long | 5 | 1018075 | 12/29/25 | 41998 |
|  Silver | Short | 40 | 8144600 | 12/29/25 | (377122) |
|  Soybean Meal | Short | 1 | 28340 | 10/14/25 | 798 |
|  Soybean Meal | Short | 25 | 722500 | 12/12/25 | 16947 |
|  Soybean Meal | Short | 3 | 87840 | 1/14/26 | (217) |
|  Soybean Meal | Short | 2 | 59840 | 3/13/26 | 136 |
|  Soybean Meal | Short | 1 | 30450 | 5/14/26 | (1632) |
|  Soybean Meal | Short | 1 | 30940 | 7/14/26 | (282) |
|  Soybean Oil | Short | 3 | 93060 | 10/14/25 | 6263 |
|  Soybean Oil | Long | 9 | 281556 | 12/12/25 | (11672) |
|  Soybean Oil | Short | 17 | 531828 | 12/12/25 | 2806 |
|  Soybean Oil | Short | 2 | 62904 | 1/14/26 | 2576 |
|  Soybean Oil | Short | 1 | 31620 | 3/13/26 | 220 |
|  Soybean Oil | Short | 1 | 31674 | 5/14/26 | (290) |
|  Soybeans | Short | 50 | 2636250 | 11/14/25 | (11988) |
|  Soybeans | Short | 4 | 214500 | 1/14/26 | (4496) |
|  Soybeans | Short | 2 | 108700 | 3/13/26 | (3404) |
|  Soybeans | Short | 1 | 54950 | 5/14/26 | (302) |
|  Soybeans | Short | 1 | 55425 | 7/14/26 | (365) |
|  Sugar | Short | 65 | 1191736 | 9/30/25 | 10699 |
|  Sugar | Short | 12 | 228614 | 2/27/26 | 5046 |
|  Sugar | Short | 1 | 18715 | 4/30/26 | (327) |
|  UK Natural Gas | Long | 5 | 163052 | 9/29/25 | 700 |
|  Wheat | Short | 39 | 1041788 | 12/12/25 | 69801 |
|  Wheat | Short | 4 | 110400 | 3/13/26 | 2679 |
|  Wheat | Short | 1 | 28125 | 5/14/26 | (290) |
|  Wheat | Short | 1 | 28550 | 7/14/26 | (102) |
|  White Sugar | Short | 9 | 221715 | 9/15/25 | (9256) |
|  White Sugar | Short | 6 | 143310 | 11/14/25 | (3352) |
|  White Sugar | Short | 2 | 47140 | 2/13/26 | (337) |
|  WTI Crude Oil | Long | 1 | 64010 | 9/19/25 | (71) |
|  WTI Crude Oil | Long | 15 | 960150 | 9/22/25 | (44) |
|  WTI Crude Oil | Long | 2 | 126920 | 10/20/25 | 1428 |
|  WTI Crude Oil | Long | 4 | 253840 | 10/21/25 | 3294 |
|  WTI Crude Oil | Long | 1 | 62990 | 11/19/25 | (1551) |
|  WTI Crude Oil | Long | 5 | 314950 | 11/20/25 | (5058) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

**Futures Contracts (continued)** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Description** | **Type** | **Number of<br>Contracts** | **Notional<br>Amount<sup>\*</sup>** | **Expiration<br>Date** | **Value/Unrealized<br>Appreciation<br>(Depreciation)** |
|  **Commodity Contracts<sup>a</sup> (continued)** |  |  |  |  |  |
|  Zinc | Long | 9 | $636005 | 9/15/25 | $14848 |
|  Zinc | Short | 9 | 636005 | 9/15/25 | (11859) |
|  Zinc | Long | 4 | 282220 | 12/15/25 | (1469) |
|  |  |  |  |  | &nbsp;&nbsp;&nbsp;&nbsp;521602 |
|  **Currency Contracts** |  |  |  |  |  |
|  Australian Dollar Index<sup>a</sup> | Short | 70 | 4583250 | 9/15/25 | (49503) |
|  British Pound Index<sup>a</sup> | Long | 242 | &nbsp;&nbsp;&nbsp;&nbsp;20438412 | 9/15/25 | (41875) |
|  Canadian Dollar Index<sup>a</sup> | Short | 237 | 17277300 | 9/16/25 | 179990 |
|  EUR/CZK<sup>a</sup> | Long | 4 | 765097 | 9/15/25 | 13010 |
|  EUR/HUF<sup>a</sup> | Long | 14 | 1237536 | 9/15/25 | 30481 |
|  EUR/NOK<sup>a</sup> | Long | 8 | 1171142 | 9/15/25 | 19163 |
|  EUR/PLN<sup>a</sup> | Long | 12 | 1644507 | 9/15/25 | 16997 |
|  EUR/SEK<sup>a</sup> | Short | 1 | 146171 | 9/15/25 | (1057) |
|  Euro Index<sup>a</sup> | Short | 114 | 16687463 | 9/15/25 | (16348) |
|  ICE U.S. Dollar Index<sup>a</sup> | Short | 3 | 293070 | 9/15/25 | 1823 |
|  Japanese Yen Index | Long | 20 | 1703375 | 9/15/25 | (45174) |
|  Japanese Yen Index<sup>a</sup> | Short | 17 | 1447869 | 9/15/25 | 590 |
|  Mexican Peso Index<sup>a</sup> | Long | 164 | 4389460 | 9/15/25 | 107443 |
|  New Israeli Shekel Index<sup>a</sup> | Short | 6 | 1792860 | 9/15/25 | (57945) |
|  New Zealand Dollar Index<sup>a</sup> | Short | 38 | 2243710 | 9/15/25 | 20522 |
|  South African Rand Index<sup>a</sup> | Long | 30 | 849750 | 9/15/25 | 7988 |
|  Swiss Franc Index<sup>a</sup> | Short | 86 | 13462225 | 9/15/25 | (122594) |
|  U.S. Dollar Index<sup>a</sup> | Long | 100 | 998597 | 9/15/25 | 5178 |
|  |  |  |  |  | 68689 |
|  **Equity Contracts** |  |  |  |  |  |
|  CAC 40 10 Euro Index<sup>a</sup> | Long | 18 | 1624326 | 9/19/25 | (24019) |
|  CAC 40 10 Euro Index<sup>a</sup> | Short | 18 | 1624326 | 9/19/25 | 10682 |
|  CBOE Volatility Index<sup>a</sup> | Long | 33 | 565917 | 9/17/25 | (74292) |
|  CBOE Volatility Index<sup>a</sup> | Long | 18 | 348196 | 10/22/25 | (13936) |
|  CBOE Volatility Index<sup>a</sup> | Long | 5 | 101068 | 11/19/25 | (2391) |
|  CBOE Volatility Index<sup>a</sup> | Long | 1 | 20502 | 12/17/25 | 100 |
|  DAX Index<sup>a</sup> | Long | 4 | 2802849 | 9/19/25 | 45423 |
|  DJ EURO STOXX 50 Index<sup>a</sup> | Long | 23 | 1442792 | 9/19/25 | (6979) |
|  DJ EURO STOXX 50 Index<sup>a</sup> | Short | 26 | 1630983 | 9/19/25 | (11386) |
|  DJIA Mini E-CBOT Index<sup>a</sup> | Long | 5 | 1140025 | 9/19/25 | 16099 |
|  DJIA Mini E-CBOT Index<sup>a</sup> | Short | 5 | 1140025 | 9/19/25 | (28328) |
|  E-Mini Russell 2000<sup>a</sup> | Long | 14 | 1658860 | 9/19/25 | 39471 |
|  E-Mini Russell 2000<sup>a</sup> | Short | 42 | 4976580 | 9/19/25 | (362491) |
|  E-Mini S&P MidCap 400 Index<sup>a</sup> | Short | 3 | 977550 | 9/19/25 | (42064) |
|  FTSE 100 Index<sup>a</sup> | Short | 36 | 4485503 | 9/19/25 | (52541) |
|  FTSE China A50 Index<sup>a</sup> | Long | 292 | 4375620 | 9/29/25 | 1956 |
|  FTSE Taiwan Index<sup>a</sup> | Long | 12 | 962880 | 9/26/25 | (2492) |
|  FTSE/JSE Top 40 Index<sup>a</sup> | Short | 16 | 853832 | 9/18/25 | (50353) |
|  FTSE/MIB Index<sup>a</sup> | Long | 3 | 741390 | 9/19/25 | 49215 |
|  Hang Seng China Enterprises Index<sup>a</sup> | Long | 24 | 1374639 | 9/29/25 | (38478) |
|  Hang Seng Index<sup>a</sup> | Long | 31 | 4975390 | 9/29/25 | (123777) |
|  IBEX 35 Index<sup>a</sup> | Short | 17 | 2976983 | 9/19/25 | 11353 |
|  KOSPI 200 Index<sup>a</sup> | Long | 25 | 1935803 | 9/11/25 | 34824 |
|  Mini TOPIX Index | Short | 31 | 648141 | 9/11/25 | (59217) |
|  MSCI Emerging Markets Index<sup>a</sup> | Long | 29 | 1834105 | 9/19/25 | 87034 |
|  MSCI Singapore Index<sup>a</sup> | Long | 25 | 865190 | 9/29/25 | (1482) |
|  NASDAQ 100 E-Mini Index<sup>a</sup> | Long | 25 | 11730875 | 9/19/25 | 517425 |
|  NIKKEI 225 Index<sup>a</sup> | Long | 1 | 290497 | 9/11/25 | 2514 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

**Futures Contracts (continued)** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Description** | **Type** | **Number of<br>Contracts** | **Notional<br>Amount<sup>\*</sup>** | **Expiration<br>Date** | **Value/Unrealized<br>Appreciation<br>(Depreciation)** |
|  **Equity Contracts (continued)** |  |  |  |  |  |
|  NIKKEI 225 Index<sup>a</sup> | Short | 74 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4067011 | 9/11/25 | $(403694) |
|  NSE IFSC Nifty 50 Index<sup>a</sup> | Long | 8 | 392848 | 9/30/25 | (7476) |
|  S&P 500 E-Mini Index<sup>a</sup> | Long | 67 | 21683712 | 9/19/25 | 990335 |
|  S&P 500 E-Mini Index | Short | 7 | 2265462 | 9/19/25 | 6205 |
|  S&P/TSX 60 Index<sup>a</sup> | Long | 13 | 3210267 | 9/18/25 | 213788 |
|  SPI 200 Index<sup>a</sup> | Short | 1 | 146221 | 9/18/25 | (6723) |
|  TOPIX Index<sup>a</sup> | Long | 14 | 2927086 | 9/11/25 | 180468 |
|  |  |  |  |  | 894773 |
|  **Interest Rate Contracts** |  |  |  |  |  |
|  3 Month EURIBOR<sup>a</sup> | Short | 27 | 7742056 | 12/15/25 | (3272) |
|  3 Month EURIBOR<sup>a</sup> | Short | 21 | 6025284 | 3/16/26 | (4620) |
|  3 Month EURIBOR<sup>a</sup> | Short | 21 | 6026819 | 6/15/26 | (12177) |
|  3 Month EURIBOR<sup>a</sup> | Short | 18 | 5165319 | 9/14/26 | (8935) |
|  3 Month EURIBOR<sup>a</sup> | Long | 90 | 25816065 | 12/14/26 | (10469) |
|  3 Month EURIBOR<sup>a</sup> | Short | 15 | 4302677 | 12/14/26 | (14323) |
|  3 Month EURIBOR<sup>a</sup> | Short | 9 | 2580027 | 3/15/27 | (9789) |
|  3 Month EURIBOR<sup>a</sup> | Short | 6 | 1718877 | 6/14/27 | (2700) |
|  3 Month EURIBOR<sup>a</sup> | Short | 3 | 858825 | 9/13/27 | 287 |
|  3 Month SOFR<sup>a</sup> | Short | 102 | 24538650 | 3/17/26 | 489 |
|  3 Month SOFR<sup>a</sup> | Short | 93 | 22432762 | 6/16/26 | (12736) |
|  3 Month SOFR<sup>a</sup> | Short | 105 | 25398187 | 9/15/26 | (50140) |
|  3 Month SOFR<sup>a</sup> | Short | 101 | 24476087 | 12/15/26 | (59359) |
|  3 Month SOFR<sup>a</sup> | Short | 184 | 44631500 | 3/16/27 | (96385) |
|  3 Month SOFR<sup>a</sup> | Short | 75 | 18197812 | 6/15/27 | (57125) |
|  3 Month SOFR<sup>a</sup> | Short | 68 | 16496800 | 9/14/27 | (57390) |
|  3 Month SOFR<sup>a</sup> | Short | 51 | 12367500 | 12/14/27 | (43468) |
|  3 Month SONIA<sup>a</sup> | Short | 16 | 5198527 | 3/17/26 | 4438 |
|  3 Month SONIA<sup>a</sup> | Short | 13 | 4229294 | 6/16/26 | 4614 |
|  3 Month SONIA<sup>a</sup> | Short | 16 | 5209610 | 9/15/26 | 3502 |
|  3 Month SONIA<sup>a</sup> | Short | 13 | 4234785 | 12/15/26 | 5079 |
|  3 Month SONIA<sup>a</sup> | Short | 13 | 4235663 | 3/16/27 | 6757 |
|  ASX 90 Day Bank Accepted Bill<sup>a</sup> | Long | 13 | 8438771 | 12/11/25 | 2302 |
|  ASX 90 Day Bank Accepted Bill<sup>a</sup> | Long | 8 | 5194614 | 3/12/26 | 1877 |
|  ASX 90 Day Bank Accepted Bill<sup>a</sup> | Long | 5 | 3247031 | 6/11/26 | 2398 |
|  ASX 90 Day Bank Accepted Bill<sup>a</sup> | Long | 4 | 2597625 | 9/10/26 | 1145 |
|  ASX 90 Day Bank Accepted Bill<sup>a</sup> | Long | 2 | 1298717 | 12/10/26 | 51 |
|  Australian 3 Yr. Bond<sup>a</sup> | Long | 52 | 3652477 | 9/15/25 | (2872) |
|  Australian 10 Yr. Bond<sup>a</sup> | Long | 45 | 3348483 | 9/15/25 | (11766) |
|  Australian 10 Yr. Bond<sup>a</sup> | Short | 43 | 3199662 | 9/15/25 | 6503 |
|  Canadian 2 Yr. Bond<sup>a</sup> | Short | 21 | 1614355 | 12/18/25 | (1202) |
|  Canadian 10 Yr. Bond<sup>a</sup> | Long | 33 | 2895715 | 12/18/25 | 15488 |
|  Euro-BOBL<sup>a</sup> | Long | 305 | 41912063 | 9/08/25 | &nbsp;&nbsp;&nbsp;&nbsp;(197506) |
|  Euro-Bund<sup>a</sup> | Long | 150 | 22734106 | 9/08/25 | (223949) |
|  Euro-Buxl<sup>a</sup> | Short | 34 | 4532946 | 9/08/25 | 253930 |
|  Euro-OAT<sup>a</sup> | Long | 17 | 2424585 | 9/08/25 | (47052) |
|  Euro-Schatz<sup>a</sup> | Long | 134 | 16783450 | 9/08/25 | (53606) |
|  Euro-Schatz<sup>a</sup> | Short | 41 | 5135235 | 9/08/25 | 3792 |
|  Euro-Schatz<sup>a</sup> | Short | 14 | 1755215 | 12/08/25 | 75 |
|  Japanese 10 Yr. Bond<sup>a</sup> | Long | 14 | 1310592 | 9/11/25 | (8921) |
|  Japanese 10 Yr. Bond<sup>a</sup> | Long | 2 | 1871866 | 9/12/25 | (12756) |
|  Japanese 10 Yr. Bond<sup>a</sup> | Short | 4 | 3743731 | 9/12/25 | 5873 |
|  Korean 3 Yr. Bond<sup>a</sup> | Long | 6 | 463255 | 9/16/25 | 501 |
|  Korean 10 Yr. Bond<sup>a</sup> | Short | 15 | 1280813 | 9/16/25 | (7131) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

**Futures Contracts (continued)** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Description** | **Type** | **Number of<br>Contracts** | **Notional<br>Amount<sup>\*</sup>** | **Expiration<br>Date** | **Value/Unrealized<br>Appreciation<br>(Depreciation)** |
|  **Interest Rate Contracts (continued)** |  |  |  |  |  |
|  Long Gilt<sup>a</sup> | Long | 56 | $6851426 | 12/29/25 | $7929 |
|  U.S. Treasury 2 Yr. Note | Long | 108 | 22522218 | 12/31/25 | &nbsp;&nbsp;&nbsp;&nbsp;24646 |
|  U.S. Treasury 2 Yr. Note<sup>a</sup> | Short | 303 | 63187336 | 12/31/25 | (49800) |
|  U.S. Treasury 5 Yr. Note | Long | 40 | 4378750 | 12/31/25 | 11171 |
|  U.S. Treasury 5 Yr. Note<sup>a</sup> | Short | 185 | &nbsp;&nbsp;&nbsp;&nbsp;20251719 | 12/31/25 | (56490) |
|  U.S. Treasury 10 Yr. Note<sup>a</sup> | Short | 52 | 5850000 | 12/19/25 | (3423) |
|  U.S. Treasury 10 Yr. Ultra<sup>a</sup> | Short | 2 | 228812 | 12/19/25 | (1025) |
|  U.S. Treasury Long Bond<sup>a</sup> | Long | 7 | 799750 | 12/19/25 | 752 |
|  U.S. Treasury Long Bond<sup>a</sup> | Short | 27 | 3084750 | 12/19/25 | (7940) |
|  U.S. Treasury Ultra Bond<sup>a</sup> | Long | 35 | 4079688 | 12/19/25 | (2645) |
|  |  |  |  |  | (767373) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Futures Contracts |  |  |  |  | $717691 |

---

\*As of period end.

<sup>a</sup>A portion or all of the contracts are owned by K2 Holdings Investment Corp., a wholly-owned subsidiary of the Fund. See Note 6.

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

At August 31, 2025, the Fund had the following forward exchange contracts outstanding.

**Forward Exchange Contracts** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Counterparty<sup>a</sup>** | **Type** | **Quantity** | **Contract**<br> **Amount<sup>\*</sup>** | **Settlement**<br> **Date** | **Unrealized**<br> **Appreciation** | **Unrealized**<br> **Depreciation** |
|  **OTC Forward Exchange Contracts** |  |  |  |  |  |  |  |
|  Australian Dollar<sup>b</sup> | MSCO | Buy | 9128000 | 5970609 | &nbsp;&nbsp;&nbsp;&nbsp;9/17/25 | $18832 | $(13836) |
|  Australian Dollar<sup>b</sup> | MSCO | Sell | 15043000 | 9815848 | 9/17/25 | 1704 | (33687) |
|  British Pound | GSCO | Sell | 61000 | 82943 | 9/17/25 | 482 |  |
|  British Pound | JPHQ | Sell | 2324000 | 3147747 | 9/17/25 | 8966 | (2850) |
|  British Pound<sup>b</sup> | MSCO | Buy | 10448000 | 14133069 | 9/17/25 | 11838 | (21090) |
|  British Pound<sup>b</sup> | MSCO | Sell | 6269000 | 8428092 | 9/17/25 | 21513 | (67982) |
|  Canadian Dollar<sup>b</sup> | MSCO | Buy | 7341000 | 5386216 | 9/17/25 | 1001 | (37519) |
|  Canadian Dollar<sup>b</sup> | MSCO | Sell | 15097000 | 11044357 | 9/17/25 | 61331 | (18804) |
|  Euro | GSCO | Sell | 80000 | 93331 | 9/17/25 |  | (364) |
|  Euro | JPHQ | Buy | 1460000 | 1707270 | 9/17/25 | 7742 | (5090) |
|  Euro | JPHQ | Sell | 4028000 | 4647121 | 9/17/25 | 464 | (70856) |
|  Euro<sup>b</sup> | MSCO | Buy | 11146000 | 13009083 | 9/17/25 | &nbsp;&nbsp;&nbsp;&nbsp;61117 | (16238) |
|  Euro<sup>b</sup> | MSCO | Sell | 7285000 | 8501129 | 9/17/25 | 7540 | (38452) |
|  Japanese Yen<sup>b</sup> | MSCO | Buy | 654997000 | 4480136 | 9/17/25 | 5101 | (19692) |
|  Japanese Yen<sup>b</sup> | MSCO | Sell | 1080478000 | 7381243 | 9/17/25 | 37511 | (22598) |
|  Mexican Peso<sup>b</sup> | MSCO | Buy | 37507000 | 1961548 | 9/17/25 | 44491 | (115) |
|  Mexican Peso<sup>b</sup> | MSCO | Sell | 4177000 | 220248 | 9/17/25 |  | (3145) |
|  New Zealand Dollar<sup>b</sup> | MSCO | Buy | 2118000 | 1277438 | 9/17/25 | 125 | (27285) |
|  New Zealand Dollar<sup>b</sup> | MSCO | Sell | 5413000 | 3251791 | 9/17/25 | 56498 | (62) |
|  Swiss Franc<sup>b</sup> | MSCO | Buy | 6276000 | 7764400 | 9/17/25 | 97973 | (2353) |
|  Swiss Franc<sup>b</sup> | MSCO | Sell | 2945000 | 3671237 | 9/17/25 | 4634 | (21696) |
|  British Pound | BZWS | Buy | 1289000 | 1740557 | 9/19/25 | 3813 | (1841) |
|  British Pound | BZWS | Sell | 3445000 | 4644656 | 9/19/25 | 2017 | (14472) |
|  Canadian Dollar | BZWS | Buy | 4552000 | 3301308 | 9/19/25 | 16297 | (46) |
|  Canadian Dollar | BZWS | Sell | 5772000 | 4256197 | 9/19/25 | 50317 | (829) |
|  Euro | BZWS | Buy | 202000 | 236505 | 9/19/25 | 479 | (375) |
|  Euro | BZWS | Sell | 2556000 | 2971789 | 9/19/25 | 141 | (22271) |
|  Hong Kong Dollar | BZWS | Buy | 4717000 | 605048 | 9/19/25 | 442 |  |
|  Hong Kong Dollar | BZWS | Sell | 4717000 | 604516 | 9/19/25 |  | (974) |
|  Australian Dollar | BNYM | Sell | 840000 | 540628 | 9/25/25 |  | (9351) |
|  Canadian Dollar | BNYM | Sell | 192000 | 140316 | 9/25/25 | 343 |  |
|  Euro | BNYM | Buy | 769000 | 898483 | 9/25/25 | 2616 |  |
|  Euro | BNYM | Sell | 875000 | 1014058 | 9/25/25 |  | (11250) |
|  Brazilian Real | MSCO | Buy | 598707 | 105730 | 10/15/25 | 3456 |  |
|  Brazilian Real | MSCO | Sell | 6236410 | 1106368 | 10/15/25 | 4 | (30964) |
|  Chilean Peso | JPHQ | Buy | 2007528341 | 2157057 | 10/16/25 |  | (80438) |
|  Chinese Yuan | JPHQ | Buy | 25696679 | 3610000 | 10/16/25 | 5682 | (597) |
|  Chinese Yuan | JPHQ | Sell | 12648779 | 1765689 | 10/16/25 |  | (13778) |
|  Colombian Peso | JPHQ | Sell | 5220615763 | 1260337 | 10/16/25 |  | (32643) |
|  Euro | JPHQ | Buy | 3529656 | 4146733 | 10/16/25 | 9082 | (14175) |
|  Euro | JPHQ | Sell | 2137862 | 2519743 | 10/16/25 | 11210 |  |
|  Indian Rupee | JPHQ | Buy | 95765447 | 1089999 | 10/16/25 |  | (6898) |
|  Indonesian Rupiah | JPHQ | Buy | 10091230144 | 620018 | 10/16/25 |  | (8621) |
|  Indonesian Rupiah | JPHQ | Sell | 29669250000 | 1790000 | 10/16/25 |  | (7571) |
|  Japanese Yen | JPHQ | Buy | 43100695 | 301976 | 10/16/25 |  | (7161) |
|  Kazakhstan Tenge | CITI | Sell | 94153367 | 175561 | 10/16/25 | 3264 |  |
|  Malaysian Ringgit | BZWS | Buy | 11461897 | 2726909 | 10/16/25 |  | (9368) |
|  Malaysian Ringgit | BZWS | Sell | 7235694 | 1710000 | 10/16/25 |  | (5536) |
|  Malaysian Ringgit | JPHQ | Buy | 3345115 | 795225 | 10/16/25 |  | (2120) |
|  Mexican Peso | JPHQ | Buy | 53045875 | 2784628 | 10/16/25 | 44102 | (491) |
|  Mexican Peso | JPHQ | Sell | 4091047 | 217439 | 10/16/25 |  | (683) |
|  Peruvian Nuevo Sol | JPHQ | Buy | 6265286 | 1761874 | 10/16/25 | 10018 | (503) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

**Forward Exchange Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Currency** | **Counterparty<sup>a</sup>** | **Type** | **Quantity** | **Contract** <br> **Amount<sup>\*</sup>**  | **Settlement**<br> **Date** | **Unrealized**<br> **Appreciation** | **Unrealized**<br> **Depreciation** |
|  **OTC Forward Exchange Contracts (continued)** | **OTC Forward Exchange Contracts (continued)** | **OTC Forward Exchange Contracts (continued)** |  |  |  |  |  |
|  Peruvian Nuevo Sol | JPHQ | Sell | 16859648 | 4732091 | &nbsp;&nbsp;&nbsp;&nbsp;10/16/25 | $– | $(34648) |
|  Polish Zloty | JPHQ | Buy | 2623865 | 710000 | 10/16/25 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;9588 |  |
|  Polish Zloty | JPHQ | Sell | 3222127 | 888024 | 10/16/25 | 4365 |  |
|  South African Rand | JPHQ | Buy | 26587175 | 1468936 | 10/16/25 | 33464 |  |
|  South African Rand | JPHQ | Sell | 13115663 | 727275 | 10/16/25 |  | (13871) |
|  South Korean Won | JPHQ | Buy | 5948720100 | 4376686 | 10/16/25 | 2385 | (89527) |
|  South Korean Won | JPHQ | Sell | 2124602370 | 1530000 | 10/16/25 |  | (2023) |
|  Turkish Lira | JPHQ | Buy | 8638121 | 196613 | 10/16/25 | 4914 |  |
|  Turkish Lira | JPHQ | Sell | 3008246 | 68727 | 10/16/25 |  | (1455) |
|  Chinese Yuan | MSCO | Sell | 5200000 | 729812 | 10/31/25 |  | (3772) |
|  Indonesian Rupiah | MSCO | Sell | 1800000000 | 109529 | 10/31/25 | 510 |  |
|  Japanese Yen | MSCO | Sell | 60000000 | 408965 | 10/31/25 |  | (2149) |
|  Malaysian Ringgit | MSCO | Sell | 1450000 | 342983 | 10/31/25 |  | (990) |
|  Singapore Dollar | MSCO | Sell | 200000 | 156872 | 10/31/25 | 220 |  |
|  South Korean Won | MSCO | Sell | 225000000 | 163076 | 10/31/25 | 695 |  |
|  Taiwan Dollar | MSCO | Buy | 6500000 | 215158 | 10/31/25 |  | (1450) |
|  Thai Baht | MSCO | Buy | 6000000 | 186636 | 10/31/25 |  | (472) |
|  Thai Baht | MSCO | Sell | 16500000 | 512789 | 10/31/25 | 839 |  |
|  Brazilian Real | JPHQ | Buy | 10044022 | 1754690 | 11/04/25 | 68405 |  |
|  Chinese Yuan | MSCO | Sell | 20437883 | 2862732 | 11/14/25 |  | (17675) |
|  South Korean Won | MSCO | Buy | 138899699 | 101367 | 11/20/25 |  | (1020) |
|  British Pound | MSCO | Sell | 1850000 | 2492228 | 11/28/25 |  | (9525) |
|  Danish Krone | MSCO | Sell | 800000 | 125397 | 11/28/25 |  | (793) |
|  Euro | MSCO | Sell | 950000 | 1110355 | 11/28/25 |  | (7219) |
|  Norwegian Krone | MSCO | Sell | 5000000 | 492089 | 11/28/25 |  | (5524) |
|  Swedish Krona | MSCO | Sell | 4100000 | 429656 | 11/28/25 |  | (5991) |
|  Swiss Franc | MSCO | Sell | 1000000 | 1254395 | 11/28/25 |  | (8939) |
| &nbsp;&nbsp;&nbsp;&nbsp; Total Forward Exchange Contracts |  |  |  |  |  | $737531 | $(913713) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net unrealized appreciation (depreciation) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net unrealized appreciation (depreciation) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Net unrealized appreciation (depreciation) |  |  |  |  | $(176182) |

---

\*In U.S. dollars unless otherwise indicated.

<sup>a</sup>May be comprised of multiple contracts with the same counterparty, currency and settlement date.

<sup>b</sup>A portion or all of the contracts are owned by K2 Holdings Investment Corp., a wholly-owned subsidiary of the Fund. See Note 6.

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

At August 31, 2025, the Fund had the following credit default swap contracts outstanding.

**Credit Default Swap Contracts** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Description** | **Annual<br>Payment<br>Rate<br>Received<br>(Paid)** | **Payment<br>Frequency** | **Maturity<br>Date** | **Notional**<br> **Amount<sup>a</sup>** | | **Value** | **Upfront**<br> **Payments<br>(Receipts)** | **Unrealized<br>Appreciation**<br> **(Depreciation)** | **Rating<sup>b</sup>** |
|  **Centrally Cleared Swap Contracts** | **Centrally Cleared Swap Contracts** | **Centrally Cleared Swap Contracts** | **Centrally Cleared Swap Contracts** | **Centrally Cleared Swap Contracts** | **Centrally Cleared Swap Contracts** | **Centrally Cleared Swap Contracts** | **Centrally Cleared Swap Contracts** | **Centrally Cleared Swap Contracts** | **Centrally Cleared Swap Contracts** |
|  **Contracts to Buy Protection<sup>c</sup>** | **Contracts to Buy Protection<sup>c</sup>** | **Contracts to Buy Protection<sup>c</sup>** | **Contracts to Buy Protection<sup>c</sup>** | **Contracts to Buy Protection<sup>c</sup>** | **Contracts to Buy Protection<sup>c</sup>** | **Contracts to Buy Protection<sup>c</sup>** | **Contracts to Buy Protection<sup>c</sup>** | **Contracts to Buy Protection<sup>c</sup>** | **Contracts to Buy Protection<sup>c</sup>** |
|  **Single Name** |  |  |  |  |  |  |  |  |  |
|  Alstom SA | (1.00)% | Quarterly | 6/20/30 | 547000 | EUR | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(4097) | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2277) | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1820) |  |
|  Alstom SA | (1.00)% | Quarterly | 6/20/30 | 241000 | EUR | (1805) | (1768) | (37) |  |
|  American Airlines Inc. | (5.00)% | Quarterly | 6/20/26 | 614000 |  | (15942) | (7675) | (8267) |  |
|  American Airlines Inc. | (5.00)% | Quarterly | 6/20/26 | 250000 |  | (6491) | (7466) | 975 |  |
|  American Airlines Inc. | (5.00)% | Quarterly | 6/20/26 | 307000 |  | (7971) | (7157) | (814) |  |
|  American Airlines Inc. | (5.00)% | Quarterly | 6/20/26 | 246000 |  | (6387) | (3075) | (3312) |  |
|  American Airlines Inc. | (5.00)% | Quarterly | 6/20/26 | 49000 |  | (1272) | (1236) | (36) |  |
|  American Airlines Inc. | (5.00)% | Quarterly | 6/20/26 | 123000 |  | (3194) | (1230) | (1964) |  |
|  American Airlines Inc. | (5.00)% | Quarterly | 6/20/26 | 3000 |  | (78) | (71) | (7) |  |
|  American Airlines Inc. | (5.00)% | Quarterly | 6/20/27 | 245000 |  | (6551) | (4385) | (2166) |  |
|  American Airlines Inc. | (5.00)% | Quarterly | 6/20/27 | 316000 |  | (8449) | (2000) | (6449) |  |
|  American Airlines Inc. | (5.00)% | Quarterly | 6/20/27 | 374000 |  | (10000) | (1778) | (8222) |  |
|  American Airlines Inc. | (5.00)% | Quarterly | 6/20/27 | 27000 |  | (722) | (102) | (620) |  |
|  American Airlines Inc. | (5.00)% | Quarterly | 6/20/27 | 347000 |  | (9278) | 434 | (9712) |  |
|  American Airlines Inc. | (5.00)% | Quarterly | 6/20/27 | 56000 |  | (1497) | 560 | (2057) |  |
|  American Airlines Inc. | (5.00)% | Quarterly | 6/20/27 | 230000 |  | (6150) | 2875 | (9025) |  |
|  American Airlines Inc. | (5.00)% | Quarterly | 12/20/29 | 33000 |  | 68 | 1567 | (1499) |  |
|  American Airlines Inc. | (5.00)% | Quarterly | 12/20/29 | 55000 |  | 114 | 2750 | (2636) |  |
|  American Airlines Inc. | (5.00)% | Quarterly | 6/20/26 | 145000 |  | (3765) | (6709) | 2944 |  |
|  American Airlines Inc. | (5.00)% | Quarterly | 6/20/26 | 73000 |  | (1895) | (3168) | 1273 |  |
|  American Airlines Inc. | (5.00)% | Quarterly | 6/20/26 | 68000 |  | (1766) | (2273) | 507 |  |
|  American Airlines Inc. | (5.00)% | Quarterly | 6/20/26 | 145000 |  | (3765) | (5568) | 1803 |  |
|  American Airlines Inc. | (5.00)% | Quarterly | 6/20/26 | 145000 |  | (3765) | (4861) | 1096 |  |
|  American Airlines Inc. | (5.00)% | Quarterly | 6/20/26 | 40000 |  | (1039) | (1355) | 316 |  |
|  American Axle & Manufacturing Inc. | (5.00)% | Quarterly | 6/20/30 | 145000 |  | (9206) | (1990) | (7216) |  |
|  American Axle & Manufacturing Inc. | (5.00)% | Quarterly | 6/20/30 | 116000 |  | (7365) | (1335) | (6030) |  |
|  American Axle & Manufacturing Inc. | (5.00)% | Quarterly | 6/20/30 | 39000 |  | (2476) | (1011) | (1465) |  |
|  American Axle & Manufacturing Inc. | (5.00)% | Quarterly | 6/20/30 | 29000 |  | (1841) | (978) | (863) |  |
|  American Axle & Manufacturing Inc. | (5.00)% | Quarterly | 6/20/30 | 48000 |  | (3047) | (557) | (2490) |  |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

**Credit Default Swap Contracts (continued)** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Description** | **Annual<br>Payment<br>Rate<br>Received<br>(Paid)** | **Payment<br>Frequency** | **Maturity<br>Date** | **Notional**<br> **Amount<sup>a</sup>** | | **Value** | **Upfront**<br> **Payments<br>(Receipts)** | **Unrealized<br>Appreciation**<br> **(Depreciation)** | **Rating<sup>b</sup>** |
|  **Centrally Cleared Swap Contracts (continued)** | **Centrally Cleared Swap Contracts (continued)** | **Centrally Cleared Swap Contracts (continued)** | **Centrally Cleared Swap Contracts (continued)** | **Centrally Cleared Swap Contracts (continued)** | **Centrally Cleared Swap Contracts (continued)** | **Centrally Cleared Swap Contracts (continued)** | **Centrally Cleared Swap Contracts (continued)** | **Centrally Cleared Swap Contracts (continued)** | **Centrally Cleared Swap Contracts (continued)** |
|  **Contracts to Buy Protection<sup>c</sup> (continued)** | **Contracts to Buy Protection<sup>c</sup> (continued)** | **Contracts to Buy Protection<sup>c</sup> (continued)** | **Contracts to Buy Protection<sup>c</sup> (continued)** | **Contracts to Buy Protection<sup>c</sup> (continued)** | **Contracts to Buy Protection<sup>c</sup> (continued)** | **Contracts to Buy Protection<sup>c</sup> (continued)** | **Contracts to Buy Protection<sup>c</sup> (continued)** | **Contracts to Buy Protection<sup>c</sup> (continued)** | **Contracts to Buy Protection<sup>c</sup> (continued)** |
|  **Single Name (continued)** | **Single Name (continued)** | **Single Name (continued)** | **Single Name (continued)** | **Single Name (continued)** | **Single Name (continued)** | **Single Name (continued)** | **Single Name (continued)** | **Single Name (continued)** | **Single Name (continued)** |
|  American Axle & Manufacturing Inc. | (5.00)% | Quarterly | 6/20/30 | 29000 |  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1841) | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(421) | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1420) |  |
|  American Axle & Manufacturing Inc. | (5.00)% | Quarterly | 6/20/30 | 29000 |  | (1841) | (414) | (1427) |  |
|  American Axle & Manufacturing Inc. | (5.00)% | Quarterly | 6/20/30 | 29000 |  | (1841) | (371) | (1470) |  |
|  American Axle & Manufacturing Inc. | (5.00)% | Quarterly | 6/20/30 | 29000 |  | (1841) | (283) | (1558) |  |
|  American Axle & Manufacturing Inc. | (5.00)% | Quarterly | 6/20/30 | 48000 |  | (3047) | (277) | (2770) |  |
|  American Axle & Manufacturing Inc. | (5.00)% | Quarterly | 6/20/30 | 19000 |  | (1206) | (258) | (948) |  |
|  American Axle & Manufacturing Inc. | (5.00)% | Quarterly | 6/20/30 | 19000 |  | (1206) | (87) | (1119) |  |
|  American Axle & Manufacturing Inc. | (5.00)% | Quarterly | 12/20/30 | 50000 |  | (2900) | (2215) | (685) |  |
|  CMA CGM SA | (5.00)% | Quarterly | 6/20/30 | 129295 | EUR | (18604) | (13849) | (4755) |  |
|  CMA CGM SA | (5.00)% | Quarterly | 6/20/30 | 70000 | EUR | (10072) | (8225) | (1847) |  |
|  CMA CGM SA | (5.00)% | Quarterly | 6/20/30 | 50000 | EUR | (7194) | (6580) | (614) |  |
|  Ford Motor Co. | (5.00)% | Quarterly | 6/20/30 | 154000 |  | (22540) | (22060) | (480) |  |
|  Ford Motor Co. | (5.00)% | Quarterly | 6/20/30 | 47000 |  | (6879) | (6641) | (238) |  |
|  Government of Egypt | (1.00)% | Quarterly | 6/20/26 | 365000 |  | 5189 | 137787 | (132598) |  |
|  Government of Italy | (1.00)% | Quarterly | 6/20/26 | 350000 |  | (2535) | (4524) | 1989 |  |
|  Jaguar Land Rover | (5.00)% | Quarterly | 6/20/30 | 338000 | EUR | (50731) | (36833) | (13898) |  |
|  Jaguar Land Rover | (5.00)% | Quarterly | 6/20/30 | 99000 | EUR | (14859) | (9937) | (4922) |  |
| K. Hovnanian Enterprises Inc. | (5.00)% | Quarterly | 12/20/28 | 500000 |  | (36851) | (30756) | (6095) |  |
| K. Hovnanian Enterprises Inc. | (5.00)% | Quarterly | 12/20/28 | 47000 |  | (3464) | (3543) | 79 |  |
| K. Hovnanian Enterprises Inc. | (5.00)% | Quarterly | 12/20/28 | 4000 |  | (295) | (171) | (124) |  |
| K. Hovnanian Enterprises Inc. | (5.00)% | Quarterly | 6/20/29 | 153000 |  | (10748) | (5908) | (4840) |  |
| K. Hovnanian Enterprises Inc. | (5.00)% | Quarterly | 6/20/30 | 347000 |  | (23255) | (18152) | (5103) |  |
| K. Hovnanian Enterprises Inc. | (5.00)% | Quarterly | 6/20/30 | 237000 |  | (15883) | (8630) | (7253) |  |
| K. Hovnanian Enterprises Inc. | (5.00)% | Quarterly | 6/20/30 | 31000 |  | (2078) | (916) | (1162) |  |
|  Kering | (1.00)% | Quarterly | 6/20/30 | 25000 | EUR | (102) | 67 | (169) |  |
|  Kering | (1.00)% | Quarterly | 6/20/30 | 50000 | EUR | (204) | 80 | (284) |  |
|  Kering | (1.00)% | Quarterly | 6/20/30 | 100000 | EUR | (408) | 345 | (753) |  |
|  Kering | (1.00)% | Quarterly | 6/20/30 | 50000 | EUR | (204) | 475 | (679) |  |
|  Kering | (1.00)% | Quarterly | 6/20/30 | 50000 | EUR | (204) | 931 | (1135) |  |
|  Kering | (1.00)% | Quarterly | 6/20/30 | 100000 | EUR | (408) | 1058 | (1466) |  |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

**Credit Default Swap Contracts (continued)** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Description** | **Annual<br>Payment<br>Rate<br>Received<br>(Paid)** | **Payment<br>Frequency** | **Maturity<br>Date** | **Notional**<br> **Amount<sup>a</sup>** | | **Value** | **Upfront**<br> **Payments<br>(Receipts)** | **Unrealized<br>Appreciation**<br> **(Depreciation)** | **Rating<sup>b</sup>** |
|  **Centrally Cleared Swap Contracts (continued)** | **Centrally Cleared Swap Contracts (continued)** | **Centrally Cleared Swap Contracts (continued)** | **Centrally Cleared Swap Contracts (continued)** | **Centrally Cleared Swap Contracts (continued)** | **Centrally Cleared Swap Contracts (continued)** | **Centrally Cleared Swap Contracts (continued)** | **Centrally Cleared Swap Contracts (continued)** | **Centrally Cleared Swap Contracts (continued)** |  |
|  **Contracts to Buy Protection<sup>c</sup> (continued)** | **Contracts to Buy Protection<sup>c</sup> (continued)** | **Contracts to Buy Protection<sup>c</sup> (continued)** | **Contracts to Buy Protection<sup>c</sup> (continued)** | **Contracts to Buy Protection<sup>c</sup> (continued)** | **Contracts to Buy Protection<sup>c</sup> (continued)** | **Contracts to Buy Protection<sup>c</sup> (continued)** | **Contracts to Buy Protection<sup>c</sup> (continued)** | **Contracts to Buy Protection<sup>c</sup> (continued)** |  |
|  **Single Name (continued)** | **Single Name (continued)** | **Single Name (continued)** | **Single Name (continued)** | **Single Name (continued)** | **Single Name (continued)** | **Single Name (continued)** | **Single Name (continued)** | **Single Name (continued)** |  |
|  Kohl's Corp. | (1.00)% | Quarterly | 6/20/26 | 32000 |  | $65 | $1040 | $(975) |  |
|  Kohl's Corp. | (1.00)% | Quarterly | 6/20/26 | 21000 |  | 43 | 594 | (551) |  |
|  Kohl's Corp. | (1.00)% | Quarterly | 6/20/26 | 21000 |  | 43 | 1155 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1112) |  |
|  Kohl's Corp. | (1.00)% | Quarterly | 6/20/26 | 21000 |  | 43 | 1208 | (1165) |  |
|  Kohl's Corp. | (1.00)% | Quarterly | 6/20/26 | 54000 |  | 109 | 1890 | (1781) |  |
|  Kohl's Corp. | (1.00)% | Quarterly | 6/20/26 | 27000 |  | 55 | 2533 | (2478) |  |
|  Kohl's Corp. | (1.00)% | Quarterly | 6/20/26 | 50000 |  | 101 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4252 | (4151) |  |
|  Kohl's Corp. | (1.00)% | Quarterly | 6/20/30 | 21000 |  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4304 | 8190 | (3886) |  |
|  Kohl's Corp. | (1.00)% | Quarterly | 6/20/30 | 24000 |  | 4919 | 9300 | (4381) |  |
|  Kohl's Corp. | (1.00)% | Quarterly | 6/20/30 | 30000 |  | 6148 | 10202 | (4054) |  |
|  Kohl's Corp. | (5.00)% | Quarterly | 6/20/30 | 36000 |  | 1967 | 10530 | (8563) |  |
|  Kohl's Corp. | (1.00)% | Quarterly | 6/20/30 | 37000 |  | 7583 | 12395 | (4812) |  |
|  Kohl's Corp. | (5.00)% | Quarterly | 6/20/30 | 48000 |  | 2622 | 12899 | (10277) |  |
|  Kohl's Corp. | (1.00)% | Quarterly | 6/20/30 | 55000 |  | 11272 | 18035 | (6763) |  |
|  Kohl's Corp. | (5.00)% | Quarterly | 6/20/30 | 102000 |  | 5573 | 32130 | (26557) |  |
|  Kohl's Corp. | (1.00)% | Quarterly | 6/20/30 | 196000 |  | 40170 | 59488 | (19318) |  |
|  Kohl's Corp. | (5.00)% | Quarterly | 6/20/30 | 204000 |  | 11146 | 61200 | (50054) |  |
|  Lincoln National Corp. | (1.00)% | Quarterly | 6/20/27 | 32000 |  | (293) | (207) | (86) |  |
|  Lincoln National Corp. | (1.00)% | Quarterly | 6/20/28 | 435000 |  | (4260) | (2169) | (2091) |  |
|  Lincoln National Corp. | (1.00)% | Quarterly | 6/20/28 | 100000 |  | (979) | (451) | (528) |  |
|  Lincoln National Corp. | (1.00)% | Quarterly | 6/20/27 | 362000 |  | (3317) | 1572 | (4889) |  |
|  Mediobanca Group | (1.00)% | Quarterly | 6/20/30 | 241000 | EUR | 1213 | 254 | 959 |  |
|  MetLife Inc. | (1.00)% | Quarterly | 6/20/30 | 782000 |  | (16268) | (11704) | (4564) |  |
|  MetLife Inc. | (1.00)% | Quarterly | 6/20/30 | 769000 |  | (15998) | (11510) | (4488) |  |
|  PostNL NV | (1.00)% | Quarterly | 6/20/30 | 480000 | EUR | 16173 | 20460 | (4287) |  |
|  Saint-Gobain SA | (1.00)% | Quarterly | 12/20/29 | 652000 | EUR | (18541) | (17603) | (938) |  |
|  SES SA | (1.00)% | Quarterly | 6/20/30 | 35000 | EUR | 1435 | 2948 | (1513) |  |
|  SES SA | (1.00)% | Quarterly | 6/20/30 | 45000 | EUR | 1846 | 3465 | (1619) |  |
|  SES SA | (1.00)% | Quarterly | 6/20/30 | 55000 | EUR | 2256 | 4504 | (2248) |  |
|  SES SA | (1.00)% | Quarterly | 6/20/30 | 58000 | EUR | 2379 | 4802 | (2423) |  |
|  SES SA | (1.00)% | Quarterly | 6/20/30 | 63000 | EUR | 2584 | 5567 | (2983) |  |
|  SES SA | (1.00)% | Quarterly | 6/20/30 | 120000 | EUR | 4921 | 10395 | (5474) |  |
|  SES SA | (1.00)% | Quarterly | 6/20/30 | 163000 | EUR | 6685 | 14667 | (7982) |  |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

**Credit Default Swap Contracts (continued)** 

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Description** | **Annual<br>Payment<br>Rate<br>Received<br>(Paid)** | **Payment<br>Frequency** | **Maturity<br>Date** | **Notional**<br> **Amount<sup>a</sup>** | | **Value** | **Upfront**<br> **Payments<br>(Receipts)** | **Unrealized<br>Appreciation**<br> **(Depreciation)** | **Rating<sup>b</sup>** |
|  **Centrally Cleared Swap Contracts (continued)** | **Centrally Cleared Swap Contracts (continued)** | **Centrally Cleared Swap Contracts (continued)** | **Centrally Cleared Swap Contracts (continued)** | **Centrally Cleared Swap Contracts (continued)** | **Centrally Cleared Swap Contracts (continued)** | **Centrally Cleared Swap Contracts (continued)** | **Centrally Cleared Swap Contracts (continued)** | **Centrally Cleared Swap Contracts (continued)** | **Centrally Cleared Swap Contracts (continued)** |
|  **Contracts to Buy Protection<sup>c</sup> (continued)** | **Contracts to Buy Protection<sup>c</sup> (continued)** | **Contracts to Buy Protection<sup>c</sup> (continued)** | **Contracts to Buy Protection<sup>c</sup> (continued)** | **Contracts to Buy Protection<sup>c</sup> (continued)** | **Contracts to Buy Protection<sup>c</sup> (continued)** | **Contracts to Buy Protection<sup>c</sup> (continued)** | **Contracts to Buy Protection<sup>c</sup> (continued)** | **Contracts to Buy Protection<sup>c</sup> (continued)** | **Contracts to Buy Protection<sup>c</sup> (continued)** |
|  **Single Name (continued)** | **Single Name (continued)** | **Single Name (continued)** | **Single Name (continued)** | **Single Name (continued)** | **Single Name (continued)** | **Single Name (continued)** | **Single Name (continued)** | **Single Name (continued)** | **Single Name (continued)** |
|  SES SA | (1.00)% | Quarterly | 6/20/30 | 363000 | EUR | $14887 | $30658 | $(15771) |  |
|  Stellantis NV | (5.00)% | Quarterly | 6/20/30 | 439000 | EUR | (74256) | (75157) | 901 |  |
|  Stellantis NV | (5.00)% | Quarterly | 6/20/30 | 143000 | EUR | (24188) | (24499) | 311 |  |
|  Stellantis NV | (5.00)% | Quarterly | 6/20/30 | 103000 | EUR | (17422) | (17909) | 487 |  |
|  Stellantis NV | (5.00)% | Quarterly | 6/20/30 | 45000 | EUR | (7612) | (6480) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1132) |  |
|  Sudzucker International | (1.00)% | Quarterly | 6/20/30 | 480000 | EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3799 | 2659 | 1140 |  |
|  Whirlpool Corp. | (1.00)% | Quarterly | 6/20/30 | 2000 |  | 73 | 145 | (72) |  |
|  Whirlpool Corp. | (1.00)% | Quarterly | 6/20/30 | 3000 |  | 109 | 217 | (108) |  |
|  Whirlpool Corp. | (1.00)% | Quarterly | 6/20/30 | 30000 |  | 1090 | 1753 | (663) |  |
|  Whirlpool Corp. | (1.00)% | Quarterly | 6/20/30 | 31000 |  | 1126 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2111 | (985) |  |
|  Whirlpool Corp. | (1.00)% | Quarterly | 6/20/30 | 50000 |  | 1817 | 2710 | (893) |  |
|  Whirlpool Corp. | (1.00)% | Quarterly | 6/20/30 | 50000 |  | 1817 | 3223 | (1406) |  |
|  Whirlpool Corp. | (1.00)% | Quarterly | 6/20/30 | 50000 |  | 1817 | 3624 | (1807) |  |
|  Whirlpool Corp. | (1.00)% | Quarterly | 6/20/30 | 50000 |  | 1817 | 3667 | (1850) |  |
|  Whirlpool Corp. | (1.00)% | Quarterly | 6/20/30 | 101000 |  | 3670 | 5682 | (2012) |  |
|  Whirlpool Corp. | (1.00)% | Quarterly | 6/20/30 | 351000 |  | 12753 | 19849 | (7096) |  |
|  Whirlpool Corp. | (1.00)% | Quarterly | 6/20/30 | 454000 |  | 16496 | 21508 | (5012) |  |
|  WPP Finance | (1.00)% | Quarterly | 6/20/30 | 364000 | EUR | 4115 | (3526) | 7641 |  |
|  WPP Finance | (1.00)% | Quarterly | 6/20/30 | 31000 | EUR | 350 | (84) | 434 |  |
|  WPP Finance | (1.00)% | Quarterly | 6/20/30 | 7000 | EUR | 79 | (74) | 153 |  |
|  WPP Finance | (1.00)% | Quarterly | 6/20/30 | 152000 | EUR | 1718 | 1224 | 494 |  |
|  Xerox Corp. | (1.00)% | Quarterly | 12/20/29 | 20000 |  | 9168 | 4875 | 4293 |  |
|  Xerox Corp. | (1.00)% | Quarterly | 12/20/29 | 20000 |  | 9168 | 4925 | 4243 |  |
|  Xerox Corp. | (1.00)% | Quarterly | 12/20/29 | 30000 |  | 13752 | 7349 | 6403 |  |
|  Xerox Corp. | (1.00)% | Quarterly | 12/20/29 | 30000 |  | 13752 | 7500 | 6252 |  |
|  Xerox Corp. | (1.00)% | Quarterly | 12/20/29 | 30000 |  | 13752 | 7575 | 6177 |  |
|  Xerox Corp. | (1.00)% | Quarterly | 12/20/29 | 50000 |  | 22920 | 11249 | 11671 |  |
|  Xerox Corp. | (1.00)% | Quarterly | 12/20/29 | 50000 |  | 22920 | 12375 | 10545 |  |
|  Xerox Corp. | (1.00)% | Quarterly | 12/20/29 | 80000 |  | 36673 | 19700 | 16973 |  |
|  Xerox Corp. | (1.00)% | Quarterly | 12/20/29 | 80000 |  | 36672 | 19804 | 16868 |  |
|  Xerox Corp. | (1.00)% | Quarterly | 12/20/29 | 50000 |  | 22921 | 24250 | (1329) |  |
|  Xerox Corp. | (1.00)% | Quarterly | 12/20/29 | 98000 |  | 44924 | 50470 | (5546) |  |
|  **Traded Index** |  |  |  |  |  |  |  |  |  |
|  ITRX.EUR.SNRFIN<sup>d</sup> | (1.00)% | Quarterly | 6/20/30 | 1000000 | EUR | (21508) | (22228) | 720 |  |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

**Credit Default Swap Contracts (continued)** 

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Description** | **Annual<br>Payment<br>Rate<br>Received<br>(Paid)** | **Payment<br>Frequency** | | **Maturity<br>Date** | **Notional**<br> **Amount<sup>a</sup>** | | **Value** | **Upfront**<br> **Payments<br>(Receipts)** | **Unrealized<br>Appreciation**<br> **(Depreciation)** | **Rating<sup>b</sup>** |
|  **Centrally Cleared Swap Contracts (continued)** | **Centrally Cleared Swap Contracts (continued)** | **Centrally Cleared Swap Contracts (continued)** | **Centrally Cleared Swap Contracts (continued)** | **Centrally Cleared Swap Contracts (continued)** | **Centrally Cleared Swap Contracts (continued)** | **Centrally Cleared Swap Contracts (continued)** | **Centrally Cleared Swap Contracts (continued)** | **Centrally Cleared Swap Contracts (continued)** | **Centrally Cleared Swap Contracts (continued)** | **Centrally Cleared Swap Contracts (continued)** |
|  **Contracts to Sell Protection<sup>c,e</sup>** | **Contracts to Sell Protection<sup>c,e</sup>** | **Contracts to Sell Protection<sup>c,e</sup>** | **Contracts to Sell Protection<sup>c,e</sup>** | **Contracts to Sell Protection<sup>c,e</sup>** | **Contracts to Sell Protection<sup>c,e</sup>** | **Contracts to Sell Protection<sup>c,e</sup>** | **Contracts to Sell Protection<sup>c,e</sup>** | **Contracts to Sell Protection<sup>c,e</sup>** | **Contracts to Sell Protection<sup>c,e</sup>** | **Contracts to Sell Protection<sup>c,e</sup>** |
|  **Single Name** | **Single Name** | **Single Name** | **Single Name** | **Single Name** | **Single Name** | **Single Name** | **Single Name** | **Single Name** | **Single Name** | **Single Name** |
|  Danske Bank | 1.00% | Quarterly |  | 6/20/30 | 241000 | EUR | $4816 | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;5358 | $(542) | AA- |
|  Virgin Media | 5.00% | Quarterly |  | 6/20/30 | 97000 | EUR | 8079 | 7519 | 560 | BB- |
|  **Traded Index** |  |  |  |  |  |  |  |  |  |  |
|  CDX.EM.43<sup>d</sup> | 1.00% | Quarterly |  | 6/20/30 | 1000000 |  | (19223) | (38556) | 19333 | Investment<br>Grade |
|  CDX.NA.HY.44<sup>d</sup> | 5.00% | Quarterly |  | 6/20/30 | 3000000 |  | 216104 | 166567 | 49537 | Non-<br>Investment<br>Grade |
|  CDX.NA.IG.44<sup>d</sup> | 1.00% | Quarterly |  | 6/20/30 | 18000000 |  | 388687 | 336049 | 52638 | Investment<br>Grade |
|  ITRX.EUR<sup>d</sup> | 1.00% | Quarterly |  | 6/20/30 | 8000000 | EUR | 189138 | 171996 | 17142 | Investment<br>Grade |
|  ITRX.EUR.XOVER<sup>d</sup> | 5.00% | Quarterly |  | 6/20/30 | 4933300 | EUR | 542340 | 445914 | 96426 | Non-<br>Investment<br>Grade |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Centrally Cleared Swap Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Centrally Cleared Swap Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Centrally Cleared Swap Contracts |  |  |  |  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1207425 | $1383876 | $(176451) |  |
|  **OTC Swap Contracts** | **OTC Swap Contracts** | **OTC Swap Contracts** | **OTC Swap Contracts** | **OTC Swap Contracts** | **OTC Swap Contracts** | **OTC Swap Contracts** | **OTC Swap Contracts** | **OTC Swap Contracts** | **OTC Swap Contracts** | **OTC Swap Contracts** |
|  **Contracts to Buy Protection<sup>c</sup>** |  |  |  |  |  |  |  |  |  |  |
|  **Single Name** |  |  | **<u>Counterparty</u>** |  |  |  |  |  |  |  |
|  American Airlines Inc. | (5.00)% | Quarterly | BZWS | 6/20/26 | 50000 |  | (1805) | (565) | (1240) |  |
|  American Airlines Inc. | (5.00)% | Quarterly | BZWS | 6/20/27 | 77000 |  | (2840) | (293) | (2547) |  |
|  American Airlines Inc. | (5.00)% | Quarterly | BZWS | 6/20/27 | 97000 |  | (3577) | (220) | (3357) |  |
|  American Airlines Inc. | (5.00)% | Quarterly | BZWS | 6/20/27 | 82000 |  | (3024) | (125) | (2899) |  |
|  American Airlines Inc. | (5.00)% | Quarterly | BZWS | 6/20/27 | 41000 |  | (1512) | (125) | (1387) |  |
|  American Airlines Inc. | (5.00)% | Quarterly | BZWS | 6/20/27 | 82000 |  | (3024) | (62) | (2962) |  |
|  American Axle & Manufacturing Inc. | (5.00)% | Quarterly | JPHQ | 12/20/30 | 149000 |  | (10152) | (6650) | (3502) |  |
|  Bayerische | (1.00)% | Quarterly | MSCO | 12/20/25 | 146000 | EUR | (851) | (161) | (690) |  |
|  Government of Argentina | (5.00)% | Quarterly | BZWS | 6/20/30 | 603000 |  | 75603 | 86886 | (11283) |  |
|  Government of Egypt | (1.00)% | Quarterly | CITI | 6/20/26 | 197000 |  | 2401 | 17615 | (15214) |  |
|  Government of Korea | (1.00)% | Quarterly | BZWS | 6/20/30 | 1025000 |  | (19863) | (12996) | (6867) |  |
|  Government of Korea | (1.00)% | Quarterly | GSCO | 6/20/30 | 3028000 |  | (114042) | (85363) | (28679) |  |
|  Kingdom of Saudia Arabia | (1.00)% | Quarterly | GSCO | 6/20/30 | 3750000 |  | (72667) | (37880) | (34787) |  |
|  Kingdom of Saudia Arabia | (1.00)% | Quarterly | GSCO | 6/20/30 | 150000 |  | (2907) | (2032) | (875) |  |
|  Nippon Paper Industries Co.  | (1.00)% | Quarterly | GSCO | 6/20/30 | 119069000 | JPY | 19296 | 38028 | (18732) |  |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

**Credit Default Swap Contracts (continued)** 

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **Description** | **Annual<br>Payment<br>Rate<br>Received<br>(Paid)** | **Payment<br>Frequency** | **Counterparty** | **Maturity<br>Date** | **Notional**<br> **Amount<sup>a</sup>** | | **Value** | **Upfront**<br> **Payments<br>(Receipts)** | **Unrealized<br>Appreciation**<br> **(Depreciation)** | **Rating<sup>b</sup>** |
|  **OTC Swap Contracts (continued)** | **OTC Swap Contracts (continued)** | **OTC Swap Contracts (continued)** | **OTC Swap Contracts (continued)** | **OTC Swap Contracts (continued)** | **OTC Swap Contracts (continued)** | **OTC Swap Contracts (continued)** | **OTC Swap Contracts (continued)** | **OTC Swap Contracts (continued)** | **OTC Swap Contracts (continued)** | **OTC Swap Contracts (continued)** |
|  **Contracts to Buy Protection<sup>c</sup> (continued)** | **Contracts to Buy Protection<sup>c</sup> (continued)** | **Contracts to Buy Protection<sup>c</sup> (continued)** | **Contracts to Buy Protection<sup>c</sup> (continued)** | **Contracts to Buy Protection<sup>c</sup> (continued)** | **Contracts to Buy Protection<sup>c</sup> (continued)** | **Contracts to Buy Protection<sup>c</sup> (continued)** | **Contracts to Buy Protection<sup>c</sup> (continued)** | **Contracts to Buy Protection<sup>c</sup> (continued)** | **Contracts to Buy Protection<sup>c</sup> (continued)** | **Contracts to Buy Protection<sup>c</sup> (continued)** |
|  **Single Name (continued)** | **Single Name (continued)** | **Single Name (continued)** | **Single Name (continued)** | **Single Name (continued)** | **Single Name (continued)** | **Single Name (continued)** | **Single Name (continued)** | **Single Name (continued)** | **Single Name (continued)** | **Single Name (continued)** |
|  Nippon Paper Industries Co. | (1.00)% | Quarterly | JPHQ | 12/20/25 | 7366000 | JPY | $(216) | $(7) | $(209) |  |
|  Nippon Paper Industries Co. | (1.00)% | Quarterly | MSCO | 12/20/25 | 21750000 | JPY | (636) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;64 | (700) |  |
|  Nippon Paper Industries Co. | (1.00)% | Quarterly | MSCO | 12/20/25 | 33598000 | JPY | (983) | 106 | (1089) |  |
|  Saudi Arabia International | (1.00)% | Quarterly | GSCO | 6/20/35 | 1698000 |  | (5144) |  | (5144) |  |
|  Univision Communications Inc. | (5.00)% | Quarterly | GSCO | 6/20/30 | 121000 |  | (10780) | (4059) | (6721) |  |
|  **Contracts to Sell Protection<sup>c,e</sup>** | **Contracts to Sell Protection<sup>c,e</sup>** | **Contracts to Sell Protection<sup>c,e</sup>** | **Contracts to Sell Protection<sup>c,e</sup>** | **Contracts to Sell Protection<sup>c,e</sup>** | **Contracts to Sell Protection<sup>c,e</sup>** | **Contracts to Sell Protection<sup>c,e</sup>** | **Contracts to Sell Protection<sup>c,e</sup>** | **Contracts to Sell Protection<sup>c,e</sup>** | **Contracts to Sell Protection<sup>c,e</sup>** | **Contracts to Sell Protection<sup>c,e</sup>** |
|  **Single Name** | **Single Name** | **Single Name** | **Single Name** | **Single Name** | **Single Name** | **Single Name** | **Single Name** | **Single Name** | **Single Name** | **Single Name** |
|  Government of Egypt | 1.00% | Quarterly | BZWS | 12/20/29 | 168000 |  | (18715) | (25763) | 7048 | B- |
|  Government of Egypt | 1.00% | Quarterly | GSCO | 6/20/29 | 2059000 |  | (193087) | (257364) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;64277 | B- |
|  Government of Egypt | 1.00% | Quarterly | GSCO | 6/20/29 | 265000 |  | (24851) | (36964) | 12113 | B- |
|  Government of Egypt | 1.00% | Quarterly | JPHQ | 12/20/29 | 177000 |  | (19717) | (27143) | 7426 | B- |
|  Government of Ivory Coast | 1.00% | Quarterly | BZWS | 6/20/30 | 462000 |  | (46215) | (68084) | 21869 | BB |
|  Saudi Arabia International | 1.00% | Quarterly | BZWS | 6/20/30 | 1061000 |  | 20560 |  | 20560 | A+ |
|  Saudi Arabia International | 1.00% | Quarterly | GSCO | 6/20/30 | 637000 |  | 12344 |  | 12344 | A+ |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total OTC Swap Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total OTC Swap Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total OTC Swap Contracts |  |  |  |  | $(426404) | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(423157) | $(3247) |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Credit Default Swap Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Credit Default Swap Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Credit Default Swap Contracts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Credit Default Swap Contracts |  |  |  | $&nbsp;&nbsp;&nbsp;&nbsp;781021 | $960719 | $(179698) |  |

---

 <sup>a</sup>In U.S.dollars unless otherwise indicated. For contracts to sell protection, the notional amount is equal to the maximum potential amount of the future payments and no recourse provisions have<br> been entered into in association with the contracts.<br>

<sup>b</sup>Based on Standard and Poor's (S&P) Rating for single name swaps and internal ratings for index swaps. Internal ratings based on mapping into equivalent ratings from external vendors.

<sup>c</sup>Performance triggers for settlement of contract include default, bankruptcy or restructuring for single name swaps and failure to pay or bankruptcy of the underlying securities for traded index swaps.

<sup>d</sup>A portion or all of the contracts are owned by K2 Holdings Investment Corp., a wholly-owned subsidiary of the Fund. See Note 6.

<sup>e</sup>The Fund enters contracts to sell protection to create a long credit position.

At August 31, 2025, the Fund had the following interest rate swap contracts outstanding.

**Interest Rate Swap Contracts** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Description** | **Payment**<br> **Frequency** | **Maturity**<br> **Date** | **Notional** <br> **Amount<sup>\*</sup>**  |  | **Value/Unrealized**<br> **Appreciation**<br> **(Depreciation)** |
|  **Centrally Cleared Swap Contracts** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Receive Fixed 10.23%<br>Pay Floating Banxico Mexico 1 Month Rate | Monthly | 12/31/25 | 38400000 | MXN | $17058 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Receive Fixed 10.23%<br>Pay Floating Banxico Mexico 1 Month Rate | Monthly | 6/17/26 | 38400000 | MXN | 25558 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Receive Fixed 7.02%<br>Pay Floating rate 3-Month-JIBAR | Quarterly | 12/18/26 | 34983147 | ZAR | (5577) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Receive Fixed 13.29%<br>Pay Floating BRLCDI | Annually | 1/04/27 | 2980054 | BRL | 5569 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

**Interest Rate Swap Contracts (continued)** 

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Description** | **Payment**<br> **Frequency** | **Maturity**<br> **Date** | **Notional** <br> **Amount<sup>\*</sup>**  |  | **Value/Unrealized**<br> **Appreciation**<br> **(Depreciation)** |
|  **Centrally Cleared Swap Contracts (continued)** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Receive Fixed 13.41%<br>Pay Floating BRLCDI | Annually | 1/04/27 | 5875629 | BRL | $14894 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Receive Fixed 16.25%<br>Pay Floating BRLCDI | Annually | 1/04/27 | 9083263 | BRL | (56631) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Receive Fixed 7.98%<br>Pay Floating Rate COIR | Quarterly | 3/19/27 | 5531819764 | COP | (8541) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Receive Fixed 8.02%<br>Pay Floating Rate COIR | Quarterly | 3/19/27 | 6276246033 | COP | (10567) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Receive Fixed 3.70%<br>Pay Floating rate SOFR | Annually | 6/03/27 | 6310000 |  | 23823 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Receive Fixed 3.78%<br>Pay Floating rate SOFR | Annually | 6/11/27 | 9154000 |  | 49841 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Receive Fixed 3.57%<br>Pay Floating rate SOFR | Annually | 7/28/28 | 2108000 |  | 15087 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Receive Fixed 3.58%<br>Pay Floating rate SOFR | Annually | 7/28/28 | 1996000 |  | 15023 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Receive Fixed 4.15%<br>Pay Floating rate SOFR | Annually | 11/22/28 | 5700000 |  | 148369 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Receive Fixed 13.44%<br>Pay Floating BRLCDI | Annually | 1/02/29 | 14380185 | BRL | 10628 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Receive Fixed 3.93%<br>Pay Floating rate SOFR | Annually | 3/15/29 | 5469600 |  | 115248 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Receive Fixed 3.47%<br>Pay Floating rate 1-Day EONIA | Annually | 12/18/29 | 13815899 | CZK | (6174) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Receive Fixed 3.50%<br>Pay Floating rate 1-Day EONIA | Annually | 12/18/29 | 22360157 | CZK | (8788) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Receive Fixed 5.41%<br>Pay Floating rate 6-Month-BUBOR | Annually | 12/18/29 | 447284564 | HUF | (38511) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Receive Fixed 5.42%<br>Pay Floating rate 6-Month-BUBOR | Annually | 12/18/29 | 182487019 | HUF | (15413) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Receive Fixed 5.44%<br>Pay Floating rate 6-Month-BUBOR | Annually | 12/18/29 | 182228417 | HUF | (14994) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Receive Fixed 7.68%<br>Pay Floating Banxico Mexico 1 Month Rate | Monthly | 6/12/30 | 30200000 | MXN | 15341 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Receive Fixed 6.17%<br>Pay Floating rate 6-Month-BUBOR | Annually | 9/17/30 | 650000000 | HUF | (4567) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Receive Fixed 13.28%<br>Pay Floating BRLCDI | Annually | 1/02/31 | 3798293 | BRL | (744) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Receive Fixed 13.29%<br>Pay Floating BRLCDI | Annually | 1/02/31 | 3601707 | BRL | (792) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Receive Fixed 5.83%<br>Pay Floating rate 6-Month-BUBOR | Annually | 12/18/34 | 237699992 | HUF | 37429 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Receive Fixed 5.85%<br>Pay Floating rate 6-Month-BUBOR | Annually | 12/18/34 | 100982120 | HUF | 15538 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Receive Fixed 5.87%<br>Pay Floating rate 6-Month-BUBOR | Annually | 12/18/34 | 101317888 | HUF | 15279 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Receive Fixed 2.65%<br>Pay Floating 3-Month KDR | Quarterly | 9/17/35 | 415714368 | KRW | (437) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Receive Fixed 2.65%<br>Pay Floating 3-Month KDR | Quarterly | 9/17/35 | 429805998 | KRW | (327) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Receive Fixed 2.66%<br>Pay Floating 3-Month KDR | Quarterly | 9/17/35 | 478596234 | KRW | (766) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Centrally Cleared Swap Contracts |  |  |  |  | $351856 |
|  **OTC Swap Contracts** |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Received Fixed 43.51%<br>Pay Floating rate TLREF, Counterparty JPHQ | Quarterly | 4/16/26 | 27734327 | TRY | (16572) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Receive Fixed 3.26%<br>Pay Floating KLIBOR, Counterparty HSBC | Quarterly | 6/18/30 | 5273842 | MYR | 10948 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Receive Fixed 3.26%<br>Pay Floating KLIBOR, Counterparty GSCO | Quarterly | 6/18/30 | 6126158 | MYR | 9820 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total OTC Swap Contracts |  |  |  |  | $4196 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Interest Rate Swap Contracts |  |  |  |  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;356052 |

---

\*In U.S. dollars unless otherwise indicated.

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

At August 31, 2025, the Fund had the following total return swap contracts outstanding.

**Total Return Swap Contracts** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment**<br> **Frequency** | **Counter-<br>party** | **Maturity**<br> **Date** | **Notional**<br> **Value<sup>\*</sup>** | | **Value/Unrealized**<br> **Appreciation**<br> **(Depreciation)** |
|  **OTC Swap Contracts** |  |  |  |  |  |  |  |
|  **Currency Contracts - Long<sup>a</sup>** |  |  |  |  |  |  |  |
|  Cross Asset Trend | Fixed 0.00% | Monthly | BNPP | 6/30/26 | 15131420 |  | $(134) |
|  FX G10 Carry | Fixed 0.00% | Monthly | CITI | 6/30/26 | 8944823 |  |  |
|  FX G10 Value | Fixed 0.00% | Monthly | CITI | 6/30/26 | 32535184 |  | 35 |
|  |  |  |  |  |  |  | <br> (99) |
|  **Equity Contracts - Long<sup>a</sup>** |  |  |  |  |  |  |  |
|  104 Corp. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 8/31/26 | 2932 |  | 6 |
|  361 Degrees International | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 1362039 | HKD | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;58568 |
|  3i Group PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/17/30 | 177926 | GBP | 7168 |
|  3S Bio Inc. | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 1074611 | HKD | 41663 |
|  77th Bank | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 31304504 | JPY | 35594 |
|  A1 Telekom Austria AG | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 64553 | EUR | 2528 |
|  A2A SpA | Euro STR + 0.35% | Monthly | JPHQ | 8/12/30 | 130872 | EUR | 12164 |
|  Able Global Berhad | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 23204 |  | 463 |
|  ABRDN PLC | 1-Day SONIA + 0.275% | Monthly | MSCO | 7/08/26 | 180790 | GBP | 80828 |
|  AcadeMedia AB | 1-Week STIBOR + 0.28% | Monthly | SEBA | 7/17/30 | 1646488 | SEK | 26617 |
|  Accent Gl Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 196946 | AUD | 6762 |
|  Acciona SA | 1-Day EONIA + 0.35% | Monthly | MSCS | 7/17/30 | 149137 | EUR | 78768 |
|  Acs Actividades De Construction | 1-Day EONIA + 0.275% | Monthly | MSCO | 7/07/26 | 74487 | EUR | 8105 |
|  Adastria Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 24146259 | JPY | 8817 |
|  AddLife AB | 1-Week STIBOR + 0.28% | Monthly | SEBA | 8/02/30 | 2435529 | SEK | 46311 |
|  Addtech Ab Ser B | 1-Week STIBOR + 0.275% | Monthly | SEBA | 7/28/26 | 974840 | SEK | 324 |
|  Adidas AG | Euro STR + 0.35% | Monthly | JPHQ | 10/08/25 | 272678 | EUR | (30218) |
|  Admiral Group | 1-Day SONIA + 0.275% | Monthly | MSCO | 4/03/26 | 2106 | GBP | 189 |
|  Advanced Info Service Pub | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 118834 |  | 7117 |
|  Advanced Media Inc. | 1-Day SONIA + 0.275% | Monthly | GSCO | 8/05/26 | 902580 | JPY | (462) |
|  Advanced Power Electronic | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 63893 |  | (484) |
|  Aeci Limited | 1-Day SABOR + 0.70% | Monthly | MSCS | 7/17/30 | 1675427 | ZAR | 10627 |
|  Aedas Homes SA | 1-Day EONIA + 0.35% | Monthly | MSCS | 4/01/26 | 142448 | EUR | (27857) |
|  Aedifica | Euro STR + 0.35% | Monthly | JPHQ | 7/14/26 | 352368 | EUR | 28288 |
|  Aegon | Euro STR + 0.35% | Monthly | JPHQ | 4/03/26 | 201310 | EUR | 49689 |
|  Aeon Co. Bhd | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 85163 |  | (5394) |
|  Aew UK REIT Plc Ord | 1-Day SONIA + 0.275% | Monthly | MSCO | 8/25/26 | 3256 | GBP | (60) |
|  AGL Energy Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 362404 | AUD | (33942) |
|  Ahresty Corporation | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 5582446 | JPY | 9487 |
|  AIB Group PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/17/30 | 46321 | GBP | 18412 |
|  Aica Kogyo Co. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 10809910 | JPY | 3807 |
|  Aida Engineering | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 15480320 | JPY | 1426 |
|  AIMS APAC Reit | 1-Day SORA + 0.40% | Monthly | MSCO | 6/25/26 | 70706 | SGD | 1570 |
|  Air New Zealand Npv | 1-Day NZOCR + 0.40% | Monthly | MSCO | 6/23/26 | 133382 | NZD | 1329 |
|  Airasia X Berhad | 1-Day FEDEF + 0.25% | Monthly | MSCO | 8/03/26 | 24869 |  | 235 |
|  Airtrip Corp. | TONAR + 0.35% | Monthly | GSCO | 8/28/26 | 913264 | JPY | (103) |
|  Aisan Industry Co. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 9923032 | JPY | 9907 |
|  Aisin Corporation | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 16440556 | JPY | 39954 |
|  Aker Solutions ASA | 1-Week NIBOR + 0.28% | Monthly | SEBA | 7/17/30 | 3540698 | NOK | (14322) |
|  Albaraka Turk Katilim Bankasi AS | 1-Day FEDEF + 0.30% | Monthly | MSCS | 11/27/25 | 60433 |  | 9530 |
|  A-Living Smart City Service | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 399912 | HKD | 1753 |
|  Alleima AB | 1-Week STIBOR + 0.275% | Monthly | SEBA | 12/06/25 | 2171810 | SEK | (47012) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment**<br> **Frequency** | **Counter-<br>party** | **Maturity**<br> **Date** | **Notional**<br> **Value<sup>\*</sup>** | | **Value/Unrealized**<br> **Appreciation**<br> **(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Long<sup>a</sup> (continued)** |  |  |  |  |  |  |  |
|  ALSO Holding AG | 1-Day SARON + 0.35% | Monthly | JPHQ | 7/15/26 | 72145 | CHF | $15324 |
|  Aluminum Corp of China | HIBOR + 0.35% | Monthly | GSCO | 6/26/26 | 560820 | HKD | 16866 |
|  Alzchem Group AG | Euro STR + 0.35% | Monthly | JPHQ | 11/22/25 | 96087 | EUR | 43331 |
|  Amasten Fastighets AB | 1-Week STIBOR + 0.275% | Monthly | SEBA | 11/27/25 | 780231 | SEK | (2853) |
|  Ambea AB | 1-Week STIBOR + 0.28% | Monthly | SEBA | 7/17/30 | 2846707 | SEK | 36198 |
|  Amedeo Air Four Plus | 1-Day SONIA + 0.275% | Monthly | MSCO | 4/09/26 | 35601 | GBP | 34234 |
|  Amotiv Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 97101 | AUD | 15346 |
|  AMP FPO | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 224298 | AUD | 53290 |
|  Amperex Technology Ltd. | 1-Day FEDEF + 0.30% | Monthly | MSCS | 2/05/26 | 1406838 |  | 136297 |
|  AMS-Osram AG | 1-Day SARON + 0.35% | Monthly | JPHQ | 11/27/25 | 208213 | CHF | 187082 |
|  Ana Holdings Inc. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 17661274 | JPY | 7156 |
|  Ane Inc. | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 1435773 | HKD | 13805 |
|  Anest Iwata Corp. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 7766978 | JPY | 7504 |
|  Anhui Conch Cement | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 25512 |  | 2780 |
|  Anima Holding SpA | 1-Month EURIBOR + 0.40% | Monthly | JPHQ | 7/17/30 | 77143 | EUR | 519 |
|  Anker Innovations | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 88334 |  | 29479 |
|  Anora Group PLC | Euro STR + 0.275% | Monthly | SEBA | 12/23/25 | 32298 | EUR | (2646) |
|  Anpec Electronics Corp. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/25/26 | 166949 |  | (9158) |
|  AO World PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 12/02/25 | 146232 | GBP | 3971 |
|  Aoyama Trading Co. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 14957225 | JPY | 14962 |
|  Aquafil | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 21402 | EUR | 10705 |
|  Arakawa Chemical Industrial | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 707599 | JPY | 558 |
|  Aramis Group | 1-Day EONIA + 0.275% | Monthly | MSCO | 4/03/26 | 41674 | EUR | (8107) |
|  Arcadyan Technology Corp. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 182488 |  | 26500 |
|  Ariston Holding NV | Euro STR + 0.35% | Monthly | JPHQ | 11/29/25 | 63206 | EUR | (4885) |
|  Arjo AB | 1-Week STIBOR + 0.28% | Monthly | SEBA | 7/17/30 | 3112883 | SEK | (28806) |
|  Aroundtown SA | Euro STR + 0.35% | Monthly | JPHQ | 9/12/30 | 280133 | EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;143071 |
|  ARYZTA | 1-Day SARON + 0.35% | Monthly | JPHQ | 4/26/26 | 367953 | CHF | 7411 |
|  Asahi Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 6970883 | JPY | 2962 |
|  Asahi Net Inc. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 4500664 | JPY | 633 |
|  Asahi Yukizai Corporation | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 9993055 | JPY | 8463 |
|  Ascencio | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 73633 | EUR | 11008 |
|  Ascom Holding AG | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 36433 | CHF | 26528 |
|  Asia Pile Holdings Corpor | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 8288595 | JPY | 17181 |
|  Askul Corp. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 19183485 | JPY | 1410 |
|  ASM International | Euro STR + 0.35% | Monthly | JPHQ | 6/06/26 | 168185 | EUR | 26979 |
|  ASML Holding NV | Euro STR + 0.35% | Monthly | JPHQ | 7/17/29 | 251508 | EUR | 5679 |
|  Asrock Incorporation | 1-Day FEDEF + 0.10% | Monthly | MSCO | 8/17/26 | 46633 |  | (1153) |
|  Asseco Poland SA | 1-Day FEDEF + 0.30% | Monthly | MSCS | 7/17/30 | 86501 |  | 87697 |
|  Astra Otoparts Tbk | 1-Day FEDEF + 0.35% | Monthly | MSCO | 6/25/26 | 19641 |  | 3378 |
|  Astral Foods Ltd. | 1-Day SABOR + 0.30% | Monthly | MSCS | 7/17/30 | 2778817 | ZAR | 24742 |
|  Asustek Computer Inc. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 8/28/26 | 41513 |  | (181) |
|  Atoss Software AG | Euro STR + 0.35% | Monthly | JPHQ | 8/01/30 | 213719 | EUR | (33407) |
|  Atresmedia Corporacion de Medios de Comunicacion SA | 1-Day EONIA + 0.35% | Monthly | MSCS | 7/17/30 | 28867 | EUR | 5010 |
|  Attendo AB | 1-Week STIBOR + 0.28% | Monthly | SEBA | 1/08/26 | 2224184 | SEK | 18031 |
|  Auclinical Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 148709 | AUD | 3974 |
|  Audax Renovables SA | 1-Day EONIA + 0.35% | Monthly | MSCS | 4/24/26 | 50381 | EUR | (5383) |
|  Aumann AG | Euro STR + 0.35% | Monthly | JPHQ | 1/22/26 | 49938 | EUR | (2158) |
|  Austevoll Seafood ASA | 1-Week NIBOR + 0.28% | Monthly | SEBA | 7/12/26 | 2340154 | NOK | (19878) |
|  Austin Eng Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 68240 | AUD | (1684) |
|  Autoneum | 1-Day SARON + 0.35% | Monthly | JPHQ | 11/27/25 | 121037 | CHF | 87856 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment**<br> **Frequency** | **Counter-<br>party** | **Maturity**<br> **Date** | **Notional**<br> **Value<sup>\*</sup>** | | **Value/Unrealized**<br> **Appreciation**<br> **(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Long<sup>a</sup> (continued)** |  |  |  |  |  |  |  |
|  Avanza Bank Holding AB | 1-Week STIBOR + 0.275% | Monthly | SEBA | 6/05/26 | 1216765 | SEK | $11930 |
|  Avation PLC | 1-Day SONIA + 0.275% | Monthly | MSCO | 2/24/26 | 23825 | GBP | 2567 |
|  Avio | Euro STR + 0.35% | Monthly | JPHQ | 4/14/26 | 30467 | EUR | 10679 |
|  Avrupakent Gmyo | 1-Day FEDEF + 1.25% | Monthly | MSCO | 8/11/26 | 59442 |  | (1192) |
|  Axa SA | 1-Day EONIA + 0.30% | Monthly | MSCS | 7/17/30 | 134712 | EUR | 18015 |
|  Axial Retailing Inc. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 8878853 | JPY | 1614 |
|  Azimut Holding SpA | Euro STR + 0.35% | Monthly | JPHQ | 7/17/29 | 125429 | EUR | (2789) |
|  Aztech Gbl | 1-Day SORA + 0.40% | Monthly | MSCO | 6/25/26 | 39535 | SGD | 3744 |
|  B&P Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 2067952 | JPY | 1115 |
|  B2 Impact ASA | 1-Week NIBOR + 0.28% | Monthly | SEBA | 7/17/30 | 985139 | NOK | 65599 |
|  Babcock International | 1-Day SONIA + 0.275% | Monthly | MSCO | 6/10/26 | 83704 | GBP | 89550 |
|  Bakkavor Group PLC | 1-Day SONIA + 0.35% | Monthly | MSCO | 5/15/26 | 73348 | GBP | 48736 |
|  Balfour Beatty | 1-Day SONIA + 0.35% | Monthly | MSCS | 9/18/25 | 148073 | GBP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;104361 |
|  Banca de Sabadell SA | 1-Day EONIA + 0.35% | Monthly | MSCS | 10/10/25 | 80590 | EUR | 52531 |
|  Banca Ifis SpA | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 140687 | EUR | 38088 |
|  Banco Bilbao Vizcaya Argentaria SA | 1-Day EONIA + 0.35% | Monthly | MSCS | 9/30/25 | 163705 | EUR | 24828 |
|  Bangkok Life Assurance | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 58800 |  | 10086 |
|  Bank Btpn Syariah Tbk | 1-Day FEDEF + 0.35% | Monthly | MSCO | 6/26/26 | 30372 |  | 2661 |
|  Bank Ocbc Nisp Tbk | 1-Day FEDEF + 0.35% | Monthly | MSCO | 6/25/26 | 39677 |  | 201 |
|  Bank of Georgia Group PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/31/30 | 149071 | GBP | 121298 |
|  Barclays PLC | 1-Day SONIA + 0.44% | Monthly | MSCS | 7/17/30 | 144366 | GBP | 82940 |
|  Barco | Euro STR + 0.35% | Monthly | JPHQ | 12/31/49 | 54223 | EUR | 544 |
|  Basilea Pharmaceutica AG | Euro STR + 6.75% | Monthly | JPHQ | 5/08/26 | 179979 | CHF | 38398 |
|  BAWAG Group AG | Euro STR + 0.35% | Monthly | JPHQ | 4/03/26 | 139241 | EUR | 45078 |
|  Bayer AG | Euro STR + 0.35% | Monthly | JPHQ | 9/04/30 | 135455 | EUR | 37441 |
|  BB Biotech AG | 1-Day SARON + 0.35% | Monthly | JPHQ | 4/11/26 | 269705 | CHF | 69494 |
|  BE Group AB | 1-Week STIBOR + 0.28% | Monthly | SEBA | 7/17/30 | 406670 | SEK | (14069) |
|  <sup>b</sup>BE Group AB rts. | 1-Week STIBOR + 0.275% | Monthly | SEBA | 7/17/30 |  | SEK | 3731 |
|  Beazley PLC | 1-Day SONIA + 0.275% | Monthly | MSCO | 5/07/26 | 166476 | GBP | (28954) |
|  Bega Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 231175 | AUD | 10339 |
|  Bekaert SA | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 100986 | EUR | 33143 |
|  Belc Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 8/27/26 | 2226453 | JPY | (30) |
|  Beneteau | 1-Day EONIA + 0.30% | Monthly | MSCS | 7/17/30 | 111808 | EUR | (14627) |
|  Betsson AB | 1-Week STIBOR + 0.275% | Monthly | SEBA | 7/17/30 | 3773748 | SEK | 8068 |
|  Bidvest Group Ltd. | 1-Day SABOR + 0.35% | Monthly | MSCS | 7/17/29 | 3271168 | ZAR | 1996 |
|  Bilfinger SE | Euro STR + 0.35% | Monthly | JPHQ | 12/06/25 | 155355 | EUR | 88527 |
|  Bilibili Inc. | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 1129799 | HKD | 15616 |
|  Billerud AB | 1-Week STIBOR + 0.275% | Monthly | SEBA | 7/29/30 | 4748861 | SEK | (76542) |
|  Binjiang Svc Group Co Ltd. | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 860117 | HKD | 9157 |
|  BioGaia AB | 1-Week STIBOR + 0.28% | Monthly | SEBA | 7/17/30 | 1032525 | SEK | 7596 |
|  BKW AG | 1-Day SARON + 0.35% | Monthly | JPHQ | 12/12/25 | 13078 | CHF | 311 |
|  Blue Bird Tbk Pt | 1-Day FEDEF + 0.35% | Monthly | MSCO | 7/31/26 | 34499 |  | (2105) |
|  Bluescope Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/23/26 | 154570 | AUD | 1591 |
|  BNP Paribas SA | 1-Day EONIA + 0.30% | Monthly | MSCS | 7/17/30 | 212096 | EUR | 59985 |
|  Bogdanka SA | 1-Day FEDEF + 0.30% | Monthly | MSCS | 8/19/30 | 104257 |  | (18234) |
|  Boliden AB | 1-Week STIBOR + 0.275% | Monthly | SEBA | 6/08/26 | 1433817 | SEK | 6022 |
|  Bonheur ASA | 1-Week NIBOR + 0.28% | Monthly | SEBA | 8/28/30 | 554652 | NOK | 1656 |
|  Brambles Ltd Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 77118 | AUD | 4865 |
|  Bravida Holding AB | 1-Week STIBOR + 0.28% | Monthly | SEBA | 11/01/25 | 1637342 | SEK | 2145 |
|  Bravura Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 163328 | AUD | (607) |
|  Brederode | Euro STR + 0.35% | Monthly | JPHQ | 11/21/25 | 49759 | EUR | (2164) |
|  Brickability Group PLC | 1-Day SONIA + 0.275% | Monthly | MSCO | 12/08/25 | 14474 | GBP | 721 |
|  Bulten AB | 1-Week STIBOR + 0.275% | Monthly | SEBA | 10/18/25 | 524729 | SEK | (9360) |
|  Bumitama Agri | 1-Day SORA + 0.40% | Monthly | MSCO | 6/25/26 | 393 | SGD | 175 |
|  Burberry Group PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/17/29 | 76206 | GBP | 3221 |
|  Burckhardt | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 121928 | CHF | (320) |
|  Burkhalter Holdings | 1-Day SARON + 0.35% | Monthly | JPHQ | 9/12/30 | 66987 | CHF | 27941 |
|  BYD Company Ltd. | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 153092 |  | 161 |
|  C&D Property Management | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 278671 | HKD | 6667 |
|  Cafe De Coral Hldgs | HIBOR + 0.35% | Monthly | GSCO | 6/29/26 | 327362 | HKD | 916 |
|  Cafe24 Corp. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 102149 |  | (23920) |
|  Cairn Homes PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/17/30 | 184693 | GBP | 108394 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment**<br> **Frequency** | **Counter-<br>party** | **Maturity**<br> **Date** | **Notional**<br> **Value<sup>\*</sup>** | | **Value/Unrealized**<br> **Appreciation**<br> **(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Long<sup>a</sup> (continued)** |  |  |  |  |  |  |  |
|  Canal Plus SA Ord | 1-Day SONIA + 0.275% | Monthly | MSCO | 8/25/26 | 32078 | GBP | $(1188) |
|  Cancom SE | Euro STR + 0.35% | Monthly | JPHQ | 1/07/26 | 213784 | EUR | (5423) |
|  Canon Inc. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 9697972 | JPY | 2085 |
|  Canon Marketing Japan Inc. | TONAR + 0.35% | Monthly | GSCO | 7/21/26 | 7606459 | JPY | 2795 |
|  Capitaland Malaysia Trust | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 28496 |  | (1569) |
|  Care Property Invest | Euro STR + 0.35% | Monthly | JPHQ | 12/16/25 | 34362 | EUR | 3529 |
|  Cargotec | Euro STR + 0.275% | Monthly | SEBA | 8/23/30 | 187138 | EUR | 29797 |
|  Carlsberg Group | 1-Week CIBOR + 0.28% | Monthly | SEBA | 9/12/30 | 584021 | DKK | 173 |
|  Carmila | 1-Day EONIA + 0.30% | Monthly | MSCS | 8/07/30 | 202581 | EUR | 17255 |
|  Carnival PLC | 1-Day SONIA + 0.275% | Monthly | MSCO | 6/10/26 | 176179 | GBP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;196162 |
|  Ceconomy AG | Euro STR + 0.35% | Monthly | JPHQ | 7/05/26 | 17052 | EUR | 10975 |
|  Cementir Holding NV | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 165577 | EUR | 30149 |
|  Centrica PLC ORD | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/17/30 | 216718 | GBP | 58569 |
|  Centurion | 1-Day SORA + 0.40% | Monthly | MSCO | 6/24/26 | 52227 | SGD | 2891 |
|  CEWE Stiftung & Co. KGaA | Euro STR + 0.35% | Monthly | JPHQ | 3/18/26 | 104378 | EUR | 2276 |
|  Changgao Electric | 1-Day FEDEF + 0.25% | Monthly | MSCO | 8/21/26 | 32268 |  | (476) |
|  Chaoju Eye Care Holdings | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 441920 | HKD | 2827 |
|  Cheilworldwide | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/23/26 | 149587 |  | (7101) |
|  Chengdu Hongqi | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 39759 |  | 4552 |
|  China Air Lines | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 99349 |  | (3829) |
|  China Aircraft Leasing Gp | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 150592 | HKD | 3575 |
|  China Aviation | 1-Day SORA + 0.40% | Monthly | MSCO | 6/25/26 | 28999 | SGD | 11196 |
|  China Bluechemical Limited | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 784149 | HKD | 16997 |
|  China Communications Services | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 626540 | HKD | 1570 |
|  China Foods Ltd. | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 1012935 | HKD | 37587 |
|  China Intl Marine Contain | HIBOR + 0.35% | Monthly | GSCO | 6/26/26 | 524822 | HKD | 18424 |
|  China Lesso Group Holding | HIBOR + 0.35% | Monthly | GSCO | 8/27/26 | 292731 | HKD | (453) |
|  China Mengniu Dairy Co. | HIBOR + 0.35% | Monthly | GSCO | 7/03/26 | 474801 | HKD | (4412) |
|  China Merchants | 1-Day FEDEF + 0.25% | Monthly | MSCO | 7/29/26 | 21673 |  | (21598) |
|  China Overseas Property | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 685812 | HKD | (2372) |
|  China Railway Tielong | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 81796 |  | 2995 |
|  China Reinsurance | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 1580175 | HKD | 77579 |
|  China Res Building Matls | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 194132 | HKD | 2140 |
|  China Res Med Hldgs Co Lt | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 1738691 | HKD | (21802) |
|  China Shineway Pharmaceutcal | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 1010250 | HKD | 8450 |
|  China Sunsine | 1-Day SORA + 0.40% | Monthly | MSCO | 6/25/26 | 26518 | SGD | 6183 |
|  Chin-Poon Industrial | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 25908 |  | 6015 |
|  Chow Sang Sang Hldgs Intl | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 543967 | HKD | 40213 |
|  Chrysalis Investments | 1-Day SONIA + 0.35% | Monthly | MSCS | 11/27/25 | 241614 | GBP | 119157 |
|  Chsocinfra Ord Units | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 191275 | AUD | 17359 |
|  Cicor Tech | 1-Day SARON + 0.35% | Monthly | JPHQ | 9/12/30 | 14650 | CHF | 187 |
|  Ciputra Development | 1-Day FEDEF + 0.35% | Monthly | MSCO | 6/25/26 | 27799 |  | 1387 |
|  Citizen Watch Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 11973026 | JPY | 15216 |
|  Citycon OYJ | Euro STR + 0.28% | Monthly | SEBA | 8/23/30 | 86167 | EUR | (4851) |
|  CJ | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/19/26 | 205768 |  | (4985) |
|  Claranova | 1-Day EONIA + 0.30% | Monthly | MSCS | 7/17/30 | 22335 | EUR | 2323 |
|  Clarkson PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 5/06/26 | 94088 | GBP | (11616) |
|  Clas Ohlson AB | 1-Week STIBOR + 0.28% | Monthly | SEBA | 7/17/30 | 1782693 | SEK | 88747 |
|  Clinuvel Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 198965 | AUD | (3195) |
|  Cliq Digital AG | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 27658 | EUR | (15719) |
|  CMC Markets | 1-Day SONIA + 0.275% | Monthly | MSCO | 5/14/26 | 18758 | GBP | (2403) |
|  CMOC Group Limited | HIBOR + 0.35% | Monthly | GSCO | 6/26/26 | 1176896 | HKD | 73050 |
|  Coca-Cola HBC AG-DI | 1-Day SONIA + 0.35% | Monthly | MSCS | 12/04/25 | 133815 | GBP | 26736 |
|  CoinShares International | 1-Week STIBOR + 0.275% | Monthly | SEBA | 5/19/26 | 885677 | SEK | (1310) |
|  Colesgroup Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 143583 | AUD | 10663 |
|  Collins Fd Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 262663 | AUD | 13110 |
|  Com7 Public Co Ltd. | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/22/26 | 133382 |  | 52792 |
|  ComfortDelGro | 1-Day SORA + 0.40% | Monthly | MSCO | 6/23/26 | 61508 | SGD | 288 |
|  Commerzbank AG | Euro STR + 0.35% | Monthly | JPHQ | 12/18/25 | 78054 | EUR | 39411 |
|  Companhia De Saneamento Basico Ord | 1-Day FEDEF + 0.60% | Monthly | MSCS | 7/10/26 | 1342596 |  | 61426 |
|  Computacenter PLC ORD | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/15/26 | 331211 | GBP | (69662) |
|  Computer Engineering & Co. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 9476949 | JPY | 5760 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment**<br> **Frequency** | **Counter-<br>party** | **Maturity**<br> **Date** | **Notional**<br> **Value<sup>\*</sup>** | | **Value/Unrealized**<br> **Appreciation**<br> **(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Long<sup>a</sup> (continued)** |  |  |  |  |  |  |  |
|  Construcciones y Auxiliar de Ferrocarriles | 1-Day EONIA + 0.35% | Monthly | MSCS | 7/17/30 | 171553 | EUR | $90564 |
|  Consun Pharmaceutical Grp | HIBOR + 0.35% | Monthly | GSCO | 6/24/26 | 1498179 | HKD | 63696 |
|  Contemporary Amper | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 84064 |  | 18817 |
|  Continental AG | Euro STR + 0.35% | Monthly | JPHQ | 11/03/25 | 177268 | EUR | 48989 |
|  Convatec Group Plc Ord Gb | 1-Day SONIA + 0.275% | Monthly | MSCO | 7/29/26 | 77307 | GBP | 125 |
|  Converge Information | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 69112 |  | (15278) |
|  Corbion | Euro STR + 0.35% | Monthly | JPHQ | 9/03/30 | 233124 | EUR | (8297) |
|  Corem Property Group | 1-Week STIBOR + 0.28% | Monthly | SEBA | 11/27/25 | 1125031 | SEK | (6131) |
|  Cosco Capital Inc. | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 1140 |  | 78 |
|  Cosco Shipping Specialty | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 46104 |  | 1580 |
|  Costain Group | 1-Day SONIA + 0.35% | Monthly | MSCS | 11/15/25 | 98169 | GBP | 41724 |
|  Costain Group | 1-Day SONIA + 0.35% | Monthly | MSCS | 11/27/25 | 568 | GBP | 1020 |
|  Country Garden Svcs Hldgs | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 814212 | HKD | (2905) |
|  Covivio | 1-Day EONIA + 0.275% | Monthly | MSCO | 7/28/26 | 76345 | EUR | (1215) |
|  CPI Europe AG | Euro STR + 0.35% | Monthly | JPHQ | 11/27/25 | 98922 | EUR | 1876 |
|  Cre Logistics Reit Inc. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 10876152 | JPY | 2294 |
|  Credit Agricole | 1-Day EONIA + 0.275% | Monthly | MSCO | 7/09/26 | 127660 | EUR | (4667) |
|  Creditcorp Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 83993 | AUD | 10000 |
|  Cromwell Stapled | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 61407 | AUD | 8519 |
|  CSE Global | 1-Day SORA + 0.40% | Monthly | MSCO | 6/25/26 | 110121 | SGD | 26558 |
|  CSHARE FPO | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 125225 | AUD | (1883) |
|  Cssc Shipping Co Ltd. | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 576892 | HKD | (4587) |
|  CTS Eventim AG & Co. KGaA | Euro STR + 0.35% | Monthly | JPHQ | 10/03/25 | 112920 | EUR | (23633) |
|  Currys PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 11/27/25 | 175392 | GBP | 73158 |
|  Cvilux Corporation | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 86473 |  | 10998 |
|  Daesang | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 105965 |  | (3893) |
|  Daewonpharm | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 49074 |  | (1899) |
|  Dah Sing Banking Group | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 1289004 | HKD | 29041 |
|  Daihanpharm | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 58129 |  | (3376) |
|  Daiwa House Industry Co. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 18847338 | JPY | 6952 |
|  Daiwabo Holdings Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 13389579 | JPY | 20095 |
|  Danieli & C Officine Meccaniche SpA | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 160019 | EUR | 87612 |
|  Danske Bank A/S | 1-Week CIBOR + 0.275% | Monthly | SEBA | 11/13/25 | 1641567 | DKK | 30868 |
|  Darbond Technology Co Ltd. | 1-Day FEDEF + 0.25% | Monthly | MSCO | 7/20/26 | 22550 |  | 8831 |
|  Dassault Aviation | 1-Day EONIA + 0.30% | Monthly | MSCS | 9/16/25 | 18783 | EUR | (1774) |
|  Datatec Ltd. | 1-Day SABOR + 0.70% | Monthly | MSCS | 11/27/25 | 2568679 | ZAR | 50873 |
|  Dayang Enterprise Holding | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 78634 |  | (4823) |
|  DBA Group | Euro STR + 0.35% | Monthly | JPHQ | 11/03/25 | 37275 | EUR | 5491 |
|  DBS | 1-Day SORA + 0.40% | Monthly | MSCO | 6/25/26 | 67175 | SGD | 6674 |
|  Deceuninck | Euro STR + 0.35% | Monthly | JPHQ | 11/07/25 | 27886 | EUR | 1118 |
|  Dedicare AB | 1-Week STIBOR + 0.275% | Monthly | SEBA | 5/27/26 | 265776 | SEK | (2026) |
|  DEME Group | Euro STR + 0.35% | Monthly | JPHQ | 8/22/30 | 141614 | EUR | 15301 |
|  Deppon Logistics Co. | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 48686 |  | (179) |
|  Deutsche Bank AG | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 148389 | EUR | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;114606 |
|  Deutsche Wohnen SE | Euro STR + 0.35% | Monthly | JPHQ | 11/27/25 | 186987 | EUR | 20844 |
|  Develia SA | 1-Day FEDEF + 1.25% | Monthly | MSCO | 12/19/25 | 31598 |  | 14462 |
|  Dexusconv Stapled | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 79829 | AUD | 1078 |
|  Dfirg Usd | 1-Day FEDEF + 0.40% | Monthly | MSCO | 7/10/26 | 149131 |  | 32366 |
|  Dic Corporation | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 13981921 | JPY | 18455 |
|  Digiplus Interactive Corp. | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/19/26 | 99865 |  | (7982) |
|  Digital China Group | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 29465 |  | 6319 |
|  Digital Information Techn | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 7442605 | JPY | (1305) |
|  Digital Value SpA | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 68945 | EUR | 28290 |
|  Dingzing Advanced Materia | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 100936 |  | (5516) |
|  Distribuidora Internacional | 1-Day EONIA + 0.275% | Monthly | MSCO | 2/18/26 | 69379 | EUR | 21341 |
|  Dit Corp. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 8/17/26 | 22756 |  | (149) |
|  DKSH Switzerland Ltd. | 1-Day SARON + 0.35% | Monthly | JPHQ | 7/17/26 | 192707 | CHF | 12444 |
|  Dom Development | 1-Day FEDEF + 1.25% | Monthly | MSCS | 11/28/25 | 32383 |  | 16590 |
|  Dongguan Development | 1-Day FEDEF + 0.25% | Monthly | MSCO | 7/20/26 | 32084 |  | 1091 |
|  Dongkuk Steel | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 44684 |  | (3549) |
|  Dongsung Finetec | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 84013 |  | 20519 |
|  Dongwon Industry Co. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 8/13/26 | 17737 |  | (1160) |
|  Dormakaba | 1-Day SARON + 0.35% | Monthly | JPHQ | 3/04/26 | 200178 | CHF | 63143 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment**<br> **Frequency** | **Counter-<br>party** | **Maturity**<br> **Date** | **Notional**<br> **Value<sup>\*</sup>** | | **Value/Unrealized**<br> **Appreciation**<br> **(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Long<sup>a</sup> (continued)** |  |  |  |  |  |  |  |
|  Downer Edi Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 147959 | AUD | $12988 |
|  Dr. Martens PLC | 1-Day SONIA + 0.275% | Monthly | MSCO | 3/02/26 | 80827 | GBP | 54526 |
|  Draft Inc. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 807073 | JPY | 2472 |
|  Drax Group PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/17/30 | 266434 | GBP | 63939 |
|  Duerr AG | Euro STR + 0.35% | Monthly | JPHQ | 2/17/26 | 226170 | EUR | 33497 |
|  Dufry AG | Euro STR + 0.35% | Monthly | JPHQ | 8/16/29 | 221224 | CHF | 15641 |
|  E-MART Inc. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 108226 |  | (21766) |
|  East West Banking Corporation | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 516 |  | 45 |
|  Easyjet PLC | 1-Day SONIA + 0.35% | Monthly | MSCO | 7/17/26 | 226603 | GBP | (18777) |
|  Ebos Group Npv | 1-Day NZOCR + 0.40% | Monthly | MSCO | 6/19/26 | 200443 | NZD | (14012) |
|  Ebro Foods | 1-Day EONIA + 0.35% | Monthly | MSCO | 12/04/25 | 164350 | EUR | 26468 |
|  Eco World Development Gro | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/22/26 | 107623 |  | 10516 |
|  Econocom Group SE | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 39156 | EUR | 3695 |
|  EFG International AG | 1-Day SARON + 0.35% | Monthly | JPHQ | 7/17/30 | 248952 | CHF | 143338 |
|  Electrolux Professional AB | 1-Week STIBOR + 0.275% | Monthly | SEBA | 5/08/30 | 639592 | SEK | (2490) |
|  Elementis PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 9/30/25 | 181137 | GBP | 33784 |
|  Elior Group | 1-Day EONIA + 0.275% | Monthly | MSCO | 9/08/30 | 266536 | EUR | (56302) |
|  Elmera Group ASA | 1-Week NIBOR + 0.275% | Monthly | SEBA | 1/27/26 | 1112472 | NOK | (6594) |
|  Elmos Semiconductor SE | Euro STR + 0.35% | Monthly | JPHQ | 7/18/30 | 50150 | EUR | 36623 |
|  Elnusa Tbk | 1-Day FEDEF + 0.35% | Monthly | MSCO | 6/29/26 | 47552 |  | 815 |
|  Elopak ASA | 1-Week NIBOR + 0.275% | Monthly | SEBA | 5/08/26 | 979862 | NOK | 19393 |
|  Embracer Group Ab Ser B | 1-Week STIBOR + 0.275% | Monthly | SEBA | 7/14/26 | 387972 | SEK | (7191) |
|  Emeco Hldg Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 62843 | AUD | 10170 |
|  Emlpayment Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 8/26/26 | 20897 | AUD | 181 |
|  Enagas SA | 1-Day EONIA + 0.275% | Monthly | MSCO | 6/11/26 | 93237 | EUR | (3342) |
|  Encore Capital | SOFR + 0.65% | Monthly | BNPP | 10/01/25 | 340943 |  | 3075 |
|  Endesa SA | 1-Day EONIA + 0.35% | Monthly | MSCS | 1/13/26 | 262610 | EUR | 88820 |
|  Endo Lighting Corp. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 8419861 | JPY | (1001) |
|  Enea AB | 1-Day FEDEF + 0.30% | Monthly | MSCS | 7/17/26 | 138623 |  | 98211 |
|  Enel Group | 1-Day EONIA + 0.40% | Monthly | MSCS | 12/05/25 | 1439451 | EUR | (29816) |
|  Eneos Holdings Inc. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 6072694 | JPY | 10160 |
|  Energy Transfer LP | SOFR + 1.01% | Monthly | GSCO | 2/14/26 | 306330 |  | 116 |
|  Engie SA | 1-Day EONIA + 0.40% | Monthly | MSCO | 9/25/25 | 858174 | EUR | (65646) |
|  Ennoconn Corporation | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 277813 |  | 6075 |
|  EnQuest PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 11/27/25 | 145421 | GBP | (26631) |
|  Entra ASA | 1-Week NIBOR + 0.275% | Monthly | SEBA | 5/05/26 | 1632684 | NOK | (4731) |
|  Equinor ASA | 1-Week NIBOR + 0.28% | Monthly | SEBA | 7/17/30 | 2759479 | NOK | (14645) |
|  Equity Flows | Fixed 0.00% | Monthly | JPHQ | 6/30/26 | 2611415 |  |  |
|  Equity Low Beta | Fixed 0.00% | Monthly | DBAB | 6/30/26 | 4387051 |  | 143 |
|  Equity Momentum | Fixed 0.00% | Monthly | DBAB | 6/30/26 | 10650180 |  | 585 |
|  Equity Value | Fixed 0.00% | Monthly | DBAB | 6/30/26 | 17300318 |  | 727 |
|  Erajaya Tbk | 1-Day FEDEF + 0.35% | Monthly | MSCO | 6/25/26 | 87800 |  | (7830) |
|  Erex Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 7/20/26 | 5417233 | JPY | (1266) |
|  Ericsson | 1-Week STIBOR + 0.28% | Monthly | SEBA | 7/17/30 | 4264693 | SEK | (32936) |
|  Eurocash | 1-Day FEDEF + 1.25% | Monthly | MSCS | 1/06/26 | 74935 |  | 3504 |
|  Eurocell PLC | 1-Day SONIA + 0.275% | Monthly | MSCO | 9/24/25 | 43789 | GBP | (9398) |
|  Eurocommercial Properties NV | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 106632 | EUR | 13673 |
|  Eurofins Scientific | 1-Day EONIA + 0.275% | Monthly | MSCO | 7/17/30 | 124809 | EUR | 38308 |
|  Euronext | 1-Day EONIA + 0.275% | Monthly | MSCO | 6/05/26 | 18407 | EUR | (587) |
|  Eva Airways | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/19/26 | 254059 |  | (13062) |
|  Eva Precision Industrial | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 297265 | HKD | 8409 |
|  Everplay Group PLC | 1-Day SONIA + 0.275% | Monthly | MSCO | 4/15/26 | 84231 | GBP | 26327 |
|  EVN AG | Euro STR + 0.35% | Monthly | JPHQ | 3/18/26 | 114210 | EUR | &nbsp;&nbsp;&nbsp;&nbsp;21431 |
|  Evonik Industries AG | Euro STR + 0.35% | Monthly | JPHQ | 8/11/30 | 190074 | EUR | (17457) |
|  EVS Broadcast Equipment SA | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 80943 | EUR | 1284 |
|  Exem Co Ltd. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 7/20/26 | 28928 |  | (3669) |
|  Exor NV | Euro STR + 0.35% | Monthly | JPHQ | 2/28/26 | 210108 | EUR | 31648 |
|  Fagron NV | Euro STR + 0.35% | Monthly | JPHQ | 8/19/30 | 33348 | EUR | 180 |
|  Ficont Industry | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 41886 |  | 14358 |
|  Financial Partners Group | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 25258295 | JPY | 12622 |
|  Finnair OYJ | Euro STR + 0.275% | Monthly | SEBA | 4/15/26 | 80293 | EUR | (8827) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment**<br> **Frequency** | **Counter-<br>party** | **Maturity**<br> **Date** | **Notional**<br> **Value<sup>\*</sup>** | | **Value/Unrealized**<br> **Appreciation**<br> **(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Long<sup>a</sup> (continued)** |  |  |  |  |  |  |  |
|  First Gen Corporation | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 944 |  | $(56) |
|  First Pacific Co. | HIBOR + 0.35% | Monthly | GSCO | 7/03/26 | 379756 | HKD | 5994 |
|  First Reit | 1-Day SORA + 0.40% | Monthly | MSCO | 6/25/26 | 37527 | SGD | 1400 |
|  First Resources | 1-Day SORA + 0.40% | Monthly | MSCO | 6/25/26 | 134205 | SGD | 20385 |
|  FirstGroup PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 8/24/30 | 214065 | GBP | 94302 |
|  Fisher & Paykel Healthcare | 1-Day NZOCR + 0.40% | Monthly | MSCO | 6/24/26 | 108641 | NZD | 230 |
|  Flight Ctr Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 152513 | AUD | 2734 |
|  Flow Traders | Euro STR + 0.35% | Monthly | JPHQ | 4/26/26 | 110058 | EUR | (3678) |
|  Foran Energy Group | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 29453 |  | 3873 |
|  Foresight Group Hldgs Ltd. | 1-Day SONIA + 0.275% | Monthly | MSCO | 8/27/26 | 13824 | GBP | (145) |
|  ForFarmers | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 104256 | EUR | 21156 |
|  Forterra Plc Ord | 1-Day SONIA + 0.275% | Monthly | MSCO | 8/27/26 | 14448 | GBP | (243) |
|  Fortress REIT Ltd. | 1-Day SABOR + 0.50% | Monthly | MSCS | 11/27/25 | 3617030 | ZAR | 54806 |
|  Forvia | 1-Day EONIA + 0.30% | Monthly | MSCS | 12/02/25 | 195582 | EUR | 83560 |
|  Foster Electric Co. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 18980159 | JPY | &nbsp;&nbsp;&nbsp;&nbsp;53214 |
|  Foxtons Group PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 9/18/25 | 55354 | GBP | 15042 |
|  Frasers Centrepoint Trust | 1-Day SORA + 0.40% | Monthly | MSCO | 8/19/26 | 103579 | SGD | 2409 |
|  Frasers Property Limited | 1-Day SORA + 0.40% | Monthly | MSCO | 6/25/26 | 25594 | SGD | 2571 |
|  Freebit Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 8286498 | JPY | 8809 |
|  Frontline PLC | 1-Week NIBOR + 0.275% | Monthly | SEBA | 7/02/26 | 1999251 | NOK | 28304 |
|  Fuchs Petrolub SE | Euro STR + 0.35% | Monthly | JPHQ | 4/25/26 | 131279 | EUR | 8986 |
|  Fufeng Group Ltd. | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 757797 | HKD | 29084 |
|  Fuji Seal International | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 12410687 | JPY | 6162 |
|  Fukuda Denshi Co. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 6211099 | JPY | (929) |
|  Furuno Electric Co. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 8648581 | JPY | 34225 |
|  Fusheng Precision Co Ltd. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 149789 |  | (19787) |
|  Futaba Industrial Co. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 18884080 | JPY | 33442 |
|  Fuyao Glass Industry Group | HIBOR + 0.35% | Monthly | GSCO | 6/26/26 | 1192002 | HKD | 30479 |
|  G8 Educate Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 290601 | AUD | (50545) |
|  GA Technologies Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 36926204 | JPY | 55706 |
|  Gakken Holdings Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 10546019 | JPY | 7430 |
|  Galenica AG | 1-Day SARON + 0.35% | Monthly | JPHQ | 7/17/29 | 81348 | CHF | 824 |
|  Galliford Try Holdings PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/17/30 | 76244 | GBP | 63738 |
|  Gamma Communications PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 6/05/26 | 123553 | GBP | (30504) |
|  Gas Malaysia Berhad | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 109392 |  | 2950 |
|  <sup>c</sup>Gazprom PJSC ADR | 1-Day FEDEF | Monthly | MSCS | 1/31/26 | 173903 |  |  |
|  GDI Prop Stapled | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 86841 | AUD | 1234 |
|  GEA Group | Euro STR + 0.35% | Monthly | JPHQ | 6/05/26 | 30231 | EUR | 4851 |
|  Geely Automobile Holdings | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 843516 | HKD | 17223 |
|  Gemtek Technology Co. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 128292 |  | (9916) |
|  Genesis Energy Ltd Npv | 1-Day NZOCR + 0.40% | Monthly | MSCO | 6/29/26 | 114533 | NZD | (97) |
|  Genians Inc. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 7/28/26 | 30580 |  | (294) |
|  Genius Electronic Optical | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 127668 |  | 6054 |
|  Genmab A/S | 1-Week CIBOR + 0.28% | Monthly | SEBA | 7/17/30 | 2744804 | DKK | 67494 |
|  Genus PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 8/22/30 | 85639 | GBP | 20010 |
|  Gestamp Automocion SA | 1-Day EONIA + 0.35% | Monthly | MSCS | 7/17/30 | 221015 | EUR | 20380 |
|  Getinge AB | 1-Week STIBOR + 0.28% | Monthly | SEBA | 7/17/28 | 3084071 | SEK | 18077 |
|  Gfpt Public Company Limit | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 82957 |  | 11536 |
|  Global One Real Estate | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 12453532 | JPY | 6711 |
|  GMO Internet Group Inc. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 24926133 | JPY | 19318 |
|  Goldcup Electric | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 19754 |  | 3732 |
|  Goodbaby Intl Hldgs Ltd. | HIBOR + 0.35% | Monthly | GSCO | 6/30/26 | 628881 | HKD | 23268 |
|  Gpt Stapled | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 208654 | AUD | 14697 |
|  Grape King Bio Ltd. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 51208 |  | (781) |
|  Greatek Electronics Inc. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 202087 |  | 280 |
|  Gree Elec Applicant | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/19/26 | 160224 |  | (8796) |
|  Greencore Group PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 9/12/30 | 219109 | GBP | 158211 |
|  Greentown Service Group C | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 1638927 | HKD | 27188 |
|  Grifols SA | 1-Day EONIA + 0.35% | Monthly | MSCO | 3/25/26 | 135743 | EUR | 49531 |
|  Groupe Renault | 1-Day EONIA + 0.30% | Monthly | MSCS | 10/03/25 | 112306 | EUR | (16181) |
|  Grupa Azoty SA | 1-Day FEDEF + 0.30% | Monthly | MSCS | 7/17/30 | 93003 |  | (5844) |
|  Guangdong Haid Group | 1-Day FEDEF + 0.10% | Monthly | MSCO | 8/28/26 | 15457 |  | 53 |
|  Guangdong Haid Group | 1-Day FEDEF + 0.25% | Monthly | MSCO | 8/28/26 | 3993 |  | (81) |
|  Guangdong Investment | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 1081319 | HKD | 9414 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment**<br> **Frequency** | **Counter-<br>party** | **Maturity**<br> **Date** | **Notional**<br> **Value<sup>\*</sup>** | | **Value/Unrealized**<br> **Appreciation**<br> **(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Long<sup>a</sup> (continued)** |  |  |  |  |  |  |  |
|  Guangshen Railway Co. | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 27961 |  | $2819 |
|  Guangzhou Baiyun | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 50785 |  | 4282 |
|  Gulf Marine Services Plc | 1-Day SONIA + 0.275% | Monthly | MSCO | 8/27/26 | 1308 | GBP |  |
|  Gurit | 1-Day SARON + 0.35% | Monthly | JPHQ | 11/06/25 | 30772 | CHF | 820 |
|  H&M Hennes & Mauritz AB | 1-Week STIBOR + 0.28% | Monthly | SEBA | 8/15/30 | 1003998 | SEK | 2138 |
| H. Lundbeck A/S | 1-Week CIBOR + 0.28% | Monthly | SEBA | 11/27/25 | 1599114 | DKK | 4301 |
|  Hafnia Ltd. | 1-Week NIBOR + 0.275% | Monthly | SEBA | 4/15/26 | 2591237 | NOK | 72113 |
|  Haidilao Intl Hldg Ltd. | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 797683 | HKD | (8597) |
|  Hal Trust | Euro STR + 0.35% | Monthly | JPHQ | 4/16/26 | 117110 | EUR | 22755 |
|  Hallenstein Glassons Hldg | 1-Day NZOCR + 0.40% | Monthly | MSCO | 6/24/26 | 49957 | NZD | 929 |
|  Halma Ord | 1-Day SONIA + 0.275% | Monthly | MSCO | 6/23/26 | 126821 | GBP | 6083 |
|  Hammerson PLC | 1-Day SONIA + 0.275% | Monthly | MSCO | 11/27/25 | 132319 | GBP | 12076 |
|  Hana Financial Group | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 96981 |  | (3268) |
|  Hanwha General Ins | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 105915 |  | (1249) |
|  Happinet Corp. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 18639903 | JPY | 28769 |
|  Harbin Electric Co Ltd. | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 499562 | HKD | 20577 |
|  Harmony Gold Mining Co. Ltd. | 1-Day SABOR + 0.70% | Monthly | MSCO | 3/06/26 | 2451363 | ZAR | 15796 |
|  Hartadinata Abadi | 1-Day FEDEF + 0.35% | Monthly | MSCO | 6/25/26 | 43887 |  | 93 |
|  Hd Hyundai | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 98159 |  | 2544 |
|  Hd Hyundai Energy Solutions | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 87154 |  | (5716) |
|  Hd Hyundai Heavy | 1-Day FEDEF + 0.10% | Monthly | MSCO | 7/20/26 | 24659 |  | 2599 |
|  Hdksoe | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 194035 |  | 10837 |
|  Heba Fastighets Ab Ser B | 1-Week STIBOR + 0.275% | Monthly | SEBA | 6/24/26 | 151613 | SEK | (280) |
|  Hecto Innovation | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 62279 |  | (1226) |
|  Heijmans NV | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 189110 | EUR | 134105 |
|  Heineken Malaysia Berhad | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 95490 |  | (19668) |
|  Helia Grp Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 99416 | AUD | 7731 |
|  HelloFresh SE | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 172397 | EUR | (7629) |
|  Hera | Euro STR + 0.35% | Monthly | JPHQ | 1/10/26 | 25468 | EUR | 141 |
|  Hiag Immobilien | 1-Day SARON + 0.35% | Monthly | JPHQ | 9/12/30 | 101411 | CHF | 17371 |
|  Hikma Pharmaceuticals PLC | 1-Day SONIA + 0.35% | Monthly | MSCO | 1/08/26 | 116404 | GBP | (10188) |
|  Hilton Food Group PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 10/18/25 | 226803 | GBP | (9375) |
|  Hisense Home Appliances | HIBOR + 0.35% | Monthly | GSCO | 7/06/26 | 545501 | HKD | 4169 |
|  Hito-Communications Holdings | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 5755021 | JPY | 4845 |
|  Hoist Finance AB | 1-Week STIBOR + 0.28% | Monthly | SEBA | 11/27/25 | 1644185 | SEK | 64262 |
|  Hokuriku Electric Power | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 7638651 | JPY | 15803 |
|  Holcim Ltd. | 1-Day SARON + 0.35% | Monthly | JPHQ | 5/09/26 | 165782 | CHF | (30609) |
|  Hong Leong Asia | 1-Day SORA + 0.40% | Monthly | MSCO | 6/25/26 | 52565 | SGD | 30110 |
|  Hong Leong Financial Group | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 63456 |  | 2536 |
|  Hong Leong Industries Bhd | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 31976 |  | 1213 |
|  Horizon Oil Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 62883 | AUD | 3473 |
|  HORNBACH Holding AG & Co. KGaA | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 148628 | EUR | 36824 |
|  Hosokawa Micron Corp. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 13736559 | JPY | 19001 |
|  HS Enterprise | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 109395 |  | (14847) |
|  Hufvudstaden Ab Ser A | 1-Week STIBOR + 0.275% | Monthly | SEBA | 8/11/26 | 1015940 | SEK | 2121 |
|  Hugel | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 180454 |  | (29419) |
|  Hugo Boss AG | Euro STR + 0.35% | Monthly | JPHQ | 7/17/26 | 263172 | EUR | 15000 |
|  Huhtamaki OYJ | Euro STR + 0.275% | Monthly | SEBA | 1/30/26 | 369573 | EUR | (55116) |
|  Human Hldgs Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 2499738 | JPY | 2110 |
|  Humana AB | 1-Week STIBOR + 0.28% | Monthly | SEBA | 7/17/30 | 943310 | SEK | (10196) |
|  Hunting PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 11/27/28 | 14600 | GBP | 60 |
|  Husqvarna AB | 1-Week STIBOR + 0.275% | Monthly | SEBA | 9/25/25 | 2879941 | SEK | 22160 |
|  HUUUGE Inc. | 1-Day FEDEF + 1.25% | Monthly | MSCS | 7/01/27 | 71083 |  | (4829) |
|  Hyundai Glovis | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 149226 |  | 47331 |
|  Hyundai Mobis Co Ltd. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 112882 |  | 7414 |
|  Hyundai Wia | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 113902 |  | 3184 |
|  Icade | 1-Day EONIA + 0.275% | Monthly | MSCO | 7/13/26 | 123991 | EUR | (3163) |
|  ID Holdings Corporation | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 5613605 | JPY | (329) |
|  IG Design Group PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 11/27/25 | 55934 | GBP | (25175) |
|  IG Group Hldgs Ord | 1-Day SONIA + 0.275% | Monthly | MSCO | 6/05/26 | 131121 | GBP | 7134 |
|  IGB Real Estate Inv Trust | 1-Day FEDEF + 0.25% | Monthly | MSCO | 7/02/26 | 32012 |  | 391 |
|  IGG Inc. | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 1187173 | HKD | 18171 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment**<br> **Frequency** | **Counter-<br>party** | **Maturity**<br> **Date** | **Notional**<br> **Value<sup>\*</sup>** | | **Value/Unrealized**<br> **Appreciation**<br> **(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Long<sup>a</sup> (continued)** |  |  |  |  |  |  |  |
|  InBody | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 71702 |  | $6995 |
|  Incap Corp. | Euro STR + 0.28% | Monthly | SEBA | 8/22/30 | 27548 | EUR | (721) |
|  Index Living Mall Pcl | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 18609 |  | 3287 |
|  Indra Sistemas SA | 1-Day EONIA + 0.35% | Monthly | MSCS | 7/17/30 | 98369 | EUR | 102739 |
|  Indus-Holding AG | Euro STR + 0.35% | Monthly | JPHQ | 10/11/25 | 98138 | EUR | 3159 |
|  Ingenia Stapled | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 254594 | AUD | 13505 |
|  Inghams Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 281409 | AUD | (44277) |
|  Inmobiliaria Colonial | 1-Day EONIA + 0.35% | Monthly | MSCS | 11/27/25 | 266740 | EUR | (12621) |
|  Inner Mongolia Mendgdi | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 49198 |  | (905) |
|  Instone Real Estate Group SE | Euro STR + 0.35% | Monthly | JPHQ | 12/12/25 | 47304 | EUR | 15703 |
|  International Consolidated Airlines Group SA | 1-Day SONIA + 0.30% | Monthly | MSCS | 5/27/26 | 150125 | GBP | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;155434 |
|  Intesa Sanpaolo SpA | Euro STR + 0.35% | Monthly | JPHQ | 4/22/26 | 145914 | EUR | 45240 |
|  Intloop Inc. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 6405961 | JPY | 7442 |
|  Intron Technology Hldgs | HIBOR + 0.35% | Monthly | GSCO | 8/27/26 | 93133 | HKD | (404) |
|  Investec Ltd. | 1-Day SABOR + 0.70% | Monthly | MSCO | 9/15/25 | 1640131 | ZAR | (1143) |
|  Ionos Group SE | Euro STR + 0.35% | Monthly | JPHQ | 11/06/25 | 160071 | EUR | 79171 |
|  IP Group PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/17/29 | 34598 | GBP | (648) |
|  Iren | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 95270 | EUR | 766 |
|  ISDN | 1-Day SORA + 0.40% | Monthly | MSCO | 6/25/26 | 20770 | SGD | 3151 |
|  Ishihara Sangyo Kaisha | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 11025287 | JPY | 14124 |
|  Isoteam | 1-Day SORA + 0.40% | Monthly | MSCO | 6/25/26 | 29478 | SGD | 1525 |
|  ISS A/S | 1-Week CIBOR + 0.28% | Monthly | SEBA | 11/27/25 | 363168 | DKK | 3762 |
|  Ive Group FPO | 1-Day RBACR + 0.40% | Monthly | MSCO | 7/28/26 | 71674 | AUD | (681) |
|  IWG PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 4/03/26 | 99827 | GBP | (5133) |
|  Iyogin Holdings Inc. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 26628005 | JPY | 60591 |
|  Jacquet Metals SA | 1-Day EONIA + 0.30% | Monthly | MSCS | 7/17/30 | 17676 | EUR | 468 |
|  Japan Airlines Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 25019282 | JPY | 15453 |
|  Japan Post Bank Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 5711115 | JPY | 8040 |
|  Japan Property Management | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 8511090 | JPY | 6126 |
|  Japfa Comfeed Indonesia | 1-Day FEDEF + 0.35% | Monthly | MSCO | 6/23/26 | 67802 |  | 3522 |
|  Jardine C&C | 1-Day SORA + 0.40% | Monthly | MSCO | 8/19/26 | 36065 | SGD | 531 |
|  Jaya Tiasa Holdings Bhd | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 138910 |  | 6341 |
|  Jb Hi-Fi Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 192379 | AUD | 10763 |
|  JBCC Holdings Inc. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 11981313 | JPY | 3057 |
|  Jbs N V Cl A Ord | 1-Day FEDEF + 0.40% | Monthly | MSCS | 6/16/26 | 202831 |  | 26692 |
|  JCDecaux SE | 1-Day EONIA + 0.30% | Monthly | MSCS | 11/07/25 | 269071 | EUR | (26207) |
|  JD Com Inc. | HIBOR + 0.35% | Monthly | GSCO | 6/23/26 | 1943068 | HKD | (21162) |
|  JD Logistics Inc. | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 1165377 | HKD | (914) |
|  JDE Peet's | Euro STR + 0.35% | Monthly | JPHQ | 7/02/26 | 83553 | EUR | 22781 |
|  Jenoptik AG | Euro STR + 0.35% | Monthly | JPHQ | 8/19/30 | 105299 | EUR | 12449 |
|  Jeol Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 8710786 | JPY | 4482 |
|  Jet2 PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/18/30 | 213436 | GBP | 43609 |
|  Jiangsu Changshu | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/29/26 | 42443 |  | 289 |
|  Jiangsu Suzhou Rural | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/29/26 | 41771 |  | (2905) |
|  Jig Jp Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 7778994 | JPY | 8190 |
|  Jin Air | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 115667 |  | (13166) |
|  Jinan Acetate Chemical Co. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 7/02/26 | 184163 |  | (38833) |
|  Jins Holdings Inc. | TONAR + 0.35% | Monthly | GSCO | 7/15/26 | 11905543 | JPY | 721 |
|  JMH | 1-Day FEDEF + 0.40% | Monthly | MSCO | 7/13/26 | 78131 |  | 13509 |
|  JNBY Design Ltd. | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 1738960 | HKD | 40600 |
|  Johnson Electric Holdings | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 540454 | HKD | 28240 |
|  Johnson Service Group PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 6/07/26 | 211005 | GBP | (7102) |
|  Joy City Property Limited | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 164789 | HKD | 21830 |
|  JP Holdings Inc. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 13312210 | JPY | 12682 |
|  JSP Corp. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 13568275 | JPY | 4178 |
|  Jtekt Corporation | TONAR + 0.35% | Monthly | GSCO | 6/19/26 | 20774916 | JPY | 40545 |
|  Julius Baer | Euro STR + 0.35% | Monthly | JPHQ | 7/17/29 | 129132 | CHF | (3176) |
|  JVM | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 105727 |  | 12709 |
|  K Car | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 42214 |  | 70 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment**<br> **Frequency** | **Counter-<br>party** | **Maturity**<br> **Date** | **Notional**<br> **Value<sup>\*</sup>** | | **Value/Unrealized**<br> **Appreciation**<br> **(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Long<sup>a</sup> (continued)** |  |  |  |  |  |  |  |
|  Kalekim Kimyevi Maddeler | 1-Day FEDEF + 1.25% | Monthly | MSCO | 8/11/26 | 57534 |  | $6917 |
|  Kanamoto Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 13226952 | JPY | 7915 |
|  Kanematsu Corp. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 20752639 | JPY | 18055 |
|  Kardex | 1-Day SARON + 0.35% | Monthly | JPHQ | 9/12/30 | 28353 | CHF | 25593 |
|  Kaufman ET Broad | 1-Day EONIA + 0.30% | Monthly | MSCS | 12/02/25 | 149294 | EUR | (12256) |
|  Keller Group PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/17/30 | 123126 | GBP | (2582) |
|  Kemira OYJ | Euro STR + 0.275% | Monthly | SEBA | 7/17/30 | 210883 | EUR | (12709) |
|  Kenmare Resources PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/17/30 | 32166 | GBP | (1480) |
|  Kepco | 1-Day FEDEF + 4.00% | Monthly | MSCO | 6/24/26 | 103286 |  | (4303) |
|  Kernel Holding SA | 1-Day FEDEF + 0.30% | Monthly | MSCS | 7/17/30 | 11554 |  | 14919 |
|  Kgi Financial Holding Co. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/23/26 | 109232 |  | (8159) |
|  Kia Corp. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/23/26 | 161601 |  | 6817 |
|  KIH | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 69300 |  | (6590) |
|  Kina Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 55973 | AUD | 2996 |
|  Kingfa SCI&Tech Co. | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 55704 |  | 30682 |
|  Kingsoft Corp. | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 210015 | HKD | (4214) |
|  Kinwong Elec Ord | 1-Day FEDEF + 0.30% | Monthly | MSCS | 8/31/31 | 257200 |  | (9937) |
|  Kiwoom | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 150934 |  | (21430) |
|  Koc Holding AS | 1-Day FEDEF + 0.30% | Monthly | MSCS | 7/17/30 | 78019 |  | (7241) |
|  KoganCom Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 116033 | AUD | 4162 |
|  Konecranes OYJ | Euro STR + 0.28% | Monthly | SEBA | 11/22/25 | 253912 | EUR | (435) |
|  Kongsberg Gruppen As | 1-Week NIBOR + 0.275% | Monthly | SEBA | 7/17/30 | 2022799 | NOK | (7360) |
|  Koninklijke Ahold Delhaize NV | Euro STR + 0.35% | Monthly | JPHQ | 7/17/26 | 284509 | EUR | 12815 |
|  Koninklijke BAM Groep NV | Euro STR + 0.35% | Monthly | JPHQ | 8/14/30 | 155388 | EUR | 107238 |
|  Konoike Transport Co Limited | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 32327747 | JPY | 37946 |
|  KorElecTerm | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 196998 |  | (15872) |
|  Koyou Rentia Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/25/26 | 1422313 | JPY | 863 |
|  KPIC | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 115210 |  | 38848 |
|  Kpj Healthcare Bhd | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 132520 |  | 1934 |
|  Krones AG | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 173793 | EUR | 36007 |
|  Krung Thai Bank Public Co. | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 110687 |  | 15945 |
|  KT | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/29/26 | 3040 |  | (127) |
|  Kubell Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 5893973 | JPY | (584) |
|  Kumba Iron Ore Ltd. | 1-Day SABOR + 0.70% | Monthly | MSCO | 3/25/26 | 3340257 | ZAR | 2164 |
|  KWS Saat SE & Co. KGaA | Euro STR + 0.35% | Monthly | JPHQ | 8/15/30 | 109015 | EUR | 27235 |
|  Lancashire Holdings Ltd. | 1-Day SONIA + 0.35% | Monthly | MSCS | 2/19/26 | 206983 | GBP | (9995) |
|  Lassila & Tikanoja PLC | Euro STR + 0.275% | Monthly | SEBA | 1/27/26 | 28145 | EUR | 4752 |
|  Legrand Ord | 1-Day EONIA + 0.275% | Monthly | MSCS | 6/30/31 | 1262151 | EUR | (32395) |
|  Lenovo Group Limited | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 931907 | HKD | 22558 |
|  Leo Palace 21 Corp. | TONAR + 0.35% | Monthly | GSCO | 6/22/26 | 18756312 | JPY | 23437 |
|  Leong Hup International | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 103931 |  | (1438) |
|  LG Electronics | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 118239 |  | (5979) |
|  LG Innotek | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 92373 |  | 7560 |
|  LG Uplus | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 166188 |  | 8136 |
|  LHN | 1-Day SORA + 0.40% | Monthly | MSCO | 6/25/26 | 3621 | SGD | (178) |
|  Life Corporation | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 25641140 | JPY | 25463 |
|  Link Real Estate Investment | HIBOR + 0.35% | Monthly | GSCO | 8/19/26 | 365727 | HKD | (160) |
|  Lion Travel Service Co Ltd. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 155023 |  | (3998) |
|  Livzon Pharmaceutical Group | HIBOR + 0.35% | Monthly | GSCO | 7/03/26 | 626481 | HKD | 4122 |
|  Logista | 1-Day EONIA + 0.35% | Monthly | MSCS | 9/16/25 | 36312 | EUR | (584) |
|  Logistea Ab Ser B | 1-Week STIBOR + 0.275% | Monthly | SEBA | 6/08/26 | 90563 | SEK | (187) |
|  Logitech International | 1-Day SARON + 0.35% | Monthly | JPHQ | 2/17/26 | 211344 | CHF | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;95577 |
|  Lonking Holdings Ltd. | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 576215 | HKD | 22697 |
|  Loomis AB | 1-Week STIBOR + 0.28% | Monthly | SEBA | 7/15/26 | 4628450 | SEK | 13856 |
|  Lotte | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 126974 |  | 2320 |
|  Lotte Fine Chem | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 65257 |  | 2110 |
|  Lotte Rental Co Ltd. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 8/14/26 | 20634 |  | (394) |
|  LT Group Inc. | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 33244 |  | 2766 |
|  Lumax International Corp. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 107644 |  | 11176 |
|  LY Corporation | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 16588677 | JPY | (9850) |
|  Macmahon Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 132113 | AUD | 40870 |
|  Maire Tecnimont SpA | Euro STR + 0.35% | Monthly | JPHQ | 8/14/30 | 108211 | EUR | 66587 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment**<br> **Frequency** | **Counter-<br>party** | **Maturity**<br> **Date** | **Notional**<br> **Value<sup>\*</sup>** | | **Value/Unrealized**<br> **Appreciation**<br> **(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Long<sup>a</sup> (continued)** |  |  |  |  |  |  |  |
|  Malayan Flour Mills Bhd | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 64252 |  | $789 |
|  Mandom Corp. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 14539630 | JPY | 581 |
|  Manitou BF SA | 1-Day EONIA + 0.30% | Monthly | MSCS | 7/17/28 | 30103 | EUR | (1988) |
|  Marimekko Corp. | Euro STR + 0.28% | Monthly | SEBA | 7/17/30 | 33349 | EUR | (2948) |
|  Marketech International | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 189018 |  | 61077 |
|  Marks & Spencer Group PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/17/30 | 137390 | GBP | 37962 |
|  Marston's PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 11/27/25 | 136638 | GBP | 4166 |
|  Matsuda Sangyo | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 5424064 | JPY | 4842 |
|  Maxis Berhad | 1-Day FEDEF + 0.25% | Monthly | MSCO | 8/26/26 | 25873 |  | (538) |
|  Mayr-Melnhof Karton AG | Euro STR + 0.35% | Monthly | JPHQ | 2/05/26 | 98429 | EUR | 14933 |
|  Mazda Motor Corp. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 16052089 | JPY | 20083 |
|  Mbm Resources Bhd | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 22331 |  | 2016 |
|  MCNEX | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 87884 |  | 5002 |
|  Mebuki Financial Group | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 12965037 | JPY | 20108 |
|  MediaForEurope | 1-Day EONIA + 0.35% | Monthly | JPHQ | 5/31/26 | 158666 | EUR | 12546 |
|  MediaForEurope | 1-Day EONIA + 0.35% | Monthly | MSCO | 5/31/26 | 103324 | EUR | 37089 |
|  Megastudyedu | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 91293 |  | (9944) |
|  Megaworld Corporation | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 45338 |  | 1054 |
|  Megmilk Snow Brand CoLtd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 17566011 | JPY | 5986 |
|  Meidensha Corp. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 26537096 | JPY | 23122 |
|  Melia Hotels International | 1-Day EONIA + 0.35% | Monthly | MSCO | 5/20/26 | 153438 | EUR | 16501 |
|  Members Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 5681245 | JPY | 917 |
|  Metals X Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 97805 | AUD | 6666 |
|  Micreed Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 1079049 | JPY | 1958 |
|  Mikron Group | 1-Day SARON + 0.35% | Monthly | JPHQ | 9/12/30 | 19005 | CHF | 4915 |
|  Minor International | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/23/26 | 110132 |  | 1069 |
|  Mirait One Corporation | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 13657705 | JPY | 13589 |
|  Miroku Jyoho Service Co. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 5536210 | JPY | 1182 |
|  Mitchells & Butlers PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 11/27/25 | 138426 | GBP | 8461 |
|  Mitie Group PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/17/30 | 136409 | GBP | (5981) |
|  Mitra Adiperkasa Tbk | 1-Day FEDEF + 0.35% | Monthly | MSCO | 8/31/26 | 12741 |  | (377) |
|  Mitra Pinasthika Mustika | 1-Day FEDEF + 0.35% | Monthly | MSCO | 6/26/26 | 4362 |  | (90) |
|  MLP SE | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 73933 | EUR | (12402) |
|  Modern Dental Group Limit | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 768308 | HKD | 24319 |
|  Modern Times Group MTG AB | 1-Week STIBOR + 0.275% | Monthly | SEBA | 5/08/26 | 4159057 | SEK | (80031) |
|  Modetour | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 54674 |  | (3688) |
|  Momentum Metropolitan Holdings Ltd. | 1-Day SABOR + 0.70% | Monthly | MSCS | 6/12/26 | 3907720 | ZAR | 3553 |
|  Monadel Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 258491 | AUD | 36512 |
|  Montana | 1-Day SARON + 0.35% | Monthly | JPHQ | 11/27/25 | 11690 | CHF | 11789 |
|  Moonpig Group PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/17/29 | 54373 | GBP | (5289) |
|  Morgan Sindall Group PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/17/30 | 113267 | GBP | 90009 |
|  Mostostal Zabrze SA | 1-Day FEDEF + 1.25% | Monthly | MSCO | 11/03/25 | 13418 |  | 5828 |
|  Mr Max Holdings Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 2150875 | JPY | 4832 |
|  Mr Price Group Ltd. | 1-Day SABOR + 0.70% | Monthly | MSCO | 3/14/26 | 4654659 | ZAR | (12201) |
|  MT Gibson Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 48752 | AUD | 11469 |
|  MTN Group Ltd. | 1-Day SABOR + 0.32% | Monthly | MSCS | 7/15/26 | 2257429 | ZAR | 60443 |
|  Muenchener Rueckversicherungs Gesellschaft AG | Euro STR + 0.35% | Monthly | JPHQ | 5/08/26 | 63099 | EUR | (3826) |
|  Muhibbah Engineering | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 30356 |  | (2141) |
|  My Humble House Hospitality | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 57563 |  | (7139) |
|  Myer Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/22/26 | 106490 | AUD | 5842 |
|  Nak Sealing Technologies | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/25/26 | 4122 |  | (445) |
|  Nan Pao Resins Chemical | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 180787 |  | 44938 |
|  Nanosonics Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 8/14/26 | 70284 | AUD | 3773 |
|  Narumiya International Co. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 4758632 | JPY | 8689 |
|  National Grid PLC | 1-Day SONIA + 0.40% | Monthly | MSCS | 1/23/26 | 950719 | GBP | (5692) |
|  Nationgate Holdings Berhad | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/23/26 | 120111 |  | (22246) |
|  NatWest Group PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/17/30 | 178674 | GBP | 86621 |
|  NCC AB | 1-Week STIBOR + 0.28% | Monthly | SEBA | 7/17/30 | 2500647 | SEK | 4618 |
|  Nelly Group AB | 1-Week STIBOR + 0.275% | Monthly | SEBA | 11/03/25 | 225469 | SEK | 17008 |
|  Neowiz | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 100890 |  | (5663) |
|  Nepi Rockcastle NV | 1-Day SABOR + 0.70% | Monthly | MSCO | 6/09/26 | 2351400 | ZAR | 9117 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment**<br> **Frequency** | **Counter-<br>party** | **Maturity**<br> **Date** | **Notional**<br> **Value<sup>\*</sup>** | | **Value/Unrealized**<br> **Appreciation**<br> **(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Long<sup>a</sup> (continued)** |  |  |  |  |  |  |  |
|  Netbay Public Co Ltd. | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 57360 |  | $6671 |
|  Netronix Inc. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 8/19/26 | 41282 |  | 1536 |
|  Netwealth Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 213730 | AUD | 8596 |
|  Newborn Town Inc. | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 1223351 | HKD | 38839 |
|  Nforce Secure Pcl | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 15912 |  | 2410 |
|  NH Foods Ltd. | TONAR + 0.35% | Monthly | GSCO | 7/06/26 | 5499849 | JPY | 4213 |
|  NHIS | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 53025 |  | (3717) |
|  Nihon Dempa Kogyo | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 10221806 | JPY | 17676 |
|  Nihon Trim Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 5139563 | JPY | 2709 |
|  Nilfisk Holding A/S | 1-Week CIBOR + 0.28% | Monthly | SEBA | 7/12/26 | 353770 | DKK | 7683 |
|  Nilorngruppen AB | 1-Week STIBOR + 0.275% | Monthly | SEBA | 11/03/25 | 196069 | SEK | (2353) |
|  Ninety One Limited | 1-Day SABOR + 0.70% | Monthly | MSCO | 8/25/26 | 666067 | ZAR | (14) |
|  Ninety One Plc Ord | 1-Day SONIA + 0.275% | Monthly | MSCO | 8/25/26 | 34971 | GBP | (426) |
|  Ningbo Tuopu Group | 1-Day FEDEF + 0.30% | Monthly | MSCS | 2/10/26 | 172308 |  | 49808 |
|  Niox Group PLC | 1-Day SONIA + 0.35% | Monthly | MSCO | 1/06/26 | 32263 | GBP | 8738 |
|  Nippn Corporation | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 8403846 | JPY | 4597 |
|  Nippon Carbide Industries | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 5146416 | JPY | 5104 |
|  Nippon Dry Chemical Co Lt | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 19507486 | JPY | 33771 |
|  Nippon Reit Investment Co. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 14394750 | JPY | 9882 |
|  Nippon Seiki Co. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 11295686 | JPY | 22675 |
|  Nishi Nippon Financial HL | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 6755299 | JPY | 6491 |
|  Nitta Gelatin Inc. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 4921307 | JPY | 5545 |
|  NKT A/S | 1-Week CIBOR + 0.28% | Monthly | SEBA | 11/27/25 | 745644 | DKK | 27377 |
|  NN Group NV | Euro STR + 0.35% | Monthly | JPHQ | 7/15/26 | 199870 | EUR | 58965 |
|  Nok Corp. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 12811069 | JPY | 19828 |
|  Nokia Corp. | Euro STR + 0.28% | Monthly | SEBA | 7/17/30 | 341166 | EUR | (93450) |
|  Nolato AB | 1-Week STIBOR + 0.275% | Monthly | SEBA | 3/23/26 | 1091717 | SEK | (986) |
|  Nomura Holdings Inc. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 10778779 | JPY | 12483 |
|  Nordea Bank ABP | 1-Week STIBOR + 0.28% | Monthly | SEBA | 7/17/30 | 1073293 | SEK | 9087 |
|  Nordex SE | Euro STR | Monthly | JPHQ | 12/01/25 | 199300 | EUR | 99490 |
|  Norooholdings | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 28755 |  | 11185 |
|  Norsk Hydro ASA | 1-Week NIBOR + 0.275% | Monthly | SEBA | 4/08/30 | 1979529 | NOK | (1756) |
|  Norwegian Air Shuttle ASA | 1-Week NIBOR + 0.28% | Monthly | SEBA | 7/19/30 | 2343936 | NOK | 98059 |
|  Notion Vtec Bhd | 1-Day FEDEF + 0.25% | Monthly | MSCO | 7/02/26 | 3117 |  | (580) |
|  Nova Technology Corp. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 153758 |  | 34899 |
|  Novartis AG | 1-Day SARON + 0.35% | Monthly | JPHQ | 4/22/26 | 195854 | CHF | 36373 |
|  NP3 Fastigheter AB | 1-Week STIBOR + 0.28% | Monthly | SEBA | 7/17/30 | 777096 | SEK | 7803 |
|  Nrwholdltd Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 314362 | AUD | 60595 |
|  Nsl Foods Pcl | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 60724 |  | 944 |
|  NTN Corp. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 11255325 | JPY | 37546 |
|  Obrascon Huarte Lain SA | 1-Day FEDEF | Monthly | MSCO | 12/17/25 | 95503 | EUR | 18156 |
|  Odfjell SE | 1-Week NIBOR + 0.275% | Monthly | SEBA | 4/15/26 | 1239497 | NOK | 25109 |
|  Odfjell Technology Ltd. | 1-Week NIBOR + 0.28% | Monthly | SEBA | 7/18/30 | 1042544 | NOK | 26905 |
|  Offshore Oil Engineering | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 70916 |  | 1763 |
|  Oisix Ra Daichi Inc. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 16582383 | JPY | (6301) |
|  Okabe Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 3452599 | JPY | 3190 |
|  Okea ASA | 1-Week NIBOR + 0.28% | Monthly | SEBA | 7/17/30 | 1321974 | NOK | (3363) |
|  Okinawa Financial Grp Inc. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 24039148 | JPY | 39327 |
|  Old Mutual Ltd. | 1-Day SABOR + 0.70% | Monthly | MSCO | 4/30/26 | 4086689 | ZAR | 66773 |
|  Omnia Holdings Ltd. | 1-Day SABOR + 0.31% | Monthly | MSCS | 7/17/30 | 2848612 | ZAR | 20718 |
|  On The Beach Group PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/17/30 | 91586 | GBP | 89693 |
|  The One Enterprise Pcl | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 4892 |  | 479 |
|  Ontex Group NV | Euro STR + 0.35% | Monthly | JPHQ | 11/27/25 | 137911 | EUR | (25572) |
|  Open House Group Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 20696042 | JPY | 23801 |
|  Oriola Corp. | Euro STR + 0.28% | Monthly | SEBA | 7/17/30 | 33755 | EUR | 2179 |
|  ORSERO | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 56883 | EUR | 19478 |
|  OSB Group | 1-Day SONIA + 0.35% | Monthly | MSCS | 9/12/30 | 113154 | GBP | 40433 |
|  OVS SpA | Euro STR + 0.35% | Monthly | JPHQ | 7/26/30 | 228953 | EUR | 114601 |
|  Pacific Hospital Supply | 1-Day FEDEF + 0.35% | Monthly | MSCO | 6/24/26 | 49413 |  | (4016) |
|  Palfinger AG | Euro STR + 0.35% | Monthly | JPHQ | 8/24/26 | 37351 | EUR | (798) |
|  Pandora A/S | 1-Week CIBOR + 0.28% | Monthly | SEBA | 7/15/26 | 2058419 | DKK | (45535) |
|  Panoro Energy ASA | 1-Week NIBOR + 0.275% | Monthly | SEBA | 10/30/25 | 545589 | NOK | (2741) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment**<br> **Frequency** | **Counter-<br>party** | **Maturity**<br> **Date** | **Notional**<br> **Value<sup>\*</sup>** | | **Value/Unrealized**<br> **Appreciation**<br> **(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Long<sup>a</sup> (continued)** |  |  |  |  |  |  |  |
|  Pantheon Infrastructure | 1-Day SONIA + 0.35% | Monthly | MSCO | 4/15/26 | 75359 | GBP | $26075 |
|  Paragon Banking Group PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 2/03/30 | 39447 | GBP | (1854) |
|  Partron | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 81118 |  | (2882) |
|  Pavilion Real Estate Inv | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 49795 |  | 3588 |
|  Pepco | 1-Day FEDEF | Monthly | MSCO | 1/21/26 | 209828 |  | 74467 |
|  Peptidream Inc. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 4913951 | JPY | (2809) |
|  Per Aarsleff Holding A/S | 1-Week CIBOR + 0.28% | Monthly | SEBA | 7/17/30 | 1225224 | DKK | 44169 |
|  Perenti Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 399196 | AUD | 125650 |
|  Perseus Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 292117 | AUD | 18422 |
|  Persol Holdings Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 41553260 | JPY | (6059) |
|  Perusahaan Gas Negara Tbk | 1-Day FEDEF + 0.35% | Monthly | MSCO | 6/22/26 | 109858 |  | 6603 |
|  Perusahaan Perkebunan Lon | 1-Day FEDEF + 0.35% | Monthly | MSCO | 6/25/26 | 30991 |  | 1006 |
|  Petershill Partners PLC | 1-Day SONIA + 0.35% | Monthly | MSCO | 1/23/26 | 138560 | GBP | 47394 |
|  Petronas Dagangan Bhd | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 131117 |  | (2031) |
|  Peugeot Invest SA | 1-Day EONIA + 0.30% | Monthly | MSCS | 7/17/29 | 32277 | EUR | (209) |
|  Pexip Holding | 1-Week NIBOR + 0.28% | Monthly | SEBA | 11/27/25 | 1022179 | NOK | 52473 |
|  PGE Polska Grupa Energetyczna SA | 1-Day FEDEF + 0.30% | Monthly | MSCS | 7/15/26 | 250806 |  | 162452 |
|  Pha Co Ltd. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 7/27/26 | 17635 |  | (417) |
|  Pharmaresearch | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 113416 |  | 41913 |
|  Pharmaron Beijing Co Ltd. | HIBOR + 0.35% | Monthly | GSCO | 7/06/26 | 651530 | HKD | 8855 |
|  Pharmicell | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/29/26 | 51321 |  | (4178) |
|  Philippine National Bank | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 24239 |  | (2863) |
|  Pick n Pay Stores Ltd. | 1-Day SABOR + 0.70% | Monthly | MSCS | 8/30/28 | 175189 | ZAR | (165) |
|  Picton Property Income Ltd. | 1-Day SONIA + 0.275% | Monthly | MSCO | 7/22/30 | 144471 | GBP | 6677 |
|  Pirelli & C | Euro STR + 0.35% | Monthly | JPHQ | 6/16/26 | 362155 | EUR | (5597) |
|  Pixart Imaging | 1-Day FEDEF + 0.10% | Monthly | MSCO | 8/04/26 | 59776 |  | (1740) |
|  PKO Bank Polski | 1-Day FEDEF + 1.25% | Monthly | MSCO | 11/06/25 | 132203 |  | 31474 |
|  Plastic Omnium | 1-Day EONIA + 0.30% | Monthly | MSCO | 3/14/26 | 168784 | EUR | 108731 |
|  Pluxee NV | 1-Day EONIA + 0.275% | Monthly | MSCO | 6/09/26 | 130062 | EUR | (10448) |
|  Poco Ord | 1-Day FEDEF + 0.30% | Monthly | MSCS | 8/16/31 | 547576 |  | 32988 |
|  Polar Capital Holdings PLC | 1-Day SONIA + 0.275% | Monthly | MSCO | 11/03/25 | 152649 | GBP | (15692) |
|  Poly Property Group Co Lt | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 872541 | HKD | 10779 |
|  Poly Property Services Co. | HIBOR + 0.35% | Monthly | GSCO | 6/22/26 | 1950744 | HKD | 20290 |
|  Pop Mart Intl Grp Ltd. | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 653005 | HKD | 23740 |
|  PORR AG | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 79390 | EUR | 17077 |
|  Poste Italiane SpA | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 134837 | EUR | 48388 |
|  Pou Chen | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/23/26 | 143967 |  | (11163) |
|  Powerlong Commercial Mgt | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 211767 | HKD | 40 |
|  Praemium Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 7/22/26 | 84809 | AUD | 5202 |
|  Praram 9 Hospital Pcl | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 109798 |  | (7426) |
|  Primary Health Properties | 1-Day SONIA + 0.275% | Monthly | MSCO | 5/14/26 | 173321 | GBP | (12662) |
|  Primax Electronics Ltd. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 171083 |  | 18659 |
|  Propnex | 1-Day SORA + 0.40% | Monthly | MSCO | 6/25/26 | 50937 | SGD | 49713 |
|  Prosegur | 1-Day EONIA + 0.35% | Monthly | MSCS | 9/26/25 | 36050 | EUR | (400) |
|  Prosegur Cash SA | 1-Day EONIA + 0.275% | Monthly | MSCO | 6/08/26 | 30059 | EUR | (2521) |
|  Pt Indofood Sukses Makmur | 1-Day FEDEF + 0.35% | Monthly | MSCO | 6/24/26 | 101499 |  | (10014) |
|  Pt Pakuwon Jati | 1-Day FEDEF + 0.35% | Monthly | MSCO | 6/25/26 | 28434 |  | (457) |
|  Pt Xlsmart Telecom Sejaht | 1-Day FEDEF + 0.35% | Monthly | MSCO | 6/26/26 | 89720 |  | 8397 |
|  Ptg Energy Public Company | 1-Day FEDEF + 0.25% | Monthly | MSCO | 8/26/26 | 13107 |  | 192 |
|  Qantas Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/19/26 | 305193 | AUD | 24985 |
|  Qbe Insur Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 8/14/26 | 124838 | AUD | 1663 |
|  QinetiQ Group PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 11/10/28 | 96031 | GBP | (4926) |
|  Quadient | 1-Day EONIA + 0.30% | Monthly | MSCS | 11/27/25 | 40514 | EUR | (3593) |
|  Quick Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 14061558 | JPY | 1018 |
|  Rainbow | 1-Day FEDEF + 1.25% | Monthly | MSCS | 11/28/25 | 166466 |  | 68561 |
|  Raito Kogyo Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 10657699 | JPY | 10558 |
|  Ramelius Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 65867 | AUD | 7123 |
|  Rank Group ORD | 1-Day SONIA + 0.275% | Monthly | MSCO | 11/07/25 | 33221 | GBP | 19800 |
|  Raubex Group Ltd. | 1-Day SABOR + 0.70% | Monthly | MSCO | 9/15/25 | 2726167 | ZAR | (10052) |
|  Raysearch Laboratories AB | 1-Week STIBOR + 0.275% | Monthly | SEBA | 12/04/25 | 1860954 | SEK | 20818 |
|  Realtek Semiconductor Corp. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 266138 |  | (22072) |
|  Reg Health Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 426115 | AUD | 5246 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment**<br> **Frequency** | **Counter-<br>party** | **Maturity**<br> **Date** | **Notional**<br> **Value<sup>\*</sup>** | | **Value/Unrealized**<br> **Appreciation**<br> **(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Long<sup>a</sup> (continued)** |  |  |  |  |  |  |  |
|  Regional REIT Ltd. | 1-Day SONIA + 0.275% | Monthly | MSCO | 12/05/25 | 114299 | GBP | $20235 |
|  Relo Group Inc. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 11899484 | JPY | 954 |
|  Renold ORD | 1-Day SONIA + 0.275% | Monthly | MSCO | 9/24/25 | 15982 | GBP | 17467 |
|  Reply | Euro STR + 0.35% | Monthly | JPHQ | 5/13/26 | 267468 | EUR | (37013) |
|  Resolute Fpo | 1-Day SONIA + 0.275% | Monthly | MSCO | 6/24/26 | 253967 | AUD | 6151 |
|  Resolute Mining Ltd. | 1-Day FEDEF | Monthly | MSCO | 12/18/25 | 4614 | GBP | 3337 |
|  Resorttrust Inc. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 4498354 | JPY | 2729 |
|  Restaurant Brands New Zealand | 1-Day NZOCR + 0.40% | Monthly | MSCO | 6/25/26 | 19352 | NZD | (692) |
|  Reunert Ltd. | 1-Day SABOR + 0.70% | Monthly | MSCS | 8/15/30 | 2494389 | ZAR | (16329) |
|  Rexel | 1-Day EONIA + 0.30% | Monthly | MSCS | 7/15/30 | 112028 | EUR | 6514 |
|  RHI Magnesita | 1-Day SONIA + 0.275% | Monthly | MSCO | 6/23/26 | 40621 | GBP | (19988) |
|  Riken Technos Corporation | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 12092659 | JPY | 5562 |
|  Rio Tinto Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 201245 | AUD | 14537 |
|  Rl Commercial Reit Inc. | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 24960 |  | 802 |
|  Robertet | 1-Day EONIA + 0.275% | Monthly | MSCO | 8/31/26 | 8285 | EUR | 6 |
|  Robinsons Retail Holdings | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 3709 |  | (271) |
|  Roche | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 337851 | CHF | 16360 |
|  Rojana Industrial Park | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 86953 |  | 6152 |
|  Rolls-Royce Holdings PLC | 1-Day SONIA + 0.35% | Monthly | MSCO | 2/17/26 | 46727 | GBP | (359) |
|  Royal Holdings Co. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 12728414 | JPY | 590 |
|  Rubis | 1-Day EONIA + 0.30% | Monthly | MSCS | 8/12/30 | 159136 | EUR | 18675 |
|  Rusta AB | 1-Week STIBOR + 0.275% | Monthly | SEBA | 9/12/25 | 1735932 | SEK | 13443 |
|  S&D | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 85021 |  | 1955 |
|  S-1 | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 118403 |  | 17408 |
|  The Sage Group PLC | 1-Day SONIA + 0.275% | Monthly | MSCO | 3/20/26 | 197420 | GBP | (29009) |
|  Saipem | Euro STR + 0.35% | Monthly | JPHQ | 10/14/25 | 220774 | EUR | 84896 |
|  Samart Aviation Solutions | 1-Day FEDEF + 0.25% | Monthly | MSCO | 8/27/26 | 12999 |  | 217 |
|  Sampyo Cement | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 8981 |  | (67) |
|  Samsung E&A Co Ltd. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 150123 |  | 34486 |
|  Samsung Securities | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 188582 |  | (21661) |
|  San Fang Chemical | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 111458 |  | (20933) |
|  Sandfire Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 7/22/26 | 111761 | AUD | 9960 |
|  Sanhua ORD | 1-Day FEDEF | Monthly | MSCS | 2/10/26 | 209744 |  | 25927 |
|  Sanix Holdings Inc. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 3855012 | JPY | (318) |
|  Sanko Gosei Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 7080873 | JPY | 17775 |
|  Sankyo Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 11150270 | JPY | 9059 |
|  Santen Pharmaceutical Co. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 15955951 | JPY | (7575) |
|  Sappi Ltd. | 1-Day SABOR + 0.70% | Monthly | MSCS | 11/27/25 | 8114007 | ZAR | (133749) |
|  Sartorius Stedim Biotech SA | 1-Day EONIA + 0.30% | Monthly | MSCS | 7/17/28 | 148007 | EUR | (16741) |
|  Sasol Ltd. | 1-Day SABOR + 0.33% | Monthly | MSCS | 7/17/30 | 5507483 | ZAR | 193026 |
|  Satellite Chemical | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 24767 |  | 5611 |
|  SATS | 1-Day SORA + 0.40% | Monthly | MSCO | 7/14/26 | 61083 | SGD | 1637 |
|  SATS ASA | 1-Week NIBOR + 0.275% | Monthly | SEBA | 2/17/26 | 1736534 | NOK | 20703 |
|  SAVILLS PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/17/30 | 291022 | GBP | (43924) |
|  Scales Corporation Limited | 1-Day NZOCR + 0.40% | Monthly | MSCO | 6/24/26 | 100209 | NZD | 2750 |
|  Scandi Standard AB | 1-Week STIBOR + 0.28% | Monthly | SEBA | 7/17/30 | 563193 | SEK | 12066 |
|  Scanfil PLC | Euro STR + 0.275% | Monthly | SEBA | 10/17/25 | 19238 | EUR | 3098 |
|  Schindler | 1-Day SARON + 0.35% | Monthly | JPHQ | 11/29/25 | 199995 | CHF | 34184 |
|  Schouw & Co. | 1-Week NIBOR + 0.275% | Monthly | SEBA | 5/22/26 | 659725 | DKK | (5105) |
|  Schweiter Technologies AG | 1-Day SARON + 0.35% | Monthly | JPHQ | 9/24/25 | 116772 | CHF | (11528) |
|  Scout24 SE | Euro STR + 0.35% | Monthly | JPHQ | 12/06/25 | 113605 | EUR | (7111) |
|  Secure Trust Bank PLC | 1-Day FEDEF | Monthly | MSCO | 12/17/25 | 30830 | GBP | 57957 |
|  Securitas AB | 1-Week STIBOR + 0.28% | Monthly | SEBA | 7/17/30 | 3214112 | SEK | 1309 |
|  Security Bank Corporation | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 41825 |  | 785 |
|  Seiko Epson Corp. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 10936694 | JPY | 1554 |
|  Sekisui Chemical Co. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 11925900 | JPY | 10706 |
|  Sekisui House Reit Inc. | TONAR + 0.35% | Monthly | GSCO | 6/23/26 | 21283441 | JPY | 9109 |
|  Semitec Corporation | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 5882654 | JPY | 8670 |
|  Senshu Electric Co. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 11783654 | JPY | 5740 |
|  Seraku Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 7217774 | JPY | 2082 |
|  Serco Group | 1-Day SONIA + 0.35% | Monthly | MSCS | 9/30/25 | 145309 | GBP | 62131 |
|  Sevice Stream Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 388374 | AUD | 16279 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment**<br> **Frequency** | **Counter-<br>party** | **Maturity**<br> **Date** | **Notional**<br> **Value<sup>\*</sup>** | | **Value/Unrealized**<br> **Appreciation**<br> **(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Long<sup>a</sup> (continued)** |  |  |  |  |  |  |  |
|  SF Holding Co Ltd. | HIBOR + 0.35% | Monthly | GSCO | 7/03/26 | 774939 | HKD | $(8168) |
|  SFA | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 90540 |  | (3802) |
|  SFP Holdings Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 3115951 | JPY | (50) |
|  SFS Group AG | 1-Day SARON + 0.35% | Monthly | JPHQ | 2/08/29 | 54907 | CHF | (23) |
|  SGX | 1-Day SORA + 0.40% | Monthly | MSCO | 6/25/26 | 95560 | SGD | 12002 |
|  Shandong Weigao Group Med | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 705468 | HKD | (4979) |
|  Shandong Wit Dyne | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 39436 |  | 2969 |
|  Shanghai Aiyingshi Co Ltd. | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 21698 |  | 572 |
|  Sharing Technology Inc. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 17993728 | JPY | 4424 |
|  Shenergy Company | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 55978 |  | (3965) |
|  Sheng Yu Steel | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 42469 |  | (3718) |
|  Shenzhen SC | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/23/26 | 103794 |  | 88496 |
|  Shieh Yih Machinery | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 9830 |  | (1270) |
|  Shimao Services Holdings | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 219628 | HKD | (1261) |
|  Shin Maint Holdings Co Lt | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 1565634 | JPY | 2224 |
|  Shin Yang Group Berhad | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 26573 |  | (349) |
|  Shinmaywa Industries | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 13811631 | JPY | 7639 |
|  Shinnihonseiyaku Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 12039404 | JPY | 5569 |
|  Ship Health Care Holdings | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 35541801 | JPY | 40377 |
|  Shizuoka Financial Group | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 10448948 | JPY | 10707 |
|  Siemens Energy AG | Euro STR + 0.35% | Monthly | MSCS | 3/03/26 | 2467926 | EUR | (127939) |
|  Siemens Energy AG | Euro STR + 0.35% | Monthly | JPHQ | 12/06/30 | 89119 | EUR | (5515) |
|  Signify NV | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 265776 | EUR | 77733 |
|  Siix Corp. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 23193033 | JPY | 21874 |
|  Sinch | 1-Week STIBOR + 0.28% | Monthly | SEBA | 11/27/25 | 2332231 | SEK | 84446 |
|  Sinofert Holdings | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 588713 | HKD | 5131 |
|  Sinopec Shanghai Petroche | HIBOR + 0.35% | Monthly | GSCO | 7/06/26 | 526358 | HKD | 2046 |
|  Sitronix Technology Corp. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 110787 |  | (1079) |
|  Skanska AB | 1-Week STIBOR + 0.275% | Monthly | SEBA | 3/24/26 | 3188160 | SEK | 5992 |
|  Skellerup Holdings Npv | 1-Day NZOCR + 0.40% | Monthly | MSCO | 6/24/26 | 25931 | NZD | 368 |
|  SKF AB | 1-Week STIBOR + 0.275% | Monthly | SEBA | 3/25/26 | 2909620 | SEK | 31638 |
|  Sks Tech Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 49445 | AUD | 14956 |
|  Sky Network Television Ltd. | 1-Day NZOCR + 0.40% | Monthly | MSCO | 6/24/26 | 92443 | NZD | 3793 |
|  Skycity Entertainment Rts | 1-Day NZOCR + 0.788% | Monthly | MSCO | 6/24/26 | 33387 | NZD |  |
|  Sleep Cycle AB | 1-Week STIBOR + 0.275% | Monthly | SEBA | 11/03/25 | 271921 | SEK | (9920) |
|  Smartgroup Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 292693 | AUD | 43570 |
|  Smiths Group Plc Ord | 1-Day SONIA + 0.275% | Monthly | MSCO | 6/16/26 | 54779 | GBP | 2329 |
|  Sofina | Euro STR + 0.35% | Monthly | JPHQ | 7/12/26 | 164015 | EUR | 17324 |
|  <sup>b</sup>Softwareone Holding Ag | 1-Week NIBOR + 0.275% | Monthly | SEBA | 7/17/30 |  | NOK | 207562 |
|  Sogefi | Euro STR + 0.35% | Monthly | JPHQ | 11/14/25 | 71057 | EUR | 48977 |
|  Soken Chemical & Engineer | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 9303792 | JPY | 7461 |
|  Solstad Offshore | 1-Week NIBOR + 0.28% | Monthly | SEBA | 11/27/25 | 1040877 | NOK | 54747 |
|  Solutions 30 | 1-Day EONIA + 0.30% | Monthly | MSCS | 11/27/28 | 40175 | EUR | (2225) |
|  Solvar Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 8/14/26 | 24989 | AUD | 596 |
|  Solvay | Euro STR + 0.35% | Monthly | JPHQ | 10/10/25 | 140540 | EUR | (11160) |
|  Soop Co Ltd. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 7/23/26 | 150778 |  | (8508) |
|  Southchip Semiconductor | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/23/26 | 39505 |  | 12985 |
|  Southern Cable Group Berhad | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 7641 |  | 2822 |
|  SP Group A/S | 1-Week CIBOR + 0.275% | Monthly | SEBA | 9/10/30 | 409419 | DKK | 1739 |
|  The Spar Group Ltd. | 1-Day SABOR + 0.70% | Monthly | MSCO | 9/15/25 | 6636937 | ZAR | (55062) |
|  Sparekassen Sjaelland | 1-Week CIBOR + 0.275% | Monthly | SEBA | 3/14/26 | 429692 | DKK | 13396 |
|  Spc Samlip | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 56050 |  | (4471) |
|  Speed Tech | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 125361 |  | 1739 |
|  Speedy Hire PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/17/30 | 84843 | GBP | (23865) |
|  Springer Nature Ag & Co. | Euro STR + 0.35% | Monthly | JPHQ | 8/10/26 | 38248 | EUR | 3493 |
|  Srg Global Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 100709 | AUD | 9053 |
|  SSAB AB | 1-Week STIBOR + 0.28% | Monthly | SEBA | 7/17/30 | 2216134 | SEK | (45966) |
|  St James's Place Ord | 1-Day SONIA + 0.275% | Monthly | MSCO | 7/05/29 | 89983 | GBP | (2295) |
|  Standard Chartered PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/17/30 | 115116 | GBP | 82038 |
|  Starhill GBL Reit | 1-Day SORA + 0.40% | Monthly | MSCO | 6/25/26 | 87120 | SGD | 7092 |
|  Starhub | 1-Day SORA + 0.40% | Monthly | MSCO | 6/25/26 | 168707 | SGD | (896) |
|  Startia Hldgs Inc. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 8745560 | JPY | (2290) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment**<br> **Frequency** | **Counter-<br>party** | **Maturity**<br> **Date** | **Notional**<br> **Value<sup>\*</sup>** | | **Value/Unrealized**<br> **Appreciation**<br> **(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Long<sup>a</sup> (continued)** |  |  |  |  |  |  |  |
|  Starts Corporation | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 28556090 | JPY | $26160 |
|  Sth X Elec Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 181894 | AUD | 10862 |
|  Stillfront Group AB | 1-Week STIBOR + 0.28% | Monthly | SEBA | 7/17/30 | 897719 | SEK | (3382) |
|  Stora Enso Oyj | Euro STR + 0.28% | Monthly | SEBA | 10/23/28 | 119882 | EUR | 763 |
|  Storytel AB | 1-Week STIBOR + 0.275% | Monthly | SEBA | 5/08/26 | 2734338 | SEK | (30534) |
|  STRABAG SE | Euro STR + 0.35% | Monthly | JPHQ | 7/12/26 | 64257 | EUR | 15041 |
|  Subaru Corporation | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 14056817 | JPY | 18122 |
|  Subsea 7 | 1-Week NIBOR + 0.275% | Monthly | SEBA | 7/09/26 | 570824 | NOK | 8737 |
|  Sulzer Ltd. | 1-Day SARON + 0.35% | Monthly | JPHQ | 11/11/25 | 218802 | CHF | 56014 |
|  Sumitomo Rubber Industries | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 5250447 | JPY | 4644 |
|  Sun International Hotels Ltd. | 1-Day SABOR + 0.70% | Monthly | MSCS | 5/20/26 | 2387578 | ZAR | 21183 |
|  Suntec Reit | 1-Day SORA + 0.40% | Monthly | MSCO | 7/14/26 | 95180 | SGD | 11162 |
|  Sunway Construction Group | 1-Day FEDEF + 0.25% | Monthly | MSCO | 7/02/26 | 83929 |  | 7002 |
|  Sunway Real Estate Invt | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 106163 |  | (3502) |
|  SUSS MicroTec SE | Euro STR + 0.35% | Monthly | JPHQ | 7/17/26 | 211789 | EUR | (35081) |
|  Suzuken Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 25724772 | JPY | 19428 |
|  Suzuki Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 10035913 | JPY | 14598 |
|  Sveafastigheter AB | 1-Week STIBOR + 0.275% | Monthly | SEBA | 6/02/26 | 620483 | SEK | 1511 |
|  Swedish Orphan Biovitrum AB | 1-Week STIBOR + 0.65% | Monthly | SEBA | 7/15/26 | 2640259 | SEK | (2268) |
|  Swire Pacific | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 953990 | HKD | (2531) |
|  Synektik | 1-Day FEDEF + 1.25% | Monthly | MSCS | 9/05/30 | 115713 |  | 71409 |
|  Synnex Technology Interna | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 102035 |  | (1057) |
|  Systena Corporation | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 2061218 | JPY | 3221 |
|  T&L | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 98586 |  | (12190) |
|  Taiwan Paiho | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 122092 |  | (5289) |
|  Taiwan Surface Mounting | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 210170 |  | (9792) |
|  Takaoka Toko Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 11443192 | JPY | 27385 |
|  Take & Give Needs Co. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 10263753 | JPY | (2317) |
|  Talanx AG | Euro STR + 0.35% | Monthly | JPHQ | 7/17/26 | 164758 | EUR | 56777 |
|  Tauron Polska Energia SA | 1-Day FEDEF + 0.30% | Monthly | MSCS | 7/17/26 | 127005 |  | 166707 |
|  TBC Bank Group PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/17/30 | 75828 | GBP | 44947 |
|  TCK | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 84755 |  | 3775 |
|  TCL Electronics Holdings | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 1304605 | HKD | 21000 |
|  Team Internet Group PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/17/26 | 203800 | GBP | (136645) |
|  Techmatrix Corp. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 14384061 | JPY | (10960) |
|  Technogym SpA | Euro STR + 0.35% | Monthly | JPHQ | 8/12/30 | 247107 | EUR | 123852 |
|  Tecnicas Reunidas SA | 1-Day EONIA + 0.35% | Monthly | MSCO | 2/28/26 | 41618 | EUR | 27296 |
|  Teikoku Electric Mfg | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 5116671 | JPY | 772 |
|  Telecom Italia Rts | Euro STR + 0.35% | Monthly | JPHQ | 11/27/25 | 211513 | EUR | 3 |
|  TelefonicaSA | 1-Day EONIA + 0.275% | Monthly | MSCO | 7/28/26 | 50748 | EUR | (350) |
|  Teleperformance | 1-Day EONIA + 0.275% | Monthly | MSCO | 3/24/26 | 193149 | EUR | (63949) |
|  Telia Company AB | 1-Week STIBOR + 0.275% | Monthly | SEBA | 11/11/25 | 1118130 | SEK | (1082) |
|  Telkom SA SOC Ltd. | 1-Day SABOR + 0.70% | Monthly | MSCS | 7/17/30 | 3750266 | ZAR | 138529 |
|  Ten Square Games | 1-Day FEDEF + 1.25% | Monthly | MSCS | 1/06/26 | 54561 |  | 4450 |
|  Tenaga Nasional Bhd | 1-Day FEDEF + 0.25% | Monthly | MSCO | 8/19/26 | 47679 |  | (1831) |
|  Teo Seng Capital Bhd | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 31660 |  | 556 |
|  Tera Probe Inc. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 19437860 | JPY | 61248 |
|  Terrasky Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 12402736 | JPY | (19415) |
|  Terveystalo PLC | Euro STR + 0.28% | Monthly | SEBA | 7/17/30 | 114619 | EUR | (15282) |
|  Tessenderlo Group | Euro STR + 0.35% | Monthly | JPHQ | 7/17/29 | 40312 | EUR | (891) |
|  TF1 Group | 1-Day EONIA + 0.30% | Monthly | MSCS | 7/12/26 | 180235 | EUR | 15919 |
|  Thai Foods Group Public Co. | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 127261 |  | 18593 |
|  Thales | 1-Day EONIA + 0.30% | Monthly | MSCS | 8/23/28 | 68442 | EUR | (6086) |
|  Tharisa PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/17/30 | 35822 | GBP | (982) |
|  Thoresen Thai Agencies Pu | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 8193 |  | 532 |
|  Thungela Resources Ltd. | 1-Day SABOR + 0.70% | Monthly | MSCS | 8/23/30 | 5360025 | ZAR | (61914) |
|  ThyssenKrupp AG | Euro STR + 0.35% | Monthly | JPHQ | 11/27/25 | 118382 | EUR | 13787 |
|  Tian Lun Gas Holdings Ltd. | HIBOR + 0.35% | Monthly | GSCO | 7/23/26 | 203549 | HKD | 10446 |
|  TIM SpA | Euro STR + 0.35% | Monthly | JPHQ | 11/27/25 | 74940 | EUR | 30374 |
|  Titan Cement | Euro STR + 0.35% | Monthly | JPHQ | 9/05/30 | 16963 | EUR | (125) |
|  TK Group Limited | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 285457 | HKD | 5283 |
|  Tokai Carbon Corp. | TONAR + 0.35% | Monthly | GSCO | 7/20/26 | 7555487 | JPY | (160) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment**<br> **Frequency** | **Counter-<br>party** | **Maturity**<br> **Date** | **Notional**<br> **Value<sup>\*</sup>** | | **Value/Unrealized**<br> **Appreciation**<br> **(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Long<sup>a</sup> (continued)** |  |  |  |  |  |  |  |
|  Topco Technologies Corp. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 30837 |  | $(1293) |
|  Torunlar GYO | 1-Day FEDEF + 1.25% | Monthly | MSCS | 7/12/26 | 67011 |  | 22246 |
|  Toshiba Tec Corp. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 25359024 | JPY | 305 |
|  Toumei Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 7158698 | JPY | (3247) |
|  Tovis | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 64462 |  | 6641 |
|  Tower Ltd Npv | 1-Day NZOCR + 0.40% | Monthly | MSCO | 6/24/26 | 91918 | NZD | 3349 |
|  Toyota Boshoku Corp. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 15922294 | JPY | 25197 |
|  Trainline PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/17/28 | 36228 | GBP | (282) |
|  Travelsky Technology | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 1420465 | HKD | 4586 |
|  Travis Perkins PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/17/30 | 67240 | GBP | 3483 |
|  Treasure Factory Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 13832465 | JPY | (574) |
|  Triple Point Social Housing | 1-Day SONIA + 0.35% | Monthly | MSCO | 1/06/26 | 75725 | GBP | 15086 |
|  Tripod Technology Corp. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 143930 |  | 34592 |
|  Triputra Agro Persada Tbk | 1-Day FEDEF + 0.35% | Monthly | MSCO | 7/02/26 | 47504 |  | 11635 |
|  Tty Biopharm Company Limited | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 128780 |  | (4641) |
|  TUI AG | Euro STR + 0.35% | Monthly | JPHQ | 4/30/26 | 186324 | EUR | 93678 |
|  Turk Telekom | 1-Day FEDEF + 1.25% | Monthly | MSCO | 6/30/26 | 152109 |  | (12048) |
|  Turkiye Sinai Kalkinma Bankasi AS | 1-Day FEDEF + 0.30% | Monthly | MSCS | 11/27/25 | 73221 |  | 9772 |
|  u-blox AG | 1-Day SARON + 0.35% | Monthly | JPHQ | 7/17/30 | 15200 | CHF | 20146 |
|  U-Media Communication Inc. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 13632 |  | (1876) |
|  Umicore | Euro STR + 0.35% | Monthly | JPHQ | 11/21/25 | 197726 | EUR | 85819 |
|  UniCredit SpA | Euro STR + 0.35% | Monthly | JPHQ | 9/25/25 | 165699 | EUR | 92960 |
|  Unid | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 143488 |  | (23814) |
|  Unipol Gruppo SpA | Euro STR + 0.35% | Monthly | JPHQ | 7/15/26 | 161181 | EUR | 62689 |
|  Uni-President China Holdings | HIBOR + 0.35% | Monthly | GSCO | 8/05/26 | 792936 | HKD | (2764) |
|  Unistore Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 103361 | AUD | 11121 |
|  United Energy Group Ltd. | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 1077472 | HKD | 10615 |
|  United Tractors | 1-Day FEDEF + 0.35% | Monthly | MSCO | 6/25/26 | 48816 |  | 4511 |
|  Universal Vision Biotechn | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 156591 |  | (17821) |
|  UT Group Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 11171114 | JPY | 10202 |
|  Valeo | 1-Day EONIA + 0.30% | Monthly | MSCS | 10/09/25 | 341275 | EUR | 31207 |
|  Valiant | Euro STR + 0.35% | Monthly | JPHQ | 7/12/26 | 182447 | CHF | 34326 |
|  Valor Holdings Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 34601289 | JPY | 31211 |
|  Valuetronics | 1-Day SORA + 0.40% | Monthly | MSCO | 6/25/26 | 62798 | SGD | 2373 |
|  Vaudoise Assurances | 1-Day SARON + 0.35% | Monthly | JPHQ | 11/11/25 | 124898 | CHF | 27714 |
|  Vector Inc. | 1-Day NZOCR + 0.40% | Monthly | GSCO | 6/24/26 | 18525192 | JPY | 11772 |
|  Vector Limited Npv | 1-Day NZOCR + 0.40% | Monthly | MSCO | 6/24/26 | 96710 | NZD | 5381 |
|  Veidekke | 1-Week NIBOR + 0.28% | Monthly | SEBA | 8/26/30 | 1830795 | NOK | 11484 |
|  Ventia Fpo | 1-Day RBACR + 0.40% | Monthly | MSCO | 6/24/26 | 265713 | AUD | 16177 |
|  Venture Life Group PLC | 1-Day SONIA + 0.275% | Monthly | MSCO | 11/03/25 | 22811 | GBP | 12078 |
|  Veolia Environnement SA | 1-Day EONIA + 0.40% | Monthly | MSCS | 6/03/26 | 911803 | EUR | (92213) |
|  Veolia Environnement SA | 1-Day EONIA + 0.30% | Monthly | MSCS | 8/26/30 | 203000 | EUR | 697 |
|  Vertu Motors PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/17/30 | 56913 | GBP | (7847) |
|  Vestas Wind Systems AS | 1-Week CIBOR + 0.275% | Monthly | SEBA | 5/13/26 | 2000359 | DKK | 45114 |
|  Vicat SA | 1-Day EONIA + 0.30% | Monthly | MSCS | 8/30/30 | 156732 | EUR | 110333 |
|  Vidrala SA | 1-Day EONIA + 0.275% | Monthly | MSCO | 8/13/26 | 69182 | EUR | (1899) |
|  Vienna Insurance Group AG | Euro STR + 0.35% | Monthly | JPHQ | 12/18/25 | 157746 | EUR | 26651 |
|  Viridien | 1-Day EONIA + 0.275% | Monthly | MSCO | 8/14/26 | 63741 | EUR | 6145 |
|  Visco Vision Inc. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 96498 |  | 8940 |
|  Vitzrocell Co Ltd. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 7/28/26 | 26390 |  | (3416) |
|  Vodafone Group PLC | 1-Day SONIA + 0.35% | Monthly | MSCO | 1/20/26 | 178795 | GBP | 56063 |
|  Voestalpine AG | Euro STR + 0.35% | Monthly | JPHQ | 12/18/25 | 177198 | EUR | 80729 |
|  Volex PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 11/18/29 | 64820 | GBP | (2806) |
|  Vontobel | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 128898 | CHF | 20864 |
|  Vtech Hldgs | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 1003936 | HKD | 13886 |
|  Wallenius Wilhelmsen ASA | 1-Week NIBOR + 0.28% | Monthly | SEBA | 7/17/26 | 4210021 | NOK | 65109 |
|  Warehouse Group Ord Npv | 1-Day NZOCR + 0.40% | Monthly | MSCO | 6/24/26 | 12934 | NZD | 46 |
|  Wartsila Corp. | Euro STR + 0.275% | Monthly | SEBA | 10/17/25 | 84649 | EUR | 49717 |
|  Wasco Berhad | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/25/26 | 36666 |  | (544) |
|  Waseda Academy | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 6397989 | JPY | 5451 |
|  Wasion Holdings Ltd. | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 1311884 | HKD | 83763 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment**<br> **Frequency** | **Counter-<br>party** | **Maturity**<br> **Date** | **Notional**<br> **Value<sup>\*</sup>** | | **Value/Unrealized**<br> **Appreciation**<br> **(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts - Long<sup>a</sup> (continued)** |  |  |  |  |  |  |  |
|  Watkin Jones PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/17/30 | 116636 | GBP | $(95566) |
|  WBHO Ltd. | 1-Day SABOR + 0.70% | Monthly | MSCO | 12/04/25 | 1727945 | ZAR | (4671) |
|  Webuild SpA | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 135780 | EUR | 70873 |
|  Weichai Power Co. | HIBOR + 0.35% | Monthly | GSCO | 6/26/26 | 709402 | HKD | 889 |
|  Welcia Holdings Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 11946850 | JPY | 2083 |
|  Wereldhave NV | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 40052 | EUR | 10831 |
|  WH Group Limited | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 960169 | HKD | 16312 |
|  Wickes Group PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 7/17/30 | 118107 | GBP | 40794 |
|  Wingarc1St Inc. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 9724364 | JPY | (10702) |
|  Wnc Corporation | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 98393 |  | 1133 |
|  Wonderful Hi-Tech | 1-Day FEDEF + 0.10% | Monthly | MSCO | 7/17/26 | 78605 |  | 15299 |
|  Workspace Group PLC | 1-Day SONIA + 0.35% | Monthly | MSCS | 10/28/25 | 143091 | GBP | (36142) |
|  Wowprime Corp. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 317180 |  | (48844) |
|  Wt Microelectronics Co Ltd. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 179578 |  | (14364) |
|  Wuxi Apptec Co Ltd. | HIBOR + 0.35% | Monthly | GSCO | 6/26/26 | 1276136 | HKD | 53402 |
|  Wuxi Apptec Co Ltd. | HIBOR + 0.35% | Monthly | MSCO | 6/29/26 | 55218 |  | 22898 |
|  Wuxi Biologics | HIBOR + 0.35% | Monthly | GSCO | 8/18/26 | 597055 | HKD | 4301 |
|  WW Holding Inc. | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 48962 |  | (5511) |
|  XD Inc. | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 620888 | HKD | 61294 |
|  Xian Shaangu Power | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 59342 |  | (1886) |
|  Xin Point Hldgs Ltd. | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 451623 | HKD | 2977 |
|  XPS Pensions Group PLC | 1-Day SONIA + 0.275% | Monthly | MSCO | 12/08/25 | 73403 | GBP | (9219) |
|  Yamabiko Corporation | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 6893366 | JPY | 6552 |
|  Yamaguchi Financial Group | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 24215475 | JPY | 24003 |
|  Yamazaki Baking Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 11760348 | JPY | 5975 |
|  Yank Zi Jiang Financial Holdings | 1-Day SORA + 0.40% | Monthly | MSCO | 6/22/26 | 216014 | SGD | 79490 |
|  Yara International ASA | 1-Week NIBOR + 0.28% | Monthly | SEBA | 7/17/30 | 1499108 | NOK | (5976) |
|  Youngoneholdings | 1-Day FEDEF + 0.10% | Monthly | MSCO | 6/24/26 | 111426 |  | (2442) |
|  YSB Inc. | HIBOR + 0.35% | Monthly | GSCO | 7/03/26 | 236500 | HKD | (1161) |
|  YU Group PLC | 1-Day SONIA + 0.35% | Monthly | MSCO | 2/17/26 | 106119 | GBP | 13253 |
|  Yue Yuen Industrial Hldgs | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 580418 | HKD | 14599 |
|  Yuexiu Services Group Ltd. | HIBOR + 0.35% | Monthly | GSCO | 6/25/26 | 484568 | HKD | (2926) |
|  Yum China Holdings Inc. | HIBOR + 0.35% | Monthly | GSCO | 8/18/26 | 440996 | HKD | (570) |
|  Zalando SE | Euro STR + 0.35% | Monthly | JPHQ | 3/03/26 | 272436 | EUR | (59111) |
|  Zanyu Technology | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 38732 |  | 4875 |
|  Zehnder | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 116419 | CHF | 89045 |
|  Zeria Pharmaceutical | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 21047343 | JPY | (2819) |
|  Zero Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 9311897 | JPY | 3104 |
|  Zhejiang China Electic | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 85368 |  | 16279 |
|  Zhejiang Jasan Holding | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 17304 |  | 1461 |
|  Zhejiang Juhua Co LTD. | 1-Day FEDEF + 0.25% | Monthly | MSCO | 7/23/26 | 21699 |  | 9183 |
|  Zhen Ding Technology Holdings | 1-Day FEDEF + 10.625% | Monthly | MSCO | 6/24/26 | 78745 |  | 68950 |
|  Zhengzhou Coal Mining | 1-Day FEDEF + 0.25% | Monthly | MSCO | 6/24/26 | 67028 |  | 14283 |
|  Zigexn Co Ltd. | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 20394329 | JPY | 17308 |
|  Zuken Inc | TONAR + 0.35% | Monthly | GSCO | 6/24/26 | 9175456 | JPY | (4947) |
|  Zumtobel Group AG | Euro STR + 0.35% | Monthly | JPHQ | 7/17/30 | 25923 | EUR | (361) |
|  |  |  |  |  |  |  | 13349119 |
|  **Equity Contracts – Short<sup>d</sup>** |  |  |  |  |  |  |  |
|  AAK AB | 1-Week STIBOR - 0.28% | Monthly | SEBA | 7/17/30 | 1738812 | SEK | (3852) |
|  Aalberts NV | Euro STR - 0.30% | Monthly | JPHQ | 2/10/26 | 134848 | EUR | (1285) |
|  Aaviation Fpo | 1-Day RBACR - 0.75% | Monthly | MSCO | 6/24/26 | 32722 | AUD | 1148 |
|  abrdn European Logistics Income PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 7/17/26 | 128919 | GBP | 43026 |
|  Accor SA | 1-Day EONIA - 0.30% | Monthly | MSCS | 7/17/26 | 105642 | EUR | 8583 |
|  Acer Cyber Security Inc. | 1-Day FEDEF - 4.75% | Monthly | MSCO | 6/26/26 | 6 |  |  |
|  Acer E-Enabling Service B | 1-Day FEDEF - 16.75% | Monthly | MSCO | 6/24/26 | 41223 |  | (2009) |
|  Acer Inc. | 1-Day FEDEF - 3.50% | Monthly | MSCO | 6/24/26 | 104600 |  | 9913 |
|  Acerinox SA | 1-Day EONIA - 0.275% | Monthly | MSCO | 3/24/26 | 153173 | EUR | 5798 |
|  Ackermans & van Haaren | Euro STR - 0.30% | Monthly | JPHQ | 3/18/26 | 193080 | EUR | (47741) |
|  Addnode Group AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 7/17/30 | 1502615 | SEK | (10548) |
|  Advance Residence Inv Corp. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 13315260 | JPY | (8804) |
|  Advanced Ceramic X Corp. | 1-Day FEDEF - 7.375% | Monthly | MSCO | 6/24/26 | 47729 |  | (1428) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment**<br> **Frequency** | **Counter-<br>party** | **Maturity**<br> **Date** | **Notional**<br> **Value<sup>\*</sup>** | | **Value/Unrealized**<br> **Appreciation**<br> **(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts – Short<sup>d</sup> (continued)** |  |  |  |  |  |  |  |
|  Advanced Medical Solution | 1-Day SONIA - 0.275% | Monthly | MSCO | 7/17/30 | 84254 | GBP | $237 |
|  Advantech Co Ltd. | 1-Day FEDEF - 0.675% | Monthly | MSCO | 6/24/26 | 180963 |  | 1185 |
|  Adyen | Euro STR - 0.30% | Monthly | JPHQ | 5/22/30 | 95705 | EUR | 1255 |
|  Aero Win Technology Corp. | 1-Day FEDEF - 28.75% | Monthly | MSCO | 6/25/26 | 10472 |  | (962) |
|  African Rainbow Minerals Ltd. | 1-Day SABOR - 0.50% | Monthly | MSCO | 7/22/30 | 4841403 | ZAR | (36026) |
|  Afrimat Ltd. | 1-Day SABOR - 0.50% | Monthly | MSCO | 5/20/26 | 1784936 | ZAR | 32955 |
|  Afry Ab | 1-Week STIBOR - 0.275% | Monthly | SEBA | 6/18/26 | 561387 | SEK | 869 |
|  Agilyx | 1-Week NIBOR - 4.25% | Monthly | SEBA | 8/07/30 | 318132 | NOK | 3325 |
|  Agricultural Bank | 1-Day FEDEF - 0.95% | Monthly | MSCO | 6/24/26 | 39584 |  | (7014) |
|  Air Liquide | 1-Day EONIA - 0.275% | Monthly | MSCO | 6/20/26 | 103494 | EUR | (14781) |
|  Air Liquide | 1-Day EONIA - 0.30% | Monthly | MSCS | 7/17/30 | 66310 | EUR | (6427) |
|  Airbus SE | 1-Day EONIA - 0.30% | Monthly | MSCO | 12/11/25 | 89620 | EUR | (18276) |
|  Airports of Thailand | 1-Day FEDEF - 2.50% | Monthly | MSCO | 6/23/26 | 113817 |  | (15255) |
|  Aixtron SE | Euro STR - 0.30% | Monthly | JPHQ | 3/20/26 | 42293 | EUR | (15948) |
|  Aker BP ASA | 1-Week NIBOR - 0.28% | Monthly | SEBA | 7/17/26 | 2229200 | NOK | (40621) |
|  ALCON N | 1-Day SARON - 0.35% | Monthly | JPHQ | 8/12/30 | 92515 | CHF | 16957 |
|  Allegro | 1-Day FEDEF - 2.13% | Monthly | MSCS | 7/12/26 | 293917 |  | (96782) |
|  Allfunds Group PLC | Euro STR - 0.30% | Monthly | JPHQ | 7/17/30 | 163291 | EUR | (34674) |
|  Allreal Holding AG | 1-Day SARON - 0.35% | Monthly | JPHQ | 7/17/30 | 235815 | CHF | (7415) |
|  Alm. Brand A/S | 1-Week CIBOR - 0.75% | Monthly | SEBA | 7/26/30 | 1776542 | DKK | (23897) |
|  Almirall SA | 1-Day EONIA - 0.35% | Monthly | MSCS | 10/11/25 | 145828 | EUR | (52492) |
|  Alpha Networks Inc. | 1-Day FEDEF - 2.90% | Monthly | MSCO | 7/22/26 | 47700 |  | (1106) |
|  Alstom SA | 1-Day EONIA - 0.30% | Monthly | MSCS | 7/13/30 | 52178 | EUR | 1383 |
|  Alteogen | 1-Day FEDEF - 1.75% | Monthly | MSCO | 6/24/26 | 32833 |  | (3405) |
|  Amadeus It Group SA | 1-Day EONIA - 0.275% | Monthly | MSCO | 7/28/28 | 61163 | EUR | (783) |
|  Amaero Fpo | 1-Day RBACR - 13.50% | Monthly | MSCO | 7/09/26 | 37431 | AUD | 271 |
|  Ame Elite Consortium Berh | 1-Day FEDEF - 4.25% | Monthly | MSCO | 6/25/26 | 42308 |  | (718) |
|  AMG Advanced Metallurgical Group NV | Euro STR - 0.30% | Monthly | JPHQ | 7/17/30 | 137628 | EUR | (180064) |
|  Amman Mineral Internasion | 1-Day FEDEF - 12.75% | Monthly | MSCO | 6/26/26 | 54179 |  | 4037 |
|  Amper SA | 1-Day EONIA - 4.50% | Monthly | MSCO | 9/10/30 | 43016 | EUR | (1539) |
|  Amplifon | Euro STR - 0.30% | Monthly | JPHQ | 11/27/25 | 76798 | EUR | 13126 |
|  Amplitude Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 96527 | AUD | (14526) |
|  Amvis Holdings Inc. | 1-Day TONAR - 0.35% | Monthly | GSCO | 7/15/26 | 8575766 | JPY | (11962) |
|  Andritz AG | Euro STR - 0.30% | Monthly | JPHQ | 8/07/26 | 70266 | EUR | 2300 |
|  Angang Steel Co Lt | 1-Day FEDEF - 12.45% | Monthly | MSCO | 6/24/26 | 39403 |  | (5554) |
|  Anglo Pacific Group PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 7/17/30 | 54194 | GBP | (5592) |
|  Anhui Yingliu Electro | 1-Day FEDEF - 9.35% | Monthly | MSCO | 6/24/26 | 33574 |  | (9127) |
|  ANP | 1-Day FEDEF - 3.25% | Monthly | MSCO | 6/24/26 | 92949 |  | 696 |
|  Anta Sports Products | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 599295 | HKD | (1924) |
|  Antofagasta PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 2/17/26 | 30468 | GBP | (14580) |
|  Apa Group Stapled | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 134638 | AUD | (6515) |
|  Aplex Technology Inc. | 1-Day FEDEF - 5.25% | Monthly | MSCO | 6/24/26 | 13277 |  | (1652) |
|  Apotea AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 8/25/26 | 324946 | SEK | 626 |
|  Appier Group Inc. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 20659389 | JPY | 5926 |
|  Arb Corp Fpo | 1-Day RBACR - 0.875% | Monthly | MSCO | 6/24/26 | 317849 | AUD | (62438) |
|  Arbonia AG | 1-Day SARON - 0.35% | Monthly | JPHQ | 11/08/25 | 150853 | CHF | 61000 |
|  Arcadis | Euro STR - 0.30% | Monthly | JPHQ | 4/04/26 | 94075 | EUR | 9566 |
|  Arcelik | 1-Day FEDEF - 5.00% | Monthly | MSCS | 7/17/26 | 56846 |  | 6779 |
|  Argan SA | 1-Day EONIA - 0.30% | Monthly | MSCS | 7/17/30 | 40180 | EUR | 174 |
|  Ashmore Group PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 8/19/29 | 25279 | GBP | (474) |
|  Ashtead Group PLC | 1-Day SONIA - 0.30% | Monthly | MSCO | 12/16/25 | 167316 | GBP | (18910) |
|  Asia Polymer | 1-Day FEDEF - 5.25% | Monthly | MSCO | 6/24/26 | 34049 |  | 448 |
|  Asker Healthcare Group AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 8/25/26 | 559932 | SEK | 2689 |
|  Aspen Pharmacare Holdings Ltd. | 1-Day SABOR - 0.50% | Monthly | MSCS | 7/17/26 | 3856999 | ZAR | 85623 |
|  ASR Nederland | Euro STR - 0.30% | Monthly | JPHQ | 6/13/26 | 252157 | EUR | (78182) |
|  Assa Abloy AB | 1-Week STIBOR - 0.28% | Monthly | SEBA | 11/27/25 | 464356 | SEK | (4492) |
|  Assystem | 1-Day EONIA - 2.75% | Monthly | MSCO | 9/25/25 | 63671 | EUR | 5116 |
|  Aston Martin Lagonda Global Holdings PLC | 1-Day SONIA - 8.75% | Monthly | MSCS | 7/17/30 | 67293 | GBP | 44317 |
|  Astroscale Holdings Inc. | 1-Day TONAR - 10.00% | Monthly | GSCO | 8/24/26 | 2329027 | JPY | (124) |
|  ASX FPO | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 131104 | AUD | 7098 |
|  Ate Energy International | 1-Day FEDEF - 7.25% | Monthly | MSCO | 6/24/26 | 27441 |  | (5034) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment**<br> **Frequency** | **Counter-<br>party** | **Maturity**<br> **Date** | **Notional**<br> **Value<sup>\*</sup>** | | **Value/Unrealized**<br> **Appreciation**<br> **(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts – Short<sup>d</sup> (continued)** |  |  |  |  |  |  |  |
|  Atlsrteria Fposforus | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 113513 | AUD | $(3003) |
|  Atrium Ljungberg AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 5/25/26 | 782332 | SEK | 2280 |
|  Aub Group Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 170954 | AUD | 5643 |
|  Auden Techno Corp. | 1-Day FEDEF - 3.75% | Monthly | MSCO | 8/04/26 | 15095 |  | 376 |
|  Audinategl Fpo | 1-Day RBACR - 3.38% | Monthly | MSCO | 6/24/26 | 140467 | AUD | 25697 |
|  Aura En Fpo | 1-Day RBACR - 13.00% | Monthly | MSCO | 6/24/26 | 29409 | AUD | (3036) |
|  Aussieband Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 119439 | AUD | (21533) |
|  Aust Ag Co Fpo | 1-Day RBACR - 1.50% | Monthly | MSCO | 6/24/26 | 56142 | AUD | (432) |
|  Australian Finance Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 7/14/26 | 89956 | AUD | (19115) |
|  Auto Trader Group Plc Ord | 1-Day SONIA - 0.275% | Monthly | MSCO | 12/07/26 | 86570 | GBP | 826 |
|  AUTO1 Group SE | Euro STR - 0.75% | Monthly | JPHQ | 7/14/26 | 116779 | EUR | (103573) |
|  Autobacs Seven Co. | 1-Day TONAR - 0.35% | Monthly | GSCO | 7/30/26 | 4857749 | JPY | (2017) |
|  Autopartner | 1-Day FEDEF - 3.25% | Monthly | MSCO | 9/18/25 | 112426 |  | (8344) |
|  AutoStore Holdings Ltd. | 1-Week NIBOR - 0.75% | Monthly | SEBA | 4/04/26 | 1404299 | NOK | 8396 |
|  Avangaad Berhad | 1-Day FEDEF - 4.00% | Monthly | MSCO | 6/29/26 | 6525 |  | (519) |
|  Avi Ltd. | 1-Day SABOR - 0.50% | Monthly | MSCS | 5/20/29 | 2069555 | ZAR | 1639 |
|  Aviva | 1-Day SONIA - 0.30% | Monthly | MSCS | 9/23/25 | 62311 | GBP | (14681) |
|  Axfood AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 1/10/26 | 1635047 | SEK | (58185) |
|  Axis Reits | 1-Day FEDEF - 9.63% | Monthly | MSCO | 6/25/26 | 29324 |  | (1648) |
|  Ayala Land Inc. | 1-Day FEDEF - 2.50% | Monthly | MSCO | 6/19/26 | 61035 |  | (8640) |
|  Az-Com Maruwa Holdings | 1-Day TONAR - 0.35% | Monthly | GSCO | 7/09/26 | 4826585 | JPY | (328) |
|  Azelis Holding SA | Euro STR - 0.30% | Monthly | JPHQ | 7/17/30 | 167721 | EUR | 25706 |
|  Bachem AG | Euro STR - 0.35% | Monthly | JPHQ | 7/17/30 | 42365 | CHF | (9886) |
|  Baltic Classifieds Group | 1-Day SONIA - 0.275% | Monthly | MSCO | 8/12/26 | 74485 | GBP | 3599 |
|  Bangkok Dusit Medical Services | 1-Day FEDEF - 0.40% | Monthly | MSCO | 6/24/26 | 63101 |  | 123 |
|  Bank Central Asia | 1-Day FEDEF - 6.50% | Monthly | MSCO | 8/06/26 | 140203 |  | 7485 |
|  Bank Handlowy | 1-Day FEDEF - 0.50% | Monthly | MSCO | 4/03/26 | 68249 |  | 4441 |
|  Bank Islam Malaysia Berha | 1-Day FEDEF - 3.50% | Monthly | MSCO | 7/08/26 | 26427 |  | (328) |
|  Bank Mandiri | 1-Day FEDEF - 4.00% | Monthly | MSCO | 7/14/26 | 113658 |  | 3871 |
|  Bank of the Philippine | 1-Day FEDEF - 2.50% | Monthly | MSCO | 6/25/26 | 112552 |  | 13969 |
|  Bank of Zheng Zhou | 1-Day FEDEF - 13.35% | Monthly | MSCO | 6/24/26 | 25500 |  | (112) |
|  Bankinter SA | 1-Day EONIA - 0.35% | Monthly | MSCO | 3/06/26 | 164500 | EUR | (164068) |
|  Banque Cantonale Vaudoise | Euro STR - 0.35% | Monthly | JPHQ | 7/12/26 | 283954 | CHF | (14545) |
|  Baowu Magnesium | 1-Day FEDEF - 9.663% | Monthly | MSCO | 8/06/26 | 42088 |  | (5715) |
|  Barito Pacific Tbk | 1-Day FEDEF - 4.00% | Monthly | MSCO | 6/22/26 | 100959 |  | (2146) |
|  Barratt Redrow PLC | 1-Day SONIA - 0.275% | Monthly | MSCO | 2/24/26 | 230207 | GBP | 44326 |
|  Barry Callebaut | 1-Day SARON - 0.35% | Monthly | JPHQ | 11/13/25 | 167113 | CHF | (16653) |
|  Basic-Fit | Euro STR - 1.75% | Monthly | JPHQ | 7/14/26 | 146776 | EUR | (65726) |
|  Basler AG | Euro STR - 1.20% | Monthly | JPHQ | 7/17/30 | 14652 | EUR | (21616) |
|  BBMG Corporation | 1-Day HONIA - 0.40% | Monthly | GSCO | 7/09/26 | 399207 | HKD | 1792 |
|  BCI Mineral Fpo | 1-Day RBACR - 18.00% | Monthly | MSCO | 6/24/26 | 34007 | AUD | (14) |
|  BDO Unibank Inc. | 1-Day FEDEF - 2.50% | Monthly | MSCO | 8/06/26 | 49414 |  | 2612 |
|  BE Semiconductor Industries | Euro STR - 0.30% | Monthly | JPHQ | 2/28/26 | 155466 | EUR | (53915) |
|  Befesa SA | Euro STR - 0.30% | Monthly | JPHQ | 7/17/26 | 154051 | EUR | (40036) |
|  Beijer Ref AB | 1-Week STIBOR - 0.28% | Monthly | SEBA | 7/17/30 | 2902032 | SEK | (17341) |
|  Beijing Capital Int Airport | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 1862858 | HKD | (2812) |
|  Beijing Enterprises Water | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 1776738 | HKD | (9510) |
|  Beijing Tong Ren Tang Chi | 1-Day HONIA - 3.25% | Monthly | GSCO | 6/25/26 | 882609 | HKD | (8456) |
|  Belimo Holding AG | Euro STR - 0.35% | Monthly | JPHQ | 7/17/30 | 108502 | CHF | (107482) |
|  Ben Ade Bk Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 167462 | AUD | (5281) |
|  Bergman & Beving Aktiebol | 1-Week STIBOR - 0.275% | Monthly | SEBA | 5/19/26 | 723801 | SEK | (4196) |
|  Bermaz Auto Berhad | 1-Day FEDEF - 5.25% | Monthly | MSCO | 7/13/26 | 1214 |  | 190 |
|  Better Collective A/S | 1-Week STIBOR - 0.275% | Monthly | SEBA | 10/09/25 | 1042194 | SEK | (219) |
|  BFF Bank SpA | Euro STR - 0.30% | Monthly | JPHQ | 10/16/26 | 125245 | EUR | (80138) |
|  BHF | 1-Day FEDEF - 15.00% | Monthly | MSCO | 6/24/26 | 13199 |  | (3283) |
|  BHG Group AB | 1-Week STIBOR - 2.89% | Monthly | SEBA | 6/14/26 | 667681 | SEK | (2706) |
|  BHP Group Ltd. | 1-Day SONIA - 1.52% | Monthly | MSCO | 12/02/25 | 53244 | GBP | (2624) |
|  BIC | 1-Day EONIA - 0.275% | Monthly | MSCO | 8/27/26 | 15022 | EUR | 210 |
|  Bid Corporation Ltd. | 1-Day SABOR - 0.50% | Monthly | MSCO | 12/01/25 | 2557848 | ZAR | (9767) |
|  Biesse | Euro STR - 0.80% | Monthly | JPHQ | 9/04/30 | 43409 | EUR | (7814) |
|  Big Yellow Group | 1-Day SONIA - 0.30% | Monthly | MSCS | 10/16/25 | 92619 | GBP | 4222 |
|  Binex | 1-Day FEDEF - 6.38% | Monthly | MSCO | 6/24/26 | 76687 |  | 2125 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment**<br> **Frequency** | **Counter-<br>party** | **Maturity**<br> **Date** | **Notional**<br> **Value<sup>\*</sup>** | | **Value/Unrealized**<br> **Appreciation**<br> **(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts – Short<sup>d</sup> (continued)** |  |  |  |  |  |  |  |
|  Bioarctic AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 7/17/26 | 558429 | SEK | $(25229) |
|  Bionime Corporation | 1-Day FEDEF - 4.75% | Monthly | MSCO | 6/24/26 | 22361 |  | 1323 |
|  Blue Moon Group Hldgs Ltd. | 1-Day HONIA - 5.25% | Monthly | GSCO | 6/25/26 | 797188 | HKD | 19826 |
|  BMW Group | Euro STR - 0.30% | Monthly | JPHQ | 5/15/26 | 209502 | EUR | (60663) |
|  Boc Hong Kong Ltd. | 1-Day HONIA - 0.40% | Monthly | GSCO | 8/07/26 | 219461 | HKD | 1040 |
|  Bollore SE | 1-Day EONIA - 0.30% | Monthly | MSCS | 7/17/30 | 286163 | EUR | 23493 |
|  Borregaard ASA | 1-Week NIBOR - 0.275% | Monthly | SEBA | 5/07/26 | 786509 | NOK | (5852) |
|  Borussia Dortmund | Euro STR - 0.95% | Monthly | JPHQ | 7/17/30 | 53819 | EUR | (16145) |
|  Boss En Fpo | 1-Day RBACR - 0.875% | Monthly | MSCO | 6/24/26 | 72444 | AUD | 21409 |
|  Bossard AG | 1-Day SARON - 0.35% | Monthly | JPHQ | 7/17/30 | 145432 | CHF | 14909 |
|  Bpost | Euro STR - 0.30% | Monthly | JPHQ | 7/17/26 | 53649 | EUR | 296 |
|  Brembo | Euro STR - 0.30% | Monthly | JPHQ | 3/25/26 | 58517 | EUR | (778) |
|  Brenntag SE | Euro STR - 0.30% | Monthly | JPHQ | 10/07/25 | 164278 | EUR | 6013 |
|  Breville Fpo | 1-Day RBACR - 1.35% | Monthly | MSCO | 6/24/26 | 95636 | AUD | (6240) |
|  Brickworks Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 7/22/26 | 106184 | AUD | (5205) |
|  Bridgepoint Group PLC | 1-Day SONIA - 0.275% | Monthly | MSCO | 2/24/26 | 104044 | GBP | (27344) |
|  Brilliance China Automotive | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 891105 | HKD | (30556) |
|  British Land Co Plc Ord | 1-Day SONIA - 0.275% | Monthly | MSCO | 6/08/26 | 136145 | GBP | 21527 |
|  Brogent Technologies Inc. | 1-Day FEDEF - 5.50% | Monthly | MSCO | 6/24/26 | 50267 |  | 4863 |
|  Bronco Billy Co Ltd. | 1-Day TONAR - 0.75% | Monthly | GSCO | 6/25/26 | 3720 | JPY | (47) |
|  Brunello Cucinelli | Euro STR - 0.30% | Monthly | JPHQ | 7/17/26 | 141179 | EUR | (8857) |
|  Budimex | 1-Day FEDEF - 0.50% | Monthly | MSCO | 5/07/26 | 108514 |  | 13229 |
|  Budweiser Brewing Company | 1-Day HONIA - 0.75% | Monthly | GSCO | 6/25/26 | 799500 | HKD | (2117) |
|  Bufab AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 5/25/26 | 1355160 | SEK | (11255) |
|  Bumrungrad Hospital Co. | 1-Day FEDEF - 4.25% | Monthly | MSCO | 6/25/26 | 22300 |  | (7383) |
|  Bunzl PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 11/27/29 | 62336 | GBP | (7979) |
|  Bureau Veritas SA | 1-Day EONIA - 0.30% | Monthly | MSCS | 8/09/30 | 22232 | EUR | 2036 |
|  Burford Capital Ltd. | 1-Day SONIA - 0.63% | Monthly | MSCS | 7/17/29 | 136329 | GBP | (596) |
|  Bursa Malaysia Bhd | 1-Day FEDEF - 4.375% | Monthly | MSCO | 6/23/26 | 76243 |  | (1812) |
|  Bystronic AG | Euro STR - 0.35% | Monthly | JPHQ | 8/05/30 | 58998 | CHF | (22620) |
|  C&D International | 1-Day HONIA - 0.40% | Monthly | GSCO | 7/31/26 | 325948 | HKD | (5709) |
|  C&S Paper Co Ltd. | 1-Day FEDEF - 6.018% | Monthly | MSCO | 6/19/26 | 115595 |  | (25050) |
|  CA Immobilien Anlagen AG | Euro STR - 0.30% | Monthly | JPHQ | 7/17/30 | 241610 | EUR | (27152) |
|  Cadeler AS | 1-Week NIBOR - 6.50% | Monthly | SEBA | 7/17/30 | 2350239 | NOK | 7241 |
|  Calix Fpo | 1-Day RBACR - 8.875% | Monthly | MSCO | 6/24/26 | 22131 | AUD | (3767) |
|  Campari | Euro STR - 0.30% | Monthly | JPHQ | 7/31/30 | 204677 | EUR | (50367) |
|  Camurus AB | 1-Week STIBOR - 0.75% | Monthly | SEBA | 7/17/30 | 2039631 | SEK | (35550) |
|  Capita PLC | 1-Day SONIA - 1.125% | Monthly | MSCO | 5/06/26 | 45592 | GBP | 9422 |
|  Capital and Invest | 1-Day SORA - 0.75% | Monthly | MSCO | 6/25/26 | 187731 | SGD | (11336) |
|  Capitec Bank Holdings Ltd. | 1-Day SABOR - 0.50% | Monthly | MSCS | 7/14/26 | 2691309 | ZAR | (96804) |
|  Car Group Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 220259 | AUD | (13881) |
|  Caregen | 1-Day FEDEF - 6.125% | Monthly | MSCO | 6/24/26 | 46112 |  | (30253) |
|  Carel Industries | Euro STR - 0.30% | Monthly | JPHQ | 9/23/25 | 121995 | EUR | (78847) |
|  Carl Zeiss Meditec AG | Euro STR - 0.30% | Monthly | JPHQ | 8/21/30 | 51504 | EUR | 11955 |
|  Carnarvon Fpo | 1-Day RBACR - 5.25% | Monthly | MSCO | 6/25/26 | 23817 | AUD | 1270 |
|  Catena AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 5/08/26 | 2880108 | SEK | (8040) |
|  Cathay Real Estate Development | 1-Day FEDEF - 2.00% | Monthly | MSCO | 6/24/26 | 39809 |  | (1373) |
|  CCC SA | 1-Day FEDEF - 12.75% | Monthly | MSCS | 8/02/30 | 19370 |  | 3594 |
|  CD Projekt SA | 1-Day FEDEF - 1.25% | Monthly | MSCS | 7/17/30 | 123396 |  | (138340) |
|  CDL Htrust | 1-Day SORA - 1.50% | Monthly | MSCO | 6/25/26 | 145791 | SGD | (1714) |
|  Celcomdigi Berhad | 1-Day FEDEF - 8.00% | Monthly | MSCO | 6/25/26 | 20532 |  | 732 |
|  Cellnex Telecom SA | 1-Day EONIA - 0.35% | Monthly | MSCS | 7/14/26 | 333738 | EUR | 19343 |
|  Celltrion | 1-Day FEDEF - 1.50% | Monthly | MSCO | 6/24/26 | 78930 |  | (1026) |
|  Ceres Power Holdings PLC | 1-Day SONIA - 1.38% | Monthly | MSCS | 7/17/30 | 37652 | GBP | (16755) |
|  Cerillion PLC | 1-Day SONIA - 3.63% | Monthly | MSCO | 6/11/26 | 33393 | GBP | 5412 |
|  Cgn Mining Company Ltd. | 1-Day HONIA - 3.25% | Monthly | GSCO | 6/25/26 | 427745 | HKD | (12647) |
|  CGN Power Co Ltd. | 1-Day FEDEF - 11.55% | Monthly | MSCO | 7/17/26 | 23571 |  | (1355) |
|  Chalice Fpo | 1-Day RBACR - 2.75% | Monthly | MSCO | 6/24/26 | 85517 | AUD | (5120) |
|  Champion Real Estate | 1-Day HONIA - 0.40% | Monthly | GSCO | 7/31/26 | 209022 | HKD | 2266 |
|  Channel Infrastructure Nz | 1-Day NZOCR - 0.40% | Monthly | MSCO | 6/24/26 | 191136 | NZD | (9560) |
|  Chemring Group | 1-Day SONIA - 0.275% | Monthly | MSCO | 2/24/26 | 11985 | GBP | (4930) |
|  Chervon Hldgs Ltd. | 1-Day HONIA -1.79% | Monthly | GSCO | 7/13/26 | 441886 | HKD | (13891) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment**<br> **Frequency** | **Counter-<br>party** | **Maturity**<br> **Date** | **Notional**<br> **Value<sup>\*</sup>** | | **Value/Unrealized**<br> **Appreciation**<br> **(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts – Short<sup>d</sup> (continued)** |  |  |  |  |  |  |  |
|  Chief Telecom Inc. | 1-Day FEDEF - 2.75% | Monthly | MSCO | 6/24/26 | 41678 |  | $(299) |
|  China Conch Venture Hldgs | 1-Day HONIA - 0.40% | Monthly | GSCO | 7/14/26 | 460965 | HKD | (3812) |
|  China Datang Corp Renewab | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 630019 | HKD | (485) |
|  China Energy Engineer | 1-Day FEDEF - 9.15% | Monthly | MSCO | 6/26/26 | 60633 |  | (6525) |
|  China Everbright Bank | 1-Day FEDEF - 0.85% | Monthly | MSCO | 6/24/26 | 73215 |  | 7609 |
|  China General Plastics Co. | 1-Day FEDEF - 4.35% | Monthly | MSCO | 6/24/26 | 35614 |  | (2614) |
|  China Jinmao Holdings Group | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 343341 | HKD | (8015) |
|  China Life Insurance | 1-Day FEDEF - 8.35% | Monthly | MSCO | 6/24/26 | 61453 |  | (977) |
|  China Literature Ltd. | 1-Day HONIA - 0.40% | Monthly | GSCO | 7/31/26 | 399097 | HKD | (16452) |
|  China Longyuan Power Group | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 925293 | HKD | 3204 |
|  China Merchants Port Hldg | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 555342 | HKD | (1818) |
|  China Modern Dairy Holdings | 1-Day HONIA - 1.25% | Monthly | GSCO | 6/25/26 | 1142437 | HKD | (37251) |
|  China Motor Co. | 1-Day FEDEF - 3.625% | Monthly | MSCO | 6/24/26 | 67640 |  | 4820 |
|  China Petroleum | 1-Day FEDEF - 4.08% | Monthly | MSCO | 8/18/26 | 31072 |  | (172) |
|  China Risun Grp Ltd. | 1-Day HONIA - 12.25% | Monthly | GSCO | 6/25/26 | 508623 | HKD | 880 |
|  China Ruyi Holdings Ltd. | 1-Day HONIA - 2.75% | Monthly | GSCO | 6/25/26 | 733974 | HKD | (6338) |
|  China Southern Power | 1-Day FEDEF - 10.662% | Monthly | MSCO | 6/24/26 | 25019 |  | (1383) |
|  China Steel Chemical Corp. | 1-Day FEDEF - 3.25% | Monthly | MSCO | 6/24/26 | 29849 |  | 4299 |
|  China Suntien Green | 1-Day FEDEF - 11.45% | Monthly | MSCO | 6/24/26 | 3151 |  | 6 |
|  China Vanke Co Ltd. | 1-Day HONIA - 3.00% | Monthly | GSCO | 7/17/26 | 494612 | HKD | (1032) |
|  China Water Affair Group | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 1531031 | HKD | 4373 |
|  China Zheshang Bank | 1-Day FEDEF - 6.659% | Monthly | MSCO | 6/24/26 | 57624 |  | 4918 |
|  Chinasoft International | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 1400802 | HKD | (57288) |
|  Chongqing Millison | 1-Day FEDEF - 6.15% | Monthly | MSCO | 8/26/26 | 22487 |  | (129) |
|  Chorus Fpo Nzx | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 68969 | AUD | (5349) |
|  Chrysosltd Fpo | 1-Day RBACR - 4.75% | Monthly | MSCO | 6/24/26 | 80239 | AUD | (16494) |
|  Chugoku Electric Power Co. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 7730403 | JPY | (8927) |
|  Chunbo | 1-Day FEDEF - 5.25% | Monthly | MSCO | 6/24/26 | 42969 |  | (471) |
|  Chung Hung Steel Co. | 1-Day FEDEF - 5.25% | Monthly | MSCO | 6/24/26 | 78175 |  | (5192) |
|  Cibus Nordic Real Estate AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 1/10/26 | 1020753 | SEK | (6811) |
|  CIE Automotive S.A. | 1-Day EONIA - 0.35% | Monthly | MSCS | 9/12/30 | 136678 | EUR | (17613) |
|  Citic Telecom Intl Hldgs | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 1032591 | HKD | (10608) |
|  CJ CGV | 1-Day FEDEF - 3.50% | Monthly | MSCO | 6/24/26 | 37687 |  | 4471 |
|  CK Asset Holdings Ltd. | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 565493 | HKD | (2813) |
|  CK Infrastructure Holding | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 658860 | HKD | 751 |
|  Clariane SE | 1-Day EONIA - 0.30% | Monthly | MSCS | 7/17/26 | 30828 | EUR | (1899) |
|  Clio Cosmetics | 1-Day FEDEF - 5.75% | Monthly | MSCO | 6/24/26 | 42119 |  | 4377 |
|  Close Brothers Group PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 8/30/30 | 124727 | GBP | (43250) |
|  Cloudberry Clean Energy ASA | 1-Week NIBOR - 1.00% | Monthly | SEBA | 7/17/30 | 366977 | NOK | (7956) |
|  CLP Holdings Ltd. | 1-Day HONIA - 0.40% | Monthly | GSCO | 8/25/26 | 494065 | HKD | 27 |
|  CNH Industrial | Euro STR - 0.30% | Monthly | JPHQ | 3/24/26 | 124477 | EUR | (2010) |
|  Cochlear Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 149532 | AUD | (904) |
|  Coface | 1-Day EONIA - 0.275% | Monthly | MSCO | 1/14/26 | 30194 | EUR | 903 |
|  Cofco Joycome Foods Ltd. | 1-Day HONIA - 1.25% | Monthly | GSCO | 6/25/26 | 1146263 | HKD | (21504) |
|  Cognor Holding SA | 1-Day FEDEF - 0.75% | Monthly | MSCS | 7/17/30 | 56003 |  | (5550) |
|  Colopl Inc. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/26/26 | 9769926 | JPY | 112 |
|  Coloplast A/S | 1-Week CIBOR - 0.28% | Monthly | SEBA | 7/17/26 | 1389514 | DKK | 28371 |
|  Comet | 1-Day SARON - 0.35% | Monthly | JPHQ | 9/30/25 | 151562 | CHF | 15976 |
|  Cometridge Fpo | 1-Day RBACR - 18.00% | Monthly | MSCO | 6/24/26 | 26505 | AUD | 2316 |
|  Comforia Residential Reit | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 13315849 | JPY | (8771) |
|  Compass Group PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 11/27/28 | 23292 | GBP | 611 |
|  Contentreejoongang | 1-Day FEDEF - 3.00% | Monthly | MSCO | 6/24/26 | 10476 |  | 218 |
|  Continental Hldgs Corp. | 1-Day FEDEF - 3.625% | Monthly | MSCO | 6/24/26 | 95278 |  | 3295 |
|  Coretronics Corp. | 1-Day FEDEF - 3.875% | Monthly | MSCO | 6/24/26 | 70555 |  | (78409) |
|  Corporacion Acciona Energias Renovables SA | 1-Day EONIA - 0.35% | Monthly | MSCS | 8/05/30 | 240254 | EUR | (54345) |
|  Cosco Shipping Ports Ltd. | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 360134 | HKD | (2987) |
|  Cosmax | 1-Day FEDEF - 3.125% | Monthly | MSCO | 6/24/26 | 22836 |  | 4946 |
|  Cosmecca Korea | 1-Day FEDEF - 8.625% | Monthly | MSCO | 6/24/26 | 38998 |  | (689) |
|  Cosmo Adv Materials & Tec | 1-Day FEDEF - 5.50% | Monthly | MSCO | 7/03/26 | 68783 |  | (7683) |
|  Cosmo Pharmaceuticals NV | 1-Day SARON - 0.35% | Monthly | JPHQ | 7/17/30 | 15910 | CHF | (83) |
|  Cota Co Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 8785403 | JPY | 2065 |
|  Cowin | 1-Day FEDEF - 18.75% | Monthly | MSCO | 6/24/26 | 9996 |  | (40) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment**<br> **Frequency** | **Counter-<br>party** | **Maturity**<br> **Date** | **Notional**<br> **Value<sup>\*</sup>** | | **Value/Unrealized**<br> **Appreciation**<br> **(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts – Short<sup>d</sup> (continued)** |  |  |  |  |  |  |  |
|  Crest Nicholson Holdings PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 8/21/30 | 87591 | GBP | $19358 |
|  Crh Ord Eur | 1-Day SONIA - 0.275% | Monthly | MSCO | 7/08/26 | 133553 | GBP | (31230) |
|  Croda International PLC | 1-Day SONIA - 0.44% | Monthly | MSCS | 11/27/25 | 247690 | GBP | 118518 |
|  Cspc Pharmaceutical Group | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 904376 | HKD | (31230) |
|  Ctci Corp. | 1-Day FEDEF - 2.75% | Monthly | MSCO | 6/24/26 | 54720 |  | (12135) |
|  Ctos Digital Berhad | 1-Day FEDEF - 6.75% | Monthly | MSCO | 8/06/26 | 62586 |  | (158) |
|  CTP NV | Euro STR - 0.30% | Monthly | JPHQ | 7/17/30 | 23599 | EUR | (8542) |
|  Cub Elecparts Inc. | 1-Day FEDEF - 8.75% | Monthly | MSCO | 6/24/26 | 101505 |  | (48354) |
|  Cuc Inc. | 1-Day TONAR - 5.00% | Monthly | GSCO | 6/24/26 | 7368531 | JPY | (3926) |
|  Curro Holdings | 1-Day SABOR - 1.50% | Monthly | MSCS | 1/08/26 | 1018943 | ZAR | (12368) |
|  CVC Capital Partners | Euro STR - 0.30% | Monthly | JPHQ | 12/08/25 | 217838 | EUR | (25187) |
|  CVS Group PLC | 1-Day SONIA - 0.275% | Monthly | MSCO | 8/19/30 | 133848 | GBP | (36274) |
|  Cwlth Bank Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 290657 | AUD | 16916 |
|  Cy4gate SpA | Euro STR - 0.85% | Monthly | JPHQ | 2/10/26 | 11126 | EUR | (5498) |
|  Cyberdyne Inc. | 1-Day TONAR - 2.50% | Monthly | GSCO | 6/24/26 | 16534160 | JPY | (15193) |
|  Cyfrowy Polsat SA | 1-Day FEDEF - 0.50% | Monthly | MSCS | 7/17/27 | 30064 |  | (17256) |
|  Daejoo | 1-Day FEDEF - 11.50% | Monthly | MSCO | 6/24/26 | 77477 |  | 1781 |
|  Daimler Truck Holdings AG | Euro STR - 0.30% | Monthly | JPHQ | 3/28/26 | 183930 | EUR | (48035) |
|  Daiseki Eco Solution Co. | 1-Day TONAR - 2.91% | Monthly | GSCO | 6/24/26 | 3318971 | JPY | (1127) |
|  Daishin Securities Co. | 1-Day FEDEF - 2.865% | Monthly | MSCO | 7/24/26 | 69273 |  | (6970) |
|  Daiwa Office Investment C | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 7790623 | JPY | (6678) |
|  Daiwa Secs Living Investm | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 5117536 | JPY | (3982) |
|  Dalipal Holdings Ltd. | 1-Day HONIA - 16.25% | Monthly | GSCO | 6/25/26 | 608519 | HKD | (2255) |
|  Dassault Systemes SE | 1-Day EONIA - 0.30% | Monthly | MSCS | 7/01/27 | 54928 | EUR | 10239 |
|  Deep Yellow Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 92673 | AUD | (4556) |
|  Delivery Hero SE | Euro STR - 0.30% | Monthly | JPHQ | 7/17/26 | 90426 | EUR | 5330 |
|  De'Longhi SpA | Euro STR - 0.30% | Monthly | JPHQ | 5/08/26 | 145156 | EUR | (2848) |
|  Delta Electronics | 1-Day FEDEF - 1.25% | Monthly | MSCO | 6/22/26 | 104072 |  | (47245) |
|  Derwent London PLC | 1-Day SONIA - 0.275% | Monthly | MSCO | 7/07/26 | 146346 | GBP | 32987 |
|  Deterra Re Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/23/26 | 143303 | AUD | (15655) |
|  Deutsche Boerse | Euro STR - 0.30% | Monthly | JPHQ | 11/27/25 | 123787 | EUR | (1695) |
|  Deutsche Pfandbriefbank AG | HIBOR - 0.30% | Monthly | JPHQ | 1/30/26 | 144118 | EUR | 2897 |
|  Develop Fpo | 1-Day RBACR - 0.875% | Monthly | MSCO | 6/25/26 | 106309 | AUD | 9639 |
|  Di Dongil | 1-Day FEDEF - 6.375% | Monthly | MSCO | 6/24/26 | 124967 |  | (1263) |
|  Diageo PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 11/27/25 | 59264 | GBP | 9772 |
|  Dialog Group Bhd | 1-Day FEDEF - 5.125% | Monthly | MSCO | 6/25/26 | 133542 |  | (30461) |
|  Dino Polska SA | 1-Day FEDEF - 0.50% | Monthly | MSCS | 7/14/26 | 165080 |  | (61870) |
|  Dis-Chem Pharmacies | 1-Day SABOR - 0.50% | Monthly | MSCS | 12/26/25 | 3284768 | ZAR | (53368) |
|  Discovery Ltd. | 1-Day SABOR - 0.50% | Monthly | MSCS | 7/17/30 | 4030659 | ZAR | (147470) |
|  DOF ASA | 1-Week NIBOR - 0.275% | Monthly | SEBA | 5/07/26 | 1351806 | NOK | (17223) |
|  Domino's Pizza Group PLC | 1-Day SONIA - 0.275% | Monthly | MSCO | 9/05/30 | 229724 | GBP | 103723 |
|  Doosan Robotics | 1-Day FEDEF - 18.00% | Monthly | MSCO | 6/26/26 | 2433 |  | 84 |
|  Doosanfc | 1-Day FEDEF - 10.25% | Monthly | MSCO | 6/24/26 | 78697 |  | (16052) |
|  Dottikon ES Holding AG | 1-Day SARON - 1.40% | Monthly | JPHQ | 7/17/30 | 128357 | CHF | (101412) |
|  Dow Jones US Select Health Care Providers Index | SOFR - 0.25% | Monthly | GSCO | 6/17/26 | 4155370 |  | (412204) |
|  Dow Jones US Select Medical Equipment Index | SOFR - 0.25% | Monthly | GSCO | 6/17/26 | 8365577 |  | (126339) |
|  Dow Jones US Select Pharma Total Return Index | SOFR - 0.70% | Monthly | GSCO | 6/17/26 | 6465333 |  | (451571) |
|  Dowa Holdings | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 9099021 | JPY | (9152) |
|  DRDGOLD Ltd. | 1-Day SABOR - 1.00% | Monthly | MSCS | 7/17/30 | 1085791 | ZAR | (58232) |
|  Drewloong Precision Inc. | 1-Day FEDEF - 9.875% | Monthly | MSCO | 6/24/26 | 44209 |  | (983) |
|  DSM Firmenich AG | Euro STR - 0.30% | Monthly | JPHQ | 4/16/26 | 135491 | EUR | 1306 |
|  DSV A/S | 1-Week CIBOR - 0.28% | Monthly | SEBA | 7/14/26 | 2218956 | DKK | 3580 |
|  Dug Tech Fpo | 1-Day RBACR - 7.125% | Monthly | MSCO | 6/24/26 | 67552 | AUD | (7216) |
|  Dustin Group AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 12/11/25 | 75418 | SEK | (21483) |
|  DWEC | 1-Day FEDEF - 0.875% | Monthly | MSCO | 6/24/26 | 96636 |  | 13925 |
|  Dynamic Holding Co Ltd. | 1-Day FEDEF - 6.375% | Monthly | MSCO | 6/24/26 | 26993 |  | (36517) |
|  Dynavox Group AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 8/25/26 | 308723 | SEK | (33) |
|  E Ink Holdings Inc. | 1-Day FEDEF - 1.50% | Monthly | MSCO | 6/24/26 | 140982 |  | (22322) |
|  E Sun Financial Holdings | 1-Day FEDEF - 0.45% | Monthly | MSCO | 6/24/26 | 186868 |  | (2921) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment**<br> **Frequency** | **Counter-<br>party** | **Maturity**<br> **Date** | **Notional**<br> **Value<sup>\*</sup>** | | **Value/Unrealized**<br> **Appreciation**<br> **(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts – Short<sup>d</sup> (continued)** |  |  |  |  |  |  |  |
| E. ON SE | Euro STR - 0.30% | Monthly | JPHQ | 4/23/26 | 43121 | EUR | $715 |
|  Eastern & Oriental Bhd | 1-Day FEDEF - 4.50% | Monthly | MSCO | 6/25/26 | 36005 |  | (825) |
|  Eclat Textile Co. | 1-Day FEDEF - 4.375% | Monthly | MSCO | 6/24/26 | 27567 |  | 1334 |
|  Edreams Odigeo SA | 1-Day EONIA - 0.35% | Monthly | MSCS | 7/17/30 | 93176 | EUR | (24711) |
|  Egis Technology Inc. | 1-Day FEDEF - 15.50% | Monthly | MSCO | 6/24/26 | 55907 |  | 1230 |
|  Eguarantee Inc. | 1-Day TONAR - 0.35% | Monthly | GSCO | 7/17/26 | 8778866 | JPY | 40 |
|  Eiken Chemical Co. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 15883901 | JPY | (14628) |
|  Eirgenix Inc. | 1-Day FEDEF - 6.50% | Monthly | MSCO | 6/24/26 | 57875 |  | 4487 |
|  Elecnor SA | 1-Day EONIA - 1.375% | Monthly | MSCO | 8/24/26 | 54143 | EUR | 672 |
|  Elia Group | Euro STR - 0.30% | Monthly | JPHQ | 5/16/26 | 235080 | EUR | (61875) |
|  Elisa Oyj | Euro STR - 0.28% | Monthly | SEBA | 11/15/25 | 238149 | EUR | 3494 |
|  Emmi | 1-Day SARON - 0.35% | Monthly | JPHQ | 9/04/30 | 23628 | CHF | 624 |
|  Empiric Student Prop Plc | 1-Day SONIA - 0.275% | Monthly | MSCO | 8/19/26 | 52916 | GBP | 1755 |
|  Ems-Chemie AG | 1-Day SARON - 0.35% | Monthly | JPHQ | 7/17/30 | 279312 | CHF | (35872) |
|  ENAV SpA | Euro STR - 0.30% | Monthly | JPHQ | 9/23/25 | 117450 | EUR | (16608) |
|  Ence Energia Y Celulosa SA | 1-Day EONIA - 0.35% | Monthly | MSCO | 2/10/26 | 68722 | EUR | 4900 |
|  Enento Group OYJ | Euro STR - 0.28% | Monthly | SEBA | 7/17/30 | 87680 | EUR | 7336 |
|  EnergieKontor AG | Euro STR - 0.30% | Monthly | JPHQ | 3/07/26 | 93864 | EUR | 1651 |
|  Engcon AB | 1-Week STIBOR - 3.50% | Monthly | SEBA | 10/04/25 | 1124041 | SEK | 18429 |
|  Eni SpA | Euro STR - 0.30% | Monthly | JPHQ | 1/13/26 | 125384 | EUR | (38903) |
|  Enigmo Inc. | 1-Day TONAR - 0.35% | Monthly | GSCO | 7/15/26 | 2206448 | JPY | (683) |
|  Envipco Holdings | 1-Week NIBOR - 0.275% | Monthly | SEBA | 5/21/26 | 351876 | NOK | (7582) |
|  EO Technics | 1-Day FEDEF - 4.625% | Monthly | MSCO | 6/24/26 | 133722 |  | (26618) |
|  Epiroc AB | 1-Week STIBOR - 0.28% | Monthly | SEBA | 11/27/25 | 1892712 | SEK | 12303 |
|  Equasens | 1-Day EONIA - 1.125% | Monthly | MSCO | 6/13/26 | 37030 | EUR | 2121 |
|  Equity Tr Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 115759 | AUD | 7890 |
|  Eramet SA | 1-Day EONIA - 0.30% | Monthly | MSCS | 8/30/30 | 238917 | EUR | 17262 |
|  ERG SpA | Euro STR - 0.30% | Monthly | JPHQ | 7/17/30 | 121586 | EUR | (19403) |
|  Erste Group Bank AG | Euro STR - 0.30% | Monthly | JPHQ | 10/14/25 | 120605 | EUR | (23082) |
|  Essentra PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 9/01/30 | 153573 | GBP | 67340 |
|  EssilorLuxottica SA | 1-Day EONIA - 0.30% | Monthly | MSCS | 7/17/30 | 62991 | EUR | (2981) |
|  Essity AB | 1-Week STIBOR - 0.28% | Monthly | SEBA | 7/17/30 | 1435745 | SEK | 357 |
|  Estun Automation | 1-Day FEDEF - 9.88% | Monthly | MSCO | 6/24/26 | 40659 |  | (7793) |
|  Euglena Co Ltd. | 1-Day TONAR - 1.25% | Monthly | GSCO | 6/24/26 | 13110119 | JPY | (4814) |
|  Europris ASA | 1-Week NIBOR - 0.275% | Monthly | SEBA | 3/12/26 | 628227 | NOK | (9550) |
|  Everybot | 1-Day FEDEF - 17.875% | Monthly | MSCO | 6/24/26 | 8503 |  | 556 |
|  Evotec SE | Euro STR - 0.30% | Monthly | JPHQ | 7/17/30 | 46058 | EUR | (7721) |
|  Exawizards Inc. | 1-Day TONAR - 3.00% | Monthly | GSCO | 6/24/26 | 9470086 | JPY | (8943) |
|  Experian PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 11/27/25 | 198158 | GBP | (23404) |
|  Ezaki Glico Co. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 14218431 | JPY | (7157) |
|  Facc Ag | Euro STR - 7.15% | Monthly | JPHQ | 8/18/26 | 4201 | EUR | (774) |
|  Fadu Inc. | 1-Day FEDEF - 3.875% | Monthly | MSCO | 7/24/26 | 42723 |  | (7471) |
|  Far East Htrust | 1-Day SORA - 1.00% | Monthly | MSCO | 6/25/26 | 43211 | SGD | (3151) |
|  Farglory Free Trade Zone | 1-Day FEDEF - 7.50% | Monthly | MSCO | 6/24/26 | 75729 |  | (14045) |
|  Fastighets AB Balder | 1-Week STIBOR - 0.275% | Monthly | SEBA | 5/25/26 | 1046357 | SEK | 764 |
|  Feng Tay Enterprise Co Ltd. | 1-Day FEDEF - 3.125% | Monthly | MSCO | 6/26/26 | 65254 |  | 4535 |
|  Ferguson Enterprises Inc. | 1-Day SONIA - 0.275% | Monthly | MSCO | 2/10/26 | 175123 | GBP | (52539) |
|  Ferretti | Euro STR - 1.00% | Monthly | JPHQ | 10/20/25 | 88668 | EUR | (16127) |
|  Ferrovial SA | 1-Day EONIA - 0.35% | Monthly | MSCS | 7/17/30 | 199652 | EUR | (113918) |
|  Fevertree Drinks PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 7/25/30 | 178958 | GBP | 16346 |
|  Finatext Hldgs Ltd. | 1-Day TONAR - 1.50% | Monthly | GSCO | 6/24/26 | 11563727 | JPY | (7886) |
|  Fine M-Tec | 1-Day FEDEF - 19.00% | Monthly | MSCO | 6/24/26 | 23953 |  | (17301) |
|  FinecoBank SpA | Euro STR - 0.30% | Monthly | JPHQ | 7/17/30 | 192508 | EUR | (55647) |
|  Fintel PLC | 1-Day SONIA - 0.275% | Monthly | MSCO | 8/20/30 | 43624 | GBP | 13130 |
|  First Financial Holding C | 1-Day FEDEF - 0.45% | Monthly | MSCO | 6/24/26 | 146609 |  | 2358 |
|  Fiskars Group OYJ | Euro STR - 0.45% | Monthly | SEBA | 8/23/30 | 41706 | EUR | 5553 |
|  Fittech Co Ltd. | 1-Day FEDEF - 6.25% | Monthly | MSCO | 6/24/26 | 23689 |  | 1290 |
|  Flexium Interconnect Inc. | 1-Day FEDEF - 2.375% | Monthly | MSCO | 6/24/26 | 106658 |  | (21182) |
|  FLSmidth & Co. A/S | 1-Week CIBOR - 0.275% | Monthly | SEBA | 9/10/30 | 893155 | DKK | (32110) |
|  Flughafen Zurich AG | 1-Day SARON - 0.35% | Monthly | JPHQ | 7/17/30 | 190953 | CHF | (47965) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment**<br> **Frequency** | **Counter-<br>party** | **Maturity**<br> **Date** | **Notional**<br> **Value<sup>\*</sup>** | | **Value/Unrealized**<br> **Appreciation**<br> **(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts – Short<sup>d</sup> (continued)** |  |  |  |  |  |  |  |
|  Fluidra SA | 1-Day EONIA - 0.35% | Monthly | MSCS | 9/30/25 | 160618 | EUR | $(26014) |
|  Flutter Entertainment PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 8/30/30 | 64436 | GBP | (27874) |
|  Fnac Darty SA | 1-Day EONIA - 0.30% | Monthly | MSCS | 1/29/26 | 87219 | EUR | (5819) |
|  Food Empire | 1-Day SORA - 0.40% | Monthly | MSCO | 6/25/26 | 27717 | SGD | (6892) |
|  Foosung | 1-Day FEDEF - 5.25% | Monthly | MSCO | 6/24/26 | 51079 |  | (8810) |
|  Formosa Plastic | 1-Day FEDEF - 3.25% | Monthly | MSCO | 6/19/26 | 166301 |  | (9459) |
|  FP Partner Inc. | 1-Day TONAR - 5.50% | Monthly | GSCO | 6/24/26 | 9597206 | JPY | 200 |
|  Francaise Energie | 1-Day EONIA - 0.30% | Monthly | MSCS | 7/17/30 | 3763 | EUR | 1830 |
|  Fraport AG | Euro STR - 0.30% | Monthly | JPHQ | 7/17/30 | 226215 | EUR | (99285) |
|  Frasers Group PLC | 1-Day SONIA - 0.275% | Monthly | MSCO | 2/24/26 | 152782 | GBP | (13414) |
|  Fronteo Inc. | 1-Day TONAR - 7.50% | Monthly | GSCO | 6/29/26 | 5734190 | JPY | (13427) |
|  Fu Shou Yuan Intl Grp Lim | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 1303350 | HKD | 15999 |
|  Fudo Tetra Corp. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 6005038 | JPY | (5792) |
|  Fuji Kyuko Co Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 8/18/26 | 5070177 | JPY | (447) |
|  Fuji Oil Co Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 11391224 | JPY | (21944) |
|  Fuji Oil Co Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 8/24/26 | 4699403 | JPY | 387 |
|  Fujicco Co Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 6438157 | JPY | (697) |
|  Fujifilm Holdings Corporation | 1-Day TONAR - 0.35% | Monthly | GSCO | 8/05/26 | 4701508 | JPY | (3844) |
|  Fujimi Inc. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 19999092 | JPY | (13598) |
|  Fujio Food Group Inc. | 1-Day TONAR - 2.16% | Monthly | GSCO | 8/24/26 | 4466463 | JPY | 428 |
|  Fukuoka Reit Corp. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/25/26 | 1389514 | JPY | (810) |
|  Fukuyama Transporting Co. | 1-Day TONAR - 0.35% | Monthly | GSCO | 8/24/26 | 5951149 | JPY | (107) |
|  Funding Circle Holdings PLC | 1-Day SONIA - 0.275% | Monthly | MSCO | 8/11/30 | 135842 | GBP | (69186) |
|  Future PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 11/04/29 | 39583 | GBP | 2418 |
|  Galapagos NV | Euro STR - 0.30% | Monthly | JPHQ | 1/09/26 | 38887 | EUR | (12796) |
|  Galderma Group | 1-Day SARON - 0.35% | Monthly | JPHQ | 9/11/30 | 68995 | CHF | (51792) |
|  Gamsung Corp. | 1-Day FEDEF - 6.125% | Monthly | MSCO | 6/24/26 | 46421 |  | 2113 |
|  Gamuda Bhd | 1-Day FEDEF - 8.75% | Monthly | MSCO | 6/25/26 | 91555 |  | (18472) |
|  Geberit AG | 1-Day SARON - 0.35% | Monthly | JPHQ | 7/17/30 | 218997 | CHF | (35507) |
|  Gecina SA | 1-Day EONIA - 0.30% | Monthly | MSCS | 7/17/30 | 156749 | EUR | 4853 |
|  Gem Co Ltd. | 1-Day FEDEF - 11.95% | Monthly | MSCO | 6/24/26 | 68004 |  | (12898) |
|  Gen Dev Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 7/03/26 | 69639 | AUD | (12894) |
|  Genic | 1-Day FEDEF - 15.00% | Monthly | MSCO | 6/24/26 | 71568 |  | 21920 |
|  Genohco | 1-Day FEDEF - 17.50% | Monthly | MSCO | 6/24/26 | 13127 |  | 2815 |
|  Genscript Biotech Corporation | 1-Day HONIA - 1.50% | Monthly | GSCO | 6/25/26 | 451629 | HKD | (8254) |
|  Genting Sing | 1-Day SORA - 0.40% | Monthly | MSCO | 6/25/26 | 164439 | SGD | (2841) |
|  Genuit Group PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 7/17/30 | 109984 | GBP | 307 |
|  Georg Fischer Ltd. | 1-Day SARON - 0.35% | Monthly | JPHQ | 11/27/25 | 93277 | CHF | (21285) |
|  Gerresheimer AG | Euro STR - 0.30% | Monthly | JPHQ | 5/15/26 | 68653 | EUR | 14815 |
|  Getlink SE | 1-Day EONIA - 0.30% | Monthly | MSCS | 7/17/30 | 312884 | EUR | (11948) |
|  Gift Holdings Inc. | 1-Day TONAR - 1.00% | Monthly | GSCO | 8/20/26 | 5396207 | JPY | 1377 |
|  Giftee Inc. | 1-Day TONAR - 0.75% | Monthly | GSCO | 6/24/26 | 7875127 | JPY | 11085 |
|  Giken Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 9664192 | JPY | (3095) |
|  Gjensidige Forsikring ASA | 1-Week NIBOR - 0.28% | Monthly | SEBA | 7/17/26 | 1331707 | NOK | (27981) |
|  Global Dominion | 1-Day EONIA - 0.275% | Monthly | MSCO | 7/30/30 | 107955 | EUR | (20878) |
|  Global Security Experts | 1-Day TONAR - 6.50% | Monthly | GSCO | 6/24/26 | 8068700 | JPY | (484) |
|  Goldcrest Co Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 8/24/26 | 1757698 | JPY | 495 |
|  Golden Agri-Res | 1-Day SORA - 0.875% | Monthly | MSCO | 6/25/26 | 120097 | SGD | (10292) |
|  Goldsun Building Material | 1-Day FEDEF - 2.75% | Monthly | MSCO | 6/24/26 | 72242 |  | 6517 |
|  Good Group Stapled | 1-Day RBACR - 0.40% | Monthly | MSCO | 7/17/26 | 60388 | AUD | 41 |
|  Goto Gojek Tokopedia | 1-Day FEDEF - 4.00% | Monthly | MSCO | 6/23/26 | 85593 |  | 2799 |
|  Graincorp Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/29/26 | 69886 | AUD | (1551) |
|  Grand Pacific Petrochemic | 1-Day FEDEF - 3.75% | Monthly | MSCO | 6/24/26 | 76206 |  | (407) |
|  Granges AB | 1-Week STIBOR - 0.28% | Monthly | SEBA | 7/17/30 | 1002464 | SEK | (9425) |
|  Great Portland Estates PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 7/17/30 | 224351 | GBP | (53368) |
|  Great Tree Pharmacy Co Lt | 1-Day FEDEF - 4.375% | Monthly | MSCO | 6/24/26 | 63925 |  | (2052) |
|  Greatland Gold Plc | 1-Day SONIA - 0.275% | Monthly | MSCO | 7/17/30 | 137720 | GBP | (150282) |
|  Greentown Mgmt Hldgs Co L | 1-Day HONIA - 1.75% | Monthly | GSCO | 6/25/26 | 77562 | HKD | 311 |
|  Greggs Ord | 1-Day SONIA - 0.275% | Monthly | MSCO | 6/08/26 | 89015 | GBP | 20162 |
|  GRENKE AG | Euro STR - 2.55% | Monthly | JPHQ | 7/29/30 | 99677 | EUR | 4046 |
|  Grieg Seafood | 1-Week NIBOR - 0.45% | Monthly | SEBA | 4/16/26 | 1005144 | NOK | (22697) |
|  Groupe SEB | 1-Day EONIA - 0.30% | Monthly | MSCS | 8/30/30 | 46925 | EUR | 10610 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment**<br> **Frequency** | **Counter-<br>party** | **Maturity**<br> **Date** | **Notional**<br> **Value<sup>\*</sup>** | | **Value/Unrealized**<br> **Appreciation**<br> **(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts – Short<sup>d</sup> (continued)** |  |  |  |  |  |  |  |
|  Groupe ADP | 1-Day EONIA - 0.30% | Monthly | MSCS | 11/27/25 | 175763 | EUR | $(8282) |
|  Groupe Bruxelles Lambert NV | Euro STR - 0.30% | Monthly | JPHQ | 7/12/26 | 276803 | EUR | (61301) |
|  Gruppo MutuiOnline SpA | Euro STR - 0.30% | Monthly | JPHQ | 7/17/30 | 128181 | EUR | (40106) |
|  Guangdong South | 1-Day FEDEF - 11.35% | Monthly | MSCO | 8/25/26 | 2128 |  | (57) |
|  Gulf Development Public | 1-Day FEDEF - 4.00% | Monthly | MSCO | 6/25/26 | 118968 |  | (18983) |
|  Gunosy Inc. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 12047740 | JPY | (10497) |
|  Guz Gomez Fpo | 1-Day RBACR - 3.375% | Monthly | MSCO | 6/24/26 | 181325 | AUD | 14375 |
|  GVS | Euro STR - 0.30% | Monthly | JPHQ | 7/13/30 | 49280 | EUR | 3385 |
|  Haitian International Holdings | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 276278 | HKD | (4097) |
|  Haleon PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 3/13/26 | 39447 | GBP | 1290 |
|  Hamamatsu Photonics | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 5660746 | JPY | 4551 |
|  Hana Technology | 1-Day FEDEF - 15.50% | Monthly | MSCO | 6/24/26 | 20015 |  | 820 |
|  Hanall Biopharma | 1-Day FEDEF - 1.125% | Monthly | MSCO | 6/24/26 | 107223 |  | (15862) |
|  Hang Seng Bank | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 1145834 | HKD | 6781 |
|  Hangxiao Steel Structure | 1-Day FEDEF - 6.65% | Monthly | MSCO | 7/31/26 | 683 |  | 5 |
|  Hangzhou Heshun | 1-Day FEDEF - 9.35% | Monthly | MSCO | 8/26/26 | 11812 |  | 4 |
|  Hankyu Hanshin Holdings | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 12873019 | JPY | (10376) |
|  Hankyu Hanshin Reit Inc. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 15109053 | JPY | (9089) |
|  Hanmipharm | 1-Day FEDEF - 1.25% | Monthly | MSCO | 6/24/26 | 40184 |  | (957) |
|  Hannstar Display Corp. | 1-Day FEDEF - 4.75% | Monthly | MSCO | 6/24/26 | 111306 |  | (3282) |
|  Hanon Systems | 1-Day FEDEF - 4.875% | Monthly | MSCO | 6/24/26 | 105087 |  | (11151) |
|  Hansa Biopharma AB | 1-Week STIBOR - 1.00% | Monthly | SEBA | 7/17/30 | 446327 | SEK | (17187) |
|  Hanssem | 1-Day FEDEF - 3.375% | Monthly | MSCO | 6/24/26 | 80610 |  | 8805 |
|  Hanwha Ocean | 1-Day FEDEF - 1.50% | Monthly | MSCO | 6/24/26 | 70485 |  | (19914) |
|  Hanwha Solutions | 1-Day FEDEF - 4.00% | Monthly | MSCO | 6/24/26 | 127728 |  | 18364 |
|  Hapag-Lloyd AG | Euro STR - 0.50% | Monthly | JPHQ | 10/07/25 | 92295 | EUR | 2889 |
|  Harmonic Drive Systems | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 18832575 | JPY | 5353 |
|  Harvia PLC | Euro STR - 9.50% | Monthly | SEBA | 7/17/30 | 127543 | EUR | 20795 |
|  Hays PLC | 1-Day SONIA - 0.275% | Monthly | MSCO | 9/05/30 | 76528 | GBP | 6002 |
|  HBX Group International | 1-Day EONIA - 0.275% | Monthly | MSCO | 5/25/26 | 62617 | EUR | 14725 |
|  Healthcare Selectsectortr Index | SOFR - 0.25% | Monthly | GSCO | 6/17/26 | 2836191 |  | (150128) |
|  Heartland Group Hldgs Ltd. | 1-Day NZOCR - 2.025% | Monthly | MSCO | 6/24/26 | 58420 | NZD | (5908) |
|  Hefei Jianghang | 1-Day FEDEF - 11.45% | Monthly | MSCO | 6/29/26 | 1065 |  | (150) |
|  Heiwa Corp. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 12259394 | JPY | (4100) |
|  Hektas | 1-Day FEDEF - 15.00% | Monthly | MSCS | 7/17/26 | 4372 |  | (11604) |
|  Hemnet Group AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 7/20/26 | 1208844 | SEK | 15884 |
|  Henkel AG & Co. KGaA | Euro STR - 0.30% | Monthly | JPHQ | 7/17/30 | 161342 | EUR | (7611) |
|  Hensoldt AG | Euro STR - 0.30% | Monthly | JPHQ | 3/20/26 | 91199 | EUR | (60920) |
|  Hermes International | 1-Day SONIA - 0.40% | Monthly | MSCS | 9/07/30 | 67030 | EUR | 5071 |
|  Hexagon AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 4/01/26 | 1288689 | SEK | 1541 |
|  Hexagon Composites ASA | 1-Week NIBOR - 0.28% | Monthly | SEBA | 7/17/26 | 552105 | NOK | 6218 |
|  Hexpol AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 11/06/25 | 1991218 | SEK | 24657 |
|  Hibiya Engineering | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 8246080 | JPY | (12677) |
|  Highwealth Construction | 1-Day FEDEF - 1.00% | Monthly | MSCO | 8/19/26 | 39026 |  | 784 |
|  Himalaya Shipping Ltd. | 1-Week NIBOR - 3.25% | Monthly | SEBA | 8/28/30 | 404449 | NOK | (8362) |
|  Hiscox Ltd. ORD | 1-Day SONIA - 0.30% | Monthly | MSCS | 7/17/30 | 51164 | GBP | (9274) |
|  Hitachi | 1-Day TONAR - 0.35% | Monthly | GSCO | 8/03/26 | 5309730 | JPY | 3072 |
|  Hiwin Technologies Corp. | 1-Day FEDEF - 4.375% | Monthly | MSCO | 6/24/26 | 157498 |  | 3859 |
|  HKT Trust And HKT Ltd. | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 450910 | HKD | (2872) |
|  HMM | 1-Day FEDEF - 1.375% | Monthly | MSCO | 6/24/26 | 52258 |  | 2918 |
|  HMS Networks AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 9/13/25 | 2379626 | SEK | 2171 |
|  Hogy Medical Co. | 1-Day TONAR - 0.35% | Monthly | GSCO | 8/24/26 | 1578816 | JPY | (35) |
|  Hollywood Bowl Group PLC | 1-Day SONIA - 0.275% | Monthly | MSCO | 2/10/26 | 145515 | GBP | 7230 |
|  Holmen AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 6/20/26 | 1675487 | SEK | 4689 |
|  Holtek Semiconductor Inc. | 1-Day FEDEF - 5.625% | Monthly | MSCO | 6/30/26 | 79559 |  | 5396 |
|  Home Product Center Plc | 1-Day FEDEF - 34.00% | Monthly | MSCO | 6/26/26 | 99387 |  | (13762) |
|  Hongyuan Green Energy | 1-Day FEDEF - 17.55% | Monthly | MSCO | 6/26/26 | 7544 |  | (2552) |
|  Hota Industrial Mfg Co. | 1-Day FEDEF - 13.875% | Monthly | MSCO | 6/24/26 | 142601 |  | (16025) |
|  Hotai Finance Co Ltd. | 1-Day FEDEF - 2.25% | Monthly | MSCO | 6/24/26 | 121149 |  | 6088 |
|  Hotai Motor Co. | 1-Day FEDEF - 0.875% | Monthly | MSCO | 6/24/26 | 25686 |  | 1697 |
|  Hotel Shilla | 1-Day FEDEF - 5.25% | Monthly | MSCO | 6/24/26 | 183659 |  | 20756 |
|  Howa Machinery Ltd. | 1-Day TONAR - 0.75% | Monthly | GSCO | 6/24/26 | 8796117 | JPY | (24450) |
|  Howden Joinery Group PLC | 1-Day SONIA - 0.275% | Monthly | MSCO | 8/18/30 | 124545 | GBP | 6460 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment**<br> **Frequency** | **Counter-<br>party** | **Maturity**<br> **Date** | **Notional**<br> **Value<sup>\*</sup>** | | **Value/Unrealized**<br> **Appreciation**<br> **(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts – Short<sup>d</sup> (continued)** |  |  |  |  |  |  |  |
|  Hsin Kuang Steel Co. | 1-Day FEDEF - 3.00% | Monthly | MSCO | 6/24/26 | 55921 |  | $(2467) |
|  HTC Corporation | 1-Day FEDEF - 7.125% | Monthly | MSCO | 6/24/26 | 154391 |  | (110953) |
|  Hua Hong Semiconductor | 1-Day HONIA - 3.00% | Monthly | GSCO | 6/25/26 | 934819 | HKD | (66441) |
|  Hua Nan Financial Holding | 1-Day FEDEF - 0.45% | Monthly | MSCO | 6/24/26 | 77533 |  | (613) |
|  Huaku Development Co Ltd. | 1-Day FEDEF - 2.125% | Monthly | MSCO | 6/24/26 | 82196 |  | 3276 |
|  Hunan Yuneng | 1-Day FEDEF - 12.13% | Monthly | MSCO | 6/24/26 | 13976 |  | (1938) |
|  Hutchmed | 1-Day SONIA - 1.125% | Monthly | MSCO | 9/03/30 | 35194 | GBP | 7155 |
|  Hutchmed Ltd. | 1-Day SONIA - 28.75% | Monthly | GSCO | 6/25/26 | 915729 | HKD | 5002 |
|  Hygeia Healthcare Hldgs | 1-Day HONIA - 7.75% | Monthly | GSCO | 6/25/26 | 251196 | HKD | 514 |
|  Hypoport SE | 1-Day SABOR - 0.75% | Monthly | JPHQ | 9/27/25 | 123370 | EUR | 22438 |
|  Hyundai MTR | 1-Day FEDEF - 0.45% | Monthly | MSCO | 6/23/26 | 124269 |  | (2759) |
|  Iberdrola ORD | 1-Day EONIA - 0.50% | Monthly | MSCO | 12/02/25 | 143950 | EUR | 2365 |
|  Ibiden Co Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 5582577 | JPY | (6363) |
|  Ibstock PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 11/07/25 | 41260 | GBP | 6038 |
|  Ichibanya Co Ltd. | 1-Day TONAR - 0.75% | Monthly | GSCO | 6/24/26 | 21288951 | JPY | (7899) |
|  Ichigo Inc. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 25932507 | JPY | (14898) |
|  Idom Inc. | 1-Day TONAR - 0.35% | Monthly | GSCO | 8/24/26 | 4660009 | JPY | 189 |
|  Idox PLC | 1-Day SONIA - 6.125% | Monthly | MSCO | 3/24/26 | 25018 | GBP | 2779 |
|  Ifamilysc | 1-Day FEDEF - 3.625% | Monthly | MSCO | 6/29/26 | 27763 |  | (15786) |
|  IJM Corporation Bhd | 1-Day FEDEF - 5.625% | Monthly | MSCO | 6/25/26 | 26521 |  | (2506) |
|  Iljin Hysolus | 1-Day FEDEF - 18.25% | Monthly | MSCO | 6/24/26 | 20293 |  | (1949) |
|  IMCD Group NV | Euro STR - 0.30% | Monthly | JPHQ | 7/17/30 | 75747 | EUR | 14659 |
|  Impedimed Fpo | 1-Day RBACR - 6.50% | Monthly | MSCO | 7/15/26 | 5794 | AUD | 8 |
|  Imperial Hotel Limited | 1-Day TONAR - 3.30% | Monthly | GSCO | 6/24/26 | 9549191 | JPY | (1180) |
|  Inari Amertron Berhad | 1-Day FEDEF - 6.00% | Monthly | MSCO | 7/08/26 | 49528 |  | (1159) |
|  Indofood Cbp Sukses Makmu | 1-Day FEDEF - 4.00% | Monthly | MSCO | 6/25/26 | 12896 |  | 1687 |
|  Industria De Diseno Textil | 1-Day EONIA - 0.275% | Monthly | MSCO | 1/16/26 | 221273 | EUR | 26284 |
|  Indutrade AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 6/03/26 | 611739 | SEK | 580 |
|  INFICON | 1-Day SARON - 0.35% | Monthly | JPHQ | 5/25/26 | 51086 | CHF | 1983 |
|  Infomina Berhad | 1-Day FEDEF - 7.75% | Monthly | MSCO | 6/25/26 | 11587 |  | (5736) |
|  Informa Plc Ord | 1-Day SONIA - 0.275% | Monthly | MSCO | 7/02/26 | 85927 | GBP | (7651) |
|  Infrastrutture Wireless Italiane SpA | Euro STR - 0.30% | Monthly | JPHQ | 7/17/30 | 301009 | EUR | (48562) |
|  Infratil Limited Ord Npv | 1-Day NZOCR - 0.40% | Monthly | MSCO | 6/19/26 | 363846 | NZD | (20565) |
|  INGBSK | 1-Day FEDEF - 3.00% | Monthly | MSCO | 8/11/26 | 37598 |  | 3059 |
|  <sup>b</sup>Inmocemento SA | 1-Day EONIA - 0.275% | Monthly | MSCO | 1/13/26 |  | EUR | (4126) |
|  Innospace | 1-Day FEDEF -15.50% | Monthly | MSCO | 6/24/26 | 3663 |  | 519 |
|  Insignia Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 149514 | AUD | (26062) |
|  Instalco AB | 1-Week STIBOR - 0.45% | Monthly | SEBA | 6/27/26 | 1023921 | SEK | 6082 |
|  Int`L Container Terminals | 1-Day FEDEF - 2.50% | Monthly | MSCO | 8/07/26 | 26857 |  | 250 |
|  Integ Diag Fpo | 1-Day RBACR - 0.563% | Monthly | MSCO | 6/24/26 | 197284 | AUD | (29604) |
|  IntegraFin Holdings PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 7/17/26 | 138295 | GBP | (28942) |
|  Intellian Tech | 1-Day FEDEF - 6.368% | Monthly | MSCO | 6/24/26 | 77344 |  | 8140 |
|  Inter Cars | 1-Day FEDEF - 2.125% | Monthly | MSCO | 3/19/26 | 47598 |  | (6517) |
|  InterContinental Hotels Group | 1-Day SONIA - 0.30% | Monthly | MSCS | 11/27/28 | 81477 | GBP | (1912) |
|  Intercos | Euro STR - 0.30% | Monthly | JPHQ | 7/17/30 | 19313 | EUR | 1360 |
|  Intermediate Capital Group | 1-Day SONIA - 0.275% | Monthly | MSCO | 2/09/26 | 130812 | GBP | (4190) |
|  International Paper | 1-Day SONIA - 0.744% | Monthly | MSCO | 2/12/26 | 58821 | GBP | (202) |
|  International Petroleum Corp. | 1-Week STIBOR - 0.275% | Monthly | SEBA | 12/06/25 | 2898411 | SEK | (51539) |
|  Interparfums | 1-Day EONIA - 0.275% | Monthly | MSCO | 7/09/31 | 74818 | EUR | 16220 |
|  Interpump Group | Euro STR - 0.30% | Monthly | JPHQ | 5/20/26 | 107130 | EUR | (55821) |
|  Interroll Group | 1-Day SARON - 0.35% | Monthly | JPHQ | 10/28/25 | 179525 | CHF | (75888) |
|  Investis Holdings SA | 1-Day SARON - 0.35% | Monthly | JPHQ | 9/12/30 | 13277 | CHF | (846) |
|  Investor AB | 1-Week STIBOR - 0.28% | Monthly | SEBA | 7/14/26 | 2315597 | SEK | (5066) |
|  INVISIO AB | 1-Week STIBOR - 0.28% | Monthly | SEBA | 7/17/26 | 1364956 | SEK | 27339 |
|  Inwido AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 8/27/26 | 326237 | SEK | 327 |
|  IOI Corporation Bhd | 1-Day FEDEF - 3.125% | Monthly | MSCO | 6/25/26 | 183224 |  | (8807) |
|  Iperionx Fpo | 1-Day RBACR - 1.012% | Monthly | MSCO | 6/24/26 | 79920 | AUD | (21952) |
|  IPS Inc. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 18382925 | JPY | (35148) |
|  IS Dongseo Co Ltd. | 1-Day FEDEF - 3.625% | Monthly | MSCO | 7/24/26 | 37105 |  | 646 |
|  i-SENS | 1-Day FEDEF - 4.50% | Monthly | MSCO | 6/25/26 | 11206 |  | (265) |
|  Italmobiliare | Euro STR - 0.30% | Monthly | JPHQ | 9/27/25 | 90303 | EUR | (32799) |
|  Itmedia Inc. | 1-Day TONAR - 1.00% | Monthly | GSCO | 6/24/26 | 14352789 | JPY | (2152) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment**<br> **Frequency** | **Counter-<br>party** | **Maturity**<br> **Date** | **Notional**<br> **Value<sup>\*</sup>** | | **Value/Unrealized**<br> **Appreciation**<br> **(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts – Short<sup>d</sup> (continued)** |  |  |  |  |  |  |  |
|  ITV PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 7/17/30 | 103201 | GBP | $(15634) |
|  J D Wetherspoon PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 8/17/30 | 74060 | GBP | 5202 |
|  J Front Retailing Co Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 7/15/26 | 8054926 | JPY | (8472) |
|  James Halstead PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 7/17/26 | 21607 | GBP | 5512 |
|  Japan Exchange Group | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 5049229 | JPY | (1468) |
|  Japan Eyewear Holdings Co. | 1-Day TONAR - 10.00% | Monthly | GSCO | 6/24/26 | 14673722 | JPY | 11290 |
|  Japan Hospices Hldgs Inc. | 1-Day TONAR - 2.75% | Monthly | GSCO | 6/24/26 | 6390603 | JPY | (7155) |
|  Japan Steel Works | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 7252722 | JPY | (5728) |
|  JCR Pharmaceutical Co. | 1-Day TONAR - 0.35% | Monthly | GSCO | 8/24/26 | 1820196 | JPY | (291) |
|  Jean Co Ltd. | 1-Day FEDEF - 6.125% | Monthly | MSCO | 6/24/26 | 25022 |  | (1621) |
|  Jetema | 1-Day FEDEF -15.00% | Monthly | MSCO | 6/24/26 | 12826 |  | 1300 |
|  Jiangsu Expressway Co. | 1-Day FEDEF - 9.35% | Monthly | MSCO | 6/24/26 | 33058 |  | 4617 |
|  Jiangsu Expressway Co. | 1-Day FEDEF - 9.35% | Monthly | GSCO | 7/31/26 | 270399 | HKD | 1638 |
|  Jiangsu Yuxing | 1-Day FEDEF - 13.373% | Monthly | MSCO | 6/24/26 | 35001 |  | (727) |
|  Jinushi Co Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 6712652 | JPY | (17981) |
|  Jinxin Fertility Group Ltd. | 1-Day HONIA - 8.75% | Monthly | GSCO | 7/23/26 | 279282 | HKD | 2550 |
|  JTC PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 7/17/30 | 188820 | GBP | (105861) |
|  Judges Scientific PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 7/05/26 | 203596 | GBP | 88989 |
|  Jungfraubahn Hld N | 1-Day SARON - 0.35% | Monthly | JPHQ | 6/11/26 | 72699 | CHF | (3110) |
|  Juventus FC | Euro STR - 17.30% | Monthly | JPHQ | 9/02/30 | 32258 | EUR | (3266) |
|  Jyp Ent | 1-Day FEDEF - 2.625% | Monthly | MSCO | 6/24/26 | 49712 |  | 2424 |
|  Kagome Co Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 14483648 | JPY | (1338) |
|  Kakao Games | 1-Day FEDEF - 4.00% | Monthly | MSCO | 6/23/26 | 119628 |  | 32416 |
|  Kameda Seika Co. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 13390132 | JPY | (4782) |
|  Kansai Electric Power Co. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 7229734 | JPY | (8193) |
|  Kantsu Co Ltd. | TONAR - 5.50% | Monthly | GSCO | 6/24/26 | 1255677 | JPY | (164) |
|  Karnov Group AB | 1-Week STIBOR - 0.28% | Monthly | SEBA | 7/17/30 | 573302 | SEK | (21303) |
|  KBC Groep NV | Euro STR - 0.30% | Monthly | JPHQ | 7/17/30 | 77357 | EUR | (34135) |
|  KE Holdings Inc. | 1-Day HONIA - 0.40% | Monthly | GSCO | 7/31/26 | 554159 | HKD | 2776 |
|  Keihanshin Building Co Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 8/24/26 | 5387227 | JPY | 358 |
|  Keikyu Corporation | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/22/26 | 26985317 | JPY | (2998) |
|  Keio Corporation | 1-Day TONAR - 0.35% | Monthly | GSCO | 8/13/26 | 4110934 | JPY | 197 |
|  Keisei Electric Railway | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 8991227 | JPY | (867) |
|  Kenda Rubber Industry | 1-Day FEDEF - 0.75% | Monthly | MSCO | 6/24/26 | 47875 |  | 4044 |
|  Kepco E&C | 1-Day FEDEF - 4.00% | Monthly | MSCO | 6/25/26 | 51690 |  | 10537 |
|  Keppel | 1-Day SORA - 0.40% | Monthly | MSCO | 6/23/26 | 277077 | SGD | (39722) |
|  Kering SA | 1-Month EURIBOR - 0.40% | Monthly | MSCS | 11/27/25 | 176009 | EUR | (933) |
|  Kerry Group PLC | 1-Day EONIA - 0.30% | Monthly | MSCS | 7/17/30 | 255525 | EUR | 11893 |
|  Kesko Corp. | Euro STR - 0.275% | Monthly | SEBA | 10/17/25 | 115914 | EUR | 1070 |
|  K-Fast Holding AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 7/17/30 | 247057 | SEK | (2663) |
|  KGHM Polska Miedz SA | 1-Day FEDEF - 0.50% | Monthly | MSCS | 8/19/30 | 28490 |  | (204) |
|  Kid ASA | 1-Week NIBOR - 0.275% | Monthly | SEBA | 5/25/26 | 510722 | NOK | 513 |
|  Kikkoman Corp. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 13736407 | JPY | 931 |
|  King's Town Bank | 1-Day FEDEF - 1.75% | Monthly | MSCO | 6/25/26 | 69098 |  | (121) |
|  Kinnevik AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 3/03/26 | 1877134 | SEK | (23855) |
|  Kion Group Ag | Euro STR - 0.30% | Monthly | JPHQ | 7/16/26 | 43021 | EUR | (3629) |
|  KMW | 1-Day FEDEF - 9.00% | Monthly | MSCO | 6/24/26 | 60056 |  | 4609 |
|  Knorr-Bremse AG | Euro STR - 0.30% | Monthly | JPHQ | 7/17/26 | 140432 | EUR | (12503) |
|  Kobayashi Pharmaceuticals | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 23921364 | JPY | 2178 |
|  Kobe Bussan Co Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 14445297 | JPY | 8606 |
|  Kojamo PLC | Euro STR - 0.28% | Monthly | SEBA | 7/14/26 | 110636 | EUR | (23345) |
|  Komeda Holdings Co Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 6828993 | JPY | (1500) |
|  Kontron AG | Euro STR - 2.10% | Monthly | JPHQ | 4/23/26 | 40308 | EUR | (3348) |
|  Korea Aerospace | 1-Day FEDEF - 0.45% | Monthly | MSCO | 6/19/26 | 135160 |  | (3904) |
|  Kosaido Holdings Co Ltd. | 1-Day TONAR - 1.00% | Monthly | GSCO | 7/06/26 | 14478420 | JPY | 5350 |
|  Kose Corporation | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 4583676 | JPY | (278) |
|  Kruk | 1-Day FEDEF - 0.50% | Monthly | MSCO | 7/17/26 | 106910 |  | (16373) |
|  KT&G | 1-Day FEDEF - 0.45% | Monthly | MSCO | 6/24/26 | 86508 |  | (4526) |
|  Kuala Lumpur Kepong Bhd | 1-Day FEDEF - 7.875% | Monthly | MSCO | 6/25/26 | 106472 |  | 1513 |
|  Kudan Inc. | 1-Day TONAR - 13.33% | Monthly | GSCO | 8/24/26 | 2131715 | JPY | 19 |
|  Kureha Corporation | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 18261016 | JPY | (29505) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment**<br> **Frequency** | **Counter-<br>party** | **Maturity**<br> **Date** | **Notional**<br> **Value<sup>\*</sup>** | | **Value/Unrealized**<br> **Appreciation**<br> **(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts – Short<sup>d</sup> (continued)** |  |  |  |  |  |  |  |
|  Kweichow Moutai | 1-Day FEDEF - 1.75% | Monthly | MSCO | 7/10/26 | 59062 |  | $(3125) |
|  Kyowa Kirin Co Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 8/18/26 | 4476501 | JPY | 1022 |
|  Kyungdongnavien | 1-Day FEDEF - 1.625% | Monthly | MSCO | 6/24/26 | 24853 |  | (1266) |
|  Laboratorios Farmaceutico | 1-Day EONIA - 0.275% | Monthly | MSCO | 12/08/25 | 212768 | EUR | (14833) |
|  Lagenda Properties Berhad | 1-Day FEDEF - 6.625% | Monthly | MSCO | 7/08/26 | 2398 |  | 34 |
|  Lake | 1-Day FEDEF - 8.50% | Monthly | MSCO | 6/24/26 | 96491 |  | 1662 |
|  Land & Houses | 1-Day FEDEF - 14.50% | Monthly | MSCO | 7/07/26 | 48577 |  | (4656) |
|  Land Mark Optoelectronics | 1-Day FEDEF - 5.25% | Monthly | MSCO | 6/25/26 | 22869 |  | (8559) |
|  Land Securities Group Plc | 1-Day SONIA - 0.275% | Monthly | MSCO | 8/19/26 | 62915 | GBP | 2394 |
|  Landis+Gyr Group AG | 1-Day SARON - 0.35% | Monthly | JPHQ | 1/23/26 | 93706 | CHF | (21657) |
|  Latour Investment AB Services | 1-Week STIBOR - 0.275% | Monthly | SEBA | 11/14/25 | 2640896 | SEK | 35807 |
|  Lbs Bina Group Bhd | 1-Day FEDEF - 5.25% | Monthly | MSCO | 8/21/26 | 5046 |  | 151 |
|  LCB | 1-Day FEDEF - 5.125% | Monthly | MSCO | 6/24/26 | 34745 |  | (10028) |
|  Lee & Man Paper Manufacturing | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 321942 | HKD | (14243) |
|  LEG Immobilien AG | Euro STR - 0.30% | Monthly | JPHQ | 8/21/30 | 171483 | EUR | 5765 |
|  Legal & General Group | 1-Day SONIA - 0.30% | Monthly | MSCS | 9/23/25 | 253632 | GBP | (33986) |
|  Legrand France SA | 1-Day EONIA - 0.30% | Monthly | MSCS | 8/09/30 | 66198 | EUR | (15660) |
|  LEM | Euro STR - 0.35% | Monthly | JPHQ | 7/17/26 | 145116 | CHF | 25780 |
|  Lendlease Reit | 1-Day SORA - 1.75% | Monthly | MSCO | 6/24/26 | 130907 | SGD | (23302) |
|  Lenzing AG | Euro STR - 0.30% | Monthly | JPHQ | 7/14/26 | 76487 | EUR | (8587) |
|  Levima Advanced | 1-Day FEDEF - 10.45% | Monthly | MSCO | 6/25/26 | 18072 |  | (5266) |
|  LG Chem | 1-Day FEDEF - 0.45% | Monthly | MSCO | 6/24/26 | 91816 |  | (23412) |
|  LG Energy Solutions | 1-Day FEDEF - 1.875% | Monthly | MSCS | 10/07/25 | 97095 |  | 10236 |
|  LGMS Berhad | 1-Day FEDEF - 4.00% | Monthly | MSCO | 6/25/26 | 23942 |  | 5290 |
|  Lianchuang Electro | 1-Day FEDEF - 11.95% | Monthly | MSCO | 6/24/26 | 1830 |  | (210) |
|  Lianson Fleet Group Berhad | 1-Day FEDEF - 4.00% | Monthly | MSCO | 7/08/26 | 7392 |  | (5854) |
|  Liberta Co Ltd. | 1-Day TONAR - 17.00% | Monthly | GSCO | 6/24/26 | 3481346 | JPY | (755) |
|  Lifco | 1-Week STIBOR - 0.28% | Monthly | SEBA | 11/27/25 | 1020054 | SEK | 1859 |
|  Lifedrink Co Inc. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 13033884 | JPY | (19937) |
|  Lifenet Insurance Company | 1-Day TONAR - 2.00% | Monthly | GSCO | 6/24/26 | 24212538 | JPY | 670 |
|  Lifestyle Fpo | 1-Day RBACR - 4.625% | Monthly | MSCO | 6/24/26 | 107954 | AUD | 10717 |
|  Lindab International AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 6/20/26 | 1352176 | SEK | (5320) |
|  Linde PLC | Euro STR - 0.30% | Monthly | JPHQ | 5/15/26 | 213380 | EUR | (13085) |
|  Lindex Group | Euro STR - 0.275% | Monthly | SEBA | 7/09/26 | 32979 | EUR | 839 |
|  Liontrust Asset Management PLC | 1-Day SONIA - 0.30% | Monthly | MSCO | 4/25/26 | 27878 | GBP | 4460 |
|  LK Technology Holdings | 1-Day HONIA - 14.50% | Monthly | GSCO | 7/13/26 | 294988 | HKD | (23405) |
|  London Stock Exchange Group PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 7/17/26 | 126379 | GBP | 21689 |
|  Londonmetric Property | 1-Day SONIA - 0.275% | Monthly | MSCO | 7/17/26 | 51196 | GBP | (36387) |
|  Longfor Group Hldgs Ltd. | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 570918 | HKD | (6824) |
|  Longi Green Energy | 1-Day FEDEF - 4.825% | Monthly | MSCO | 8/06/26 | 109100 |  | (8649) |
|  L'Oreal SA | 1-Day EONIA - 0.30% | Monthly | MSCS | 8/09/30 | 175657 | EUR | (8983) |
|  Lotte Energy Materials Co. | 1-Day FEDEF - 3.00% | Monthly | MSCO | 6/24/26 | 105009 |  | (9437) |
|  Lotus Bakeries NV | Euro STR - 0.30% | Monthly | JPHQ | 7/17/30 | 133835 | EUR | (9807) |
|  Lotus Resources Fpo | 1-Day RBACR - 2.00% | Monthly | MSCO | 7/03/26 | 40431 | AUD | (4522) |
|  Lovisa Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 133140 | AUD | (33527) |
|  LPP SA | 1-Day FEDEF - 0.50% | Monthly | MSCS | 3/18/26 | 96677 |  | (12090) |
|  LS Materials Co Ltd. | 1-Day FEDEF - 6.113% | Monthly | MSCO | 8/21/26 | 18740 |  | 180 |
|  Luk Fook Hldgs | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 326714 | HKD | (13132) |
|  Lunit | 1-Day FEDEF - 12.75% | Monthly | MSCO | 6/24/26 | 101106 |  | 29294 |
|  Luye Pharma Group Limited | 1-Day HONIA - 10.75% | Monthly | GSCO | 7/08/26 | 471762 | HKD | (3562) |
|  LVMH Moet Hennessy Louis Vuitton SE | 1-Day EONIA - 0.30% | Monthly | MSCS | 7/03/26 | 132195 | EUR | 23817 |
|  Lynas Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 76119 | AUD | (26317) |
|  M&A Research Institute | 1-Day TONAR - 1.00% | Monthly | GSCO | 6/24/26 | 6005792 | JPY | (2950) |
|  M&G PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 3/24/26 | 92189 | GBP | (25840) |
|  M3 Inc. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 4623356 | JPY | (2744) |
|  M3 Technology Inc. | 1-Day FEDEF - 14.625% | Monthly | MSCO | 6/24/26 | 17652 |  | 2140 |
|  Maas Group Fpo | 1-Day RBACR - 3.25% | Monthly | MSCO | 6/24/26 | 122253 | AUD | (6184) |
|  Macq Group Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 173951 | AUD | (4803) |
|  Macronix International | 1-Day FEDEF - 1.35% | Monthly | MSCO | 6/24/26 | 199406 |  | 21477 |
|  Magnora ASA | 1-Week NIBOR - 7.00% | Monthly | SEBA | 7/17/30 | 320783 | NOK | (1968) |
|  Makalot Industrial Co. | 1-Day FEDEF - 4.25% | Monthly | MSCO | 8/04/26 | 44466 |  | 553 |
|  Makuake Inc. | 1-Day TONAR - 4.75% | Monthly | GSCO | 6/24/26 | 1268277 | JPY | (2944) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment**<br> **Frequency** | **Counter-<br>party** | **Maturity**<br> **Date** | **Notional**<br> **Value<sup>\*</sup>** | | **Value/Unrealized**<br> **Appreciation**<br> **(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts – Short<sup>d</sup> (continued)** |  |  |  |  |  |  |  |
|  Malayan Banking Bhd | 1-Day FEDEF - 3.00% | Monthly | MSCO | 6/22/26 | 112972 |  | $(1549) |
|  Man Wah Holdings Ltd. | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 711678 | HKD | (9972) |
|  Mandatum OYJ | Euro STR - 0.275% | Monthly | SEBA | 7/17/30 | 326270 | EUR | (10523) |
|  Mani Inc. | 1-Day TONAR - 0.35% | Monthly | GSCO | 8/24/26 | 2165434 | JPY | 269 |
|  Maoyan Entertainment | 1-Day HONIA - 10.00% | Monthly | GSCO | 7/17/26 | 245450 | HKD | 131 |
|  Mapletree Log | 1-Day SORA - 0.40% | Monthly | MSCO | 6/25/26 | 140826 | SGD | (8808) |
|  Maq Tech Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 164678 | AUD | 5442 |
|  Marumae Co Ltd. | 1-Day TONAR - 2.00% | Monthly | GSCO | 6/24/26 | 18549728 | JPY | (11698) |
|  Marvelous Inc. | 1-Day TONAR - 0.35% | Monthly | GSCO | 7/27/26 | 947280 | JPY | (437) |
|  Mas Real Estate | 1-Day SABOR - 0.50% | Monthly | MSCO | 12/13/25 | 751186 | ZAR | (10896) |
|  Matas A/S | 1-Week CIBOR - 0.275% | Monthly | SEBA | 4/17/26 | 1243994 | DKK | (2075) |
|  Matrix Concepts Holdings | 1-Day FEDEF - 4.125% | Monthly | MSCO | 6/25/26 | 89938 |  | 1832 |
|  Matsuya Co. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 13628910 | JPY | (16676) |
|  mBank SA | 1-Day FEDEF - 0.50% | Monthly | MSCS | 7/14/26 | 153160 |  | (118988) |
|  Mbsb Berhad | 1-Day FEDEF - 9.375% | Monthly | MSCO | 6/25/26 | 42244 |  | (1172) |
|  Mcdonald's Holdings Company | 1-Day TONAR - 0.35% | Monthly | GSCO | 7/06/26 | 10101309 | JPY | (7030) |
|  Mcmillan Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 203435 | AUD | (36627) |
|  Medacta Group SA | Euro STR - 0.35% | Monthly | JPHQ | 7/17/30 | 152622 | CHF | (61876) |
|  Medios Ag | Euro STR - 3.35% | Monthly | JPHQ | 3/27/26 | 17027 | EUR | (4216) |
|  Mega Financial Holding Co. | 1-Day FEDEF - 0.45% | Monthly | MSCO | 6/24/26 | 137025 |  | 7545 |
|  Megachips Corp. | 1-Day TONAR - 0.35% | Monthly | GSCO | 8/24/26 | 4543127 | JPY | (605) |
|  Meiko Electronics Co. | 1-Day TONAR - 0.35% | Monthly | GSCO | 8/03/26 | 3787589 | JPY | (7569) |
|  Meituan | 1-Day HONIA - 0.40% | Monthly | GSCO | 7/30/26 | 204949 | HKD | 5213 |
|  Melrose Industries PLC | 1-Day SONIA - 0.275% | Monthly | MSCO | 2/24/26 | 175482 | GBP | (49420) |
|  Mercari Inc. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 20124945 | JPY | 7605 |
|  Meridian Energy Limited | 1-Day NZOCR - 0.40% | Monthly | MSCO | 6/23/26 | 247921 | NZD | 902 |
|  Meritz Financial | 1-Day FEDEF - 1.50% | Monthly | MSCO | 6/24/26 | 58915 |  | (4895) |
|  Merlin Properties Socimi SA | 1-Day EONIA - 0.30% | Monthly | MSCO | 3/12/26 | 203376 | EUR | (65963) |
|  Mersen | 1-Day EONIA - 0.275% | Monthly | MSCO | 5/21/26 | 19198 | EUR | (4281) |
|  Mesoblast Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 78799 | AUD | (12649) |
|  Metall Zug AG | 1-Day SARON - 0.35% | Monthly | JPHQ | 3/13/26 | 39767 | CHF | 1703 |
|  Metcashltd Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 35754 | AUD | (1341) |
|  Metropole TV | 1-Day EONIA - 0.275% | Monthly | MSCO | 12/11/25 | 198475 | EUR | (4388) |
|  Metsa Board OYJ | Euro STR - 0.32% | Monthly | SEBA | 6/13/26 | 143739 | EUR | 18590 |
|  Metso Outotec OYJ | Euro STR - 0.28% | Monthly | SEBA | 7/17/26 | 242007 | EUR | (2538) |
|  MFS Inc. | 1-Day TONAR - 5.65% | Monthly | GSCO | 8/24/26 | 2061628 | JPY | 290 |
|  Midac Holdings Co Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 7/15/26 | 6212709 | JPY | 1136 |
|  Millennium | 1-Day FEDEF - 0.50% | Monthly | MSCS | 7/17/30 | 125855 |  | (106507) |
|  Mineral Resources Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 84046 | AUD | (36167) |
|  Ming Yuan Cloud Group Hld | 1-Day HONIA - 1.25% | Monthly | GSCO | 6/23/26 | 1269636 | HKD | (72528) |
|  Mingxin Automotive Leather | 1-Day FEDEF - 13.65% | Monthly | MSCO | 6/24/26 | 3168 |  | (1293) |
|  Miniso Group Hldg Ltd. | 1-Day HONIA - 1.25% | Monthly | GSCO | 6/25/26 | 551124 | HKD | (25596) |
|  Mips AB | 1-Week STIBOR - 0.28% | Monthly | SEBA | 9/20/25 | 1118247 | SEK | 501 |
|  Mirai Corporation | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/25/26 | 6817771 | JPY | (3146) |
|  Misumi Group Inc. | 1-Day TONAR - 0.35% | Monthly | GSCO | 7/31/26 | 7746960 | JPY | (1057) |
|  Mitsubishi Pencil Co. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 21969381 | JPY | 2815 |
|  Mitsuboshi Belting | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 5946293 | JPY | (2974) |
|  Mitsui & Co. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 14490265 | JPY | (17962) |
|  Mitsui Fudosan Logistics | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 17749653 | JPY | (10053) |
|  Mitsui OSK Lines Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 14755419 | JPY | 229 |
|  Mobimo Holdings AG | 1-Day SARON - 0.35% | Monthly | JPHQ | 1/23/29 | 15773 | CHF | (33) |
|  Mo-Bruk SA | 1-Day FEDEF - 2.375% | Monthly | MSCO | 5/28/26 | 18310 |  | (461) |
|  Momentum Group AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 3/27/30 | 301056 | SEK | (380) |
|  Moncler | Euro STR - 0.30% | Monthly | JPHQ | 2/06/26 | 77643 | EUR | (996) |
|  Monex Group Inc. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 14399120 | JPY | (19679) |
|  Money Forward Inc. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 22226276 | JPY | (46815) |
|  Montea Nv | Euro STR - 0.30% | Monthly | JPHQ | 8/11/26 | 70765 | EUR | (1154) |
|  Morgan Advanced Materials | 1-Day SONIA - 0.30% | Monthly | MSCS | 8/12/30 | 11303 | GBP | 534 |
|  Mortgage Advice Bureau | 1-Day SONIA - 0.275% | Monthly | MSCO | 8/14/30 | 72746 | GBP | (5363) |
|  Mosa Industrial Corporation | 1-Day FEDEF - 6.375% | Monthly | MSCO | 6/24/26 | 14814 |  | (2642) |
|  Mpc Container Ships Asa | 1-Week NIBOR - 0.275% | Monthly | SEBA | 8/13/26 | 882527 | NOK | 6284 |
|  MTR Corporation Ltd. | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 1223563 | HKD | 5832 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment**<br> **Frequency** | **Counter-<br>party** | **Maturity**<br> **Date** | **Notional**<br> **Value<sup>\*</sup>** | | **Value/Unrealized**<br> **Appreciation**<br> **(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts – Short<sup>d</sup> (continued)** |  |  |  |  |  |  |  |
|  MultiChoice Group Ltd. | 1-Day SABOR - 0.50% | Monthly | MSCS | 5/20/26 | 2687483 | ZAR | $(21937) |
|  Munters Group AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 11/14/25 | 1557288 | SEK | 4691 |
|  Musti Group PLC | Euro STR - 0.28% | Monthly | SEBA | 7/12/26 | 21100 | EUR | (60) |
|  Mycronic Ab | 1-Week STIBOR - 0.275% | Monthly | SEBA | 7/02/26 | 988124 | SEK | (3362) |
|  MYP | 1-Day FEDEF - 9.00% | Monthly | MSCO | 6/24/26 | 19706 |  | 1650 |
|  Nagaileben Co. | 1-Day TONAR - 0.35% | Monthly | GSCO | 7/30/26 | 8051642 | JPY | 2368 |
|  Nagarro SE | Euro STR - 1.95% | Monthly | JPHQ | 8/21/30 | 35015 | EUR | 3858 |
|  Nan Kang Rubber Tire | 1-Day FEDEF - 9.50% | Monthly | MSCO | 7/20/26 | 63215 |  | (1367) |
|  Nan Ya Printed Circuit | 1-Day FEDEF - 7.875% | Monthly | MSCO | 6/24/26 | 41784 |  | (37530) |
|  Nanya Technology Corporation | 1-Day FEDEF - 7.375% | Monthly | MSCO | 6/24/26 | 61013 |  | 10234 |
|  Nat Bank Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 212802 | AUD | (9980) |
|  NCAB Group AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 2/24/26 | 1346280 | SEK | 14326 |
|  NCC Group PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 7/15/30 | 41464 | GBP | (228) |
|  NEC Capital Solutions Limited | 1-Day TONAR - 0.55% | Monthly | GSCO | 8/24/26 | 2715481 | JPY | 152 |
|  Neinor Homes SA | 1-Day EONIA - 0.275% | Monthly | MSCO | 3/25/26 | 62332 | EUR | (17005) |
|  Nemetschek SE | Euro STR - 0.30% | Monthly | JPHQ | 11/26/25 | 143410 | EUR | (38494) |
|  Neste Corp. | Euro STR - 0.28% | Monthly | SEBA | 7/17/26 | 173795 | EUR | (122871) |
|  Netlink Nbn | 1-Day SORA - 0.40% | Monthly | MSCO | 6/25/26 | 302696 | SGD | (15342) |
|  Netmarble | 1-Day FEDEF - 0.45% | Monthly | MSCO | 6/24/26 | 24644 |  | 599 |
|  Neuren Fpo Nz | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 81177 | AUD | (23532) |
|  NewRiver REIT PLC | 1-Day SONIA - 0.275% | Monthly | MSCO | 7/11/30 | 9750 | GBP | 31 |
|  Newron Pharma | 1-Day SARON - 9.40% | Monthly | JPHQ | 10/07/25 | 48715 | CHF | (14455) |
|  Nexon Games | 1-Day FEDEF - 18.00% | Monthly | MSCO | 6/24/26 | 137074 |  | 8082 |
|  Nextage Co Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 8137905 | JPY | (14441) |
|  Nextdc Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/22/26 | 287497 | AUD | (27895) |
|  NHK Spring Co Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 8/14/26 | 4008069 | JPY | (533) |
|  Nibe Industrier AB | 1-Week STIBOR - 0.28% | Monthly | SEBA | 8/12/30 | 2768969 | SEK | 25655 |
|  Nichireki Group Co Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 8/24/26 | 2215674 | JPY | (166) |
|  Nick Scali Fpo | 1-Day RBACR - 0.675% | Monthly | MSCO | 6/26/26 | 184074 | AUD | (39954) |
|  Nihon M&A Center Holdings | 1-Day TONAR - 0.35% | Monthly | GSCO | 7/06/26 | 8820658 | JPY | (3512) |
|  Nine Ent Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 140339 | AUD | (4114) |
|  Nio Inc. | 1-Day HONIA - 1.00% | Monthly | GSCO | 6/25/26 | 1116238 | HKD | (116953) |
|  Nippon Avionics Co. | 1-Day TONAR - 4.25% | Monthly | GSCO | 6/24/26 | 10327622 | JPY | (2259) |
|  Nippon Carbon Co. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 12905592 | JPY | (1672) |
|  Nippon Concrete Industries | 1-Day TONAR - 0.35% | Monthly | GSCO | 7/13/26 | 3035768 | JPY | (224) |
|  Nippon Sanso Holdings Corp. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 9187878 | JPY | 216 |
|  Nippon Tel & Tel Corp. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 12035329 | JPY | (3022) |
|  Nishimatsu Construction | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 7858959 | JPY | (2244) |
|  Nishi-Nippon Railroad Co. | 1-Day TONAR - 0.35% | Monthly | GSCO | 8/18/26 | 6791916 | JPY | (939) |
|  Nissin Foods Holdings Co. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 11642435 | JPY | 3773 |
|  Nitori Holdings Co Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 21637418 | JPY | (343) |
|  Nittoku Co Ltd. | 1-Day TONAR - 0.85% | Monthly | GSCO | 8/24/26 | 3795552 | JPY | 42 |
|  Nobia AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 11/11/25 | 787729 | SEK | (19852) |
|  Noevir Hldgs Co Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 7/17/26 | 5926096 | JPY | (322) |
|  Nokian Tyres PLC | Euro STR - 0.28% | Monthly | SEBA | 8/23/30 | 105433 | EUR | (25420) |
|  Nomura Micro Science Co. | 1-Day TONAR - 4.50% | Monthly | GSCO | 6/24/26 | 15608667 | JPY | (30104) |
|  Nongfu Spring Co Ltd. | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 1173967 | HKD | (39155) |
|  Northam Platinum Ltd. | 1-Day FEDEF | Monthly | MSCO | 2/11/26 | 3698459 | ZAR | (111949) |
|  North-Star International | 1-Day FEDEF - 10.50% | Monthly | MSCO | 6/24/26 | 84903 |  | 7566 |
|  Note Inc. | 1-Day TONAR - 18.00% | Monthly | GSCO | 6/24/26 | 3117626 | JPY | 2280 |
|  Novozymes A/S | 1-Week CIBOR - 0.28% | Monthly | SEBA | 7/17/26 | 946541 | DKK | (1351) |
|  NTG Nordic Transport Group | 1-Week CIBOR - 0.275% | Monthly | SEBA | 4/17/26 | 489316 | DKK | 13581 |
|  Nxera Pharma Co Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 11595981 | JPY | (2289) |
|  Ocado Group PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 7/17/26 | 106949 | GBP | (30188) |
|  Oceana Group Ltd. | 1-Day SABOR - 0.50% | Monthly | MSCO | 8/20/26 | 95313 | ZAR | 41 |
|  OCI N.V. | Euro STR - 0.30% | Monthly | JPHQ | 9/09/30 | 233279 | EUR | 122134 |
|  Ock Group Berhad | 1-Day FEDEF - 11.25% | Monthly | MSCO | 6/25/26 | 27112 |  | 605 |
|  Oct Inc. | 1-Day FEDEF - 3. 875% | Monthly | MSCO | 6/24/26 | 50814 |  | (12051) |
|  Ocumension Therapeutics | 1-Day HONIA - 6.50% | Monthly | GSCO | 6/24/26 | 1274271 | HKD | 26753 |
|  Odakyu Electric Railway | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 10816708 | JPY | 201 |
|  Oem International Ab Ser | 1-Week STIBOR - 0.275% | Monthly | SEBA | 8/31/26 | 83898 | SEK | 22 |
|  Oesterreichische Post AG | Euro STR - 3.80% | Monthly | JPHQ | 8/23/30 | 39466 | EUR | 1776 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment**<br> **Frequency** | **Counter-<br>party** | **Maturity**<br> **Date** | **Notional**<br> **Value<sup>\*</sup>** | | **Value/Unrealized**<br> **Appreciation**<br> **(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts – Short<sup>d</sup> (continued)** |  |  |  |  |  |  |  |
|  Omnibridge Fpo Forus | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 74375 | AUD | $(9652) |
|  OMV AG | Euro STR - 0.30% | Monthly | JPHQ | 3/19/26 | 156830 | EUR | (261) |
|  Oneness Biotech Co Ltd. | 1-Day FEDEF - 5.875% | Monthly | MSCO | 6/24/26 | 55823 |  | (1469) |
|  Open Door Inc. | 1-Day TONAR - 13.75% | Monthly | GSCO | 6/24/26 | 2716396 | JPY | 792 |
|  Optim Corporation | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 2225707 | JPY | (567) |
|  Oriental Land Co. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 15769190 | JPY | (10029) |
|  Orsted A/S | 1-Week CIBOR - 0.275% | Monthly | SEBA | 5/24/26 | 1172323 | DKK | 70513 |
|  Osaka Soda Co Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 17301277 | JPY | (7878) |
|  Osaka Titanium Technologies | 1-Day TONAR - 7.00% | Monthly | GSCO | 6/24/26 | 7158951 | JPY | (37114) |
|  Outokumpu Oyj | Euro STR - 0.275% | Monthly | SEBA | 7/20/26 | 117339 | EUR | 826 |
|  Outsurance Group Limited | 1-Day SABOR - 0.50% | Monthly | MSCS | 10/03/25 | 1108962 | ZAR | (58455) |
|  Oxford BioMedica PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 9/26/25 | 21623 | GBP | (25461) |
|  Oxford Instruments PLC | 1-Day SONIA - 0.30% | Monthly | MSCO | 4/25/26 | 154175 | GBP | 23447 |
|  Oxford Nanopore Technologies PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 5/13/26 | 73417 | GBP | (34460) |
|  Oxide Corporation | 1-Day TONAR - 9.75% | Monthly | GSCO | 6/24/26 | 10090800 | JPY | 13657 |
|  Pacific Basin Shipping Lt | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 327834 | HKD | (2608) |
|  Pagegroup Plc Ord | 1-Day SONIA - 0.275% | Monthly | MSCO | 8/19/26 | 52406 | GBP | 3858 |
|  Paladin Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 57167 | AUD | (777) |
|  Pan African Resource Plc | 1-Day SABOR - 0.50% | Monthly | MSCO | 8/25/26 | 955852 | ZAR | (492) |
|  Pandox Ab Ser B | 1-Week STIBOR - 0.275% | Monthly | SEBA | 7/17/28 | 738862 | SEK | 1949 |
|  Panocean | 1-Day FEDEF - 0.45% | Monthly | MSCO | 6/24/26 | 69013 |  | 257 |
|  Paradox Interactive AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 1/10/26 | 570001 | SEK | 3124 |
|  Paratus Energy Services | 1-Week NIBOR - 0.275% | Monthly | SEBA | 5/07/26 | 490736 | NOK | (6146) |
|  Park Systems | 1-Day FEDEF - 0.45% | Monthly | MSCO | 6/24/26 | 33467 |  | 3750 |
|  Partners Group Holding AG | 1-Day SARON - 0.35% | Monthly | JPHQ | 8/08/30 | 167828 | CHF | (23459) |
|  Patrizia AG | Euro STR - 1.00% | Monthly | JPHQ | 7/17/26 | 99870 | EUR | (15493) |
|  PCCW Limited | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 1880054 | HKD | (4143) |
|  Pearlabyss | 1-Day FEDEF - 3.00% | Monthly | MSCO | 6/24/26 | 83223 |  | 17033 |
|  Peijia Medical Limited | 1-Day HONIA - 5.00% | Monthly | GSCO | 6/25/26 | 317144 | HKD | (7105) |
|  Pennon Group PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 7/17/30 | 181445 | GBP | (128025) |
|  People And Technology Inc. | 1-Day FEDEF - 4.50% | Monthly | MSCO | 7/23/26 | 29802 |  | (3784) |
|  Perak Transit Berhad | 1-Day FEDEF - 16.50% | Monthly | MSCO | 6/25/26 | 22494 |  | 176 |
|  Pernod Ricard | 1-Day EONIA - 0.30% | Monthly | MSCS | 11/27/25 | 294573 | EUR | 69518 |
|  Perpetual Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 152478 | AUD | (20601) |
|  Perseus Proteomics Inc. | 1-Day TONAR - 3.50% | Monthly | GSCO | 6/24/26 | 1256099 | JPY | 1289 |
|  Peterwa Fpo | 1-Day RBACR - 6.625% | Monthly | MSCO | 6/24/26 | 24758 | AUD | (5795) |
|  Petronas Gas Bhd | 1-Day FEDEF - 4.375% | Monthly | MSCO | 6/25/26 | 67928 |  | (4435) |
|  Pexagroup Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 7/03/26 | 117744 | AUD | (13537) |
|  Pharma Mar SA | 1-Day EONIA - 0.35% | Monthly | MSCO | 1/22/26 | 111203 | EUR | (82895) |
|  Phoenix Group Holdings PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 7/17/30 | 196234 | GBP | (89612) |
|  Piaggio | Euro STR - 0.30% | Monthly | JPHQ | 7/14/26 | 171029 | EUR | (23916) |
|  Pilbara Minerals Fpo | 1 - Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 104219 | AUD | (58604) |
|  Pillar Corporation | 1 - Day TONAR- 0.35% | Monthly | GSCO | 6/24/26 | 8931841 | JPY | (5526) |
|  Pinewood Technologies Group | 1 - Day SONIA - 0.275% | Monthly | MSCO | 10/16/25 | 102725 | GBP | (73893) |
|  Piolax Inc. | 1 - Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 4402610 | JPY | (58) |
|  PNE AG | Euro STR - 0.70% | Monthly | JPHQ | 7/13/26 | 125199 | EUR | (2760) |
|  Poongsan | 1-Day FEDEF - 0.45% | Monthly | MSCO | 6/24/26 | 49406 |  | 3843 |
|  Port Of Tauranga Npv | 1-Day NZOCR - 4.875% | Monthly | MSCO | 6/24/26 | 126973 | NZD | (2342) |
|  Postal Savings Bank | 1-Day FEDEF - 6.75% | Monthly | MSCO | 6/24/26 | 9426 |  | (799) |
|  Power Assets Holdings Ltd. | 1-Day HONIA - 0.40% | Monthly | GSCO | 7/07/26 | 563844 | HKD | (663) |
|  Powerchip Semiconductor | 1-Day FEDEF - 3.125% | Monthly | MSCO | 6/23/26 | 149462 |  | 1 |
|  Ppb Group Bhd | 1-Day FEDEF - 18.00% | Monthly | MSCO | 6/25/26 | 45694 |  | 3166 |
|  PPHE Hotel Group Ltd. | 1-Day SONIA - 0.275% | Monthly | MSCO | 8/02/30 | 52722 | GBP | (2389) |
|  Precious Shipping | 1-Day FEDEF - 12.75% | Monthly | MSCO | 8/14/26 | 20819 |  | 38 |
|  Prem Inv Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 64531 | AUD | (924) |
|  Propel Fp Fpo | 1-Day RBACR - 4.50% | Monthly | MSCO | 6/24/26 | 148400 | AUD | (14937) |
|  Prored Partners Co. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 4480005 | JPY | (7271) |
|  Prosus NV | Euro STR - 0.30% | Monthly | JPHQ | 9/20/25 | 116759 | EUR | (46498) |
|  Proximus Group | Euro STR - 0.30% | Monthly | JPHQ | 9/18/25 | 93838 | EUR | (16658) |
|  Prudential PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 7/14/26 | 59491 | GBP | (41519) |
|  Prysmian | 1 - Day FEDEF | Monthly | JPHQ | 2/06/26 | 42201 | EUR | (2181) |
|  PSP | 1 - Day FEDEF | Monthly | JPHQ | 12/03/25 | 156116 | CHF | 3269 |
|  Ptt Exploration & Product | 1-Day FEDEF - 0.875% | Monthly | MSCO | 7/23/26 | 173976 |  | 11010 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment**<br> **Frequency** | **Counter-<br>party** | **Maturity**<br> **Date** | **Notional**<br> **Value<sup>\*</sup>** | | **Value/Unrealized**<br> **Appreciation**<br> **(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts – Short<sup>d</sup> (continued)** |  |  |  |  |  |  |  |
|  Ptt Public Company | 1-Day FEDEF - 0.40% | Monthly | MSCO | 7/17/26 | 80567 |  | $2017 |
|  Public Bank Bhd | 1-Day FEDEF - 5.50% | Monthly | MSCO | 6/24/26 | 47305 |  | 83 |
|  PureTech Health PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 7/17/30 | 89423 | GBP | 23398 |
|  Pwr Hlding Fpo | 1-Day RBACR - 0.788% | Monthly | MSCO | 6/24/26 | 128449 | AUD | (15031) |
|  Qinghai Saint Lake | 1-Day FEDEF - 1.80% | Monthly | MSCO | 7/08/26 | 50905 |  | (8339) |
|  Qisda Corporation | 1-Day FEDEF - 16.00% | Monthly | MSCO | 6/23/26 | 83861 |  | (14424) |
|  Qorialimit Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 166449 | AUD | (43821) |
|  Qt Group OYJ | Euro STR - 4.16% | Monthly | SEBA | 7/17/30 | 25908 | EUR | 6594 |
|  Quang Viet Enterprise Co. | 1-Day FEDEF - 5.625% | Monthly | MSCO | 6/24/26 | 24502 |  | 2875 |
|  Quilter Plc | 1-Day SABOR - 0.50% | Monthly | MSCO | 7/16/26 | 1565623 | ZAR | (67) |
|  Rainbow Robotics | 1-Day FEDEF - 9.00% | Monthly | MSCO | 6/24/26 | 45631 |  | 5234 |
|  Rathbones Group PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 8/30/30 | 74515 | GBP | (5492) |
|  Rational Ag | Euro STR - 0.30% | Monthly | JPHQ | 7/21/30 | 43049 | EUR | 3431 |
|  Ratos AB | 1-Week STIBOR - 0.28% | Monthly | SEBA | 7/17/26 | 1334953 | SEK | (3318) |
|  Reckitt Benckiser Group PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 7/17/30 | 90270 | GBP | (28779) |
|  Recticel | Euro STR - 0.30% | Monthly | JPHQ | 11/21/25 | 57688 | EUR | 599 |
|  Redeia Corporacion SA | 1-Day EONIA - 0.35% | Monthly | MSCS | 8/05/30 | 182701 | EUR | 13114 |
|  Region Gp Stapled | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 145858 | AUD | (5392) |
|  RELX PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 7/17/30 | 61637 | GBP | 3958 |
|  Remgro Ltd. | 1-Day SABOR - 0.50% | Monthly | MSCO | 10/16/25 | 628932 | ZAR | (12972) |
|  Remy Cointreau | 1-Day EONIA - 0.30% | Monthly | MSCS | 12/11/25 | 361510 | EUR | 92021 |
|  Renesas Electronics Corp. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 13714499 | JPY | 6753 |
|  Renew Holdings ORD | 1-Day SONIA - 0.275% | Monthly | MSCO | 4/20/26 | 111987 | GBP | (306) |
|  Renishaw PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 2/13/26 | 88199 | GBP | 7547 |
|  Renova Inc. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 4917002 | JPY | (11922) |
|  Rentokil Initial PLC | 1-Day FEDEF - 0.65% | Monthly | MSCS | 11/27/25 | 261585 | GBP | 14623 |
|  Revenio Group Corp. | Euro STR - 0.28% | Monthly | SEBA | 7/17/30 | 89660 | EUR | 3241 |
|  Richwave Technology Corporation | 1-Day FEDEF - 8.375% | Monthly | MSCO | 6/24/26 | 52904 |  | (11637) |
|  Rieter | Euro STR - 0.35% | Monthly | JPHQ | 7/24/29 | 46370 | CHF | 804 |
|  Riken Keiki Co Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 18558871 | JPY | (14753) |
|  Ringer Hut Co Ltd. | 1-Day TONAR - 2.50% | Monthly | GSCO | 6/24/26 | 12314440 | JPY | (2568) |
|  Ringkjoebing Landbobank A/S | 1-Week CIBOR - 0.28% | Monthly | SEBA | 7/17/26 | 1663134 | DKK | (41571) |
|  Rio Tinto Ord | 1-Day SONIA - 0.275% | Monthly | MSCO | 8/19/26 | 99123 | GBP | (3632) |
|  Riso Kyoiku Co Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 8/24/26 | 909241 | JPY | 189 |
|  Riverstone | 1-Day SORA - 2.125% | Monthly | MSCO | 6/25/26 | 111577 | SGD | (7454) |
|  Ronshin Group | 1-Day FEDEF - 14.35% | Monthly | MSCO | 8/20/26 | 362 |  | 32 |
|  Rpmglobal Fpo | 1-Day RBACR - 0.875% | Monthly | MSCO | 6/24/26 | 26174 | AUD | (5146) |
|  RTL Group | Euro STR - 0.30% | Monthly | JPHQ | 1/30/26 | 277706 | EUR | (32843) |
|  Run Long Construction Co. | 1-Day FEDEF - 4.00% | Monthly | MSCO | 8/31/26 | 6067 |  | (13) |
|  Rural Funds Stapled | 1-Day RBACR - 0.788% | Monthly | MSCO | 6/24/26 | 204396 | AUD | (10390) |
|  RVRC Holding | 1-Week STIBOR - 0.28% | Monthly | SEBA | 10/11/25 | 983221 | SEK | (2624) |
|  Rwc Corp Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 8/03/26 | 82930 | AUD | 1425 |
|  RWE AG | Euro STR - 0.30% | Monthly | JPHQ | 5/15/26 | 65961 | EUR | 2093 |
|  Ryohin Keikaku Co. | 1-Day TONAR - 0.35% | Monthly | GSCO | 8/31/26 | 994155 | JPY | 257 |
|  S&P Biotechnology Select Industry Total Return Index | SOFR - 0.45% | Monthly | GSCO | 6/17/26 | 4435764 |  | (201661) |
|  Sacyr SA | 1-Day EONIA - 0.35% | Monthly | MSCS | 7/17/30 | 252219 | EUR | (92066) |
|  Safestore Holdings PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 10/21/25 | 289741 | GBP | 66851 |
|  Saga PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 7/17/30 | 129635 | GBP | (120168) |
|  Sagax AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 12/06/25 | 1885034 | SEK | 3297 |
|  Saint Gobain | 1-Day EONIA - 0.275% | Monthly | MSCO | 6/03/26 | 121408 | EUR | 10410 |
|  Sakata Seed Corp. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 6710283 | JPY | (3127) |
|  SalMar ASA | 1-Week NIBOR - 0.28% | Monthly | SEBA | 7/29/30 | 1638955 | NOK | (17272) |
|  Salmon Evolution ASA | 1-Week NIBOR - 8.50% | Monthly | SEBA | 7/12/26 | 1134593 | NOK | 17053 |
|  Samhallsbyggnadsbo | 1-Week STIBOR - 0.275% | Monthly | SEBA | 8/25/26 | 317524 | SEK | 2664 |
|  Sampo PLC | Euro STR - 0.275% | Monthly | SEBA | 7/17/30 | 241511 | EUR | (37475) |
|  Samsonite Group SA | 1-Day HONIA - 0.40% | Monthly | GSCO | 7/07/26 | 739324 | HKD | (6461) |
|  Samsung F&Mins | 1-Day FEDEF - 0.45% | Monthly | MSCO | 6/24/26 | 79019 |  | 902 |
|  Samsung Sdi Co Ltd. | 1-Day FEDEF - 0.45% | Monthly | MSCO | 6/24/26 | 81770 |  | (11458) |
|  San Fu Chemical Co Ltd. | 1-Day FEDEF - 3.094% | Monthly | MSCO | 8/18/26 | 24215 |  | (609) |
|  Sanbio Company Limited | 1-Day TONAR - 8.75% | Monthly | GSCO | 6/24/26 | 6543332 | JPY | 8235 |
|  Sandoz Group | 1-Day SARON - 0.35% | Monthly | JPHQ | 9/12/30 | 23083 | CHF | (3438) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment**<br> **Frequency** | **Counter-<br>party** | **Maturity**<br> **Date** | **Notional**<br> **Value<sup>\*</sup>** | | **Value/Unrealized**<br> **Appreciation**<br> **(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts – Short<sup>d</sup> (continued)** |  |  |  |  |  |  |  |
|  Sands China Ltd. | 1-Day HONIA - 0.40% | Monthly | GSCO | 7/23/26 | 333492 | HKD | $(4753) |
|  Sanken Electric Co. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 9924020 | JPY | 17 |
|  Sanlam Ltd. | 1-Day SABOR - 0.50% | Monthly | MSCS | 7/17/30 | 1543354 | ZAR | (2156) |
|  Sanlorenzo | Euro STR - 0.30% | Monthly | JPHQ | 10/20/25 | 99714 | EUR | (6741) |
|  Sanoma Corp. | Euro STR - 0.28% | Monthly | SEBA | 7/17/29 | 2069 | EUR | (74) |
|  Santanamin Fpo | 1-Day RBACR - 6.50% | Monthly | MSCO | 6/24/26 | 81076 | AUD | (6974) |
|  Santander Bank Polska SA | 1-Day FEDEF - 0.50% | Monthly | MSCS | 7/17/30 | 37610 |  | 32 |
|  SAP SE | Euro STR - 0.30% | Monthly | JPHQ | 11/27/25 | 100149 | EUR | 9602 |
|  SBI Aruhi Corporation | 1-Day TONAR - 0.75% | Monthly | GSCO | 6/24/26 | 11263625 | JPY | (3880) |
|  SBS Holdings Inc. | 1-Day TONAR - 0.35% | Monthly | GSCO | 8/24/26 | 2738589 | JPY | (717) |
|  Scatec ASA | 1-Week NIBOR - 0.275% | Monthly | SEBA | 4/26/26 | 175406 | NOK | (3815) |
|  Scg Packaging Pcl | 1-Day FEDEF - 15.00% | Monthly | MSCO | 6/26/26 | 9419 |  | (357) |
|  Schibsted ASA | 1-Week NIBOR - 0.28% | Monthly | SEBA | 7/17/30 | 2932036 | NOK | (82174) |
|  Schneider Electric SE | 1-Day EONIA - 0.275% | Monthly | MSCO | 6/25/26 | 83654 | EUR | 2817 |
|  Schoeller-Bleckmann Oilfield Equipment AG | Euro STR - 0.30% | Monthly | JPHQ | 7/13/26 | 120283 | EUR | 7998 |
|  Sci Pharmtech Inc. | 1-Day FEDEF - 4.875% | Monthly | MSCO | 6/24/26 | 68650 |  | 7089 |
|  Scientex Berhad | 1-Day FEDEF - 4.375% | Monthly | MSCO | 6/25/26 | 56961 |  | 2613 |
|  Scinopharm Taiwan Ltd. | 1-Day FEDEF - 3.625% | Monthly | MSCO | 6/24/26 | 63325 |  | (109) |
|  SCSK Corp. | 1-Day TONAR - 0.35% | Monthly | GSCO | 7/20/26 | 4890796 | JPY | (1966) |
|  SD Biosensor | 1-Day FEDEF - 2.75% | Monthly | MSCO | 6/24/26 | 39094 |  | 1209 |
|  SDI Corp. | 1-Day FEDEF - 7.125% | Monthly | MSCO | 8/13/26 | 15946 |  | (1504) |
|  Sdiptech AB | 1-Week STIBOR - 1.00% | Monthly | SEBA | 7/17/26 | 1820338 | SEK | 7047 |
|  Seah Steel Holdings | 1-Day FEDEF - 18.00% | Monthly | MSCO | 6/24/26 | 15649 |  | 2589 |
|  Seatrium Ltd. | 1-Day SORA - 1.375% | Monthly | MSCO | 6/25/26 | 54800 | SGD | (5988) |
|  Seche Environnement | 1-Day EONIA - 0.275% | Monthly | MSCO | 3/30/26 | 46922 | EUR | (11148) |
|  secunet Security Networks AG | Euro STR - 0.30% | Monthly | JPHQ | 7/17/30 | 70256 | EUR | 6009 |
|  Sedana Medical AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 11/14/25 | 229421 | SEK | (10809) |
|  Seek Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 219391 | AUD | (22856) |
|  Segro PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 7/17/30 | 80598 | GBP | 1382 |
|  Sejin Heavy | 1-Day FEDEF - 14.25% | Monthly | MSCO | 6/24/26 | 40026 |  | (10710) |
|  Sembcorp Ind | 1-Day SORA - 0.40% | Monthly | MSCO | 6/25/26 | 94412 | SGD | 8320 |
|  Senior PLC | 1-Day SONIA - 0.30% | Monthly | MSCO | 3/20/26 | 20372 | GBP | (2918) |
|  Seobu T&D | 1-Day FEDEF - 5.375% | Monthly | MSCO | 6/24/26 | 73667 |  | (1437) |
|  Seojin System | 1-Day FEDEF - 8.00% | Monthly | MSCO | 6/24/26 | 50375 |  | 6571 |
|  Septeni Holdings | 1-Day TONAR - 1.00% | Monthly | GSCO | 6/24/26 | 17814092 | JPY | 3726 |
|  Serica Energy Plc Ord | 1-Day SONIA - 0.275% | Monthly | MSCO | 8/19/26 | 45083 | GBP | (3338) |
|  Sesa | Euro STR - 1.25% | Monthly | JPHQ | 3/25/26 | 79741 | EUR | (3614) |
|  Seven & I Holdings Co Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 3158847 | JPY | 3028 |
|  Seven Bank Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 26705978 | JPY | (16999) |
|  Severfield PLC | 1-Day FEDEF | Monthly | MSCO | 1/02/26 | 31808 | GBP | 12540 |
|  Severn Trent PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 11/27/25 | 103313 | GBP | (3417) |
|  Severn Trent PLC | 1-Day SONIA - 0.30% | Monthly | MSCO | 1/08/26 | 14199 | GBP | (103) |
|  SG Holdings Co Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 19529366 | JPY | 3141 |
|  SGS SA | 1-Day SARON - 0.35% | Monthly | JPHQ | 6/17/29 | 85666 | CHF | 1349 |
|  Shaftesbury Capital PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 9/26/25 | 221776 | GBP | (35692) |
|  Shanghai International | 1-Day FEDEF - 3.295% | Monthly | MSCO | 7/13/26 | 21572 |  | 272 |
|  Shanghai Lingang Holdings | 1-Day FEDEF - 17.55% | Monthly | MSCO | 6/24/26 | 8679 |  | (416) |
|  Shanghai Lujiazui | 1-Day FEDEF - 17.55% | Monthly | MSCO | 6/25/26 | 387 |  | 9 |
|  Shanghai United Imaging | 1-Day FEDEF - 16.058% | Monthly | MSCO | 6/26/26 | 14820 |  | (1661) |
|  Shanghai Wayne Enterprises | 1-Day FEDEF - 13.35% | Monthly | MSCO | 6/24/26 | 2078 |  | (336) |
|  Shangri-La Asia | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 644053 | HKD | (5060) |
|  Sheng Siong | 1-Day SORA - 0.40% | Monthly | MSCO | 6/25/26 | 116255 | SGD | (6984) |
|  Shenzhen Chipscreen | 1-Day FEDEF - 10.45% | Monthly | MSCO | 6/25/26 | 13722 |  | (6763) |
|  Shenzhen Expressway Corporation | 1-Day HONIA - 0.40% | Monthly | GSCO | 7/17/26 | 710096 | HKD | (4602) |
|  Shenzhen International HL | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/22/26 | 1090925 | HKD | (2010) |
|  Shenzhen Investment Ltd. | 1-Day HONIA - 1.00% | Monthly | GSCO | 7/10/26 | 389437 | HKD | 4305 |
|  Shenzhen Salubris | 1-Day FEDEF - 10.65% | Monthly | MSCO | 6/25/26 | 13896 |  | (1459) |
|  Shenzhen Sunway Co. | 1-Day FEDEF - 5.937% | Monthly | MSCO | 7/23/26 | 21942 |  | (3555) |
|  Shida Shinghwa | 1-Day FEDEF - 13.232% | Monthly | MSCO | 6/26/26 | 3460 |  | (34) |
|  Shift Up | 1-Day FEDEF - 9.00% | Monthly | MSCO | 6/24/26 | 49090 |  | 9395 |
|  Shih Wei Navigation | 1-Day FEDEF - 7.25% | Monthly | MSCO | 6/24/26 | 57837 |  | (5987) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment**<br> **Frequency** | **Counter-<br>party** | **Maturity**<br> **Date** | **Notional**<br> **Value<sup>\*</sup>** | | **Value/Unrealized**<br> **Appreciation**<br> **(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts – Short<sup>d</sup> (continued)** |  |  |  |  |  |  |  |
|  Shima Seiki Mfg | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 16467901 | JPY | $(21199) |
|  Shimano Inc. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 24134398 | JPY | 29146 |
|  Shinhan Alpha REIT | 1-Day FEDEF - 16.125% | Monthly | MSCO | 6/24/26 | 17454 |  | 189 |
|  Shiseido Company Limited | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 12215893 | JPY | 2305 |
|  Shochiku Co Ltd. | 1-Day TONAR - 0.75% | Monthly | GSCO | 6/24/26 | 28749080 | JPY | (7293) |
|  Shoei Co Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 10498869 | JPY | (4213) |
|  Shoei Foods Corp. | 1-Day TONAR - 1.25% | Monthly | GSCO | 6/24/26 | 17850386 | JPY | (4466) |
|  Shop Apotheke Europe NV | Euro STR - 0.85% | Monthly | JPHQ | 7/17/30 | 156684 | EUR | 52676 |
|  Shoprite Holdings Ltd. | 1-Day SABOR - 0.50% | Monthly | MSCS | 7/17/29 | 1080548 | ZAR | 1459 |
|  Shurgard | Euro STR - 0.30% | Monthly | JPHQ | 4/14/26 | 176714 | EUR | (14664) |
|  SIA Engineering | 1-Day SORA - 0.40% | Monthly | MSCO | 6/25/26 | 26353 | SGD | (256) |
|  Siam Cement Co. | 1-Day FEDEF - 0.75% | Monthly | MSCO | 6/25/26 | 36544 |  | (11182) |
|  Siam Global House Public | 1-Day FEDEF - 13.75% | Monthly | MSCO | 6/25/26 | 10602 |  | (5474) |
|  Siemens AG | Euro STR - 0.30% | Monthly | JPHQ | 6/25/26 | 170453 | EUR | (18595) |
|  Siemens Healthineers AG | Euro STR - 0.30% | Monthly | JPHQ | 8/21/30 | 36075 | EUR | (2161) |
|  Sigma Health Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 85561 | AUD | (170) |
|  Sika | 1-Day SARON - 0.35% | Monthly | JPHQ | 11/08/25 | 180877 | CHF | 3004 |
|  Silergy Corp. | 1-Day FEDEF - 4.25% | Monthly | MSCO | 6/24/26 | 98634 |  | 17939 |
|  Silicon2 | 1-Day FEDEF - 6.50% | Monthly | MSCO | 6/24/26 | 70250 |  | 16034 |
|  Siltronic AG | Euro STR - 1.05% | Monthly | JPHQ | 5/13/26 | 159616 | EUR | 8738 |
|  Singapore Post | 1-Day SORA - 2.50% | Monthly | MSCO | 6/22/26 | 307809 | SGD | 53412 |
|  Singapore Telecommunications | 1-Day SORA - 0.40% | Monthly | MSCO | 6/25/26 | 123107 | SGD | (12187) |
|  Sinko Industries Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 10269019 | JPY | (2315) |
|  Sino Land Co. | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 1450327 | HKD | (19124) |
|  Sinopec Kantons Hldgs | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 879705 | HKD | 7072 |
|  Sitc International | 1-Day HONIA - 0.40% | Monthly | GSCO | 7/31/26 | 232087 | HKD | (3458) |
|  Siteminder Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 53940 | AUD | (18954) |
|  SK Bioscience Co. Ltd. | 1-Day FEDEF - 0.875% | Monthly | MSCO | 6/24/26 | 56725 |  | 4242 |
|  Sk Eternix | 1-Day FEDEF - 10.25% | Monthly | MSCO | 6/24/26 | 48722 |  | 11549 |
|  Sk Ie Technology | 1-Day FEDEF - 4.75% | Monthly | MSCO | 6/24/26 | 129478 |  | 3466 |
|  SK Innovation | 1-Day FEDEF - 2.75% | Monthly | MSCO | 6/24/26 | 69769 |  | 1952 |
|  SK REIT | 1-Day FEDEF - 3.75% | Monthly | MSCO | 6/24/26 | 14883 |  | (940) |
|  SKBP | 1-Day FEDEF - 0.875% | Monthly | MSCO | 6/24/26 | 64245 |  | (2614) |
|  SKC | 1-Day FEDEF - 28.75% | Monthly | MSCO | 6/24/26 | 161000 |  | 23812 |
|  Skchem | 1-Day FEDEF - 1.625% | Monthly | MSCO | 6/24/26 | 142138 |  | 23420 |
|  SkiStar AB | 1-Week STIBOR - 0.73% | Monthly | SEBA | 7/15/29 | 644344 | SEK | (1029) |
|  Skoceanplant | 1-Day FEDEF - 7.75% | Monthly | MSCO | 6/24/26 | 51638 |  | (4506) |
|  Skycity Entertainment Group | 1-Day NZOCR - 0.40% | Monthly | MSCO | 6/24/26 | 92592 | NZD | 14159 |
|  Skyworth Group Ltd. | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 159557 | HKD | (2484) |
|  SM Investments Corporation | 1-Day FEDEF - 2.50% | Monthly | MSCO | 6/23/26 | 3115 |  | 276 |
|  Sm Prime Holdings Inc. | 1-Day FEDEF - 2.50% | Monthly | MSCO | 6/23/26 | 82633 |  | (3421) |
|  Smc Corp. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 14902965 | JPY | 8323 |
|  Smoore Intl Hdgs Ltd. | 1-Day HONIA - 1.75% | Monthly | GSCO | 6/25/26 | 700615 | HKD | (2300) |
|  Smurfit Westrock PLC | 1-Day FEDEF | Monthly | MSCO | 2/24/26 | 170081 | GBP | (10365) |
|  Snam SpA | Euro STR - 0.30% | Monthly | JPHQ | 7/17/30 | 247447 | EUR | (35208) |
|  Snt Dynamics | 1-Day FEDEF - 7.125% | Monthly | MSCO | 6/24/26 | 69380 |  | (9619) |
|  Sodexo | 1-Day EONIA - 0.30% | Monthly | MSCS | 11/27/25 | 135678 | EUR | 10031 |
|  Softbank Group Corp. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 8721065 | JPY | (40053) |
|  S-Oil | 1-Day FEDEF - 2.125% | Monthly | MSCO | 6/24/26 | 106374 |  | (1400) |
|  Solaria Energia y Medio Ambiente SA | 1-Day EONIA - 0.35% | Monthly | MSCS | 7/17/30 | 116022 | EUR | (94759) |
|  Solasia Pharma | 1-Day TONAR - 5.50% | Monthly | GSCO | 6/24/26 | 5556737 | JPY | (3901) |
|  SolGold PLC | 1-Day SONIA - 0.56% | Monthly | MSCS | 7/17/26 | 69854 | GBP | (65553) |
|  Solum | 1-Day FEDEF - 5.625% | Monthly | MSCO | 6/24/26 | 64077 |  | (3317) |
|  Solus Advanced Materials | 1-Day FEDEF - 6.622% | Monthly | MSCO | 6/24/26 | 87569 |  | 12429 |
|  Somero Enterprises | 1-Day SONIA - 1.25% | Monthly | MSCO | 12/01/25 | 38618 | GBP | 5899 |
|  Sonova Holding AG | 1-Day SARON - 0.35% | Monthly | JPHQ | 8/08/30 | 65460 | CHF | 7289 |
|  Soul WH Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 151408 | AUD | (6575) |
|  Sparebank 1 Oestlandet | 1-Week NIBOR - 0.28% | Monthly | SEBA | 12/23/25 | 1364990 | NOK | (12999) |
|  SpareBank 1 SMN | 1-Week NIBOR - 1.50% | Monthly | SEBA | 10/23/25 | 3742758 | NOK | (29383) |
|  SpareBank 1 SR Bank ASA | 1-Week NIBOR - 0.28% | Monthly | SEBA | 7/22/30 | 3329107 | NOK | (13462) |
|  Sparebanken Vest | 1-Week NIBOR - 0.275% | Monthly | SEBA | 3/24/26 | 941693 | NOK | (16355) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment**<br> **Frequency** | **Counter-<br>party** | **Maturity**<br> **Date** | **Notional**<br> **Value<sup>\*</sup>** | | **Value/Unrealized**<br> **Appreciation**<br> **(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts – Short<sup>d</sup> (continued)** |  |  |  |  |  |  |  |
|  Spiderplus & Co. | 1-Day TONAR - 4.75% | Monthly | GSCO | 6/24/26 | 8205645 | JPY | $5755 |
|  Spirax-Sarco Engineering PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 11/27/25 | 208664 | GBP | 30552 |
|  Square Enix Holdings Co. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 6385750 | JPY | 2074 |
|  SSE PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 11/27/28 | 110509 | GBP | 4534 |
|  SSY Group Limited | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 696955 | HKD | (2164) |
|  St Barbara Fpo | 1-Day RBACR - 0.675% | Monthly | MSCO | 6/24/26 | 114418 | AUD | (14051) |
|  Standard Bank Group Ltd. | 1-Day SABOR - 0.50% | Monthly | MSCO | 6/29/26 | 1492076 | ZAR | (7303) |
|  Star Asia Investoment Corp. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/23/26 | 19100756 | JPY | (13251) |
|  Starlux Airlines Co Ltd. | 1-Day FEDEF - 6.375% | Monthly | MSCO | 6/24/26 | 100288 |  | 7079 |
|  Starts Proceed Investment | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 11579610 | JPY | (9001) |
|  Steadfast Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 198953 | AUD | (1347) |
|  Stellantis | Euro STR - 0.30% | Monthly | JPHQ | 5/08/26 | 111844 | EUR | 9242 |
|  Storskogen Group AB | 1-Week STIBOR - 0.75% | Monthly | SEBA | 7/17/30 | 2545254 | SEK | 83408 |
|  STOXX Europe 600 Utilities Index | 1-Day EONIA - 0.45% | Monthly | MSCS | 9/13/25 | 677813 | EUR | 17693 |
|  STOXX Europe 600 Utilities Index | 1-Day EONIA - 0.45% | Monthly | MSCS | 3/25/35 | 458806 | EUR | 5137 |
|  Straumann Group | 1-Day SARON - 0.35% | Monthly | JPHQ | 10/18/25 | 93881 | CHF | 2525 |
|  Strike Energy Fpo | 1-Day RBACR - 3.625% | Monthly | MSCO | 6/24/26 | 94755 | AUD | 10932 |
|  STX Engine | 1-Day FEDEF - 17.00% | Monthly | MSCO | 6/24/26 | 26893 |  | (22861) |
|  Sudzucker AG | Euro STR - 0.30% | Monthly | JPHQ | 8/19/30 | 93657 | EUR | 8629 |
|  Sumber Alfaria Trijaya Tb | 1-Day FEDEF - 4.00% | Monthly | MSCO | 6/24/26 | 94606 |  | 7034 |
|  Sumco Corporation | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 15611648 | JPY | (15884) |
|  Sumitomo Metal Mining Co. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 9745194 | JPY | (13311) |
|  Sun Yad Construction Co. | 1-Day FEDEF - 16.75% | Monthly | MSCO | 6/24/26 | 110833 |  | 6501 |
|  Sungeel Hitech | 1-Day FEDEF - 17.00% | Monthly | MSCO | 6/24/26 | 33779 |  | (1187) |
|  Sunrise | 1-Day SARON - 0.35% | Monthly | JPHQ | 5/08/26 | 79405 | CHF | (10316) |
|  Sunshine Lake Pharma Co. | HIBOR - 1.75% | Monthly | GSCO | 7/06/26 | 192546 | HKD | 2022 |
|  Supalai Public Co. | 1-Day FEDEF - 4.75% | Monthly | MSCO | 8/21/26 | 9742 |  | 249 |
|  Super Hi International | 1-Day HONIA - 6.25% | Monthly | GSCO | 7/20/26 | 401224 | HKD | 2936 |
|  Supermarket Income REIT | 1-Day SONIA - 0.28% | Monthly | MSCS | 9/16/25 | 105515 | GBP | (9649) |
|  Surgical Science Sweden AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 8/01/30 | 1154404 | SEK | 28687 |
|  Svenska Cellulosa AB | 1-Week STIBOR - 0.28% | Monthly | SEBA | 7/17/30 | 2224451 | SEK | 13095 |
|  Svenska Handelsbanken | 1-Week STIBOR - 0.275% | Monthly | SEBA | 5/08/30 | 1113389 | SEK | 593 |
|  Swedencare AB | 1-Week STIBOR - 0.28% | Monthly | SEBA | 7/13/26 | 527184 | SEK | 1563 |
|  Swisscom AG | 1-Day SARON - 0.35% | Monthly | JPHQ | 2/03/26 | 229476 | CHF | (38313) |
|  Sword Group SE | 1-Day EONIA - 4.00% | Monthly | MSCS | 7/17/29 | 18616 | EUR | 684 |
|  Syarikat Takaful Malaysia | 1-Day FEDEF - 3.125% | Monthly | MSCO | 6/25/26 | 46765 |  | 4910 |
|  Sydbank AS | 1-Week CIBOR - 0.275% | Monthly | SEBA | 5/27/26 | 731618 | DKK | (6772) |
|  Syensqo | Euro STR - 0.30% | Monthly | JPHQ | 5/08/26 | 175750 | EUR | (25716) |
|  Ta Ya Electronic Wire & Co. | 1-Day FEDEF - 9.25% | Monthly | MSCO | 6/24/26 | 32099 |  | (3241) |
|  Tadano Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 8/03/26 | 3457654 | JPY | 1455 |
|  TAG Immobilien AG | Euro STR - 0.30% | Monthly | JPHQ | 8/16/30 | 183327 | EUR | (16846) |
|  Taihan Elecwire | 1-Day FEDEF - 5.50% | Monthly | MSCO | 6/24/26 | 81663 |  | 9251 |
|  Taihei Dengyo Kaisha | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 10662271 | JPY | (9028) |
|  Taimed Biologics Inc. | 1-Day FEDEF - 4.25% | Monthly | MSCO | 7/07/26 | 43856 |  | 3698 |
|  Taiwan High Speed Rail Co. | 1-Day FEDEF - 0.75% | Monthly | MSCO | 6/24/26 | 210473 |  | 15168 |
|  Taiwan Mobile Co. | 1-Day FEDEF - 0.75% | Monthly | MSCO | 6/24/26 | 98903 |  | 8459 |
|  Taiwan Styrene Monomer | 1-Day FEDEF - 4.25% | Monthly | MSCO | 6/24/26 | 27525 |  | (1055) |
|  Taiwan-Asia Semiconductor | 1-Day FEDEF - 8.75% | Monthly | MSCO | 6/24/26 | 65358 |  | (4575) |
|  Takara Bio Inc. | 1-Day TONAR - 0.35% | Monthly | GSCO | 8/24/26 | 965583 | JPY | 379 |
|  Takara Leben Real Estate | 1-Day TONAR - 0.35% | Monthly | GSCO | 8/24/26 | 2860277 | JPY | (358) |
|  Tamburi | Euro STR - 0.30% | Monthly | JPHQ | 7/17/26 | 25724 | EUR | (6355) |
|  Tate & Lyle PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 7/17/30 | 120288 | GBP | 1138 |
|  Tatung Co Ltd. | 1-Day FEDEF - 3.375% | Monthly | MSCO | 7/14/26 | 74190 |  | (2572) |
|  Taylor Wimpey Plc Ord | 1-Day SONIA - 0.275% | Monthly | MSCO | 8/19/26 | 113277 | GBP | 6032 |
|  Tbs Holdings Inc. | 1-Day TONAR - 0.35% | Monthly | GSCO | 7/10/26 | 8255940 | JPY | (6494) |
|  Technoprobe | Euro STR - 0.30% | Monthly | JPHQ | 10/16/25 | 83806 | EUR | (33111) |
|  Telkom Indonesia | 1-Day FEDEF - 4.00% | Monthly | MSCO | 6/26/26 | 89693 |  | (12710) |
|  Tenaris | Euro STR - 0.30% | Monthly | JPHQ | 6/19/26 | 39726 | EUR | 1320 |
|  Terna SpA | Euro STR - 0.30% | Monthly | JPHQ | 11/27/25 | 146656 | EUR | (16712) |
|  Tess Holdings Co Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 13044397 | JPY | (14447) |
|  Teyi Pharmaceutical | 1-Day FEDEF - 8.85% | Monthly | MSCO | 6/29/26 | 232 |  | (21) |
|  TGS ASA | 1-Week NIBOR - 1.50% | Monthly | SEBA | 4/16/26 | 1008606 | NOK | 10383 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment**<br> **Frequency** | **Counter-<br>party** | **Maturity**<br> **Date** | **Notional**<br> **Value<sup>\*</sup>** | | **Value/Unrealized**<br> **Appreciation**<br> **(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts – Short<sup>d</sup> (continued)** |  |  |  |  |  |  |  |
|  Thai Beverage | 1-Day SORA - 0.40% | Monthly | MSCO | 6/25/26 | 138215 | SGD | $336 |
|  Theon International Plc | Euro STR - 5.30% | Monthly | JPHQ | 6/19/26 | 145670 | EUR | 26077 |
|  Thomson Medical | 1-Day SORA - 6.75% | Monthly | MSCO | 6/25/26 | 12327 | SGD | (4017) |
|  Thule Group AB | 1-Week STIBOR - 0.28% | Monthly | SEBA | 7/17/30 | 297091 | SEK | 1080 |
|  ThyssenKrupp Nucera AG | Euro STR - 0.34% | Monthly | JPHQ | 3/28/26 | 131832 | EUR | (25939) |
|  Tiangong International Co. | 1-Day HONIA - 1.25% | Monthly | GSCO | 6/25/26 | 421344 | HKD | (13732) |
|  Tianli International Hold | 1-Day HONIA - 1.03% | Monthly | GSCO | 6/25/26 | 528977 | HKD | 8149 |
|  Tietoevry Corp. | Euro STR - 0.275% | Monthly | SEBA | 3/04/26 | 58278 | EUR | 1627 |
|  Tikehau Capital SCA | 1-Day EONIA - 4.00% | Monthly | MSCS | 7/17/26 | 98737 | EUR | 2258 |
|  Tinexta SpA | Euro STR - 0.30% | Monthly | JPHQ | 7/17/30 | 132597 | EUR | (140845) |
|  TKP Corporation | 1-Day TONAR - 2.31% | Monthly | GSCO | 6/24/26 | 14079801 | JPY | (9341) |
|  Tmbthanachart Bank Pcl | 1-Day FEDEF - 2.50% | Monthly | MSCO | 7/22/26 | 32711 |  | 156 |
|  TOC Co Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 7/13/26 | 3887307 | JPY | (2708) |
|  Toda Corp. | 1-Day TONAR - 0.35% | Monthly | GSCO | 7/13/26 | 8288482 | JPY | (4358) |
|  Toho Titanium Co. | 1-Day TONAR - 1.25% | Monthly | GSCO | 6/24/26 | 6922848 | JPY | (17560) |
|  Tokmanni Group | Euro STR - 0.275% | Monthly | SEBA | 8/27/30 | 24925 | EUR | (73) |
|  Tokyo Keiki Inc. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 9660824 | JPY | (1103) |
|  Tokyo Metro Co Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 5578746 | JPY | (459) |
|  Tokyo Tatemono Co. | 1-Day TONAR - 0.35% | Monthly | GSCO | 7/06/26 | 6553420 | JPY | (4774) |
|  Tomra Systems ASA | 1-Week NIBOR - 0.28% | Monthly | SEBA | 1/08/26 | 741969 | NOK | 375 |
|  Tosei Reit Investment Corp. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 12952258 | JPY | (6956) |
|  TotalEnergies | 1-Day EONIA - 0.275% | Monthly | MSCO | 3/04/26 | 151655 | EUR | 5835 |
|  Toyo Gosei Co Ltd. | 1-Day TONAR - 4.50% | Monthly | GSCO | 6/24/26 | 14005489 | JPY | (10051) |
|  Toyo Suisan Kaisha | 1-Day TONAR - 0.35% | Monthly | GSCO | 8/31/26 | 2083778 | JPY | 319 |
|  Toyota Motor Corp. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 12729271 | JPY | (13085) |
|  TPG Limited Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 33006 | AUD | 300 |
|  Transaction Capital Ltd. | 1-Day SABOR - 0.50% | Monthly | MSCS | 7/17/26 | 490078 | ZAR | 15448 |
|  Transaction Co Ltd. | 1-Day TONAR - 1.00% | Monthly | GSCO | 6/24/26 | 15144506 | JPY | (6450) |
|  Transurban Stapled | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/19/26 | 192411 | AUD | (3882) |
|  Traton SE | Euro STR - 0.80% | Monthly | JPHQ | 7/17/30 | 103481 | EUR | (3939) |
|  Trav FPO | 1-Day RBACR - 0.788% | Monthly | MSCO | 7/28/26 | 77073 | AUD | (1293) |
|  Tri Chemical Laboratories | 1-Day TONAR - 0.35% | Monthly | GSCO | 8/24/26 | 4212412 | JPY | (262) |
|  Trigano | 1-Day EONIA - 0.30% | Monthly | MSCS | 8/09/30 | 115010 | EUR | (23100) |
|  Tritax Big Box | 1-Day SONIA - 0.275% | Monthly | MSCO | 4/24/26 | 152997 | GBP | 1038 |
|  Troax Group AB | 1-Week STIBOR - 0.28% | Monthly | SEBA | 8/02/30 | 1071142 | SEK | 23865 |
|  Trustpilot Group PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 7/17/30 | 64153 | GBP | 10211 |
|  Tryg A/S | 1-Week CIBOR - 0.28% | Monthly | SEBA | 7/13/26 | 2438166 | DKK | (15946) |
|  Tuas Ltd Fpo | 1-Day RBACR - 0.875% | Monthly | MSCO | 6/24/26 | 62108 | AUD | (13081) |
|  Tubacex SA | 1-Day EONIA - 1.63% | Monthly | MSCS | 7/17/30 | 82595 | EUR | (14093) |
|  UBE Corporation | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 10887827 | JPY | (3917) |
|  UCB | Euro STR - 0.30% | Monthly | JPHQ | 11/21/25 | 6835 | EUR | (1819) |
|  Uchi Technologies Bhd | 1-Day FEDEF - 7.625% | Monthly | MSCO | 6/25/26 | 7363 |  | (382) |
|  U-Ming Marine Transport | 1-Day FEDEF - 3.00% | Monthly | MSCO | 8/25/26 | 59427 |  | 505 |
|  Unicharm Corp. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 15916987 | JPY | 7739 |
|  Unilever | 1-Day SONIA - 0.30% | Monthly | MSCS | 10/16/25 | 45241 | GBP | (1417) |
|  Unimicron Technology | 1-Day FEDEF - 2.125% | Monthly | MSCO | 6/24/26 | 82542 |  | (16662) |
|  UNIQA Insurance Group AG | Euro STR - 0.30% | Monthly | JPHQ | 3/18/26 | 106836 | EUR | (48769) |
|  Unite Group PLC (The) | 1-Day SONIA - 0.30% | Monthly | MSCS | 7/05/26 | 203498 | GBP | 59833 |
|  United Internet AG | Euro STR - 0.30% | Monthly | JPHQ | 3/20/26 | 212242 | EUR | (140341) |
|  United Super Markets Hldg | 1-Day TONAR - 1.00% | Monthly | GSCO | 7/06/26 | 10946499 | JPY | (4567) |
|  Universal Microwave Technologies | 1-Day FEDEF - 7.625% | Monthly | MSCO | 8/10/26 | 34510 |  | (4406) |
|  Universal Music Group | Euro STR - 0.30% | Monthly | JPHQ | 9/05/30 | 41964 | EUR | 2029 |
|  USI Corporation | 1-Day FEDEF - 2.50% | Monthly | MSCO | 6/24/26 | 15892 |  | (859) |
|  Vaisala Corporation | Euro STR - 0.275% | Monthly | SEBA | 6/24/26 | 49976 | EUR | 3126 |
|  Valneva SE | 1-Day EONIA - 4.50% | Monthly | MSCS | 5/16/26 | 44899 | EUR | (5971) |
|  Valqua Ltd | TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 18649998 | JPY | (32462) |
|  Vastned Nv | Euro STR - 0.30% | Monthly | JPHQ | 8/18/26 | 10339 | EUR | 131 |
|  VAT Group AG | 1-Day SARON - 0.35% | Monthly | JPHQ | 4/22/26 | 208886 | CHF | (652) |
|  Vats Liquor Chain | 1-Day FEDEF - 9.95% | Monthly | MSCO | 6/24/26 | 7171 |  | (15) |
|  Vbg Group Ab Ser B | 1-Week STIBOR - 0.275% | Monthly | SEBA | 6/03/26 | 670788 | SEK | (6987) |
|  VERBIO Vereinigte BioEnergie AG | Euro STR - 1.00% | Monthly | JPHQ | 7/01/27 | 56323 | EUR | (17175) |
|  Verbund Ag Kat A | Euro STR - 0.30% | Monthly | JPHQ | 6/17/26 | 270225 | EUR | 24721 |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment**<br> **Frequency** | **Counter-<br>party** | **Maturity**<br> **Date** | **Notional**<br> **Value<sup>\*</sup>** | | **Value/Unrealized**<br> **Appreciation**<br> **(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts – Short<sup>d</sup> (continued)** |  |  |  |  |  |  |  |
|  Vestel | 1-Day FEDEF - 7.63% | Monthly | MSCS | 9/09/30 | 39143 |  | $18183 |
|  VGP NV | Euro STR - 0.30% | Monthly | JPHQ | 7/17/30 | 91106 | EUR | (36612) |
|  Via Labs Inc. | 1-Day FEDEF - 6.875% | Monthly | MSCO | 6/24/26 | 55247 |  | 5634 |
|  Vimian Group | 1-Week STIBOR - 0.275% | Monthly | SEBA | 7/01/26 | 1152253 | SEK | 26956 |
|  Vinatech | 1-Day FEDEF - 15.00% | Monthly | MSCO | 6/24/26 | 20758 |  | (8571) |
|  Vinci | 1-Day EONIA - 0.30% | Monthly | MSCS | 11/27/25 | 135615 | EUR | (12506) |
|  Virbac | 1-Day EONIA - 0.30% | Monthly | MSCS | 4/01/26 | 95746 | EUR | (9028) |
|  Viscofan SA | 1-Day EONIA - 0.35% | Monthly | MSCS | 8/05/30 | 56348 | EUR | (25901) |
|  Vistry Group PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 6/03/26 | 56236 | GBP | (2799) |
|  Vital Healthcare Property | 1-Day NZOCR - 0.788% | Monthly | MSCO | 6/24/26 | 99372 | NZD | (4480) |
|  Vitec Software Group AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 5/22/26 | 2140395 | SEK | 72879 |
|  Vitrolife AB | 1-Week STIBOR - 0.28% | Monthly | SEBA | 7/17/28 | 547766 | SEK | 23 |
|  Vitrox Corporation Bhd | 1-Day FEDEF - 7.125% | Monthly | MSCO | 6/25/26 | 50838 |  | (7087) |
|  Viva Energy Grp Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 107804 | AUD | (2049) |
|  VNV Global AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 2/17/26 | 184405 | SEK | (7263) |
|  Volati AB | 1-Week STIBOR - 0.275% | Monthly | SEBA | 12/06/25 | 338195 | SEK | 1988 |
|  Voltalia SA | 1-Day EONIA - 0.30% | Monthly | MSCS | 7/17/30 | 115118 | EUR | 21425 |
|  Volvo Group (The) | 1-Week STIBOR - 0.28% | Monthly | SEBA | 11/27/28 | 834026 | SEK | 1218 |
|  Vonovia SE | Euro STR - 0.30% | Monthly | JPHQ | 7/17/26 | 70315 | EUR | (12332) |
|  Vossloh Ag | Euro STR - 0.30% | Monthly | JPHQ | 8/18/26 | 36498 | EUR | 1735 |
|  VT | 1-Day FEDEF - 18.00% | Monthly | MSCO | 6/24/26 | 71865 |  | (1715) |
|  Wa1 Resources Fpo | 1-Day RBACR - 5.25% | Monthly | MSCO | 6/24/26 | 121860 | AUD | (15209) |
|  Wacker Chemie AG | Euro STR - 0.30% | Monthly | JPHQ | 3/20/26 | 190852 | EUR | (6630) |
|  Wallenstam AB Series B | 1-Week STIBOR - 0.275% | Monthly | SEBA | 7/17/30 | 1151001 | SEK | (2383) |
|  Warehouses De Pauw | Euro STR - 0.30% | Monthly | JPHQ | 1/05/26 | 86533 | EUR | (1551) |
|  Warpaint London Plc Ord G | 1-Day SONIA - 3.247% | Monthly | MSCO | 7/29/26 | 11247 | GBP | 1263 |
|  Warteck | 1-Day SARON - 6.50% | Monthly | JPHQ | 2/03/26 | 40425 | CHF | (1188) |
|  Watches of Switzerland | 1-Day SONIA - 0.275% | Monthly | MSCO | 2/16/26 | 146133 | GBP | 50524 |
|  Wavestone | 1-Day EONIA - 0.30% | Monthly | MSCS | 7/18/30 | 73677 | EUR | (1442) |
|  WeBuyCars Pty Ltd. | 1-Day SABOR - 2.75% | Monthly | MSCO | 7/17/30 | 1960232 | ZAR | (1864) |
|  Webzen Co. | 1-Day FEDEF - 3.625% | Monthly | MSCO | 8/26/26 | 5994 |  | 45 |
|  Weir Group PLC | 1-Day SONIA - 0.76% | Monthly | MSCS | 2/19/29 | 95684 | GBP | 151 |
|  Wemade | 1-Day FEDEF - 4.25% | Monthly | MSCO | 6/24/26 | 78422 |  | 16702 |
|  Wendel Group | 1-Day EONIA - 0.30% | Monthly | MSCS | 5/27/26 | 268107 | EUR | 3711 |
|  West China Cement Ltd. | 1-Day HONIA - 2.75% | Monthly | GSCO | 6/25/26 | 349857 | HKD | (37717) |
|  West Holdings Corp. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 12074406 | JPY | (4977) |
|  Western Midstream | 1-Day SONIA - 0.275% | Monthly | BZWS | 8/10/31 | 417428 |  | (5897) |
|  Westpac Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 154031 | AUD | (11783) |
|  WH Smith PLC | 1-Day SONIA - 0.275% | Monthly | MSCO | 7/17/30 | 16601 | GBP | 9334 |
|  Wharf | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 1092664 | HKD | 3209 |
|  Whitbread PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 4/14/26 | 225610 | GBP | (15253) |
|  Wienerberger AG | Euro STR - 0.30% | Monthly | JPHQ | 8/26/30 | 263463 | EUR | (37453) |
|  Wise PLC Class A ORD | 1-Day SONIA - 0.275% | Monthly | MSCO | 2/24/26 | 144814 | GBP | (19942) |
|  WithSecure Corp. | Euro STR - 0.275% | Monthly | SEBA | 4/22/26 | 32883 | EUR | (30493) |
|  Wizz Air Holdings PLC | 1-Day SONIA - 0.30% | Monthly | MSCS | 12/19/25 | 101165 | GBP | 7930 |
|  Woolworths Holdings Ltd. | 1-Day SABOR - 0.50% | Monthly | MSCO | 9/15/25 | 4821102 | ZAR | 32843 |
|  Workman Co Ltd. | 1-Day TONAR - 1.00% | Monthly | GSCO | 6/24/26 | 9543282 | JPY | 6907 |
|  Wuxi Rural Commercial | 1-Day FEDEF - 12.194% | Monthly | MSCO | 6/24/26 | 40131 |  | 1695 |
|  Xinyi Glass Hldgs | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 790711 | HKD | (17077) |
|  XP Power Ltd. | 1-Day SONIA - 0.30% | Monthly | MSCS | 8/30/30 | 5711 | GBP | (182) |
|  Xpeng Inc. | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 871762 | HKD | (10845) |
|  XTB | 1-Day FEDEF - 0.50% | Monthly | MSCO | 6/30/26 | 238962 |  | (48451) |
|  Xvivo Perfusion AB | 1-Week STIBOR - 0.28% | Monthly | SEBA | 7/17/26 | 991983 | SEK | 44683 |
|  Yadea Group Holdings Ltd. | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 1203523 | HKD | (8733) |
|  Yamaha Motor Co. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 7589151 | JPY | 653 |
|  Yamato Holdings Co Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 7/15/26 | 7934998 | JPY | (15585) |
|  Yankuang Energy Group | 1-Day FEDEF - 13.35% | Monthly | MSCO | 6/26/26 | 4239 |  | (318) |
|  Yankuang Energy Group | 1-Day HONIA - 1.00% | Monthly | GSCO | 8/27/26 | 248487 | HKD | 1692 |
|  Yaskawa Electric Corp. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 10597280 | JPY | 4925 |
|  YC Inox Co Ltd. | 1-Day FEDEF - 2.00% | Monthly | MSCO | 7/02/26 | 26947 |  | 3609 |
|  Yidu Tech Inc. | 1-Day HONIA - 8.00% | Monthly | GSCO | 6/25/26 | 50715 | HKD | 107 |
|  Yihai International Holdings | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 859499 | HKD | (1401) |

---

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

**Total Return Swap Contracts (continued)** 

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Underlying Instrument** | **Financing Rate** | **Payment**<br> **Frequency** | **Counter-<br>party** | **Maturity**<br> **Date** | **Notional**<br> **Value<sup>\*</sup>** | | **Value/Unrealized**<br> **Appreciation**<br> **(Depreciation)** |
|  **OTC Swap Contracts (continued)** |  |  |  |  |  |  |  |
|  **Equity Contracts – Short<sup>d</sup> (continued)** |  |  |  |  |  |  |  |
|  YIT Corp. | Euro STR - 0.275% | Monthly | SEBA | 11/08/25 | 82567 | EUR | $(40414) |
|  Yokogawa Bridge Holdings | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 24750968 | JPY | (15071) |
|  Yokohama REIT Co Ltd. | 1-Day TONAR - 0.35% | Monthly | GSCO | 6/24/26 | 12850033 | JPY | (31505) |
|  Yondoshi Holdings Inc. | 1-Day TONAR - 0.35% | Monthly | GSCO | 8/24/26 | 5234595 | JPY | (158) |
|  Yoshinoya Holdings Co Ltd. | 1-Day TONAR - 1.00% | Monthly | GSCO | 6/24/26 | 26868966 | JPY | (3795) |
|  Young & Co's Brewery | 1-Day SONIA - 2.50% | Monthly | MSCO | 6/23/26 | 80621 | GBP | 8350 |
|  Ypsomed Holding AG | 1-Day SARON - 0.35% | Monthly | JPHQ | 7/17/26 | 134090 | CHF | (33306) |
|  Yubico AB | 1-Week STIBOR - 1.25% | Monthly | SEBA | 4/03/26 | 833507 | SEK | 23336 |
|  Yuhan | 1-Day FEDEF - 0.75% | Monthly | MSCO | 6/24/26 | 60544 |  | (3536) |
|  Yulon Finance Corporation | 1-Day FEDEF - 3.081% | Monthly | MSCO | 8/19/26 | 26771 |  | 312 |
|  Yutori Inc. | 1-Day TONAR - 7.75% | Monthly | GSCO | 8/24/26 | 2060319 | JPY | 238 |
|  Zai Lab Limited | 1-Day HONIA - 0.40% | Monthly | GSCO | 8/18/26 | 122860 | HKD | 973 |
|  Zhejiang Leapmotor Technologies | 1-Day HONIA - 0.40% | Monthly | GSCO | 6/25/26 | 197413 | HKD | (3719) |
|  Zhong Yang Technology Co. | 1-Day FEDEF - 10.625% | Monthly | MSCO | 6/24/26 | 33731 |  | 2165 |
|  Zhongan Online P & C | 1-Day HONIA - 8.50% | Monthly | GSCO | 6/25/26 | 403992 | HKD | 700 |
|  Zhongji Innolight | 1-Day FEDEF - 1.984% | Monthly | MSCO | 7/31/26 | 26212 |  | (18558) |
|  Zhongtai Securities | 1-Day FEDEF - 7.45% | Monthly | MSCO | 6/24/26 | 62885 |  | (8000) |
|  Zignago Vetro SpA | Euro STR - 0.30% | Monthly | JPHQ | 7/17/30 | 111967 | EUR | (3661) |
|  Zip Co Ltd Fpo | 1-Day RBACR - 0.40% | Monthly | MSCO | 6/24/26 | 127781 | AUD | (35818) |
|  Zozo Inc. | 1-Day TONAR - 0.35% | Monthly | GSCO | 7/17/26 | 7202168 | JPY | 4148 |
|  Zyxel Group Corporation | 1-Day FEDEF - 4.625% | Monthly | MSCO | 6/24/26 | 63628 |  | (11611) |
|  |  |  |  |  |  |  | <br> (9933809) |
|  **Interest Rate Contracts – Long<sup>a</sup>** |  |  |  |  |  |  |  |
|  Egyptian Treasury Bills | 1-Day FEDEF | Monthly | CITI | 12/09/25 | 1150460 |  | 78636 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total - Total Return Swap Contracts |  |  |  |  |  |  | $3493847 |

---

\*In U.S. dollars unless otherwise indicated.

<sup>a</sup>The Fund receives the total return on the underlying instrument and pays a variable financing rate.

<sup>b</sup>Notional value rounds to less than 1.

<sup>c</sup>Fair valued using significant unobservable input. See Note 7 regarding fair value investments.

<sup>d</sup>The Fund receives the variable financing rate and pays the total return on the underlying instrument.

------

FRANKLIN ALTERNATIVE STRATEGIES FUNDS

CONSOLIDATED SCHEDULE OF INVESTMENTS (UNAUDITED)

**K2 Alternative Strategies Fund** (continued)

**Abbreviations** 

---

| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| **Counterparty** | **Counterparty** | | **Currency** | | **Selected Portfolio** | **Selected Portfolio** |
| **BNPP** | BNP Paribas | BNP Paribas | **AUD** | Australian Dollar | **ADR** | American Depositary Receipt |
| **BNYM** | The Bank of New York Mellon Corp. | The Bank of New York Mellon Corp. | **BRL** | Brazilian Real | **ASX** | Australian Securities Exchange |
| **BZWS** | Barclays Bank PLC | Barclays Bank PLC | **CAD** | Canadian Dollar | **BOBL** | Bundesobligation |
| **CITI** | Citigroup, NA | Citigroup, NA | **CHF** | Swiss Franc | **BRLCDI** | Brazil Cetip Di Interbank Deposit Rate |
| **DBAB** | Deutsche Bank, AG | Deutsche Bank, AG | **COP** | Colombian Peso | **BUBOR** | Budapest Interbank Offered Rate |
| **GSCO** | Goldman Sachs International | Goldman Sachs International | **CZK** | Czech Koruna | **CAC** | Cotation Assistee en Continu |
| **HSBC** | HSBC Bank PLC | HSBC Bank PLC | **DKK** | Danish Krone | **CBOE** | Chicago Board Options Exchange |
| **JPHQ** | JP Morgan Chase Bank, NA | JP Morgan Chase Bank, NA | **DOP** | Dominican Peso | **CIBOR** | Copenhagen Interbank Offered Rate |
| **MSCO** | Morgan Stanley & Co. LLC | Morgan Stanley & Co. LLC | **EGP** | Egyptian Pound | **CMT** | Constant Maturity Treasury Index |
| **MSCS** | Morgan Stanley Capital Services LLC | Morgan Stanley Capital Services LLC | **EUR** | Euro | **COIR** | Colombia Overnight Interbank Rate |
| **SEBA** | Skandinaviska Enskilda Banken AB | Skandinaviska Enskilda Banken AB | **GBP** | British Pound | **DAX** | Deutscher Aktienindex |
|  |  |  | **HKD** | Hong Kong Dollar | **DJIA** | Dow Jones Industrial Average |
|  |  |  | **HUF** | Hungarian Forint | **ECX** | European Climate Exchange |
|  |  |  | **IDR** | Indonesian Rupiah | **EONIA** | Euro OverNight Index Average |
|  |  |  | **JPY** | Japanese Yen | **ETF** | Exchange Traded Fund |
|  |  |  | **KRW** | South Korean Won | **EURIBOR** | Euro Interbank Offered Rate |
|  |  |  | **KZT** | Kazakhstani Tenge | **FEDEF** | Federal Funds Effective Rate |
|  |  |  | **MXN** | Mexican Peso | **FRN** | Floating Rate Note |
|  |  |  | **MYR** | Malaysian Ringgit | **FTSE** | Financial Times Stock Exchange |
|  |  |  | **NOK** | Norwegian Krone | **HIBOR** | Hong Kong Interbank Offered Rate |
|  |  |  | **NZD** | New Zealand Dollar | **HONIA** | Hong Kong Overnight Index Average |
|  |  |  | **PEN** | Peruvian Nuevo Sol | **IBEX** | Iberian Index |
|  |  |  | **PLN** | Polish Zloty | **ICE** | Intercontinental Exchange |
|  |  |  | **PYG** | Paraguay Guarani | **JIBAR** | Johannesburg Interbank Agreed Rate |
|  |  |  | **SEK** | Swedish Krona | **JSE** | Johannesburg Stock Exchange Index |
|  |  |  | **SGD** | Singapore Dollar | **KDR** | MSCI Korean Index |
|  |  |  | **TRY** | Turkish Lira | **KLIBOR** | Kuala Lumpur Interbank Offered Rate |
|  |  |  | **ZAR** | South African Rand | **KOSPI** | Korean Composite Stock Price Index |
| **Index** |  |  |  |  | **MIB** | Milano Italia Borsa |
| **CDX.EM** | **CDX.EM** | CDX Emerging Markets Index | CDX Emerging Markets Index |  | **MSCI** | Morgan Stanley Capital International |
| **CDX.NA.HY** | **CDX.NA.HY** | CDX North America High Yield Index | CDX North America High Yield Index |  | **NIBOR** | Norwegian Interbank Offered Rate |
| **CDX.NA.IG** | **CDX.NA.IG** | CDX North America Investment Grade Index | CDX North America Investment Grade Index |  | **NZOCR** | Reserve Bank of New Zealand Cash Rate |
| **ITRX.EUR** | **ITRX.EUR** | iTraxx Europe Index | iTraxx Europe Index |  | **OAT** | Obligation Assumable by the Treasurer |
| **ITRX.EUR.SNRFIN** | **ITRX.EUR.SNRFIN** | iTraxx Europe Senior Financials Index | iTraxx Europe Senior Financials Index |  | **PIK** | Payment In-Kind |
| **ITRX.EUR.XOVER** | **ITRX.EUR.XOVER** | iTraxx Europe Crossover Index | iTraxx Europe Crossover Index |  | **RBACR** | Reserve Bank of Australia's Cash Rate |
|  |  |  |  |  | **RC** | Revolving Loan Commitment |
|  |  |  |  |  | **REIT** | Real Estate Investment Trust |
| The following reference rates, and their values as of period end, are used for security description: | The following reference rates, and their values as of period end, are used for security description: | The following reference rates, and their values as of period end, are used for security description: | The following reference rates, and their values as of period end, are used for security description: | The following reference rates, and their values as of period end, are used for security description: | **SABOR** | South African Benchmark Overnight Rate |
|  |  |  |  |  | **SARON** | Swiss Average Rate Overnight |
| **Reference Index** | **Reference Index** | **Reference Rate** |  |  | **SOFR** | Secured Overnight Financing Rate |
| **1-Day EONIA** | **1-Day EONIA** | 1.920% |  |  | **SONIA** | Sterling Overnight Index Average |
| **1-Day FEDEF** | **1-Day FEDEF** | 4.330 |  |  | **SORA** | Singapore Overnight Rate Average |
| **1-Day HONIA** | **1-Day HONIA** | 3.296 |  |  | **SPDR** | Standard & Poor's Depositary Receipt |
| **1-Day NZOCR** | **1-Day NZOCR** | 3.000 |  |  | **SPI** | Swiss Performance Index |
| **1-Day RBACR** | **1-Day RBACR** | 3.850 |  |  | **STIBOR** | Stockholm Interbank Offered Rate |
| **1-Day SABOR** | **1-Day SABOR** | 7.004 |  |  | **STR** | Short Term Rate |
| **1-Day SARON** | **1-Day SARON** | -0.621 |  |  | **TLREF** | Turkish Lira Overnight Reference Rate |
| **1-Day SONIA** | **1-Day SONIA** | 3.967 |  |  | **TONAR** | Tokyo Overnight Average Rate |
| **1-Day SORA** | **1-Day SORA** | 1.040 |  |  | **TOPIX** | Tokyo Price Index |
| **1-Month EURIBOR** | **1-Month EURIBOR** | 1.859 |  |  | **TSX** | Toronto Stock Exchange |
| **1-Month SOFR** | **1-Month SOFR** | 4.273 |  |  | **WTI** | West Texas Intermediate |
| **1-Week CIBOR** | **1-Week CIBOR** | 1.810 |  |  |  |  |
| **1-Week NIBOR** | **1-Week NIBOR** | 4.260 |  |  |  |  |
| **1-Week STIBOR** | **1-Week STIBOR** | 2.016 |  |  |  |  |
| **3-Month EURIBOR** | **3-Month EURIBOR** | 2.061 |  |  |  |  |
| **3-Month JIBAR** | **3-Month JIBAR** | 7.017 |  |  |  |  |
| **3-Month KDR** | **3-Month KDR** | 0.683 |  |  |  |  |
| **3-Month SOFR** | **3-Month SOFR** | 4.171 |  |  |  |  |
| **6-Month BUBOR** | **6-Month BUBOR** | 6.470 |  |  |  |  |
| **Banxico Mexico 1 Month Rate** | **Banxico Mexico 1 Month Rate** | 7.750 |  |  |  |  |
| **BRLCDI** | **BRLCDI** | 14.900 |  |  |  |  |
| **COIR** | **COIR** | 8.727 |  |  |  |  |
| **Euro STR** | **Euro STR** | 1.920 |  |  |  |  |
| **HIBOR** | **HIBOR** | 3.297 |  |  |  |  |
| **KLIBOR** | **KLIBOR** | 3.000 |  |  |  |  |
| **SOFR** | **SOFR** | 4.340 |  |  |  |  |
| **TONAR** | **TONAR** | 0.477 |  |  |  |  |
| **TLREF** | **TLREF** | 42.721 |  |  |  |  |
| **US 5 Year CMT T-Note** | **US 5 Year CMT T-Note** | 3.680 |  |  |  |  |

---

------

**FRANKLIN ALTERNATIVE STRATEGIES FUNDS** 

Notes to Consolidated Schedule of Investments (unaudited)

**1. Organization** 

Franklin Alternative Strategies Funds (Trust) is registered under the Investment Company Act of 1940 (1940 Act) as an open-end management investment company, consisting of one fund, K2 Alternative Strategies Fund (Fund). The Fund follows the accounting and reporting guidance in Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services – Investment Companies (ASC 946) and applies the specialized accounting and reporting guidance in U.S. Generally Accepted Accounting Principles (U.S. GAAP), including, but not limited to, ASC 946.

**2. Financial Instrument Valuation** 

The Fund's investments in financial instruments are carried at fair value daily. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Fund calculates the net asset value (NAV) per share each business day as of 4 p.m. Eastern time or the regularly scheduled close of the New York Stock Exchange (NYSE), whichever is earlier. Under compliance policies and procedures approved by the Trust's Board of Trustees (the Board), the Board has designated the Fund's investment manager as the valuation designee and has responsibility for oversight of valuation. The investment manager is assisted by the Fund's administrator in performing this responsibility, including leading the cross-functional Valuation Committee (VC). The Fund may utilize independent pricing services, quotations from securities and financial instrument dealers, and other market sources to determine fair value.

Equity securities, exchange traded funds and derivative financial instruments listed on an exchange or on the NASDAQ National Market System are valued at the last quoted sale price or the official closing price of the day, respectively. Foreign equity securities are valued as of the close of trading on the foreign stock exchange on which the security is primarily traded or as of 4 p.m. Eastern time. The value is then converted into its U.S. dollar equivalent at the foreign exchange rate in effect at 4 p.m. Eastern time on the day that the value of the security is determined. Over-the-counter (OTC) securities are valued within the range of the most recent quoted bid and ask prices. Securities that trade in multiple markets or on multiple exchanges are valued according to the broadest and most representative market. Certain equity securities are valued based upon fundamental characteristics or relationships to similar securities.

Debt securities generally trade in the OTC market rather than on a securities exchange. The Fund's pricing services use multiple valuation techniques to determine fair value. In instances where sufficient market activity exists, the pricing services may utilize a market-based approach through which quotes from market makers are used to determine fair value. In instances where sufficient market activity may not exist or is limited, the pricing services also utilize proprietary valuation models which may consider market characteristics such as benchmark yield curves, credit spreads, estimated default rates, anticipated market interest rate volatility, coupon rates, anticipated timing of principal repayments, underlying collateral, and other unique security features in order to estimate the relevant cash flows, which are then discounted to calculate the fair value. Securities denominated in a foreign currency are converted into their U.S. dollar equivalent at the foreign exchange rate in effect at 4 p.m. Eastern time on the date that the values of the foreign debt securities are determined.

Investments in open-end mutual funds are valued at the closing NAV.

Certain derivative financial instruments are centrally cleared or trade in the OTC market. The Fund's pricing services use various techniques including industry standard option pricing models and proprietary discounted cash flow models to determine the fair value of those instruments. The Fund's net benefit or obligation under the derivative contract, as measured by the fair value of the contract, is included in net assets.

The Fund has procedures to determine the fair value of financial instruments for which market prices are not reliable or readily available. Under these procedures, the Fund primarily employs a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, and other relevant information for the investment to determine the fair value of the investment. An income-based valuation approach may also be used in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed.

Trading in securities on foreign securities stock exchanges and OTC markets may be completed before 4 p.m. Eastern time. In addition, trading in certain foreign markets may not take place on every Fund's business day. Events can occur between the time at which trading in a foreign security is completed and 4p.m. Eastern time that might call into question the reliability of the value of a portfolio security held by the Fund. As a result, differences may arise between the value of the Fund's portfolio securities as determined at the foreign market close and the latest indications of value at 4 p.m. Eastern time. In order to minimize the potential for these differences, an independent pricing service may be used to adjust the value of the Fund's portfolio securities to the latest indications of fair value at 4 p.m. Eastern time. At August 31, 2025, certain securities may have been fair valued using these procedures, in which case the securities were categorized as Level 2 within the fair value hierarchy (referred to as "market level fair value"). See the Fair Value Measurements note for more information.

When the last day of the reporting period is a non-business day, certain foreign markets may be open on those days that the Fund's NAV is not calculated, which could result in differences between the value of the Fund's portfolio securities on the last business day and the last calendar day of the reporting period. Any significant security valuation changes due to an open foreign market are adjusted and reflected by the Fund for financial reporting purposes.

------

**3. Restricted Securities** 

The Fund invests in securities that are restricted under the Securities Act of 1933 (1933 Act). Restricted securities are often purchased in private placement transactions, and cannot be sold without prior registration unless the sale is pursuant to an exemption under the 1933 Act. Disposal of these securities may require greater effort and expense, and prompt sale at an acceptable price may be difficult. The Fund may have registration rights for restricted securities. The issuer generally incurs all registration costs.

At August 31, 2025, investments in restricted securities, excluding securities exempt from registration under the 1933 Act, were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Principal<br>Amount** | **Issuer** | **Acquisition Date** | **Cost** | **Value** |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1093204 | Atlas Security Products, zero cpn., 2/08/28 | 10/01/24 | $945606 | $952658 |
|  &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Total Restricted Securities** (Value is 0.2% of Net Assets) | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**Total Restricted Securities** (Value is 0.2% of Net Assets) |  | $945606 | $952658 |

---

**4. Unfunded Loan Commitments** 

The Fund enters into certain credit agreements, all or a portion of which may be unfunded. The Fund is obligated to fund these loan commitments at the borrowers' discretion. Unfunded loan commitments and funded portions of credit agreements are marked to market daily. Funded portions of credit agreements are presented in the Consolidated Schedule of Investments.

At August 31, 2025, unfunded commitments were as follows:

---

| | |
|:---|:---|
| **Borrower** | **Unfunded<br>Commitment** |
|  CommScope Holding Co., Inc., Initial Term Loan | $308246 |
|  First Brands Group LLC, First Lien 2021 Term Loan | 988787 |
|  First Brands Group LLC, First Lien Term Loan | 342747 |
|  H-Food Holdings LLC, Initial Term Loan | 135464 |
|  Idera, Inc., Bank Debt Term Loan | 30761 |
| K. Hovnanian Enterprises Inc., Term Loan RC | 500000 |
|  LBM Acquisition LLC, Incremental Term Loan | 39126 |
|  Liberty Latin, Bank Debt Term Loan | 108276 |
|  Ligado Networks LLC, DIP New Money Loan | 5798 |
|  Multi-Color, Bank Debt Term Loan | 95884 |
|  Solera Holdings, Initial Term Loan | 29345 |
|  Upfield Group BV, Term Loan RC | 165849 |
|  | $&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2750283 |

---

**5. Investments in Affiliated Management Investment Companies** 

The Fund invests in one or more affiliated management investment companies. As defined in the 1940 Act, an investment is deemed to be a "Controlled Affiliate" of a fund when a fund owns, either directly or indirectly, 25% or more of the affiliated fund's outstanding shares or has the power to exercise control over management or policies of such fund. The Fund does not invest for purposes of exercising a controlling influence over the management or policies. During the period ended August 31, 2025, the Fund held investments in affiliated management investment companies as follows:

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Value at**<br> **Beginning**<br> **of Period** | **Purchases** | **Sales** | **Realized**<br> **Gain (Loss)** | **Net Change**<br> **in Unrealized**<br> **Appreciation**<br> **(Depreciation)** | **Value at**<br> **End of**<br> **Period** | **Number of**<br> **Shares**<br> **Held at End**<br> **of Period** | **Income**<br> **from**<br> **Securities**<br> **Loaned** |
|  **Non-Controlled Affiliates** |  |  |  |  |  |  |  |  |
|  Institutional Fiduciary Trust Money Market Portfolio, 4.25% | $2829000 | $10951000 | $(11022000) | $- | $- | $2758000 | 2758000 | $6623 |

---

**6. Investments in K2 Holdings Investment Corp. (K2 Subsidiary)** 

The Fund invests in certain financial instruments and commodity-linked derivative investments through its investment in the K2 Subsidiary. The K2 Subsidiary is a Cayman Islands exempted company with limited liability, is a wholly-owned subsidiary of the Fund, and is able to invest in certain financial instruments and commodity-linked derivative investments consistent with the investment objective of the Fund. At August 31, 2025, the K2 Subsidiary's investments, as well as any other assets and liabilities of the K2 Subsidiary, are reflected in the Fund's Consolidated Schedule of Investments. At August 31, 2025, the Fund's investments in the K2 Subsidiary were as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Fund Name** | **Subsidiary Name**<sup>a</sup> | **Consolidated**<br> **Net Assets** | **Subsidiary**<br> **Net Assets** | **% of Consolidated**<br> **Net Assets** |
|  K2 Alternative Strategies Fund | K2 Holdings Investment Corp. | $521864655 | $57212943 | 11.0% |

---

<sup>a</sup> The Fund's investments in the K2 Subsidiary is limited to 25% of consolidated assets. 

------

**7. Fair Value Measurements** 

The Fund follows a fair value hierarchy that distinguishes between market data obtained from independent sources (observable inputs) and the

Fund's own market assumptions (unobservable inputs). These inputs are used in determining the value of the Fund's financial instruments and are summarized in the following fair value hierarchy:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 1 – quoted prices in active markets for identical financial instruments

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 2 – other significant observable inputs (including quoted prices for similar financial instruments, interest
rates, prepayment speed, credit risk, etc.)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;• Level 3 – significant unobservable inputs (including the Fund's own assumptions in determining the fair value
of financial instruments)

The input levels are not necessarily an indication of the risk or liquidity associated with financial instruments at that level.

A summary of inputs used as of August 31, 2025, in valuing the Fund's assets and liabilities carried at fair value, is as follows:

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | **Level 1** | **Level 1** | **Level 2** | **Level 2** | **Level 3** | **Level 3** | **Total** | **Total** |
| &nbsp;&nbsp;&nbsp;&nbsp; **Assets:** |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Investments in Securities<sup>a</sup> |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Equity Investments<sup>b</sup> | $— | 100017360 | $— | 13023256 | $— | 50697 <sup>c</sup> | $— | 113091313 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Convertible Bonds |  |  |  | 71807222 |  |  |  | 71807222 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Convertible Bonds in Reorganization |  |  |  | 205360 |  | 4956 <sup>c</sup> |  | 210316 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Corporate Bonds and Notes |  |  |  | 19574489 |  | 952658 |  | 20527147 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Corporate Bonds and Notes in Reorganization |  |  |  | 711393 |  |  |  | 711393 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Senior Floating Rate Interests |  |  |  | 12478118 |  | 2155794 |  | 14633912 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Government and Agency Securities |  |  |  | 25081665 |  |  |  | 25081665 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Foreign Government and Agency Securities in Reorganization |  |  |  | 664208 |  |  |  | 664208 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Government and Agency Securities |  |  |  | 6045430 |  |  |  | 6045430 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Options Purchased |  | 305268 |  |  |  |  |  | 305268 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Short Term Investments |  | 170277460 |  | 64629067 |  |  |  | 234906527 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Investments in Securities | $— | 270600088 | $— | 214220208 <sup>d</sup> | $— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3164105 | $— | 487984401 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Other Financial Instruments: |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts | $— | 4261239 | $— |  | $— |  | $— | 4261239 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward Exchange Contracts |  |  |  | 737531 |  |  |  | 737531 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts |  |  |  | 22932886 |  |  |  | 22932886 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Other Financial Instruments | $— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4261239 | $— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;23670417 | $— |  | $— | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;27931656 |
| &nbsp;&nbsp;&nbsp;&nbsp; **Liabilities:** |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Other Financial Instruments: |  |  |  |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Options Written | $— | 37730 | $— |  | $— |  | $— | 37730 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Securities Sold Short<sup>a</sup> |  | 47690955 |  | 28191785 <sup>e</sup> |  |  |  | 75882740 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Futures Contracts |  | 3543548 |  |  |  |  |  | 3543548 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Forward Exchange Contracts |  |  |  | 913713 |  |  |  | 913713 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Swap Contracts |  |  |  | 19262685 |  | – <sup>c</sup> |  | 19262685 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Unfunded Loan Commitments |  |  |  | 70128 |  | 27966 <sup>c</sup> |  | 98094 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Total Other Financial Instruments | $— | 51272233 | $— | 48438311 | $— | 27966 | $— | 99738510 |

---

<sup>a</sup> For detailed categories, see the accompanying Consolidated Schedule of Investments.

<sup>b</sup> Includes common stocks, exchange traded funds, and preferred stocks as well as other equity interests.

<sup>c</sup> Includes securities determined to have no value at August 31, 2025.

<sup>d</sup> Includes foreign securities valued at $13,023,252, which were categorized as Level 2 as a result of the application of market level fair value procedures. See the Financial Instrument Valuation note for more information. 

<sup>e</sup> Includes foreign securities valued at $2,551,339, which were categorized as Level 2 as a result of the application of market level fair value procedures. See the Financial Instrument Valuation note for more information. 

A reconciliation in which Level 3 inputs are used in determining fair value is presented when there are significant Level 3 assets and/or liabilities at the beginning and/or end of the period.

For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** Franklin Alternative Strategies Funds

- **b. Investment Company Act file number:** 811-22641

- **c. CIK number of Registrant:** 0001535538

- **d. LEI of Registrant:** 549300QVPTHF1B1GGL64

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

  - **Street Address 1:** One Franklin Parkway

  - **City:** San Mateo

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 94403-1906

  - **Telephone number:** 650-312-2000

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

- **a. Name of Series:** K2 Alternative Strategies Fund

- **b. EDGAR series identifier (if any):** S000042023

- **c. LEI of Series:** 5493004OBMCV3UPCSG65

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

- **a. Date of fiscal year-end:** 2026-05-31

- **b. Date as of which information is reported:** 2025-08-29

**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:** $699509033.26

**Total Liabilities:** $176160278.45

**Net Assets:** $523348754.81

**Amount of Assets Invested in Other Investment Companies:** $57198786.34

**Delayed Delivery Securities:** $162796.16

**Cash Not Reported:** $105704298.91

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -3903.60500000 | **1-Year:** 9033.47361000 | **5-Year:** 6240.67464000 | **10-Year:** 3153.83633000 | **30-Year:** 45.85244000

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

- **3-Month:** 619.05053000 | **1-Year:** 3749.17102000 | **5-Year:** 4328.44694000 | **10-Year:** 1683.61348000 | **30-Year:** 512.42227000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000130561 | 1.27%                | 1.25%                | 0.44%                |
| Class ID C000130562 | 1.22%                | 1.20%                | 0.37%                |
| Class ID C000130563 | 1.17%                | 1.25%                | 0.44%                |
| Class ID C000130564 | 1.26%                | 1.33%                | 0.44%                |
| Class ID C000130565 | 1.35%                | 1.24%                | 0.52%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $2796475.72              | $1306098.25                                |
| Month 2  | $352123.19               | $1376357.53                                |
| Month 3  | $209554.29               | $4201745.92                                |

### Schedule of Portfolio Investments

| Name                                           | Title                                                                | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |     Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-9.71        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-8.89        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS WHIRLPOOL CORP                                                   | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $15575.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NATIONAL STOCK EXCHANGE OF INDIA LIMITED       | IFSC NIFTY 50                                                        | CUSIP: 000000000<br>LEI: 335800NLY5HYW9I7YE03 | N/A              | DE               | CORP              | IN        |           7 | NC      | $-7220.58     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| OSAKA EXCHANGE,INC                             | JAPAN 10Y BOND(OSE)                                                  | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              | CORP              | JP        |          -4 | NC      | $5873.35      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.             | FUEL OIL                                                             | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |          -6 | NC      | $-57945.12    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| AUSTRALIAN SECURITIES EXCHANGE TRADE24         | 90-DAY BANK BILL                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | AU        |           2 | NC      | $51.26        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| AUSTRALIAN SECURITIES EXCHANGE TRADE24         | 90-DAY BANK BILL                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | AU        |          13 | NC      | $2301.74      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| AUSTRALIAN SECURITIES EXCHANGE TRADE24         | 90-DAY BANK BILL                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | AU        |           4 | NC      | $1145.29      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| AUSTRALIAN SECURITIES EXCHANGE TRADE24         | 90-DAY BANK BILL                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | AU        |           5 | NC      | $2398.11      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| AUSTRALIAN SECURITIES EXCHANGE TRADE24         | 90-DAY BANK BILL                                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | AU        |           8 | NC      | $1877.22      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - KRW                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1019.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - BRL                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3455.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CDS WHIRLPOOL CORP                                                   | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DCR              | CORP              | US        |           1 | NC      | $1063.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | SPDR S&P 500 ETF TRUST                                               | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DE               | CORP              | US        |          61 | NC      | $61.00        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS AUSTEVOLL SEAFOOD ASA                                            | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-19797.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS YOSHINOYA HOLDINGS CO LTD                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-3795.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS LOTTE FINE CHEMICAL CO LTD                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $2118.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS SCANFIL OYJ                                                      | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $3101.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS BURSA MALAYSIA BHD                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1810.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS HOSOKAWA MICRON CORP                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $19001.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.               | IRS BRL                                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $10627.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS RANK GROUP PLC                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $19813.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS DELTA ELECTRONICS THAILAND PCL                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-47245.62    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS WHIRLPOOL CORP                                                   | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $1715.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS FUJIMI INC                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-13597.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS KUMBA IRON ORE LTD                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $2241.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS NOMURA HOLDINGS INC                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $12482.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS BANGKOK LIFE ASSURANCE PCL                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $10086.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS DBS GROUP HOLDINGS LTD                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $6676.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS BAWAG GROUP AG                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $45118.72     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS YUHAN CORP                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3542.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS NAN YA PRINTED CIRCUIT BOARD CORP                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-37528.58    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS SWEDISH ORPHAN BIOVITRUM AB                                      | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-2209.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SANBIO CO LTD                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $8234.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS WHIRLPOOL CORP                                                   | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $1715.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS CHINA JINMAO HOLDINGS GROUP LTD                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-8014.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS REMGRO LTD                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-12990.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                        | TRS RYOHIN KEIKAKU CO                                                | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $256.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SKYCITY ENTERTAINMENT GROUP LTD                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $14156.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SHANGHAI WANYE ENTERPRISES CO LTD                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-335.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS MCMILLAN SHAKESPEARE LTD                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-39012.33    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS RAYSEARCH LABORATORIES AB                                        | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $20863.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS TRAVIS PERKINS PLC                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $3517.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS AEDAS HOMES SA                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-27829.12    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS TOKYO METRO CO LTD                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-459.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOFA SECURITIES, INC.                          | CDS WHIRLPOOL CORP                                                   | CUSIP: 000000000<br>LEI: 549300HN4UKV1E2R3U73 | N/A              | DCR              | CORP              | US        |           1 | NC      | $1715.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS JBS NV                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $26798.29     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS OKABE CO LTD                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $3234.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS MINERAL RESOURCES LTD                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-36134.19    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS ADDTECH AB                                                       | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $482.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS FRASERS CENTREPOINT TRUST                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $2412.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS DOTTIKON ES HOLDING AG                                           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-101403.68   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS AVANGAAD BHD                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-518.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS ITALMOBILIARE SPA                                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-32816.75    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS OKEA ASA                                                         | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-3314.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SK OCEANPLANT CO LTD                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4497.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS WHIRLPOOL CORP                                                   | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $68.61        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS CAPITEC BANK HOLDINGS LTD                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-96879.37    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS I-SENS INC                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-264.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS E INK HOLDINGS INC                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-22339.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS INTERROLL HOLDING AG                                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-75878.32    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS KWS SAAT SE & CO KGAA                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $27264.33     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS PEUGEOT INVEST SA                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-198.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS PAKUWON JATI TBK PT                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-453.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS SPAREBANK 1 SMN                                                  | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-29517.67    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS GREAT PORTLAND ESTATES PLC                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-53460.12    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS DBA GROUP SPA                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $5499.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS WHIRLPOOL CORP                                                   | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $12041.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS HANALL BIOPHARMA CO LTD                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-15871.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS QBE INSURANCE GROUP LTD                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1794.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SRG GLOBAL LTD                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $9057.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS BIDVEST GROUP LTD                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $2106.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS ONTEX GROUP NV                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-26478.36    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CHIN-POON INDUSTRIAL CO LTD                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $7029.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS SAMHALLSBYGGNADSBO. I NORDEN AB SER. B                           | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $2661.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS DAISEKI ECO. SOLUTION CO LTD                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-1127.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS AZIMUT HOLDING SPA                                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2613.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS OXIDE CORP                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $13656.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS WHIRLPOOL CORP                                                   | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $102.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS RENOVA INC                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-11922.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS DECEUNINCK NV                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $1124.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SHINMAYWA INDUSTRIES LTD                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $7639.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS ALLEGRO.EU SA                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-96813.03    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SK INNOVATION CO LTD                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1947.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS HANDLOWY                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $4428.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS IBERDROLA                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $2344.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS BILIBILI INC                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $15616.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS POSTAL SAVINGS BANK OF CHINA CO LTD                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-797.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS AQUAFIL SPA                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $10711.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS VIRGIN MEDIA FINANCE PLC                                         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $9229.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS FORMOSA PLASTICS CORP                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-9475.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SK IE TECHNOLOGY CO LTD                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $3465.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS ASTROSCALE HOLDINGS INC                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-124.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS COMPASS GROUP PLC                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $603.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS EVS BROADCAST EQUIPMENT SA                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $1298.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS ROBERTET                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $17.01        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS XTB                                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-48469.25    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS HARTADINATA ABADI TBK PT                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $98.37        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS ZAI LAB LTD                                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $972.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS HEARTLAND GROUP HOLDINGS LTD                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5909.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS UNIVISION COMMUNICATIONS INC                                     | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-10779.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION      | TRS ASR NEDERLAND NV                                                 | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-78230.67    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS KAUFMAN & BROAD SA                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-12224.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS YAMAHA MOTOR CO LTD                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $653.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS FUKUDA DENSHI CO LTD                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-928.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS HD HYUNDAI HEAVY INDUSTRIES CO LTD                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $2602.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS KNORR-BREMSE AG                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-12525.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ARCADYAN TECHNOLOGY CORP                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $26511.89     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SUNWAY CONSTRUCTION GROUP BHD                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $7013.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS BELIMO HOLDING AG                                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-107474.97   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS XLSMART TELECOM SEJAHTERA TBK PT                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $8408.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-250.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS SUDZUCKER INT                                                    | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $2660.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                        | TRS SHOEI FOODS CORP                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4466.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS PALADIN ENERGY LTD                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1464.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS AICA KOGYO CO LTD                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $3806.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS DSM-FIRMENICH AG                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $1286.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS LASSILA & TIKANOJA OYJ                                           | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $4758.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS WASHINGTON H SOUL PATTINSON & CO LTD                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-6580.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS MORGAN SINDALL GROUP PLC                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $99441.20     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS KOGAN.COM LTD                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $4121.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS MAKUAKE INC                                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-2943.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS CHINA REINSURANCE GROUP CORP                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $81064.13     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS STELLANTIS NV                                                    | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-25884.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS SERCO GROUP PLC                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $62200.79     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS S&P BIOTECHNOLOGY SELECT INDUSTRY TOTAL RETURN INDEX             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-202143.32   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS APLEX TECHNOLOGY INC                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1651.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS DSV A/S                                                          | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $3533.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS AIB GROUP PLC                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $18434.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS BBMG CORP                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $1791.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS AUMANN AG                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2147.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS DINGZING ADVANCED MATERIALS INC                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5503.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS HEALTHCARESELECTSECTORTR INDEX                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-150452.05   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS PRIMAX ELECTRONICS LTD                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $18679.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS STELLANTIS NV                                                    | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-79463.34    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS AZTECH GLOBAL LTD                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $3744.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION      | TRS TELECOM ITALIA                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $2.48         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS MITSUI OSK LINES LTD                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $229.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS COSMO PHARMACEUTICALS NV                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-81.48       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ADVANCED NANO PRODUCTS CO LTD                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $690.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS NARUMIYA INTERNATIONAL CO LTD                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $8689.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS JOY CITY PROPERTY LTD                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $23585.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS KENMARE RESOURCES PLC                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1464.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS AUTOSTORE HOLDINGS LTD                                           | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $8349.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS REGION GROUP                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5399.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS STELLANTIS NV                                                    | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-18644.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS BRONCO BILLY CO LTD                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-47.07       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS NANOSONICS LTD                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $3779.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS NH INVESTMENT & SECURITIES CO LTD                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3741.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS HANKYU HANSHIN REIT INC                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-9088.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS LEOPALACE21 CORP                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $23437.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS AVRUPAKENT GAYRIMENKUL YATIRIM ORTAKLIGI AS                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1209.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS AZ-COM MARUWA HOLDINGS INC                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-328.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS FRASERS PROPERTY LTD                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $2571.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS FINE M-TEC CO LTD                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-17287.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                        | TRS JP-HOLDINGS INC                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $12681.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS STELLANTIS NV                                                    | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-8145.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS TOC CO LTD                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-2708.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.               | IRS BRL                                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $-791.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS NEWRON PHARMACEUTICALS SPA                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-14408.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS JAPAN STEEL WORKS LTD/THE                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-5728.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS SUSS MICROTEC SE                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-37339.31    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS U-MEDIA COMMUNICATIONS INC                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1874.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS EQUINOR ASA                                                      | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-14548.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS CLIQ DIGITAL AG                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-15715.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS MONADELPHOUS GROUP LTD                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $36523.82     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS WITHSECURE OYJ                                                   | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-30492.44    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS SES SA                                                           | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $2241.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS MOSTOSTAL ZABRZE SA                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $5830.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS DAIMLER TRUCK HOLDING AG                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-48070.70    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS BUREAU VERITAS SA                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $2032.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SHENG SIONG GROUP LTD                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-6985.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SHIFT UP CORP                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $9396.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS RAMELIUS RESOURCES LTD                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $7118.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS PACIFIC HOSPITAL SUPPLY CO                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4010.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS JUDGES SCIENTIFIC PLC                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $88894.25     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS CHINA SHINEWAY PHARMACEUTICAL GROUP LTD                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $8449.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SHENZHEN CHIPSCREEN BIOSCIENCES CO LTD                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-6758.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS SES SA                                                           | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $14026.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS NEMETSCHEK SE                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-38522.27    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS SEDANA MEDICAL AB                                                | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-10803.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS JSP CORP                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $4178.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS AUTO1 GROUP SE                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-103604.75   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS KYOWA KIRIN CO LTD                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $1021.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS LENOVO GROUP LTD                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $22557.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS NEXTDC LTD                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-27909.80    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS VITROLIFE AB                                                     | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-20.12       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS PPHE HOTEL GROUP LTD                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2761.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS TRIGANO SA                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-23118.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS SES SA                                                           | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $4636.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS GAS MALAYSIA BHD                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $2964.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS MONEX GROUP INC                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-19679.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS WERELDHAVE NV                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $10842.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ZIP CO LTD                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-35823.54    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS BUMRUNGRAD HOSPITAL PCL                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-7382.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS XI'AN SHAANGU POWER CO LTD                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1879.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS EXOR NV                                                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $31699.73     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS SIEMENS HEALTHINEERS AG                                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2167.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                      | IRS ZAR                                                              | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $-3371.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS LUNIT INC                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $29305.04     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS SES SA                                                           | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $6298.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS ARBONIA AG                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $61004.04     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS SCOUT24 SE                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-7088.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS MAZDA MOTOR CORP                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $20082.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS HONGYUAN GREEN ENERGY CO LTD                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2547.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS GFPT PCL                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $11536.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS FUKUOKA REIT CORP                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-810.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS SACYR SA                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-92106.12    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS HONG LEONG INDUSTRIES BHD                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1216.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SHANGHAI UNITED IMAGING HEALTHCARE CO LTD                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1654.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS SUBSEA 7 SA                                                      | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $8748.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS SES SA                                                           | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $1352.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS BREVILLE GROUP LTD                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-6208.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS ASTRAL FOODS LTD                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $24842.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS PARAGON BANKING GROUP PLC                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1846.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS TESSENDERLO GROUP SA                                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-879.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS FINNAIR OYJ                                                      | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-8812.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS HORNBACH HOLDING AG & CO KGAA                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $36862.90     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS JIANGSU YUXING FILM TECHNOLOGY CO LTD                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-721.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS EIKEN CHEMICAL CO LTD                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-14628.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS MIRAI CORP                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-3146.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS PACIFIC BASIN SHIPPING LTD                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-2607.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-19.78       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS SES SA                                                           | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $2125.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SHOCHIKU CO LTD                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-7292.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS EMECO HOLDINGS LTD                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $10142.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS IOI CORP BHD                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-8813.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS IP GROUP PLC                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-602.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SHENZHEN INVESTMENT LTD                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $4314.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS BOC HONG KONG HOLDINGS LTD                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $1040.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS REALTEK SEMICONDUCTOR CORP                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-22038.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS ACADEMEDIA AB                                                    | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $26654.98     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS NIPPON REIT INVESTMENT CORP                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $10121.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS ASCENCIO                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $11025.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS SES SA                                                           | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $1738.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS PRAEMIUM LTD                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $5296.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                        | TRS SUZUKI CO LTD                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $14759.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS C&D PROPERTY MANAGEMENT GROUP CO LTD                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $6667.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS MORGAN ADVANCED MATERIALS PLC                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $529.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS NIPPON TELEGRAPH & TELEPHONE CORP                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-3022.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION      | TRS MAYR MELNHOF KARTON AG                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $14956.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS FINATEXT HOLDINGS LTD                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-7886.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS ZOZO INC                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $4148.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SECURITY BANK CORP                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $784.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SANDFIRE RESOURCES LTD                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $9968.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS SES SA                                                           | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $2434.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS MIRAIT ONE CORP                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $13589.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS SPAREBANKEN VEST                                                 | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-16383.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SHANGHAI LINGANG HOLDINGS CORP LTD                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-412.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS RESOLUTE MINING LTD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $3336.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS ARJO AB                                                          | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-28749.45    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS GEORG FISCHER AG                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-21280.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS CVC CAPITAL PARTNERS PLC                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-25218.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS ADDLIFE AB                                                       | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $46369.81     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS MITRA ADIPERKASA TBK                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-314.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS FOSTER ELECTRIC CO LTD                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $53213.99     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS KINGDOM OF SAUDI ARABIA                                          | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-5144.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION      | TRS BAYERISCHE MOTOREN WERKE AG                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-60703.46    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS LIFEDRINK CO INC                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-19936.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS JNBY DESIGN LTD                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $41418.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS STEADFAST GROUP LTD                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1330.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS HUTCHMED CHINA LTD                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $7233.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS AMMAN MINERAL INTERNASIONAL PT                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $4048.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS MITSUI FUDOSAN LOGISTICS PARK INC                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-10052.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS EXPERIAN PLC                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-23483.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS RONSHIN GROUP                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $32.29        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS JIANGSU EXPRESSWAY CO LTD                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $1637.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS KINGDOM OF SAUDI ARABIA                                          | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $12343.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SEJIN HEAVY INDUSTRIES CO LTD                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-10685.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS DISCOVERY LTD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-147585.23   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS BINEX CO LTD                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $2126.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS UNICHARM CORP                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $7739.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS JD.COM INC                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-21161.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS TORUNLAR GAYRIMENKUL YATIRIM ORTAKLIGI AS                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $22262.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS ADVANCED POWER ELECTRONICS                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-475.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SCG PACKAGING PCL                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-357.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS INSTALCO AB                                                      | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $6065.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS CATENA AB                                                        | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-8087.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS KINGDOM OF SAUDI ARABIA                                          | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $20560.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS SKF AB                                                           | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $31706.98     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS KOREA AEROSPACE INDUSTRIES LTD                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3918.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SEVEN BANK LTD                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-16998.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SUPER HI INTERNATIONAL HOLDING LTD                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $2936.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS LEG IMMOBILIEN SE                                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $5739.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS ELEMENTIS PLC                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $33869.48     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS TREASURE FACTORY CO LTD                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-475.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SILERGY CORP                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $17930.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS PHARMICELL CO LTD                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4171.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CHEIL WORLDWIDE INC                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-7081.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION          | CDS REPUBLIC OF ITALY                                                | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-3244.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT               | TRS DBCRFLBU INDEX                                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DE               | CORP              | DE        |           1 | NC      | $73013.39     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS REGIS HEALTHCARE LTD                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $5271.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS INDOFOOD SUKSES MAKMUR TBK PT                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-10001.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS TATUNG CO LTD                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2603.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS BELC CO LTD                                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-20.78       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS BANK OF THE PHILIPPINE ISLANDS                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $13969.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS HUA HONG SEMICONDUCTOR LTD                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-66441.24    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS FUCHS SE                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $9016.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SD BIOSENSOR INC                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1207.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS YUEXIU SERVICES GROUP LTD                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-2925.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS POSTNL NV                                                        | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $15034.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS HEXAGON COMPOSITES ASA                                           | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $6202.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ATLAS ARTERIA LTD                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3009.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS DOOSAN ROBOTICS INC                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $82.90        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ASHMORE GROUP PLC                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-485.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS LUK FOOK HOLDINGS INTERNATIONAL LTD                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-15105.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS RUBIS SCA                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $18711.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS NTN CORP                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $37546.57     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS PTG ENERGY PCL                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $199.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS SGS SA                                                           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $1352.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS LANCASHIRE HOLDINGS LTD                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-10098.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION      | CDS NIPPON PAPER INDUSTRIES CO LTD                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-215.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS JAPAN EXCHANGE GROUP INC                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-1467.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                        | TRS HOWA MACHINERY LTD                                               | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-24450.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS TIANLI INTERNATIONAL HOLDINGS LTD                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $8149.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS BRIDGEPOINT GROUP PLC                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-27388.13    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS CHINA AIRCRAFT LEASING GROUP HOLDINGS LTD                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $3574.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS SOLGOLD PLC                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-66870.03    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS SCHINDLER HOLDING AG                                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $34191.92     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS SAMPYO CEMENT CO LTD                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-70.87       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS VIMIAN GROUP AB                                                  | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $26951.02     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS INTERCARS                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-6512.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION      | CDS NIPPON PAPER INDUSTRIES CO LTD                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-636.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS SFA                                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3791.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS AIRPORTS OF THAILAND PUBLIC CO                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-15255.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS FUJIO FOOD GROUP INC                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $427.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS COREM PROPERTY GROUP AB                                          | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-6099.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS VINCI SA                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-12528.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS YAMAGUCHI FINANCIAL GROUP INC                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $24003.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS MAIRE SPA                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $66627.11     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS EVN AG                                                           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $21461.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SANTANA MINERALS LTD                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-6972.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS BABCOCK INTERNATIONAL GROUP PLC                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $89600.90     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-15.74       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS NIPPON PAPER INDUSTRIES CO LTD                                   | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $19296.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS NAN PAO RESINS CHEMICAL CO LTD                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $44959.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS AMVIS HOLDINGS INC                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-11961.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS TOPCO TECHNOLOGIES CORP                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1288.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS PERUSAHAAN GAS NEGARA TBK PT                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $6616.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                        | TRS POLY PROPERTY SERVICES CO LTD                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $20289.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS EASTERN & ORIENTAL BHD                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-826.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS DOF GROUP ASA                                                    | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-17269.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS BANK OF ZHENGZHOU CO LTD                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-105.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS CHAOJU EYE CARE HOLDINGS LTD                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $2827.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                        | TRS MATSUYA CO (TOKYO)                                               | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-16676.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                 | CDS NIPPON PAPER INDUSTRIES CO LTD                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-983.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS UNID CO LTD                                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-23795.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS THOMSON MEDICAL GROUP LTD                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4015.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS AMP LTD                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $53647.36     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS BIOGAIA AB                                                       | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $7624.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS CONVATEC GROUP PLC                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $163.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS METALS X LTD                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $6672.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ASUSTEK COMPUTER INC                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-152.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS NTG NORDIC TRANSPORT GROUP A/S                                   | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $13551.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS S-OIL CORP                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1406.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SITC INTERNATIONAL HOLDINGS CO LTD                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-3458.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS METLIFE INC                                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-17853.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS UNIMICRON TECHNOLOGY CORP                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-16668.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS NN GROUP NV                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $59019.33     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CANAL+ SA                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1163.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CAFE24 CORP                                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-23907.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS MARUMAE CO LTD                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-11697.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS SVEAFASTIGHETER AB                                               | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $1533.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SHENZHEN AGRICULTURAL POWER GROUP CO LTD                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-6660.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS HUGO BOSS AG                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $15061.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS HANGXIAO STEEL STRUCTURE CO LTD                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $4.40         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS DEUTSCHE WOHNEN SE                                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $22393.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS METLIFE INC                                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-17556.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS XD INC                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $61294.36     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS KIWOOM SECURITIES CO LTD                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-21411.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS POSTE ITALIANE SPA                                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $48427.22     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS WUXI APPTEC CO LTD                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $53401.73     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS HUA NAN FINANCIAL HOLDINGS CO LTD                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-621.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS PALFINGER AG                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-789.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS MESOBLAST LTD                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-12628.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS SANTANDER BANK POLSKA SA                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $28.20        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS ASCOM HOLDING AG                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $26529.12     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS HYUNDAIMTR                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2772.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS MEDIOBANCA                                                       | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $641.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS HAPAG-LLOYD AG                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $2902.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS CEWE STIFTUNG & CO KGAA                                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $2298.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS LAND SECURITIES GROUP PLC                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $2369.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS GENIC CO LTD                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $21930.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS RENEW HOLDINGS                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-360.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS AXFOOD AB                                                        | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-61996.83    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS ZERIA PHARMACEUTICAL CO LTD                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-2818.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ANPEC ELECTRONICS CORP                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-9137.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS GLOBAL SECURITY EXPERTS INC                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-484.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS ASAHI CO LTD                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $3052.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS LINCOLN NATIONAL CORP                                            | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-5142.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS NATIONGATE HOLDINGS BHD                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-22230.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS EXAWIZARDS INC                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-8943.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                        | TRS NIHON DEMPA KOGYO                                                | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $17676.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS TDG HOLDINGS CO LTD                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2673.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION      | TRS JDE PEET'S                                                       | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $22803.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS CHINA RESOURCES MEDICAL HOLDINGS CO LTD                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-21801.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SINOFERT HOLDINGS LTD                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $5130.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS BDO UNIBANK INC                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $2612.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS BASLER AG                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-22712.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS TESS HOLDINGS CO LTD                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-14446.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                         | CDS LINCOLN NATIONAL CORP                                            | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-4051.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS GENESIS ENERGY LTD                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-90.09       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                        | TRS AHRESTY CORPORATION                                              | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $9486.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS HARMONY GOLD MINING CO LTD                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $15799.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS MATSUDA SANGYO CO LTD                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $4841.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SYNNEX TECHNOLOGY INTERNATIONAL CORP                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1044.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS GRIFOLS SA                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $49567.22     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS U-BLOX HOLDING AG                                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $24159.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS AEW UK REIT PLC                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-57.61       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS MO-BRUK SA                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-459.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS SAINT GOBAIN                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $10383.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CDS LINCOLN NATIONAL CORP                                            | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-1182.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS SPEEDY HIRE PLC                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-23826.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS NITORI HOLDINGS CO LTD                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-342.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ANHUI YINGLIU ELECTROMECHANICAL CO LTD                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-9119.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS RTL GROUP SA                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-32867.18    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS PIXART IMAGING INC                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1732.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS TOSEI REIT INVESTMENT CORP                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-6955.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS NORTHAM PLATINUM HOLDINGS LTD                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-112044.79   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SEPTENI HOLDINGS CO LTD                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $3725.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SOLUS ADVANCED MATERIALS CO LTD                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $12421.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS SECURE TRUST BANK PLC                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $57969.18     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION          | CDS LINCOLN NATIONAL CORP                                            | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-358.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS HANKYU HANSHIN HOLDINGS INC                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-10375.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CHIEF TELECOM INC                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-300.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS AMPACS CORP                                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-57.72       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS BCI MINERALS LTD                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1.60         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS TBC BANK GROUP PLC                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $44990.36     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS RL COMMERCIAL REIT INC                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $801.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS VOLEX PLC ORD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2747.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS NISSIN FOODS HOLDINGS CO LTD                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $3773.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SIAM GLOBAL HOUSE PCL                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5472.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS CECONOMY AG                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $10977.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                  | CDS AMERICAN AIRLINES GROUP INC                                      | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-108.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS PGE POLSKA GRUPA ENERGETYCZNA SA                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $162498.27    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS BUFAB AB                                                         | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-11281.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS DAEWON PHARMACEUTICAL CO LTD                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1893.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS VALOR HOLDINGS CO LTD                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $31211.12     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS GOLDCUP ELECTRIC APPARATUS CO LTD                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $3733.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS WAREHOUSES DE PAUW CVA                                           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1563.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS ABRDN PLC                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $80915.49     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS INTERMEDIATE CAPITAL GROUP PLC                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4242.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS SYNEKTIK SA                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $71429.29     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS STELLANTIS                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $9237.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-125.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS AMERICAN AXLE & MANUFACTURING INC                                | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-3534.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS GRUPA AZOTY SA                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5828.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS EMPIRIC STUDENT PROPERTY PLC                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1726.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS OCK GROUP BHD                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $610.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | TRS VEOLIA ENVIRONNEMENT SA                                          | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DE               | CORP              | US        |           1 | NC      | $-91999.13    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS CHINA RESOURCES BUILDING MATERIALS TECHNOLOGY HOLDINGS LTD       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $3148.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CERES POWER HOLDINGS PLC                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-16763.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SEMBCORP INDUSTRIES LTD                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $8319.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS WUXI APPTEC CO LTD                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $22904.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS CAFE DE CORAL HOLDINGS LTD                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $916.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS FUTURE PLC                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $2401.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CDS AMERICAN AIRLINES GROUP INC                                      | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-13791.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS FLIGHT CENTRE TRAVEL GROUP LTD                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $2746.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CLIO COSMETICS CO LTD                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $4377.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS KENDA RUBBER INDUSTRIAL CO LTD                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $4039.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS K CAR CO LTD                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $75.41        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS METCASH LTD                                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1342.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS HANSSEM CO LTD                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $8802.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS FUNDING CIRCLE HOLDINGS PLC                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-69240.52    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS LK TECHNOLOGY HOLDINGS LTD                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-23405.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS BE GROUP AB                                                      | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $3731.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS OKINAWA FINANCIAL GROUP INC                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $39327.15     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS AMERICAN AIRLINES GROUP INC                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-9034.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS ICHIBANYA CO LTD                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-7899.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS GENUS PLC                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $20053.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS HOTAI MOTOR CO LTD                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1694.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS DEUTSCHE BANK AG                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $114669.44    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS NORDEA BANK ABP                                                  | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $9104.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION      | TRS PRYSMIAN                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2187.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS VGP NV                                                           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-36630.11    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS PINEWOOD TECHNOLOGIES GROUP PLC                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-73933.38    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS DAEJOO ELECTRONIC MATERIALS CO LTD                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1793.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS MEDACTA GROUP SA                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-61868.40    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS AMERICAN AIRLINES GROUP INC                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-1769.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS FIRSTGROUP PLC                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $94413.60     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS NEUREN PHARMACEUTICALS LTD                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-23521.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS LHN LTD                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $600.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS HANON SYSTEMS                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-11149.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS VERBIO SE                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-17115.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS TADANO LTD                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $1454.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS AEGON LTD                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $49734.72     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION      | TRS STRAUMANN HOLDING AG                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $2529.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS HANA TECHNOLOGY CO LTD                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $823.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS FARGLORY F T Z INVESTMENT HOLDING CO LTD                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-14035.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                              | CDS AMERICAN AIRLINES GROUP INC                                      | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              | CORP              | GB        |           1 | NC      | $-5234.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS HMS NETWORKS AB                                                  | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $2134.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS LOGITECH INTERNATIONAL SA                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $95585.87     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS HANWHA SOLUTIONS CORP                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $18360.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SHANGRI-LA ASIA LTD                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-5059.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SMOORE INTERNATIONAL HOLDINGS LTD                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-2300.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS SPAREBANK 1 OESTLANDET                                           | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-13048.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS AUTONEUM HOLDING AG                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $87862.13     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS LINDEX GROUP OYJ                                                 | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $834.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS UNIVERSAL MICROWAVE TECHNOLOGY INC                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4400.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS FUJIFILM HOLDINGS CORP                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-3843.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS AMERICAN AXLE & MANUFACTURING INC                                | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-2135.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS JCDECAUX SE                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-26145.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS MINGXIN NEW MATERIAL CO LTD                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1291.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS EBRO FOODS SA                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $26505.24     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS INVESTIS HOLDING SA                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-844.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS BIONIME CORP                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1331.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS FORTUM CORPORATION                                               | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $1622.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS BANK OF GEORGIA GROUP PLC                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $121370.60    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS HELLOFRESH SE                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-7605.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS TEO SENG CAPITAL BHD                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $560.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS DEVELIA SA                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $14465.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                              | CDS AMERICAN AIRLINES GROUP INC                                      | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              | CORP              | GB        |           1 | NC      | $-2839.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS HWASEUNG ENTERPRISE CO LTD                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-14832.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SKC CO LTD                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $23487.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ANKER INNOVATIONS TECHNOLOGY CO LTD                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $29488.52     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS DEPPON LOGISTICS CO LTD                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-173.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS L'OREAL SA                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-9012.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS CK INFRASTRUCTURE HOLDINGS LTD                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $751.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS AUSSIE BROADBAND LTD                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-21539.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS J FRONT RETAILING CO LTD                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-8471.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS TECNICAS REUNIDAS SA                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $27305.19     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS BRUNELLO CUCINELLI SPA                                           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-8946.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS AMERICAN AXLE & MANUFACTURING INC                                | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-1398.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS ATRESMEDIA CORP DE MEDIOS DE COMUNICACION SA                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $6307.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS KEISEI ELECTRIC RAILWAY CO LTD                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-866.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS RENISHAW PLC                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $7510.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS STRIKE ENERGY LTD                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $10977.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS SAGAX AB B                                                       | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $3265.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS INTRON TECHNOLOGY HOLDINGS LTD                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-378.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS BETSSON AB                                                       | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $8144.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SHIMANO INC                                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $29146.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS ALPHA NETWORKS INC                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1102.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS HOTEL SHILLA CO LTD                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $20756.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS AMERICAN AIRLINES GROUP INC                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-22167.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                        | TRS NIPPON AVIONICS CO                                               | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2258.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS FEVERTREE DRINKS PLC                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $16272.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                      | IRS HUF                                                              | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $-1675.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS COMMONWEALTH BANK OF AUSTRALIA                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $16896.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                      | IRS HUF                                                              | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $7297.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS RESTAURANT BRANDS NEW ZEALAND LTD                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-691.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS KARNOV GROUP AB                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-21314.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS SAP SE                                                           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $9588.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS SALMON EVOLUTION ASA                                             | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $17089.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS HITACHI LTD                                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $3071.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS AMERICAN AXLE & MANUFACTURING INC                                | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-2135.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS THALES SA                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-6068.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS ACCIONA SA                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $78817.34     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ADVANCED CERAMIC X CORP                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1425.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS VICAT SACA                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $110377.85    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS DOW JONES U.S. SELECT PHARMACEUTICALS TOTAL RETURN INDEX         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-452227.99   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ELNUSA TBK PT                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $821.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ZHEJIANG JUHUA CO LTD                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $9185.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                        | TRS MING YUAN CLOUD GROUP HLDGS LTD                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-72528.05    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS CELLNEX TELECOM SA                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $19285.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS TIAN LUN GAS HOLDINGS LTD                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $10445.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-43.28       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                              | CDS AMERICAN AIRLINES GROUP INC                                      | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              | CORP              | GB        |           1 | NC      | $-3577.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS JAPAN PROPERTY MANAGEMENT CENTER CO LTD                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $6206.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS EQUASENS                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $2117.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS ENGCON AB                                                        | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $18406.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS VIDRALA, S.A.                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1882.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS BARRY CALLEBAUT AG                                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-16602.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS NORSK HYDRO ASA                                                  | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-1690.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS QUILTER PLC                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-98.53       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CJ CGV CO LTD                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $4468.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SAMSUNG E&A CO LTD                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $34504.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS UNILEVER PLC                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1437.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                              | CDS AMERICAN AIRLINES GROUP INC                                      | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              | CORP              | GB        |           1 | NC      | $-1805.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ACCENT GROUP LTD                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $6968.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS BUDIMEX                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $13255.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS APOTEA AB                                                        | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $625.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SHENZHEN SUNWAY COMMUNICATION CO LTD                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3552.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS OSAKA SODA CO LTD                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-7877.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS JUNGFRAUBAHN HOLDING AG                                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3107.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SANKYO CO LTD                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $9059.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                        | TRS ARAKAWA CHEMICAL INDUSTRIES                                      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $557.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS BREDERODE SA                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2149.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS ROYAL HOLDINGS CO LTD                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $590.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                              | CDS AMERICAN AIRLINES GROUP INC                                      | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              | CORP              | GB        |           1 | NC      | $-11653.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SOUTHCHIP SEMICONDUCTOR TECHNOLOGY SHANGHAI CO LTD               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $12988.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS BRAVIDA HOLDING AB                                               | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $2178.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS DAIWA OFFICE INVESTMENT CORP                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-6677.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS J D WETHERSPOON PLC                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $5167.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS PHOENIX GROUP HOLDINGS PLC                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-89690.16    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS WALLENSTAM AB                                                    | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-2401.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS INTERNATIONAL CONTAINER TERMINAL SERVICES INC                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $256.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS TROAX GROUP AB                                                   | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $23852.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS MERIDIAN ENERGY LIMITED NPV                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $892.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS CLOUDBERRY CLEAN ENERGY ASA                                      | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-7965.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                              | CDS AMERICAN AIRLINES GROUP INC                                      | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              | CORP              | GB        |           1 | NC      | $-995.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS AEROPORTS DE PARIS SA                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-8308.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS HONG LEONG ASIA LTD                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $30111.47     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS TELEKOM AUSTRIA AG                                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $2542.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS HUMANA AB                                                        | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-10179.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS GREAT TREE PHARMACY CO LTD                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2052.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS NETBAY PCL                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $6671.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS CHINA RISUN GROUP LTD                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $880.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS KMW CO LTD                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $4614.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS BRILLIANCE CHINA AUTOMOTIVE HOLDINGS LTD                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-30555.97    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS OPEN HOUSE GROUP CO LTD                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $23800.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS AMERICAN AIRLINES GROUP INC                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-443.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS COMET RIDGE LTD                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $2321.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS MINISO GROUP HOLDING LTD                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-25595.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS BEIJING TONG REN TANG CHINESE MEDICINE CO LTD                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-8456.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS AIR NEW ZEALAND LTD                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1336.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS MIPS AB                                                          | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $478.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CHINA AVIATION OIL SINGAPORE CORP LTD                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $11196.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS MARKETECH INTERNATIONAL CORP                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $61100.04     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS FLUTTER ENTERTAINMENT PLC                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-27897.44    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SHANGHAI LUJIAZUI FINANCE & TRADE ZONE DEVELOPMENT CO LTD        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $9.66         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS HANMI PHARM CO LTD                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-959.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CDS AMERICAN AIRLINES GROUP INC                                      | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-2635.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS VALUETRONICS HOLDINGS LTD                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $2374.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS CHAMPION REIT                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $2266.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS FLSMIDTH & CO A/S                                                | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-32131.84    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS COLLINS FOODS LTD                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $13126.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS CIA DE SANEAMENTO BASICO DO ESTADO DE SAO PAULO SABESP           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $61425.25     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS FITTECH CO LTD                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1293.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS NOTION VTEC BHD                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-579.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS WISE PLC                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-20000.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS WICKES GROUP PLC                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $40855.95     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS SKANSKA AB SER. B                                                | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $6056.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS AMERICAN AIRLINES GROUP INC                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-11083.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS DAEWOO ENGINEERING & CONSTRUCTION CO LTD                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $13915.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION      | TRS RWE AG                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $2084.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CORETRONIC CORP                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-84943.96    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS YARA INTERNATIONAL ASA                                           | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-5923.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS TODA CORP                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-4357.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS YSB INC                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-1161.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS AERO WIN TECHNOLOGY CORP                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-954.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS CHINA FOODS LTD                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $38405.34     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS ENEL SPA                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-29478.01    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS VITAL HEALTHCARE PROPERTY TRUST                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4461.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                              | CDS AMERICAN AIRLINES GROUP INC                                      | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              | CORP              | GB        |           1 | NC      | $-1511.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ONENESS BIOTECH CO LTD                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1471.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS SIEMENS ENERGY AG                                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5481.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS CORP ACCIONA ENERGIAS RENOVABLES SA                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-54356.89    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS WEST CHINA CEMENT LTD                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-37717.30    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS CHEMRING GROUP                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4934.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS ENEA SA                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $98240.98     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION      | TRS GERRESHEIMER AG                                                  | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $14809.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS SAN FANG CHEMICAL                                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-20919.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS YIT OYJ                                                          | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-40431.84    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS KANSAI ELECTRIC POWER CO INC/THE                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-8192.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                              | CDS AMERICAN AIRLINES GROUP INC                                      | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              | CORP              | GB        |           1 | NC      | $-3023.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS RATIONAL AG                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $3426.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS JIANGSU SUZHOU RURAL COMMERCIAL BANK CO LTD                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2900.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS XPS PENSIONS GROUP PLC                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-9184.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS SEAH STEEL HOLDINGS                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $2592.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SHIMAO SERVICES HOLDINGS LTD                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-1260.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS ANA HOLDINGS INC                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $7156.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS HUFVUDSTADEN AB                                                  | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $2150.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS WH SMITH PLC                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $9327.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS PCCW LTD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-4143.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS KOBE BUSSAN CO LTD                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $8605.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                              | CDS AMERICAN AIRLINES GROUP INC                                      | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              | CORP              | GB        |           1 | NC      | $-3023.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ISDN HOLDINGS LTD                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $3151.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SQUARE ENIX HOLDINGS CO LTD                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $2074.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS HOLMEN AB                                                        | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $4665.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS HANWHA OCEAN CO LTD                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-19918.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS VISTRY GROUP PLC                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2821.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS CLAS OHLSON AB                                                   | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $88808.93     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS YOUNGONE HOLDINGS CO LTD                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2428.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS CONTENTREEJOONGANG CORP                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $217.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS AURA ENERGY LTD                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3027.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS JIN AIR CO LTD                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-13152.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3.83        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS AMERICAN AIRLINES GROUP INC                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-4440.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS TURKIYE SINAI KALKINMA BANKASI AS                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $9764.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                        | TRS TOYO SUISAN KAISHA                                               | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $318.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS GUANGZHOU BAIYUN INTERNATIONAL AIRPORT CO LTD                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $4287.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS THUNGELA RESOURCES LTD                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-61728.19    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS RICHWAVE TECHNOLOGY CORP                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-11634.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION      | TRS REPLY SPA                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-36957.78    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS WW HOLDING INC                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5504.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS REVENIO GROUP OYJ                                                | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $3227.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS UNIVERSAL MUSIC GROUP NV                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $2023.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS DE' LONGHI SPA                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2870.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS AMERICAN AIRLINES GROUP INC                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-9025.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS CONTEMPORARY AMPEREX TECHNOLOGY CO LTD                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $136478.28    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS M3 INC                                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-2744.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS SURGICAL SCIENCE SWEDEN AB                                       | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $28640.22     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS JAMES HALSTEAD PLC                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $5504.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS YUM CHINA HOLDINGS INC                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-569.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS CRE LOGISTICS REIT INC                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $2410.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS SPEED TECH                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $1754.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS DOM DEVELOPMENT SA                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $16595.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS KANEMATSU CORP                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $18055.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS KONINKLIJKE BAM GROEP NV                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $107280.10    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS ALSTOM SA                                                        | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-5394.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION      | TRS ADYEN                                                            | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $1242.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS JOHNSON SERVICE GROUP PLC                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-7001.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS SAMPO OYJ                                                        | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-37519.54    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS HEINEKEN MALAYSIA BHD                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-19655.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS OESTERREICHISCHE POST AG                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $1773.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS FUJI KYUKO CO LTD                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-447.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS RUSTA AB                                                         | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $13478.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CHUNBO CO LTD                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-467.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS MARVELOUS INC                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-437.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS HECTO INNOVATION CO LTD                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1218.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS AIR FRANCE-KLM                                                   | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-2376.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS HYUNDAI MOBIS CO LTD                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $7428.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS MUHIBBAH ENGINEERING M BHD                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2137.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS FIRST RESOURCES LTD                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $21376.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS RECKITT BENCKISER GROUP PLC                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-28815.69    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS ASKER HEALTHCARE GROUP AB                                        | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $2569.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS INTEGRAL DIAGNOSTICS LTD                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-29635.37    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                        | TRS STAR ASIA INVESTOMENT CORPORATION                                | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-13250.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CAREGEN CO LTD                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-30243.39    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS NINETY ONE PLC                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-410.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS VAT GROUP AG                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-643.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-124.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS FAGRON                                                           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $186.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS HANGZHOU HESHUN TECHNOLOGY CO LTD                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $5.85         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS MCNEX CO LTD                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $5012.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS NETLINK NBN TRUST                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-15345.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS HD HYUNDAI CO LTD                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $2555.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS SERICA ENERGY PLC ORD                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3355.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS GENSCRIPT BIOTECH CORP                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-8253.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS LG INNOTEK CO LTD                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $7571.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS AGRICULTURAL BANK OF CHINA LTD                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-7017.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS UNI-PRESIDENT CHINA HOLDINGS LTD                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-2764.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-9498.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS DIGITAL INFORMATION TECHNOLOGIES CORP                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-1250.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS KOREA ELECTRIC TERMINAL CO LTD                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-15847.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS LG ELECTRONICS INC                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5964.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS PERNOD RICARD SA                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $69454.24     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS KIKKOMAN CORP                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $931.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS KUDAN INC                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $19.67        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS DREWLOONG PRECISION INC                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-976.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS KUALA LUMPUR KEPONG BHD                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1522.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS ALZCHEM GROUP AG                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $43372.10     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS GALENICA AG                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $827.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $805.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS COSMECCA KOREA CO LTD                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-684.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS MEMBERS CO LTD                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $916.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS DI DONGIL                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1257.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS BONHEUR ASA                                                      | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $1676.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS FASTIGHETS AB BALDER                                             | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $749.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS FRONTEO INC                                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-13426.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS WT MICROELECTRONICS CO LTD                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-14342.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SK ETERNIX CO LTD                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $11554.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS BINJIANG SERVICE GROUP CO LTD                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $9157.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS TOWER LTD                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $3355.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-8897.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS BURBERRY GROUP PLC                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $3262.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS ODAKYU ELECTRIC RAILWAY CO LTD                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $201.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS KOBAYASHI PHARMACEUTICAL CO LTD                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $2177.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS JD LOGISTICS INC                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-914.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS PRIMARY HEALTH PROPE                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-12595.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS PTT EXPLORATION & PRODUCTION PUBLIC                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $11010.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS MERSEN                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5064.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SERVICE STREAM LTD                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $16306.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS VNV GLOBAL AB                                                    | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-7262.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS STRABAG SE                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $15063.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $935.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS BRAVURA SOLUTIONS LTD                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-314.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS QANTAS AIRWAYS LTD                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $25003.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS SPRINGER NATURE AG & CO KGAA                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $3502.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS ROLLS ROYCE HOLDINGS ORD                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-331.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS ECONOCOM GROUP SA/NV                                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $3704.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS LUYE PHARMA GROUP LTD                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-3562.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS MFE-MEDIAFOREUROPE NV                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $37113.17     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS MARSTON'S PLC                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $4231.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS MFE-MEDIAFOREUROPE NV                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $12622.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS FERROVIAL SE                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-113951.09   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-6416.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS NEWRIVER REIT PLC                                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $26.23        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS AVATION PLC                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $2578.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS MAPLETREE LOGISTICS TRUST                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-8805.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS VISCOFAN SA                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-25909.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS COMFORIA RESIDENTIAL REIT INC                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-8771.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS DOW JONES U.S. SELECT MEDICAL EQUIPMENT INDEX                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-127293.50   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CHINA LIFE INSURANCE CO LTD                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-968.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS HBX GROUP INTERNATIONAL PLC                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $14702.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS COCHLEAR LTD                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-912.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION      | TRS KARDEX HOLDING AG                                                | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $29802.75     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1368.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1985.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS STARTS PROCEED INVESTMENT CORP                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-9001.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS DAH SING BANKING GROUP LTD                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $29994.62     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SOOP CO LTD                                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-8489.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS BALFOUR BEATTY PLC                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $104430.58    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS STANDARD BANK GROUP LTD                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-7347.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS PERSOL HOLDINGS CO LTD                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-6058.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS ELOPAK ASA                                                       | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $19437.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS TERRASKY CO LTD                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-19415.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS SHURGARD SELF STORAGE LTD                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-14674.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS RAITO KOGYO CO LTD                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $10557.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-9380.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS SHIH WEI NAVIGATION CO LTD                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5982.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS DATATEC LTD                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $50965.02     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS XP POWER LTD                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-184.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS INDRA SISTEMAS SA                                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $102758.15    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS MACRONIX INTERNATIONAL CO LTD                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $21462.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS PHA CO LTD                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-414.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS TECHMATRIX CORP                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-10959.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS CONSTRUCCIONES Y AUXILIAR DE FERROCARRILES SA                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $90590.94     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SEATRIUM LTD                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-8256.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS VERTU MOTORS PLC                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-7820.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $736.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS OMNIA HOLDINGS LTD                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $20821.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS INMOBILIARIA COLONIAL SOCIMI SA                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-12560.97    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS BALTIC CLASSIFIEDS GROUP PLC ORD                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $3568.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CHINA SUNTIEN GREEN ENERGY CORP LTD                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $7.17         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SK BIOSCIENCE CO LTD                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $4243.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS LIBERTA CO LTD                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-754.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SOLUTIONS 30 SE                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2213.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS USI CORPORATION                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-859.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS THYSSENKRUPP NUCERA AG & CO KGAA                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-25848.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS DRDGOLD LTD                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-58263.50    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-11070.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS ASIA POLYMER                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $448.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT               | TRS DBCRFMNU INDEX                                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DE               | CORP              | DE        |           1 | NC      | $-13867.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS ZALANDO SE                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-59062.39    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS DEDICARE AB                                                      | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-2021.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS RENESAS ELECTRONICS CORP                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $6752.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS TOMRA SYSTEMS ASA                                                | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $330.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION      | TRS BAYER AG                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $37477.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS EIRGENIX INC                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $4489.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT               | TRS DBCOWNVU INDEX                                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DE               | CORP              | DE        |           1 | NC      | $351068.96    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                 | TRS SWAPTOTB EGYTB                                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              | CORP              | US        |           1 | NC      | $78776.02     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $352.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS TOUMEI CO LTD                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-3218.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS RPMGLOBAL HOLDINGS LTD                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5148.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS TELIA CO AB                                                      | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-1065.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS TTY BIOPHARM CO LTD                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4625.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS YANKUANG ENERGY GROUP CO LTD                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $1691.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS HEKTAS TICARET TAS                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-11601.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS NEXON GAMES CO LTD                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $8122.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS NCC AB                                                           | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $4673.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS AMOTIV LTD                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $15566.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS IONOS GROUP SE                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $79220.38     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $64.63        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS VALQUA LTD                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-32461.65    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SHISEIDO CO LTD                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $2304.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SHIP HEALTHCARE HOLDINGS INC                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $40377.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                        | TRS HIBIYA ENGINEERING                                               | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-12676.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS ODFJELL TECHNOLOGY LTD                                           | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $26953.69     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS IMCD NV                                                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $14649.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS BYSTRONIC AG                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-22617.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS NESTE OYJ                                                        | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-122927.50   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS HOKURIKU ELECTRIC POWER CO                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $15803.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SAMSONITE GROUP SA                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-6461.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $5494.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS POU CHEN CORP                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-11145.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SITEMINDER LTD                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-18957.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS PSP SWISS PROPERTY AG                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $3275.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SEOBU T&D                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1434.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS NITTA GELATIN INC                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $5545.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ST JAMES'S PLACE PLC                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2267.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK PLC                                  | IRS MYR                                                              | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $9820.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS PETERSHILL PARTNERS PLC                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $47460.33     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS RELIANCE WORLDWIDE CORP LTD                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1420.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS KRUNG THAI BANK PCL                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $15944.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4591.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS SYENSQO                                                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-25745.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS JEOL LTD                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $4481.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS SKISTAR AB                                                       | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-1040.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS ALCON AG                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $16960.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS GALDERMA GROUP AG                                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-51787.01    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS LOTTE RENTAL CO LTD                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-391.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS TECHNOPROBE SPA                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-33128.83    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ZHONGJI INNOLIGHT CO LTD                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-18558.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS LVMH MOET HENNESSY LOUIS VUITTON SE                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $23779.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS PROSUS NV                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-46520.75    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-499.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS LY CORP                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-9850.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS NETMARBLE CORP                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $595.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS PNE AG                                                           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2659.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CAPITALAND MALAYSIA TRUST                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1565.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CATHAY REAL ESTATE DEVELOPMENT CO LTD                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1515.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS YUE YUEN INDUSTRIAL HOLDINGS LTD                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $14598.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS EVA AIRWAYS CORP                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-13030.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS ANTA SPORTS PRODUCTS LTD                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-1923.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS HYGEIA HEALTHCARE HOLDINGS CO LTD                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $513.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS VESTAS WIND SYSTEMS A/S                                          | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $45196.78     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $27.28        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS VIVA ENERGY GROUP LTD                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2041.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS TAMBURI INVESTMENT PARTNERS SPA                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-6360.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS CARGOTEC OYJ                                                     | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $29856.43     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS STARLUX AIRLINES CO LTD                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $7049.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS SPAR GROUP LTD/THE                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-54830.50    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS NELLY GROUP AB                                                   | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $17014.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS MR PRICE GROUP LTD                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-12039.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS MARIMEKKO OYJ                                                    | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-2937.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS JAPAN AIRLINES CO LTD                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $15452.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SOUTHERN CROSS ELECTRICAL ENGINEERING LTD                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $10819.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-176.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2157.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS GENTING SINGAPORE LTD                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2842.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ASROCK INC                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1147.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS POWER ASSETS HOLDINGS LTD                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-662.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS CAIRN HOMES PLC                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $108483.37    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS AZELIS GROUP NV                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $25684.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                        | TRS RINGER HUT CO LTD                                                | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2567.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS SIGNIFY NV                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $77806.25     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS WEMADE CO LTD                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $16698.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS INNOSPACE CO LTD                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $519.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS DETERRA RE FPO                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-15666.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | ECHOSTAR CORP                                                        | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DE               | CORP              | US        |         -31 | NC      | $-50065.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ZHEJIANG JASAN HOLDING GROUP CO LTD                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1463.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS MONTANA AEROSPACE AG                                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $11790.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS TK GROUP HOLDINGS LTD                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $5283.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS MAXIS BHD                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-554.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SCALES CORP LTD                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $2755.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS PLUXEE N.V.                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-10420.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS EGIS TECHNOLOGY INC                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1241.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS MOMENTUM GROUP LTD                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $3690.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS DANSKE BANK A/S                                                  | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $30916.35     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS MERCARI INC                                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $7605.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | ISHARES RUSSELL 2000 ETF                                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DE               | CORP              | US        |        -261 | NC      | $-9918.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS SOFINA SA                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $17362.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS CUC INC                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-3926.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS KOJAMO OYJ                                                       | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-23371.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS BILFINGER SE                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $88578.24     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS CANCOM SE                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5377.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS AGL ENERGY LTD                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-33009.15    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS PRORED PARTNERS CO LTD                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-7271.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                      | IRS KRW                                                              | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $-326.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS THYSSENKRUPP AG                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $13816.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ALSTOM SA                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1375.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | COMMSCOPE HOLDING CO INC                                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DE               | CORP              | US        |         -30 | NC      | $-3300.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CJ CORP                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4959.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS BANCA IFIS SPA                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $38117.37     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS DRAFT INC                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $2472.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS FENG TAY ENTERPRISE CO LTD                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $4531.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS TAKARA BIO INC                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $378.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS ALSO HOLDING AG                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $16758.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS WARPAINT LONDON PLC                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1262.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS AGILYX ASA                                                       | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $3324.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS CHINA LITERATURE LTD                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-16452.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS CLARANOVA SE                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $2335.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | COMMSCOPE HOLDING CO INC                                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DE               | CORP              | US        |         -24 | NC      | $-4848.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS LEGAL & GENERAL GROUP PLC                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-34089.08    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS PRUDENTIAL PLC                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-41542.77    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS AUTO PARTNER SA                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-8359.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS VECTOR LTD                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $5387.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS SCHOUW & CO A/S                                                  | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-5077.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS FRASERS GROUP PLC                                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-13475.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CHINA ENERGY ENGINEERING CORP LTD                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-6515.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SHENZHEN SC NEW ENERGY TECHNOLOGY CORP                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $88507.05     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS OCI NV                                                           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $122102.72    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION      | TRS DEUTSCHE PFANDBRIEFBANK AG                                       | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $2884.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | ALIBABA GROUP HOLDING LTD                                            | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DE               | CORP              | US        |          97 | NC      | $74787.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                      | IRS KRW                                                              | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $-436.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS GPT GROUP/THE                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $14708.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS INGENIA COMMUNITIES GROUP                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $13720.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS POWERCHIP SEMICONDUCTOR MANUFACTURI                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4.72        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS NAN KANG RUBBER TIRE CO LTD                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1294.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS GEELY AUTOMOBILE HOLDINGS LTD                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $17223.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS CMC MARKETS ORD GBP0.25                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3784.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS AMAERO LTD                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $244.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS NETRONIX INC                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1536.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS APA GROUP                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-6520.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | COREWEAVE INC                                                        | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DE               | CORP              | US        |          40 | NC      | $61200.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS KONINKLIJKE AHOLD DELHAIZE NV                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $12879.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS KALEKIM KIMYEVI MADDELER SANAYI VE TICARET AS                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $6880.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS BEIJER REF AB                                                    | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-17384.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS NKT A/S                                                          | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $27402.29     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS DARBOND TECHNOLOGY CO LTD                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $8832.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS SP GROUP A/S                                                     | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $1767.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS K-FAST HOLDING AB                                                | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-2669.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS IGG INC                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $18170.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS INBODY CO LTD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $7003.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS SOLARIA ENERGIA Y MEDIO AMBIENTE SA                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-94776.24    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BORSE AKTIENGESELLSCHAFT              | DEUTSCHE BANK AG                                                     | CUSIP: 000000000<br>LEI: 529900G3SW56SHYNPR95 | N/A              | DE               | CORP              | DE        |          50 | NC      | $18367.45     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS PEOPLE & TECHNOLOGY INC                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3784.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS LABORATORIOS FARMACEUTICOS ROVI SA                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-14867.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS HENSOLDT AG                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-60942.55    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS BARCLAYS PLC                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $82990.28     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS ASSYSTEM SA                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $5148.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS PORR AG                                                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $17117.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS RIO TINTO PLC                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3673.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS INTERNATIONAL PAPER CO                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-205.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS JAPAN POST BANK CO LTD                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $8040.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS WORKSPACE GROUP PLC                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-37902.97    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON STOCK EXCHANGE PLC                      | BARCLAYS PLC                                                         | CUSIP: 000000000<br>LEI: 213800D1EI4B9WTWWD28 | N/A              | DE               | CORP              | GB        |          66 | NC      | $21186.34     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS KAGOME CO LTD                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-1337.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS MODETOUR NETWORK INC                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3681.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS KEPPEL                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-39724.79    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS JTEKT CORP                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $40544.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS ELIOR GROUP SA                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-56243.32    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                        | TRS GOODBABY INTL HLDGS LTD                                          | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $23268.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS MITSUBISHI PENCIL CO LTD                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $2814.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS FOXTONS GROUP PLC                                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $15068.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS IBSTOCK PLC                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $6018.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS FIRST GEN CORP                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-56.07       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONDON STOCK EXCHANGE PLC                      | BARCLAYS PLC                                                         | CUSIP: 000000000<br>LEI: 213800D1EI4B9WTWWD28 | N/A              | DE               | CORP              | GB        |          91 | NC      | $20909.26     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS AME ELITE CONSORTIUM BHD                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-718.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS MATAS A/S                                                        | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-2119.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS NICHIREKI GROUP CO LTD                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-165.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS KAKAO GAMES CORP                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $32410.22     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS CURRO HOLDINGS LTD                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-12397.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS BB BIOTECH AG                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $69503.95     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS FERGUSON ENTERPRISES INC                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-52608.88    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS VASTNED NV                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $129.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS XPENG INC                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-10845.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS MEIDENSHA CORP                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $23122.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3347.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CBOE GLOBAL MARKETS, INC.                      | BOOZ ALLEN HAMILTON HOLDING CORP                                     | CUSIP: 000000000<br>LEI: 529900RLNSGA90UPEH54 | N/A              | DE               | CORP              | US        |          73 | NC      | $2190.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS MACQUARIE GROUP LTD                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4811.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SIGMA HEALTHCARE LTD                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-182.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS BILLERUD AKTIEBOLAG                                              | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-76461.34    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS ON THE BEACH GROUP PLC                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $89740.94     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS YADEA GROUP HOLDINGS LTD                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-8732.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS HAL TRUST                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $22802.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SCHNEIDER ELECTRIC SE                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $2797.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS OXFORD INSTRUMENTS PLC                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $23379.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS BHG GROUP AB                                                     | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-2698.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS CARNIVAL PLC                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $196257.69    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BORSE AKTIENGESELLSCHAFT              | DEUTSCHE BANK AG                                                     | CUSIP: 000000000<br>LEI: 529900G3SW56SHYNPR95 | N/A              | DE               | CORP              | DE        |          71 | NC      | $19021.42     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SUMITOMO RUBBER INDUSTRIES LTD                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $4920.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS GOLDSUN BUILDING MATERIALS CO LTD                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $6511.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS JIANGSU CHANGSHU RURAL COMMERCIAL BANK CO LTD                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $293.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS PERPETUAL LTD                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-20605.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CHINA ZHESHANG BANK CO LTD                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $4920.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS MAS P.L.C.                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-10795.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS CICOR TECHNOLOGIES LTD                                           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $202.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SODEXO SA                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $10004.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SEGRO PLC                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1347.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS KEPCO ENGINEERING & CONSTRUCTION CO INC                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $10569.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CBOE GLOBAL MARKETS, INC.                      | BOOZ ALLEN HAMILTON HOLDING CORP                                     | CUSIP: 000000000<br>LEI: 529900RLNSGA90UPEH54 | N/A              | DE               | CORP              | US        |          49 | NC      | $2646.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS LOTTE CORP                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $2335.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                      | IRS HUF                                                              | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $-6147.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS GEM CO LTD                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-12879.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS KESKO OYJ                                                        | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $1051.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS YPSOMED HOLDING AG                                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-33299.73    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS ACKERMANS & VAN HAAREN NV                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-47776.89    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS RAINBOW ROBOTICS                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $5237.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS LION TRAVEL SERVICE CO LTD                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3979.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                        | TRS OSAKA TITANIUM TECHNOLOGIES                                      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-37113.78    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS BARITO PACIFIC TBK PT                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2148.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CBOE GLOBAL MARKETS, INC.                      | BOOZ ALLEN HAMILTON HOLDING CORP                                     | CUSIP: 000000000<br>LEI: 529900RLNSGA90UPEH54 | N/A              | DE               | CORP              | US        |          39 | NC      | $3022.50      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS LIONTRUST ASSET MANAGEMENT PLC                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $4688.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS S-1 CORP                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $17422.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SAMSUNG FIRE & MARINE INSURANCE CO LTD                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $892.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS AISAN INDUSTRY CO LTD                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $9906.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS MAAS GROUP HOLDINGS LTD                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-6152.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS STARTIA HOLDINGS INC                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-2290.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS LIVZON PHARMACEUTICAL GROUP INC                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $4121.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ADVANCED INFO SERVICE PCL                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $7116.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS LGMS BHD                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $5289.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS NEOWIZ                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5651.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | ISHARES RUSSELL 2000 ETF                                             | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DE               | CORP              | US        |         261 | NC      | $21924.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SG HOLDINGS CO LTD                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $3140.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS CAMURUS AB                                                       | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-35585.51    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS SAVILLS PLC                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-43788.27    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS FUJI OIL CO LTD                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $386.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS COMPUTER ENGINEERING & CONSULTING LTD                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $5847.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS IS DONGSEO CO LTD                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $645.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS NIPPON SANSO HOLDINGS CORP                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $216.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS HEMNET GROUP AB                                                  | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $15847.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS BETTER COLLECTIVE A/S                                            | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-225.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS TAIWAN STYRENE MONOMER                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1053.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.               | NASDAQ 100 E-MINI                                                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               | CORP              | US        |          26 | NC      | $505817.58    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS DERWENT LONDON PLC                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $32927.30     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                        | TRS MRMAX HOLDINGS LTD                                               | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $4831.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS KINNEVIK AB                                                      | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-23888.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS JIANGSU EXPRESSWAY CO LTD                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $4619.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS MERLIN PROPERTIES SOCIMI SA                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-65996.11    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS HAPPINET CORP                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $28768.88     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CHANGGAO ELECTRIC GROUP CO LTD                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-472.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS EVOTEC SE                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-7730.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS BLUESCOPE STEEL LTD                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1616.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS ZIGEXN CO LTD                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $17307.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.               | S&P500 EMINI                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               | CORP              | US        |          68 | NC      | $992120.11    | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS GRIEG SEAFOOD ASA                                                | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-22637.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS NRW HOLDINGS LTD                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $60628.21     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS LIFE CORP                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $25724.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS AMEDEO AIR FOUR PLUS LTD                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $34250.99     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS INWIDO AB                                                        | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $297.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS NEWBORN TOWN INC                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $38839.63     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CTOS DIGITAL BHD                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-153.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SERAKU CO LTD                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $2122.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS BEFESA SA                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-40066.17    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS KEIO CORP                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $197.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                             | FTSE 100 INDEX                                                       | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DE               | CORP              | GB        |         -35 | NC      | $-52519.90    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS HALLENSTEIN GLASSONS HLDGS                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $932.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS ROCHE HOLDING AG                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $16371.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS GURIT HOLDING AG                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $821.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS BOSS ENERGY LTD                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $34616.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS METROPOLE TELEVISION SA                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4423.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS TRITAX BIG BOX REIT PLC ORD                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $974.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS LOTUS RESOURCES LTD                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4969.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS KANAMOTO CO LTD                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $7914.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                        | TRS TAKE & GIVE NEEDS CO                                             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2316.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                      | IRS USD                                                              | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $13465.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIAN SECURITIES EXCHANGE TRADE24         | AUST 10Y BOND                                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | AU        |          45 | NC      | $-11765.73    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS BEKAERT SA                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $33171.18     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS NORTH-STAR INTERNATIONAL CO LTD                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $7575.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS FUJI OIL CO LTD /OSAKA                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-21943.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS OMNI BRIDGEWAY LTD                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-9732.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS TRATON SE                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3877.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS DAIHANPHARM                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3369.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ISOTEAM LTD                                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1526.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SEEK LTD                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-22868.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS BERGMAN & BEVING AB                                              | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-4209.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CHINA MOTOR CORP                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $4817.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.             | GASOLINE RBOB                                                        | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |           8 | NC      | $4986.36      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SPIDERPLUS & CO                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $5754.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS BRICKWORKS LTD                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5211.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS SUNRISE COMMUNICATIONS AG                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-10312.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS PROSEGUR                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-391.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS DAIWABO HOLDINGS CO LTD                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $20094.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS COLOPLAST A/S                                                    | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $28341.82     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS BANKINTER SA                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-164091.65   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS BOLIDEN AB                                                       | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $6050.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS INSIGNIA FINANCIAL LTD                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-26070.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS G8 EDUCATION LTD                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-50531.28    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-238.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-6722.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.    | WHEAT (CBT)                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |         -39 | NC      | $69800.57     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS HANNSTAR DISPLAY CORP                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3376.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CLINUVEL PHARMACEUTICALS LTD                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3183.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS RELO GROUP INC                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $953.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS VALEO SE                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $31282.65     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS CITIC TELECOM INTERNATIONAL HOLDINGS LTD                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-10608.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS DOWNER EDI LTD                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $12993.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CCC SA                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $3592.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS NEOBO FASTIGHETER AB                                             | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-2823.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                        | TRS AUTOBACS SEVEN CO                                                | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2017.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS DASSAULT AVIATION SA                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1770.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT              | EURO STOXX 50                                                        | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               | CORP              | DE        |          24 | NC      | $-6395.99     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS WASCO BHD                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-539.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS MONAYONGPYONG                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1652.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS AMPLIFON SPA                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $13112.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS TKP CORP                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-9341.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS PIAGGIO & C SPA                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-23928.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ZHEJIANG CHINT ELECTRICS CO LTD                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $22056.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS KUREHA CORP                                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-29504.91    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS UNICREDIT SPA                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $93015.34     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS KOREA ELECTRIC POWER CORP                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4290.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SITRONIX TECHNOLOGY CORP                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1064.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.    | US LONG BOND(CBT)                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |           8 | NC      | $1062.19      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS CPI EUROPE AG                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $1899.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS BNP PARIBAS SA                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $60029.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS CSSC HONG KONG SHIPPING CO LTD                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-4587.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS HAYS PLC                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $5970.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS STX ENGINE CO LTD                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-22833.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SOLUM CO LTD                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3316.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION      | TRS KION GROUP AG                                                    | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3635.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS AUTO TRADER GROUP PLC                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $792.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                 | TRS CIFXCADM                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DE               | CORP              | US        |           1 | NC      | $-55093.83    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS NEXTAGE CO LTD                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-14440.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.    | US 10YR NOTE (CBT)                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -11 | NC      | $-3864.44     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS ID HOLDINGS CORP                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-329.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS JENOPTIK AG                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $12473.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS NOTE INC                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $2280.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS CYFROWY POLSAT SA                                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-17257.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS MBSB BHD                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1167.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS MLP SE                                                           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-12391.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS ELISA OYJ                                                        | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $3456.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS PROXIMUS SADP                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-16674.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS VOLATI AB                                                        | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $1986.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS NINGBO TUOPU GROUP CO LTD                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $49829.42     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.    | US 2YR NOTE (CBT)                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -316 | NC      | $-53780.41    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SANTEN PHARMACEUTICAL CO LTD                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-7575.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS GRAINCORP LTD                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1554.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS AXIAL RETAILING INC                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $1613.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS SM INVESTMENTS CORPORATION                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $276.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS TAURON POLSKA ENERGIA SA                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $166720.44    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                      | IRS CZK                                                              | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $10060.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SOLASIA PHARMA KK                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-3901.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS TAKAOKA TOKO CO LTD                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $27385.16     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS TOKMANNI GROUP OYJ                                               | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-97.80       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS ORIENTAL LAND CO LTD/JAPAN                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-10028.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OSAKA EXCHANGE,INC                             | TOPIX INDX                                                           | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DE               | CORP              | JP        |          14 | NC      | $180467.77    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SUBARU CORP                                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $18121.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS MPC CONTAINER SHIPS ASA                                          | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $6269.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS ASPEN PHARMACARE HOLDINGS LTD                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $85513.39     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS KGI FINANCIAL HOLDING CO LTD                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-8145.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS SHIEH YIH MACHINERY INDUSTRY CO                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1554.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS BURKHALTER HOLDING AG                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $27944.62     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS ORIOLA OYJ                                                       | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $2186.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS COMET HOLDING AG                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $15981.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS SLEEP CYCLE AB                                                   | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-9916.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS AMPLITUDE ENERGY LTD                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-14531.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.    | SOYBEAN MEAL                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |         -24 | NC      | $17049.35     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS JINXIN FERTILITY GROUP LTD                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $2550.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS KOSE CORP                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-277.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS QUANG VIET ENTERPRISE CO LTD                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $2874.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS WEST HOLDINGS CORP                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-4977.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS SENIOR PLC                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2943.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.               | IRS MXN                                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $15269.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS DEVELOP GLOBAL LTD                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $9651.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS ALLREAL HOLDING AG                                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-7405.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS KRONES AG                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $36051.26     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS YANKUANG ENERGY GROUP CO LTD                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-316.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COMMODITY EXCHANGE, INC.                       | SILVER                                                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              | CORP              | US        |           5 | NC      | $41998.40     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS HUAKU DEVELOPMENT CO LTD                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $3269.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS KEIKYU CORP                                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-2997.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS H LUNDBECK A/S                                                   | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $4441.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ONE ENTERPRISE PUBLIC CO LTD/THE                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $479.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION      | TRS AROUNDTOWN SA                                                    | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $143159.77    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                        | TRS ISHIHARA SANGYO KAISHA                                           | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $14123.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS TAKARA LEBEN REAL ESTATE INVESTMENT CORP                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-358.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS SOCIAL HOUSING REIT PLC                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $15121.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS PROSEGUR CASH SA                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2512.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS BORREGAARD ASA                                                   | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-5882.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.               | 3 MONTH SOFR                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        -185 | NC      | $-96610.99    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                        | TRS FUTABA INDUSTRIAL CO                                             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $33442.27     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS KEMIRA OYJ                                                       | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-12665.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS HARVIA OYJ                                                       | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $20773.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS CITYCON OYJ                                                      | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-4830.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS AMPER SA                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1524.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS INFOMINA BHD                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-6018.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS GECINA SA                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $4825.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS KPJ HEALTHCARE BHD                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1950.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS LEGRAND SA                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-15670.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS MALAYAN BANKING BHD                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1553.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                             | 3MTH SONIA                                                           | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |         -14 | NC      | $7278.39      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS HIWIN TECHNOLOGIES CORP                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $3865.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS MAKALOT INDUSTRIAL CO LTD                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $552.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS RIETER HOLDING AG                                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $844.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS ARCELIK AS                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $6782.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION      | TRS AALBERTS N.V.                                                    | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1300.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION      | TRS MOBIMO HOLDING AG                                                | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-32.47       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SK BIOPHARMACEUTICALS CO LTD                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2620.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS GROUPE BRUXELLES LAMBERT NV                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-61355.17    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS NITTOKU CO LTD                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $41.90        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SARTORIUS STEDIM BIOTECH                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-16704.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-210.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                         | SUGAR #11 (WORLD)                                                    | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |         -65 | NC      | $10698.77     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS VAUDOISE ASSURANCES HOLDING SA                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $27717.86     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS IG DESIGN GROUP PLC                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-25149.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ACCOR SA                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $8562.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS AYALA LAND INC                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-8639.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS CIE AUTOMOTIVE SA                                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-17635.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS CHINA MENGNIU DAIRY CO LTD                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-4411.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS CHINA MERCHANTS PORT HOLDINGS CO LTD                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-1818.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS CD PROJEKT SA                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-138348.27   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS CHINA OVERSEAS PROPERTY HOLDINGS LTD                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-2371.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS QORIA LTD                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-43828.73    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.    | SOYBEAN                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |         -52 | NC      | $-17630.02    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS HTC CORP                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-117645.42   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS DONGWON INDUSTRIES CO LTD                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1157.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS MIDAC HOLDINGS CO LTD                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $1135.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS NIO INC                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-116952.77   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS CURRYS PLC                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $73244.02     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS CTP NV                                                           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-8547.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS ENI SPA                                                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-38934.78    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS M3 TECHNOLOGY INC                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $2144.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ECLAT TEXTILE CO LTD                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1332.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS INARI AMERTRON BHD                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1167.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT              | EURO-BUND                                                            | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |         152 | NC      | $-226272.96   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS UNITED ENERGY GROUP LTD                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $10614.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS TRIPOD TECHNOLOGY CORP                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $34595.55     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS ENTRA ASA                                                        | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-4680.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS BULTEN AB                                                        | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-9351.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION          | IRS USD                                                              | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              | CORP              | US        |           1 | NC      | $103841.57    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS COSCO SHIPPING PORTS LTD                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-3585.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS AFRIMAT LTD                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $32901.17     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS SCATEC ASA                                                       | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-3822.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS PORT OF TAURANGA LTD                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2338.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS EAST WEST BANKING CORP                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $44.84        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.               | E-MINI RUSS 2000                                                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               | CORP              | US        |          16 | NC      | $49886.40     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS SPIRAX GROUP PLC                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $30466.30     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS ECORA RESOURCES PLC                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5583.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ZHONGTAI SECURITIES CO LTD                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-7993.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS PARTRON CO LTD                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2871.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS PIRELLI & C SPA                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5515.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS NFORCE SECURE PCL                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $2409.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SHENZHEN EXPRESSWAY CORP LTD                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-4601.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS DYNAVOX GROUP AB                                                 | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-38.33       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS AUB GROUP LTD                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $5629.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS RINGKJOEBING LANDBOBANK A/S                                      | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-41609.02    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                             | LOW SU GASOIL G                                                      | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |          22 | NC      | $24742.40     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SHENERGY CO LTD                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3958.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS KUBELL CO LTD                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-583.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS GESTAMP AUTOMOCION SA                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $20429.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS DUSTIN GROUP AB                                                  | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-21467.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CELCOMDIGI BHD                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $733.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS OSCOTEC INC                                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-12051.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS POCO ORD                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $33058.53     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CGN POWER CO LTD                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1349.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.               | IRS BRL                                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $5568.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SAN FU CHEMICAL CO LTD                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-608.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                             | COCOA - IC                                                           | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |           2 | NC      | $-4394.60     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS LINDAB INTERNATIONAL AB                                          | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-5342.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                        | TRS FUJICCO CO LTD                                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-697.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CHUNG HUNG STEEL CORP                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5187.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS LENZING AG                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-8586.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.               | IRS BRL                                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $-56631.52    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS GA TECHNOLOGIES CO LTD/JAPAN                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $55705.78     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS DFI RETAIL GROUP HOLDINGS LTD                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $32386.24     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS DAVIDE CAMPARI-MILANO NV                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-50405.63    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS NETWEALTH GROUP LTD                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $8600.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS SCHIBSTED ASA                                                    | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-82297.90    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT              | EURO-BOBL                                                            | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |         306 | NC      | $-199064.86   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS NSL FOODS PCL                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $943.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS ADASTRIA CO LTD                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $9071.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS HOWDEN JOINERY GROUP PLC                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $8426.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS BE GROUP AB                                                      | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-14064.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS GREATLAND RESOURCES LTD                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-150333.62   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS WE BUY CARS HOLDINGS LTD                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1900.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS HIMALAYA SHIPPING LTD                                            | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-8356.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS GIFT HOLDINGS INC                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $1376.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS BANGKOK DUSIT MEDICAL SERVICES                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $122.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS CA IMMOBILIEN ANLAGEN AG                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-27173.95    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| OSAKA EXCHANGE,INC                             | NIKKEI 225 (OSE)                                                     | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DE               | CORP              | JP        |           1 | NC      | $2514.17      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS GEMTEK TECHNOLOGY CORP                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-9899.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS TRUWORTHS INT LTD                                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $1797.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS DR. MARTENS PLC                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $54568.93     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS JYP ENTERTAINMENT CORP                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $2420.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS HUMAN HOLDINGS CO LTD                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $2109.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CHORUS LTD                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5352.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS JACQUET METALS SACA                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $471.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS BANK MILLENNIUM SA                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-106519.59   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS FUSHENG PRECISION CO LTD                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-19769.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS ADVANCED MEDIA INC                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-461.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.             | NATURAL GAS                                                          | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |         -22 | NC      | $-7235.92     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS NISHIMATSU CONSTRUCTION CO LTD                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-2244.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                      | IRS HUF                                                              | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $18118.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS M&A RESEARCH INSTITUTE HOLDINGS INC                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-2949.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SOLVAR LTD                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $613.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS ITMEDIA INC                                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-2151.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS GEBERIT AG                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-35509.19    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                        | TRS TOKYO KEIKI INC                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1102.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS LOOMIS AB                                                        | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $13944.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS UBE CORP                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-3917.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS E.SUN FINANCIAL HOLDING CO LTD                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2942.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE LONDON METAL EXCHANGE                      | LME ZINC                                                             | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              | CORP              | GB        |           4 | NC      | $-1469.00     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS NEINOR HOMES, S.A.                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-17015.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ILJIN HYSOLUS CO LTD                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1937.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CAR GROUP LTD                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-13890.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS TERVEYSTALO OYJ                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-15260.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS LA FRANCAISE DE L'ENERGIE SACA                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $1836.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS PANDOX AB                                                        | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $1933.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS COWINTECH CO LTD                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-36.51       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS OCADO GROUP PLC                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-30229.17    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS E-MART INC                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-21752.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS BENETEAU SACA                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-14598.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-18.01       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE LONDON METAL EXCHANGE                      | LME ZINC                                                             | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              | CORP              | GB        |           9 | NC      | $14848.25     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS WAVESTONE                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1448.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION      | TRS ARYZTA AG                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $7423.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS PANTHEON INFRASTRUCTURE PLC                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $26111.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS SNAM SPA                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-35249.57    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS INFRATIL LTD                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-20580.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS VISCO VISION INC                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $8951.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                        | TRS TOHO TITANIUM CO                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-17560.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS THAIFOODS GROUP PCL                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $18592.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS TA YA ELECTRIC WIRE & CABLE                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3251.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS AECI LTD                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $10808.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THE LONDON METAL EXCHANGE                      | LME ZINC                                                             | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              | CORP              | GB        |          -9 | NC      | $-11858.75    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS DEXUS CONVENIENCE RETAIL REIT                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1062.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS GENIANS INC                                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-289.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS AXA SA                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $18044.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                        | TRS TEIKOKU ELECTRIC MFG                                             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $771.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CONVERGE INFORMATION AND COMMUNICATIONS TECHNOLOGY SOLUTIONS INC | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-15278.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS GAMUDA BHD                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-18470.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS INVESTMENT AB LATOUR                                             | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $35767.51     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS HMM CO LTD                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $2913.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CIPUTRA DEVELOPMENT TBK PT                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1390.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS NIPPON CONCRETE INDUSTRIES CO LTD                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-223.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE LONDON METAL EXCHANGE                      | LME COPPER                                                           | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              | CORP              | GB        |           5 | NC      | $13324.50     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS IDOX PLC                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $2784.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS HAMAMATSU PHOTONICS KK                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $4551.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS LEM HOLDING SA                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $25787.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS GENIUS ELECTRONIC OPTICAL CO LTD                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $6069.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS AVI LTD                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $1588.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS POWERLONG COMMERCIAL MANAGEMENT HOLDINGS LTD                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $40.19        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS REMY COINTREAU SA                                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $91940.84     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                        | TRS SANKO GOSEI LTD                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $17775.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS GAZPROM PJSC                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-0.17        | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS GLOBAL ONE REAL ESTATE INVESTMENT CORP                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $6711.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THE LONDON METAL EXCHANGE                      | LME COPPER                                                           | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              | CORP              | GB        |          -2 | NC      | $-7454.75     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS NATIONAL AUSTRALIA BANK LTD                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-9983.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS LONKING HOLDINGS LTD                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $22696.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                      | IRS HUF                                                              | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $6978.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS YUBICO AB                                                        | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $23485.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS SUN YAD CONSTRUCTION CO LTD                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $6532.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS WA1 RESOURCES LTD                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-15146.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS CREDIT AGRICOLE                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4644.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                        | TRS NIPPON CARBON CO                                                 | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1672.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS INFICON HOLDING AG                                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $1984.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS FLUGHAFEN ZURICH AG                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-47955.65    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| THE LONDON METAL EXCHANGE                      | LME COPPER                                                           | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              | CORP              | GB        |           7 | NC      | $55601.25     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS AAK AB                                                           | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-3878.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS HYPOPORT SE                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $22426.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS MISUMI GROUP INC                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-1057.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS NOROOHOLDINGS                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $11188.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS TBS HOLDINGS INC                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-6494.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS DISTRIBUIDORA INTERNACIONAL DE ALIMENTACION SA                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $21360.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SAMART AVIATION SOLUTIONS PCL                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $251.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS UNIVERSAL VISION BIOTECHNOLOGY CO LTD                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-17794.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS JTC PLC                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-105692.96   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CALIX LTD                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3752.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE LONDON METAL EXCHANGE                      | LME COPPER                                                           | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              | CORP              | GB        |          -7 | NC      | $-13240.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ZYXEL GROUP CORP                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-11605.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS MELROSE INDUSTRIES PLC                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-49489.91    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS PANDORA A/S                                                      | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-45470.97    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ZHENGZHOU COAL MINING MACHINERY GROUP CO LTD                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $14291.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS YIHAI INTERNATIONAL HOLDING LTD                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-1400.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS RIO TINTO LTD                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $14976.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS BURFORD CAPITAL LTD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-649.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS MACMAHON HOLDINGS LTD                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $40880.16     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS NIOX GROUP PLC                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $8751.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS BURCKHARDT COMPRESSION HOLDING AG                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-314.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE LONDON METAL EXCHANGE                      | LME PRI ALUM                                                         | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              | CORP              | GB        |           7 | NC      | $1569.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS POWSZECHNA KASA OSZCZEDNOSCI BANK POLSKI SA                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $31500.49     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS TAYLOR WIMPEY PLC                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $5977.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                        | TRS QUICK CO LTD                                                     | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $1018.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS LIFESTYLE COMMUNITIES LTD                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $10714.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS ENIGMO INC                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-682.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS SOFTWAREONE HOLDING AG                                           | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $207639.79    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CTCI CORP                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-12137.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS LIANSON FLEET GROUP BHD                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5853.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS UNITED SUPER MARKETS HOLDINGS INC                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-4566.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS HD HYUNDAI ENERGY SOLUTIONS CO LTD                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5705.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE LONDON METAL EXCHANGE                      | LME PRI ALUM                                                         | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              | CORP              | GB        |          10 | NC      | $24861.50     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS TRYG A/S                                                         | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-15993.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SHIN YANG GROUP BHD                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-345.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS INTESA SANPAOLO SPA                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $45283.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS KIA CORP                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $6836.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS CREST NICHOLSON HOLDINGS PLC                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $20629.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS FERRETTI SPA                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-16129.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CUB ELECPARTS INC                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-48321.35    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS TINEXTA SPA                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-140859.00   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS THAI BEVERAGE PCL                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $334.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS TRIPUTRA AGRO PERSADA PT                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $11642.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THE LONDON METAL EXCHANGE                      | LME PRI ALUM                                                         | CUSIP: 000000000<br>LEI: 213800NB8G5VRT1DXC91 | N/A              | DCO              | CORP              | GB        |         -10 | NC      | $-7991.25     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS NP3 FASTIGHETER AB                                               | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $7818.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS HELIA GROUP LTD                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $8476.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS TATE & LYLE PLC                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1088.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS BKW AG                                                           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $311.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS SFS GROUP AG                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-21.07       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS QT GROUP OYJ                                                     | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $6591.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS CONTINENTAL AG                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $49036.45     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS WUXI RURAL COMMERCIAL BANK CO LTD                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1704.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS SIKA AG                                                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $3011.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS SMITHS GROUP PLC                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $2360.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.    | KC HRW WHEAT                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |         -74 | NC      | $69114.22     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION      | TRS ADIDAS AG                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-30163.44    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS DKSH HOLDING AG                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $12450.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                        | TRS SIIX CORP                                                        | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $22055.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS TRAINLINE PLC                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-247.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS WONDERFUL HI-TECH CO LTD                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $15308.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS BASIC-FIT NV                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-65741.34    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS KERRY GROUP PLC                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $11850.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS BREMBO NV                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-790.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS PPB GROUP BHD                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $3181.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS FINECOBANK BANCA FINECO SPA                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-55684.57    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $156.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                         | COFFEE 'C'                                                           | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |           5 | NC      | $123754.10    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CHONGQING MILLISON TECHNOLOGIES INC                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-130.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS DEEP YELLOW LTD                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5681.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS VECTOR INC                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $11771.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS VINA TECH CO LTD                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-8558.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS RIKEN TECHNOS CORP                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $5561.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS PIOLAX INC                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-58.20       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS SALMAR ASA                                                       | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-17309.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS GMO INTERNET GROUP INC                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $19378.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION      | TRS CARE PROPERTY INVEST NV                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $3940.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS IPS INC                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-35147.97    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| OSAKA EXCHANGE,INC                             | JAPAN 10Y BOND(OSE)                                                  | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              | CORP              | JP        |           2 | NC      | $-12755.63    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS HEXAGON AB                                                       | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $1518.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS NORDEX SE                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $99552.49     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CHENGDU HONGQI CHAIN CO LTD                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $4556.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS UT GROUP CO LTD                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $10322.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS CTS EVENTIM AG & CO KGAA                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-23613.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS NILORNGRUPPEN AB                                                 | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-2349.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS HUNAN YUNENG NEW ENERGY BATTERY MATERIAL CO LTD                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1933.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS TELEFONAKTIEBOLAGET LM ERICSSON                                  | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-32859.39    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS NIPPON DRY-CHEMICAL CO LTD                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $33771.35     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION          | TRS ENGIE SA                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DE               | CORP              | US        |           1 | NC      | $-65445.05    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.             | NY HARB ULSD                                                         | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |          14 | NC      | $16955.86     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS JAPFA COMFEED INDONESIA TBK PT                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $3530.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS PETER WARREN AUTOMOTIVE HOLDINGS LTD                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5791.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS TOKYO TATEMONO CO LTD                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-4773.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS PAGEGROUP PLC                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $3832.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS PETRONAS GAS BHD                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4436.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS VIENNA INSURANCE GROUP AG WIENER VERSICHERUNG GRUPPE             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $26691.17     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS MANDATUM OYJ                                                     | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-10577.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS WHITBREAD PLC                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-15345.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS LG ENERGY SOLUTION LTD                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $10253.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS M&G PLC                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-25874.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HONG KONG FUTURES EXCHANGE                     | HANG SENG INDEX                                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               | CORP              | HK        |          32 | NC      | $-126719.67   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS MUENCHENER RUECKVERSICHERUNGS-GESELLSCHAFT AG IN MUENCHEN        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3803.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS UCHI TECHNOLOGIES BHD                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-381.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS JB HI-FI LTD                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $11103.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS BPOST SA                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $286.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                        | TRS NAGAILEBEN CO                                                    | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $2368.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS FACC AG                                                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-772.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS PERAK TRANSIT BHD                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $183.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS DOWA HOLDINGS CO LTD                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-9151.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS SM PRIME HOLDINGS, INC.                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3421.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS KONOIKE TRANSPORT CO LTD                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $37946.34     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT              | DAX INDEX                                                            | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               | CORP              | DE        |           4 | NC      | $45423.40     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS EML PAYMENTS LTD                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $191.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS TUI AG                                                           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $93736.35     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS INFORMA PLC                                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-7685.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS STANDARD CHARTERED PLC                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $82093.00     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS PARTNERS GROUP HOLDING AG                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-23466.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS ANEST IWATA CORP                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $7504.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS FIRST PACIFIC CO LTD                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $6683.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS NOK CORP                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $19827.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS NHK SPRING CO LTD                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-532.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS AIRASIA X BHD                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $238.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                             | LONG GILT                                                            | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |          60 | NC      | $8298.76      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS DIC CORP                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $18611.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS JINAN ACETATE CHEMICAL CO LTD                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-38809.86    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS SEVERN TRENT PLC                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-102.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS WIZZ AIR HOLDINGS PLC                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $7883.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS CAPITA PLC                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $9408.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS ASIA PILE HOLDINGS CORP                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $17181.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS COMFORTDELGRO CORP LTD                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $533.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS CYBERDYNE INC                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-15192.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SUNGEEL HITECH CO LTD                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1178.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS GIFTEE INC                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $11085.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.    | US 5YR NOTE (CBT)                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -188 | NC      | $-57822.13    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS PUBLIC BANK BHD                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $83.79        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS RISO KYOIKU CO LTD                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $188.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS BIOARCTIC AB                                                     | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-29675.76    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS FAR EAST HOSPITALITY TRUST                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3151.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CLOSE BROTHERS GROUP PLC                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-43316.76    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS FREEBIT CO LTD                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $8808.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION      | TRS ANDRITZ AG                                                       | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $2292.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS BARCO NV                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $564.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS OUTSURANCE GROUP LTD                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-58485.46    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS MAOYAN ENTERTAINMENT                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $131.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                             | 3MO EURO EURIBOR                                                     | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |          90 | NC      | $-10469.24    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS DYNAMIC HOLDING CO LTD                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-36499.76    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS WARTSILA OYJ ABP                                                 | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $49741.54     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS SEVERN TRENT PLC                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3463.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.               | IRS BRL                                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $14894.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS LENDLEASE REIT                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-23299.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS HIAG IMMOBILIEN HOLDING AG                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $17375.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS JETEMA CO LTD                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1303.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS CSPC PHARMACEUTICAL GROUP LTD                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-31229.39    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS BHP GROUP LTD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2650.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS VITZROCELL CO LTD                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3425.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                         | DOLLAR INDEX                                                         | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DFE              | CORP              | US        |          -3 | NC      | $1823.49      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS STARHUB LTD                                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-890.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SUMBER ALFARIA TRIJAYA TBK PT                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $7032.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS BUMHAN FUEL CELL CO LTD                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3272.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS TALANX AG                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $56824.07     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS EUROCASH SA                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $3515.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS PREMIER INVESTMENTS LTD                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-918.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS LINDE PLC                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-13129.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS EUGLENA CO LTD                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-4813.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS REDCARE PHARMACY NV                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $52661.10     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS HORIZON OIL LTD                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $3477.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT              | EURO-SCHATZ                                                          | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |         134 | NC      | $-53605.83    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CHINA AIRLINES LTD                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3817.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS SOLVAY SA                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-12540.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS MTR CORP LTD                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $5832.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS BORUSSIA DORTMUND GMBH & CO KGAA                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-16151.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS COINSHARES INTERNATIONAL LTD                                     | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-1234.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS BAOWU MAGNESIUM TECHNOLOGY CO LTD                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5707.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS MITSUI & CO LTD                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-17962.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS JAPAN HOSPICE HOLDINGS INC                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-7155.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS KRUK SA                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-16383.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CHINA MERCHANTS PORT GROUP CO LTD                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-21594.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-31.58       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.    | DJIA MINI E-CBOT                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DE               | CORP              | US        |           5 | NC      | $16099.50     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ANHUI CONCH CEMENT CO LTD                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $2783.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS 104 CORP                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $5.26         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS VOSSLOH AG                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $1730.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS HUNTING PLC                                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $95.75        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS NIBE INDUSTRIER AB                                               | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $25603.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS PEPCO GROUP NV                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $74501.28     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS GJENSIDIGE FORSIKRING ASA                                        | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-28035.10    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS HANA FINANCIAL GROUP INC                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3255.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS A-LIVING SMART CITY SERVICES CO LTD                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $1753.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION      | TRS EMMI N                                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $624.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                         | COTTON NO.2                                                          | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |          -7 | NC      | $4424.14      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS COFCO JOYCOME FOODS LTD                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-21503.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS FRAPORT AG FRANKFURT AIRPORT SERVICES WORLDWIDE                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-99333.83    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS HUGEL INC                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-29396.67    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS PARATUS ENERGY SERVICES LTD                                      | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-6151.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS JINS HOLDINGS INC                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $765.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS RHI MAGNESITA NV                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-23735.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS STARHILL GLOBAL REIT                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $7094.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION      | TRS JPUSFLOW INDEX                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-46760.84    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SSY GROUP LTD                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-2164.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS MOSA INDUSTRIAL CORP                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2640.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                             | BRENT CRUDE                                                          | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |          16 | NC      | $19172.82     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                        | TRS SINKO INDUSTRIES LTD                                             | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2314.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS RAINBOW TOURS SA                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $68588.41     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS EPIROC AB                                                        | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $12273.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SHOEI CO LTD                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-4212.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS BIG YELLOW GROUP PLC                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $4181.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS ENERGIEKONTOR AG                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $1637.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS GREATEK ELECTRONICS INC                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $305.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CHINA SUNSINE CHEMICAL HOLDINGS LTD                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $6183.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS SOGEFI SPA                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $49002.05     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                        | TRS PILLAR CORPORATION                                               | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5526.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MONTREAL EXCHANGE INC.                         | CAN 10YR BOND                                                        | CUSIP: 000000000<br>LEI: 549300DKBYNOI0B1NP44 | N/A              | DIR              | CORP              | CA        |          33 | NC      | $15488.29     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS WUXI BIOLOGICS CAYMAN INC                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $4301.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SHIZUOKA FINANCIAL GROUP INC                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $10706.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS NOVA TECHNOLOGY CORP/TAIWAN                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $34896.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS HITO COMMUNICATIONS HOLDINGS INC                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $4919.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS DIALOG GROUP BHD                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-30455.04    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS AIXTRON SE                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-15956.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION      | TRS GRENKE AG                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $4020.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS VENTURE LIFE GROUP PLC                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $12088.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS SVENSKA CELLULOSA AB SCA                                         | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $13058.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS GETINGE AB                                                       | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $18142.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EURONEXT PARIS SA                              | CAC40 10 EURO                                                        | CUSIP: 000000000<br>LEI: 969500HMVSZ0TCV65D58 | N/A              | DE               | CORP              | FR        |          18 | NC      | $-24019.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS                                    | TRS ENHACAT5 INDEX                                                   | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DE               | CORP              | FR        |           1 | NC      | $198560.72    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SAMSUNG SDI CO LTD                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-11466.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS METSA BOARD OYJ                                                  | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $18565.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS KOSAIDO HOLDINGS CO LTD                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $5350.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS METALL ZUG AG                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $1700.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS INDOFOOD CBP SUKSES MAKMUR TBK PT                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1686.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS SATS ASA                                                         | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $20772.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS ITV PLC                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-15675.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS TOTALENERGIES                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $5805.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS FORFARMERS NV                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $21183.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.    | CORN                                                                 | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |         -97 | NC      | $71818.05     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CONTINENTAL HOLDINGS CORP                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $3291.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS HUSQVARNA AB                                                     | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $22229.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SINGAPORE POST LTD                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $53418.04     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS IBIDEN CO LTD                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-6363.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS RURAL FUNDS TRUST                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-10402.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS GOTO GOJEK TOKOPEDIA TBK                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $2796.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS FOOSUNG CO LTD                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-8809.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS KOMEDA HOLDINGS CO LTD                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-1500.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS ALMIRALL SA                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-52516.42    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS MITRA PINASTHIKA MUSTIKA TBK PT                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-89.45       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.    | SOYBEAN OIL                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |           9 | NC      | $-11671.65    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS FORVIA SE                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $83606.34     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SHANDONG WIT DYNE HEALTH CO LTD                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $2973.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS COCA-COLA HBC AG                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $26802.17     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS EDREAMS ODIGEO SA                                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-24726.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SKY NETWORK TELEVISION LTD                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $3798.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS CRH ORD EUR 0.32 (DI)                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-31285.27    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                        | TRS SHIMA SEIKI MFG                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-21198.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SHARINGTECHNOLOGY INC                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $4423.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS AUST AG CO FPO                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-436.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS LAKE MATERIALS CO LTD                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1668.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SINGAPORE EXCHANGE LIMITED                     | 10YR MINI JGB                                                        | CUSIP: 000000000<br>LEI: 549300IQ650PPXM76X03 | N/A              | DIR              | CORP              | SG        |          14 | NC      | $-8920.87     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS TOYOTA BOSHOKU CORP                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $25196.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS SIEMENS ENERGY AG                                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-127359.10   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS INTERCONTINENTAL HOTELS GROUP ORD                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1944.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS EVA PRECISION INDUSTRIAL HOLDINGS LTD                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $8409.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS TAIWAN MOBILE CO LTD                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $8447.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS IYOGIN HOLDINGS INC                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $60590.87     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS TIKEHAU CAPITAL SCA                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $2255.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SBI ARUHI CORP                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-3880.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS DIGITAL VALUE SPA                                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $28327.74     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS LBS BINA GROUP BHD                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $151.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-653.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS YU GROUP PLC                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $13303.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS BANCO DE SABADELL SA                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $52550.95     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS AUDAX RENOVABLES SA                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5371.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS YULON FINANCE CORP                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $315.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS CARMILA SA                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $17298.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS TECHNOGYM SPA                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $128345.13    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS EO TECHNICS CO LTD                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-26628.50    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS PERENTI LTD                                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $125680.41    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ACERINOX SA                                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $5768.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS STORYTEL AB                                                      | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-30481.10    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-250.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS ESSITY AB                                                        | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $333.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS BLUE MOON GROUP HOLDINGS LTD                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $19825.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS VOLVO AB                                                         | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $1206.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SENSHU ELECTRIC CO LTD                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $5740.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS BENDIGO & ADELAIDE BANK LTD                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5289.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS GENOHCO INC                                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $2817.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS HOLCIM AG                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-30604.56    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS KE HOLDINGS INC                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $2905.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS INDUSTRIA DE DISENO TEXTIL SA                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $26241.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS PEIJIA MEDICAL LTD                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-7104.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-54.28       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-60.59       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS SWISSCOM AG                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-38302.37    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS HARBIN ELECTRIC CO LTD                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $20576.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS TUAS LTD                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-13101.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS NIPPON CARBIDE INDUSTRIES CO INC                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $5103.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS HISENSE HOME APPLIANCES GROUP CO LTD                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $4169.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SYARIKAT TAKAFUL MALAYSIA KELUARGA BHD                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $4907.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.               | IRS MXN                                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $19568.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS MINOR INTERNATIONAL PCL                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1069.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS LANDMARK OPTOELECTRONICS CORP                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-8556.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS AFRY AB                                                          | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $872.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1469.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS BERMAZ AUTO BHD                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $189.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS UNIQA INSURANCE GROUP AG                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-51571.51    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SMARTGROUP CORP LTD                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $43580.13     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS HAITIAN INTERNATIONAL HOLDINGS LTD                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-4096.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS QINETIQ GROUP PLC                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4875.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS TIANGONG INTERNATIONAL CO LTD                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-15545.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS TAIWAN SURFACE MOUNTING TECHNOLOGY CORP                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-9766.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS IGB REAL ESTATE INVESTMENT TRUST                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $394.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS FINTEL PLC                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $13111.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS YAMAZAKI BAKING CO LTD                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $5974.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-62.17       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS MOLTIPLY GROUP SPA                                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-40131.73    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS BANK CENTRAL ASIA TBK PT                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $7487.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.               | IRS MXN                                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $25670.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS WEBUILD SPA                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $75428.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS 3I GROUP PLC                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $7252.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ZHONG YANG TECHNOLOGY CO LTD                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $2169.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS PAVILION REAL ESTATE INVESTMENT TRUST                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $3594.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS IJM CORP BHD                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2504.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS HIKMA PHARMACEUTICALS PLC                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-13021.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS BANCO BILBAO VIZCAYA ARGENTARIA SA                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $24863.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $4071.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS PHARMARON BEIJING CO LTD                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $8854.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS XINYI GLASS HOLDINGS LTD                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-17077.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS PROPEL FUNERAL PARTNERS LTD                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-14950.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS BARRATT REDROW PLC                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $44227.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS RELX PLC                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $3932.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SINO LAND CO LTD                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-19123.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ALTEOGEN INC                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3407.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS BRENNTAG SE                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $5988.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS IG GROUP HLDGS ORD                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $7199.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS TAIWAN PAIHO LTD                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5273.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1873.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS T&L CO LTD                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-12178.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS LOGISTEA AB                                                      | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-166.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS GREGGS ORD                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $20126.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS PER AARSLEFF HOLDING A/S                                         | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $44248.18     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS HIGHWEALTH CONSTRUCTION CORP                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $780.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS ELIA GROUP SA/NV                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-61918.14    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS ASKUL CORP                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $1409.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS SOMERO ENTERPRISES INC                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $5811.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS VODAFONE GROUP PLC                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $56144.01     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS RECTICEL SA                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $589.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-292.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CROMWELL PROPERTY GROUP                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $8519.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS XIN POINT HOLDINGS LTD                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $2977.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS GOLDCREST CO LTD                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $494.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS YUTORI INC                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $238.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS LG CHEM LTD                                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-23421.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS EMS-CHEMIE HOLDING AG                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-35859.98    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS MAN WAH HOLDINGS LTD                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-11078.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ZHEN DING TECHNOLOGY HOLDING LTD                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $68960.05     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS LG UPLUS CORP                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $8157.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION      | IRS TRY                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DIR              | CORP              | US        |           1 | NC      | $-16571.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-7913.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS OPMOBILITY                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $108770.74    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS CHINA LONGYUAN POWER GROUP CORP LTD                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $3204.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS SASOL LTD                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $193227.68    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS OSB GROUP PLC                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $40505.89     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS TAIMED BIOLOGICS INC                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $3697.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ABLE GLOBAL BHD                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $482.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS WESTPAC BANKING CORP                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-11789.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS ABRDN EUROPEAN LOGISTICS INCOME PLC                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $42972.11     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS PICTON PROPERTY INCOME LTD                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $6745.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                        | TRS IMPERIAL HOTEL LIMITED                                           | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1180.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-934.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS HEXPOL AB                                                        | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $24630.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS B&P CO LTD                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $1115.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS LONDON STOCK EXCHANGE GROUP PLC                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $21637.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS MFS INC                                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $290.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SKS TECHNOLOGIES GROUP LTD                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $14967.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS MOUNT GIBSON IRON LTD                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $11466.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS WOOLWORTHS HOLDINGS LTD/SOUTH AFRICA                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $32710.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS ELECNOR S.A.                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $669.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS GALLIFORD TRY HOLDINGS PLC                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $63775.79     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS YANGZIJIANG FINANCIAL HOLDING LTD                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $79496.99     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1146.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS KINA SECURITIES LTD                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $3010.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS NATWEST GROUP PLC                                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $86693.95     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS MEGMILK SNOW BRAND CO LTD                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $5986.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS VONOVIA SE                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-12344.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS COSMOAM&T CO LTD                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-7684.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ENNOCONN CORP                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $6109.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS WH GROUP LTD                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $16312.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SNT DYNAMICS CO LTD                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-9594.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS VIA LABS INC                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $5637.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS CHINA COMMUNICATIONS SERVICES CORP LTD                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $1569.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1031.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS ICHIGO INC                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-14897.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SFP HOLDINGS CO LTD                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-36.52       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS WAREHOUSE GROUP                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $47.39        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CHRYSOS CORP LTD                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-16490.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS PAN OCEAN CO LTD                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $249.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS STORSKOGEN GROUP AB                                              | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $83381.07     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ACER E-ENABLING SERVICE BUSINESS INC                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1994.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS BAKKAVOR GROUP PLC                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $48772.18     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS KERING SA                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-976.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS INNER MONGOLIA MENGDIAN HUANENG THERMAL POWER CORP LTD           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-899.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $78.98        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-68.88       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS MOONPIG GROUP PLC                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5251.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS TAIHEI DENGYO KAISHA LTD                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-9027.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SHINHAN ALPHA REIT CO LTD                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $194.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS EUROCOMMERCIAL PROPERTIES NV                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $13698.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS XVIVO PERFUSION AB                                               | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $44652.98     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SEMITEC CORP                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $8670.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS MEGASTUDYEDU CO LTD                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-9932.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                        | TRS MANDOM CORP                                                      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $580.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS COSCO SHIPPING SPECIALIZED CARRIERS CO LTD                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1585.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                      | IRS KRW                                                              | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $-765.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-450.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS CONSUN PHARMACEUTICAL GROUP LTD                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $63696.01     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SUMITOMO METAL MINING CO LTD                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-13311.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS SPAREKASSEN SJAELLAND-FYN A/S                                    | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $13410.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS KWEICHOW MOUTAI CO LTD                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3128.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS GRANGES AB                                                       | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-9446.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS TELEPERFORMANCE                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-86051.48    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CAPITALAND INVESTMENT LTD/SINGAPORE                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-11336.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CARNARVON ENERGY LTD                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1268.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS QINGHAI SALT LAKE INDUSTRY CO LTD                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-8341.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS DOMINO'S PIZZA GROUP PLC                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $103626.24    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $227.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS VOLTALIA SA                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $21469.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS DEME GROUP NV                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $15334.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS RIVERSTONE HOLDINGS LTD                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-7451.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS FIRST FINANCIAL HOLDING CO LTD                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $2342.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS EVERPLAY GROUP PLC                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $26322.35     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS LIFCO AB                                                         | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $1826.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS ADVANCE RESIDENCE INVESTMENT CORP                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-8803.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ASTRA OTOPARTS TBK PT                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $3380.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS SECUNET SECURITY NETWORKS AG                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $6011.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS MOMENTUM GROUP AB                                                | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-380.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-533.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS UNITED TRACTORS TBK PT                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $4516.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS SAPPI LTD                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-133454.16   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SAMSUNG SECURITIES CO LTD                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-21638.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS JUVENTUS FOOTBALL CLUB SPA                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3240.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS HEIWA CORP                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-4099.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS AISIN CORP                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $39953.61     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS TAIHAN ELECTRIC WIRE CO LTD                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $9250.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS PEXIP HOLDING ASA                                                | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $54322.90     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION      | TRS AEDIFICA SA                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $28371.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS SOLSTAD OFFSHORE ASA                                             | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $54807.05     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1220.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS MODERN DENTAL GROUP LTD                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $24872.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS MULTICHOICE GROUP                                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-22005.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS HARMONIC DRIVE SYSTEMS INC                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $5353.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS FUJI SEAL INTERNATIONAL INC                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $6161.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS ELMERA GROUP ASA                                                 | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-6556.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS KEIHANSHIN BUILDING CO LTD                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $358.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS ATE ENERGY INTERNATIONAL CO LTD                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5029.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS INDEX LIVINGMALL PCL                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $3286.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CORPORATE TRAVEL MANAGEMENT LTD                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1295.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS CANON INC                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $2084.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-340.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS REXEL SA                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $6542.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS INDUS HOLDING AG                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $3180.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS WARTECK INVEST AG                                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1186.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SHOPRITE HOLDINGS LTD                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1429.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS NORWEGIAN AIR SHUTTLE ASA                                        | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $98181.48     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS DELIVERY HERO SE                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $5317.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS GENUIT GROUP PLC                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $261.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS RENAULT SA                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-16150.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SEOJIN SYSTEM CO LTD                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $6573.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS AEON CO M BHD                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5383.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $162.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SHANGHAI INTERNATIONAL PORT GROUP CO LTD                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $270.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SHINNIHONSEIYAKU CO LTD                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $5569.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS PEXA GROUP LTD                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-13513.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS AVOLTA AG                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $15649.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SANKEN ELECTRIC CO LTD                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $17.11        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS SONOVA HOLDING AG                                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $7291.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS FINANCIAL PARTNERS GROUP CO LTD                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $12622.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS FURUNO ELECTRIC CO LTD                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $34313.96     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SPC SAMLIP CO LTD                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4464.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS BUDWEISER BREWING CO APAC LTD                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-2117.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-77.46       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS NOEVIR HOLDINGS CO LTD                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-321.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS FOOD EMPIRE HOLDINGS LTD                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-8485.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                      | IRS CZK                                                              | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $5340.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS BOSSARD HOLDING AG                                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $14914.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS AXIS REAL ESTATE INVESTMENT TRUST                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1642.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SCSK CORP                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-1966.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS SECURITAS AB                                                     | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $1370.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS JAYA TIASA HOLDINGS BHD                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $6838.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS NEPI ROCKCASTLE N.V.                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $9195.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS CNH INDUSTRIAL NV                                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2029.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-194.89      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS GUANGDONG HAID GROUP CO LTD                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $54.49        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS NOLATO AB SER. B                                                 | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-963.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS HANSA BIOPHARMA AB                                               | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-17143.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS COVIVIO                                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1198.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS HAFNIA LTD                                                       | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $72250.78     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS TITAN CEMENT INTERNATIONAL SA                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-146.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS OPTIM CORP                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-567.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS RVRC HOLDING AB                                                  | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-2638.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS DANIELI & C OFFICINE MECCANICHE SPA                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $87703.68     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS WACKER CHEMIE AG                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-6627.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $297.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS LOGISTA INTEGRAL SA                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-576.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS LIFENET INSURANCE CO                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $669.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS ARISTON HOLDING NV                                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4865.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS ZIGNAGO VETRO SPA                                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3672.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS VONTOBEL HOLDING AG                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $20868.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS VTECH HOLDINGS LTD                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $13886.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS SAFESTORE HOLDINGS PLC                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $66729.99     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS BOLLORE SE                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $23443.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS NCC GROUP PLC                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-248.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS UNITED INTERNET AG                                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-140393.01   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $91.57        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-458.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS RATHBONES GROUP PLC                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5520.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS TRANSACTION CO LTD                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-6449.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS AMADEUS IT GROUP SA                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-794.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS ADVANCED MEDICAL SOLUTIONS GROUP PLC                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $201.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS SVENSKA HANDELSBANKEN AB                                         | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $576.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS DASSAULT SYSTEMES SE                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $10223.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS MEBUKI FINANCIAL GROUP INC                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $20108.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS TAG IMMOBILIEN AG                                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-16876.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS NOBIA AB                                                         | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-19839.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS GEA GROUP AG                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $4857.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $291.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS TUBACEX SA                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-14057.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ZANYU TECHNOLOGY GROUP CO LTD                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $4879.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS HOIST FINANCE AB                                                 | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $64306.39     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS MAGNORA ASA                                                      | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-1963.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS TELEVISION FRANCAISE 1 SA                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $15965.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS BIESSE SPA                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-7828.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS EFG INTERNATIONAL AG                                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $143349.89    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS INTERPARFUMS                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $16206.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS FICONT INDUSTRY BEIJING CO LTD                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $14362.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS 3SBIO INC                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $41662.63     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-138.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS TEN SQUARE GAMES SA                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $4458.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS HKT TRUST & HKT LTD                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-2872.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS FNAC DARTY                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5845.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS MODERN TIMES GROUP MTG AB                                        | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-79961.44    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS ENEOS HOLDINGS INC                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $10160.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS EXEM CO LTD                                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3665.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS EUROCELL PLC                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-9378.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CHINA EVERBRIGHT BANK CO LTD                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $7602.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS INSTONE REAL ESTATE GROUP SE                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $15715.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS ATRIUM LJUNGBERG AB                                              | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $2267.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4916.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS LYNAS RARE EARTHS LTD                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-26321.09    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS ZUMTOBEL GROUP AG                                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-354.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS WOWPRIME CORP                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-48805.34    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS CRODA INTERNATIONAL PLC                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $118412.92    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS SMURFIT WESTROCK PLC                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-10412.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS LEVIMA ADVANCED MATERIALS CORP                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5260.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS OVS SPA                                                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $114672.70    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS CLP HOLDINGS LTD                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $16.68        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS GUANGDONG SOUTH NEW MEDIA CO LTD                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-51.82       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS FIRST REAL ESTATE INVESTMENT TRUST                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1401.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-10434.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS GUANGSHEN RAILWAY CO LTD                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $2821.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                        | TRS SOKEN CHEMICAL & ENGINEERING CO                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $7460.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SANLAM LTD                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2187.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS NEC CAPITAL SOLUTIONS LTD                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $152.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SEIKO EPSON CORP                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $1553.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS GALAPAGOS NV                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-12799.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS WILSON BAYLY HOLMES-OVCON LTD                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4601.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS SKELLERUP HOLDINGS NPV                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $369.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                        | TRS MEITUAN                                                          | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $5829.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS MATRIX CONCEPTS HOLDINGS BHD                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1831.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2175.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SINOPEC SHANGHAI PETROCHEMICAL CO LTD                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $2045.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS AIDA ENGINEERING LTD                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $1426.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION      | TRS KONTRON AG                                                       | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3362.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS DIGIPLUS INTERACTIVE CORP                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-7982.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS JEAN CO LTD                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1619.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS MERITZ FINANCIAL GROUP INC                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4898.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS INFRASTRUTTURE WIRELESS ITALIANE SPA                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-48614.72    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS HOTAI FINANCE CO LTD                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $6081.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS LONGI GREEN ENERGY TECHNOLOGY CO LTD                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-8644.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS BE SEMICONDUCTOR INDUSTRIES NV                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-53998.27    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-163.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS TERA PROBE INC                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $61247.29     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS ALUMINUM CORP OF CHINA LTD                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $16866.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SAKATA SEED CORP                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-3127.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                        | TRS FUDO TETRA CORP                                                  | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5791.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS SANOMA OYJ                                                       | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-74.33       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS CHOW SANG SANG HOLDINGS INTERNATIONAL LTD                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $42088.71     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CLARIANE SE                                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1904.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS AOYAMA TRADING CO LTD                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $14961.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS YOKOGAWA BRIDGE HOLDINGS CORP                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-15071.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS OCEANA GROUP LTD                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $39.91        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-65.19       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS PURETECH HEALTH PLC                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $24894.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS LEONG HUP INTERNATIONAL BHD                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1425.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS WATCHES OF SWITZERLAND GROUP P                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $50458.63     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS ELECTROLUX PROFESSIONAL AB                                       | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-2477.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS COMMERZBANK AG                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $39434.67     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS HERA SPA                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $145.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS INTEGRAFIN HOLDINGS PLC                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-28997.70    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS EREX CO LTD                                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-1266.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS ALLEIMA AB                                                       | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-49654.82    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS POLAR CAPITAL HOLDINGS PLC                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-15614.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-240.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS GULF MARINE SERVICES PLC                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-0.36        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS KONINKLIJKE HEIJMANS N.V                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $134178.38    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS CORBION NV                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-8247.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS YAMATO HOLDINGS CO LTD                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-15585.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SHANDONG WEIGAO GROUP MEDICAL POLYMER CO LTD                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-4979.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS DAIWA HOUSE INDUSTRY CO LTD                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $6951.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS LPP SA                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-12099.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS JARDINE MATHESON HOLDINGS LTD                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $13519.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS SANDOZ GROUP AG                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3438.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS DOOSAN FUEL CELL CO LTD                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-16027.97    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-9256.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION      | TRS TELECOM ITALIA                                                   | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $30395.18     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS LANDIS+GYR GROUP AG                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-21653.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS KING'S TOWN BANK CO LTD                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-125.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS CHINA VANKE CO LTD                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-1031.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS FUYAO GLASS INDUSTRY GROUP CO LTD                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $30479.02     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS INTERPUMP GROUP SPA                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-55846.19    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS GREENTOWN MANAGEMENT HOLDINGS CO LTD                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $311.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS YIDU TECH INC                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $107.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS AUSTRALIAN CLINICAL LABS LTD                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $3952.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS DUERR AG                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $33552.78     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $60.55        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2611.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SINGAPORE EXCHANGE LTD                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $12005.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS MANI INC                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $269.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS VEIDEKKE ASA                                                     | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $11555.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS HISCOX LTD                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-9295.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS HEFEI JIANGHANG AIRCRAFT EQUIPMENT CO LTD                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-149.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS LIGACHEM BIOSCIENCES INC                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-10026.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS MITCHELLS & BUTLERS PLC                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $8525.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS BACHEM HOLDING AG                                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-9883.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS GRAPE KING BIO LTD                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-775.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS JET2 PLC                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $43722.24     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2702.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ECO WORLD DEVELOPMENT GROUP BHD                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $10529.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS CVS GROUP PLC                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-36348.89    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS PARK SYSTEMS CORP                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $3746.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CHALICE MINING LTD                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5115.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS PATRIZIA SE                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-15499.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS ANIMA HOLDING SPA                                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $542.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS GUZMAN Y GOMEZ LTD                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $14391.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ESSILORLUXOTTICA SA                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2990.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ALLIANCE AVIATION SERVICES LTD                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1125.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS IMPEDIMED LTD                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $8.25         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-38.15       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CENTURION CORP LTD                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $2892.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS ZEHNDER GROUP AG                                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $89051.16     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SUNTEC REAL ESTATE INVESTMENT TRUST                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $11164.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                    | TRS ENCORE CAPITAL GROUP INC                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DE               | CORP              | FR        |           1 | NC      | $3074.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS HERMES INTERNATIONAL SCA                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $5052.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS RENOLD PLC                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $17474.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS PROPNEX LTD                                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $49715.43     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS DIT CORP                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-145.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS AKER SOLUTIONS ASA                                               | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-14195.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS BFF BANK SPA                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-80167.20    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-13524.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS ERG SPA                                                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-19428.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS TELEFONICA,S.A.                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-343.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                 | IRS USD                                                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              | CORP              | US        |           1 | NC      | $135675.31    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS SINCH AB                                                         | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $84494.36     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS YAMABIKO CORP                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $6643.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS KAMEDA SEIKA CO LTD                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-4782.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS YASKAWA ELECTRIC CORP                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $4925.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS DEUTSCHE BOERSE AG                                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1712.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS COUNTRY GARDEN SERVICES HOLDINGS CO LTD                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-2904.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS YONDOSHI HOLDINGS INC                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-158.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-8266.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS CHANNEL INFRASTRUCTURE NZ LTD                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-9508.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS CY4GATE SPA                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5493.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS AVIVA PLC                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-14705.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS OFFSHORE OIL ENGINEERING CO LTD                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1771.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS LUMAX INTERNATIONAL CORP LTD                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $11189.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS FUKUYAMA TRANSPORTING CO LTD                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-107.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS DONGSUNG FINETEC                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $20530.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS NCAB GROUP AB                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $14307.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS NICK SCALI LTD                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-39961.42    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS BANK BTPN SYARIAH TBK PT                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $2665.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-555.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS STXE 600 IG&S PR INDEX                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $5068.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS CHINA CONCH VENTURE HOLDINGS LTD                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-3811.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS EVONIK INDUSTRIES AG                                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-17417.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION      | TRS SESA                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3629.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CHINA SOUTHERN POWER GRID ENERGY STORAGE CO LTD                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1378.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS CHRYSALIS INVESTMENTS LTD                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $119273.23    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS IREN SPA                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $794.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS OPEN DOOR INC                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $792.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                      | IRS HUF                                                              | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $-4567.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ACER INC                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $9913.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2558.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS INCAP CORPORATION                                                | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-711.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS MELIA HOTELS INTERNATIONAL SA                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $16551.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS REGIONAL REIT LTD                                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $20287.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS THULE GROUP AB                                                   | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $1075.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS FADU INC                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-7471.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SSE PLC                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $4488.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS SCI PHARMTECH INC                                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $7088.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CONTEMPORARY AMPEREX TECHNOLOGY CO LTD                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $18826.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS POP MART INTERNATIONAL GROUP LTD                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $23739.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS SCHOELLER-BLECKMANN OILFIELD EQUIPMENT AG                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $7977.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2681.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS AVANZA BANK HOLDING AB                                           | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $11962.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS EGUARANTEE INC                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $40.03        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS OXFORD BIOMEDICA PLC                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-25436.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SUMCO CORP                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-15883.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                        | TRS COTA CO LTD                                                      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $2064.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS VBG GROUP AB                                                     | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-7007.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS FU SHOU YUAN INTERNATIONAL GROUP LTD                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $15999.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS ASML HOLDING NV                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $5770.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS ENAGAS,S.A.                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3319.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS ADMIRAL GROUP ORD                                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $189.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-226.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS ZUKEN INC                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-4947.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS CITIZEN WATCH CO LTD                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $15216.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS HONG LEONG FINANCIAL GROUP BHD                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $2544.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS EQT HOLDINGS LTD                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $7883.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS NINE ENTERTAINMENT CO HOLDINGS LTD                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4177.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS ARAMIS GROUP                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-8091.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS ENQUEST PLC                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-26563.91    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS TPG TELECOM LTD                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $297.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CHARTER HALL SOCIAL INFRASTRUCTURE REIT                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $17381.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS FORESIGHT GROUP HOLDINGS LTD                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-136.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-19721.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS FUFENG GROUP LTD                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $31874.29     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS ICADE                                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3134.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS LEE & MAN PAPER MANUFACTURING LTD                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-15790.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                      | IRS USD                                                              | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $13513.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS WEIR GROUP PLC/THE                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $107.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SHIN MAINT HOLDINGS CO LTD                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $2224.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS INDUTRADE AB                                                     | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $432.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS OBRASCON HUARTE LAIN SA                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $21863.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS NILFISK HOLDING A/S                                              | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $7693.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS ASM INTERNATIONAL NV                                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $27020.83     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1368.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-408.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS SULZER AG                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $56023.30     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS H & M HENNES & MAURITZ AB                                        | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $2792.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS IVE GROUP LTD                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-711.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS SAGA PLC                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-120206.89   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS UNIVERSAL STORE HOLDINGS LTD                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $11130.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS CMOC GROUP LTD                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $73049.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS PARADOX INTERACTIVE AB                                           | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $3122.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS MTN GROUP LTD                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $60517.38     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS TOKAI CARBON CO LTD                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-159.89      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS WASION HOLDINGS LTD                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $83762.83     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-8888.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS TRANSURBAN GROUP                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3893.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS GUNOSY INC                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-10497.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS HOLLYWOOD BOWL GROUP                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $7166.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SHENZHEN SALUBRIS PHARMACEUTICALS CO LTD                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1455.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                        | TRS YOKOREI CO LTD                                                   | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-31504.58    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS GREENCORE GROUP PLC                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $158312.64    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS NISHI-NIPPON FINANCIAL HOLDINGS INC                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $6491.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SUNWAY REAL ESTATE INVESTMENT TRUST                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3488.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS PETRONAS DAGANGAN BHD                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2015.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SUPALAI PCL                                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $249.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-462.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS AIRBUS SE                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-18295.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION      | TRS VERBUND AG                                                       | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $24683.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.               | IRS COP                                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $-11261.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS EUROPRIS ASA                                                     | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-10893.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS GRAND PACIFIC PETROCHEMICAL                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-408.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS FRONTLINE PLC                                                    | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $28407.45     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS EBOS GROUP LTD                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-14001.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS ANORA GROUP OYJ                                                  | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-2640.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ST BARBARA LTD                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-14060.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS PHARMARESEARCH CO LTD                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $41927.43     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4019.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SINOPEC KANTONS HOLDINGS LTD                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $7071.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS DIAGEO PLC                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $9747.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS EMBRACER GROUP AB                                                | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-10775.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS VEOLIA ENVIRONNEMENT SA                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $738.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SATS LTD                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1639.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                        | TRS SUNSHINE LAKE PHARMA CO LTD                                      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $2021.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS MEGA FINANCIAL HOLDING CO LTD                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $7530.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS AUDEN TECHNO CORP                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $376.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS SPAREBANK 1 SOR-NORGE ASA                                        | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-13575.26    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS DAESANG CORP                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3880.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4230.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS RESORTTRUST INC                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $2728.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS DINO POLSKA SA                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-61879.27    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SWORD GROUP                                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $666.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS ANTOFAGASTA PLC                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-14592.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS LOTUS BAKERIES NV                                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-9828.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION      | TRS SAIPEM SPA                                                       | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $84973.69     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SHANGHAI AIYINGSHI CO LTD                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $574.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ARB CORP LTD                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-62451.20    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS HAIDILAO INTERNATIONAL HOLDING LTD                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-8596.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CDL HOSPITALITY TRUSTS                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1711.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2560.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS JARDINE CYCLE & CARRIAGE LTD                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $532.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS HUHTAMAKI OYJ                                                    | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-55047.40    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ERAJAYA SWASEMBADA TBK PT                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-7819.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS BYD CO LTD                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $178.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CVILUX CORP                                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $11007.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SIA ENGINEERING CO LTD                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-256.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS CHINA LESSO GROUP HOLDINGS LTD                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-362.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SOFTBANK GROUP CORP                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-40052.98    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS THE SAGE GROUP PLC                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-28917.61    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS 77 BANK LTD/THE                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $35594.63     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-956.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS TURK TELEKOM                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-11960.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SCIENTEX BHD                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $2612.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS ALLFUNDS GROUP PLC                                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-34729.37    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS KOYOU RENTIA CO LTD                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $869.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS MYCRONIC AB                                                      | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-3383.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS MBM RESOURCES BHD                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $2388.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS PAN AFRICAN RESOURCE PLC                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-486.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SUZUKEN CO LTD/AICHI JAPAN                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $19428.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS TOYOTA MOTOR CORP                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-13085.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS ENDESA SA                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $88878.23     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-22.14       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS NOVARTIS AG                                                      | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $36380.83     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS PANORO ENERGY ASA                                                | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-2722.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS NONGFU SPRING CO LTD                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-39155.12    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS UMICORE SA                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $85878.90     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS BANK OCBC NISP TBK PT                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $205.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS NIPPON SEIKI CO LTD                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $22675.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS COLES GROUP LTD                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $10688.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS PENNON GROUP PLC                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-128097.06   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS EURONEXT                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-582.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS TEAM INTERNET GROUP PLC                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-136551.49   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-223.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS NOMURA MICRO SCIENCE CO LTD                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-30104.29    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS AMBEA AB                                                         | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $36264.01     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS HYUNDAI WIA CORP                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $3198.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS WINGARC1ST INC                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-10616.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS INTERNATIONAL CONSOLIDATED AIRLINES GROUP SA                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $155508.12    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS KINGFA SCI & TECH CO LTD                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $30688.51     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS FLOW TRADERS                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3654.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS KONGSBERG GRUPPEN ASA                                            | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-7341.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS FLUIDRA SA                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-26047.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS ALBARAKA TURK KATILIM BANKASI AS                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $9534.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-5805.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ANGANG STEEL CO LTD                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5542.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS KOC HOLDING AS                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-7189.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS MEGAWORLD CORP                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1053.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SDI CORP                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1502.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS APPIER GROUP INC                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $5925.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS METSO OYJ                                                        | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-2576.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS BUNZL PLC                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-8009.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS VATS LIQUOR CHAIN STORE MANAGEMENT JSC LTD                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-13.02       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS LOTTE ENERGY MATERIALS CORP                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-9443.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ING BANK SLASKI SA                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $3065.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-6.83        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $39.62        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-165.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS SEVERFIELD PLC                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $12526.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS ORSERO SPA                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $19493.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS EUROFINS SCIENTIFIC SE                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $38328.95     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS RUN LONG CONSTRUCTION CO LTD                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-10.40       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS ZERO CO LTD                                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $3201.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS WHARF HOLDINGS LTD/THE                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $3208.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS VAISALA CORPORATION A                                            | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $3114.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS PWR HOLDINGS LTD                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-14988.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | IRS MYR                                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $10948.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS KPIC                                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $38861.75     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-72.02       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS HSIN KUANG STEEL CO LTD                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2466.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UK CLEARING HOUSE LIMITED                      | IRS HUF                                                              | CUSIP: 000000000<br>LEI: 213800O8SCO4XJGBU385 | N/A              | DIR              | CORP              | GB        |           1 | NC      | $-2152.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS ENCE ENERGIA Y CELULOSA SA                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $4921.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS ASHTEAD GROUP PLC                                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-19017.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SWIRE PACIFIC LTD                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-2531.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS RENTOKIL INITIAL PLC                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $14515.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS ENDO LIGHTING CORP                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-1001.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS TERNA - RETE ELETTRICA NAZIONALE                                 | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-16737.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS JBCC HOLDINGS INC                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $3057.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS ENERGY TRANSFER LP                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $252.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2149.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS FORAN ENERGY GROUP CO LTD                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $3876.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS DONGKUK STEEL MILL CO LTD                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3340.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS JCR PHARMACEUTICALS CO LTD                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-291.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS CHINA INTERNATIONAL MARINE CONTAINERS GROUP CO LTD               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $18424.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS CADELER A/S                                                      | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $7194.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS CAREL INDUSTRIES SPA                                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-78877.52    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS REUNERT LTD                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-16253.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS C&D INTERNATIONAL INVESTMENT GROUP LTD                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-5708.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS LINK REIT                                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-159.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                 | TRS CIFXPPDD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DE               | CORP              | US        |           1 | NC      | $88190.80     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1796.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS CHINASOFT INTERNATIONAL LTD                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-57288.72    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS RAUBEX GROUP LTD                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-9954.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS KINGSOFT CORP LTD                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-4214.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS SUPERMARKET INCOME REIT PLC                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-9689.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS JVM CO LTD                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $12722.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS THORESEN THAI AGENCIES PCL                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $809.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SMC CORP                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $8323.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SBS HOLDINGS INC                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-717.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ASX LTD                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $7091.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS COSTAIN GROUP PLC                                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $41783.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $435.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.               | IRS COP                                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $-13533.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS BRITISH LAND CO PLC                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $21475.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS FORTRESS REAL ESTATE INVESTMENTS LTD                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $54914.44     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION      | TRS ARCADIS                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $9553.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS OUTOKUMPU OYJ                                                    | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $814.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS MANITOU BF SA                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1977.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS KYUNGDONGNAVIEN                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1267.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS HOTA INDUSTRIAL MANUFACTURING CO LTD                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-16001.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS CGN MINING CO LTD                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-12647.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS YANGZIJIANG SHIPBUILDING HOLDINGS LTD                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $5164.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $231.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS MEGACHIPS CORP                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-604.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS BANQUE CANTONALE VAUDOISE                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-14533.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CSE GLOBAL LTD                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $28124.66     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS ANE CAYMAN INC                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $13805.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS ISS A/S                                                          | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $3773.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS UNITE GROUP PLC/THE                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $59743.43     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS LUBELSKI WEGIEL BOGDANKA SA                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-18219.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS MITSUBOSHI BELTING LTD                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-2974.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS DORMAKABA HOLDING AG                                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $63151.11     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS OLD MUTUAL LTD                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $66928.63     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $4675.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS LAGENDA PROPERTIES BHD                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $33.78        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS A2A SPA                                                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $12198.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS COSTAIN GROUP PLC                                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $1020.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS TAIWAN HIGH SPEED RAIL CORP                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $15147.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS BANK MANDIRI PERSERO TBK PT                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $3869.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS NXERA PHARMA CO LTD                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-2289.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS VALIANT HOLDING AG                                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $34333.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS ALM BRAND A/S                                                    | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-23934.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS PILBARA MINERALS LTD                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-58576.17    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS HEBA FASTIGHETS AB                                               | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-496.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-598.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS CEMENTIR HOLDING NV                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $30191.33     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS BEGA CHEESE LTD                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $10589.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION      | TRS UCB                                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1819.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS GREE ELECTRIC APPLIANCES INC OF ZHUHAI                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-8777.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS KONECRANES OYJ                                                   | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-368.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SKYWORTH GROUP LTD                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-3158.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS MIROKU JYOHO SERVICE CO LTD                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $1181.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS BASILEA PHARMACEUTICA AG ALLSCHWIL                               | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $38406.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS KOREA INVESTMENT HOLDINGS CO LTD                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-6581.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS GOLDEN AGRI-RESOURCES LTD                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-11002.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2671.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ADVANTECH CO LTD                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1158.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS ADDNODE GROUP AB                                                 | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-10572.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS NANYA TECHNOLOGY CORP                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $10235.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SHIDA SHINGHWA ADVANCED MATERIAL GROUP CO LTD                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-32.64       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS U-MING MARINE TRANSPORT CORP                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $503.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CHINA PETROLEUM ENGINEERING CORP                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-172.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS MONEY FORWARD INC                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-46814.97    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS TRAVELSKY TECHNOLOGY LTD                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $4585.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SEKISUI HOUSE REIT INC                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $9108.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION      | TRS MONTEA NV                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1164.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-9.37        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SECHE ENVIRONNEMENT SACA                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-11155.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS NIHON TRIM CO LTD                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $2708.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS JINUSHI CO LTD                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-17980.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS GETLINK SE                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-12000.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS OEM INTERNATIONAL AB                                             | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $18.62        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS RIKEN KEIKI CO LTD                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-14752.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ACER CYBER SECURITY INC                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-0.46        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS STORA ENSO OYJ                                                   | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $788.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SEB SA                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $10594.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS KT CORP                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-126.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $112.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1543.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS NH FOODS LTD                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $4212.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS AFRICAN RAINBOW MINERALS LTD                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-36155.20    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS WASEDA ACADEMY CO LTD                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $5450.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS QUADIENT SA                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3584.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS OXFORD NANOPORE TECHNOLOGIES PLC                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-34473.23    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS DOW JONES U.S. SELECT HEALTH CARE PROVIDERS INDEX                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-412678.36   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS TENAGA NASIONAL BHD                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1825.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION      | TRS AVIO                                                             | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $10699.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS MICREED CO LTD                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $1957.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS TCL ELECTRONICS HOLDINGS LTD                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $20999.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2586.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS HAMMERSON PLC                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $12141.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS WEBZEN INC                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $45.55        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS PEARL ABYSS CORP                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $17029.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS AMG CRITICAL MATERIALS NV                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-180109.83   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS FISKARS OYJ ABP                                                  | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $5548.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS AUDINATE GROUP LTD                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $25667.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS HD KOREA SHIPBUILDING & OFFSHORE ENGINEERING CO LTD              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $11092.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS TRANSACTION CAPITAL LTD                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $15431.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS THARISA PLC                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-965.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS OMV AG                                                           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-283.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-293.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS MUNTERS GROUP AB                                                 | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $4646.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS ORSTED AS                                                        | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $80481.43     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS SUN INTERNATIONAL LTD/SOUTH AFRICA                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $21266.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS MORTGAGE ADVICE BUREAU HOLDINGS LTD                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5392.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS INTERNATIONAL PETROLEUM CORP                                     | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-51568.64    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS INTERCOS SPA                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $1356.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS JULIUS BAER GROUP LTD                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3171.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS RATOS AB                                                         | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-3339.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION      | TRS SIEMENS AG                                                       | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-18623.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS NISHI-NIPPON RAILROAD CO LTD                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-938.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $5597.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS INVESTOR AB                                                      | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-5102.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS AIMS APAC REIT                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1571.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS HALEON PLC                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $1274.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS HOLTEK SEMICONDUCTOR INC                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $5398.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS COLOPL INC                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $112.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS INGHAMS GROUP LTD                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-44238.74    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS CENTRICA PLC                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $58672.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION      | TRS E.ON SE                                                          | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $708.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS WATKIN JONES PLC                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-95512.57    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS PERUSAHAAN PERKEBUNAN LONDON SUMATRA INDONESIA TBK PT            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1010.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3102.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SK REITS CO LTD                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-940.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS DONGGUAN DEVELOPMENT HOLDINGS CO LTD                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1094.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS INTELLIAN TECHNOLOGIES INC                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $8140.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS AUSTIN ENG FPO                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1743.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS ASAHI NET INC                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $632.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS CLARKSON PLC                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-11571.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SOUTHERN CABLE GROUP BHD                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $2822.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS TAIWAN-ASIA SEMICONDUCTOR CORP                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4570.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS VALNEVA SE                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5891.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS HYUNDAI GLOVIS CO LTD                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $47349.88     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $95.91        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS SYDBANK A/S                                                      | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-6789.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS FISHER & PAYKEL HEALTHCARE CORP LTD                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $236.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS HENKEL AG & CO KGAA                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-7635.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS ODFJELL SE                                                       | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $26550.18     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS NOVONESIS NOVOZYMES B                                            | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-1372.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS PRECIOUS SHIPPING PCL                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $37.32        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS HANG SENG BANK LTD                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $6780.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS GENERATION DEVELOPMENT GROUP LTD                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-12910.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS MY HUMBLE HOUSE HOSPITALITY MANAGEMENT CONSULTING                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-7131.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SHENZHEN INTERNATIONAL HOLDINGS LTD                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-2010.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1699.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS CARLSBERG AS                                                     | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $186.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS JAPAN EYEWEAR HOLDINGS CO LTD                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $11290.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SEVEN & I HOLDINGS CO LTD                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $3028.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS ENENTO GROUP OYJ                                                 | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $7322.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                        | TRS SANIX HOLDINGS INC                                               | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-318.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS HOGY MEDICAL CO LTD                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-35.16       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS ENAV SPA                                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-16626.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS MITIE GROUP PLC                                                  | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5916.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | TRS WESTERN MIDSTREAM PARTNERS LP                                    | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DE               | CORP              | US        |           1 | NC      | $-9839.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS MALAYAN FLOUR MILLS BHD                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $797.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1671.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS KT&G CORP                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4535.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS SILTRONIC AG                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $8725.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS WIENERBERGER AG                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-37497.27    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SEKISUI CHEMICAL CO LTD                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $10705.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS GLOBAL DOMINION ACCESS SA                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-20896.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS KANTSU CO LTD                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-164.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS PEPTIDREAM INC                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-2808.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS EASYJET PLC                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-18669.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS TRI CHEMICAL LABORATORIES INC                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-262.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS NOKIA OYJ                                                        | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-93403.64    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3977.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS GOODMAN GROUP                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $36.28        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS MBANK SA                                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-118995.14   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.               | IRS BRL                                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |           1 | NC      | $-744.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS LONDONMETRIC PROPERTY PLC                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-36407.76    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS VITEC SOFTWARE GROUP AB                                          | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $72854.24     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS LS MATERIALS LTD                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $180.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS ZHONGAN ONLINE P&C INSURANCE CO LTD                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $699.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS DUG TECHNOLOGY LTD                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-7174.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS WEICHAI POWER CO LTD                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $889.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS VITROX CORP BHD                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-7083.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3.79         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS GULF DEVELOPMENT PCL                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-18983.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS 361 DEGREES INTERNATIONAL LTD                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $58567.25     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS PERSEUS PROTEOMICS INC                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $1288.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS COFACE                                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $899.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS BID CORP LTD                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-11310.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS PHARMA MAR SA                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-82909.45    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS HILTON FOOD GROUP PLC                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-9268.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS TENARIS SA                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $1314.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS ERAMET SA                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $17370.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                        | TRS GIKEN LTD                                                        | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3095.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $35.45        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $18.26        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS HALMA                                                            | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $6150.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS VT CO LTD                                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1689.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS LOVISA HOLDINGS LTD                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-33530.66    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS CHINA RUYI HOLDINGS LTD                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-6337.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS PHILIPPINE NATIONAL BANK                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2863.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS OISIX RA DAICHI INC                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-6300.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS MACQUARIE TECHNOLOGY GROUP LTD                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $5444.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS SCHWEITER TECHNOLOGIES AG                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-11524.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS COSMAX INC                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $4944.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS SSAB AB                                                          | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-45928.55    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $293.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS THEON INTERNATIONAL PLC                                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $26077.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS AIR LIQUIDE SA                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-6456.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS CHUGOKU ELECTRIC POWER CO INC/THE                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-8927.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS TOVIS CO LTD                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $6649.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS VIRIDIEN                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $6146.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS RESOLUTE MINING LTD                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $6174.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS BROGENT TECHNOLOGIES INC                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $4862.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS DALIPAL HOLDINGS LTD                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-2255.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS CK ASSET HOLDINGS LTD                                            | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-2812.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS MYER HOLDINGS LTD                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $5885.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2076.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CHINA GENERAL PLASTICS CORP                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2614.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS PRARAM 9 HOSPITAL PCL                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-7426.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS COMPUTERSHARE LTD                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1585.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CELLTRION INC                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1032.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS STXE 600 UTIL PR INDEX                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $17590.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS SUEDZUCKER AG                                                    | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $8622.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS KELLER GROUP PLC                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2528.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS TOKAI CARBON KOREA CO LTD                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $3785.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SYSTENA CORP                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $3220.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS IFAMILYSC CO LTD                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-15783.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $149.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS AIR LIQUIDE SA                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-14781.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS GENMAB A/S                                                       | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $67587.21     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS CIBUS NORDIC REAL ESTATE AB PUBL                                 | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-6830.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS GUANGDONG INVESTMENT LTD                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $9413.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS POONGSAN CORP                                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $3837.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS AMS-OSRAM AG                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $187093.74    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS JIG.JP CO LTD                                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $8189.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS FORTERRA PLC                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-203.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS WALLENIUS WILHELMSEN ASA                                         | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $74136.53     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS ELMOS SEMICONDUCTOR SE                                           | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $36641.69     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2669.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SILICON2 CO LTD                                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $16033.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS LT GROUP INC                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $2765.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS SHAFTESBURY CAPITAL PLC                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-35782.60    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS FLEXIUM INTERCONNECT INC                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-21192.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS ZHEJIANG LEAPMOTOR TECHNOLOGY CO LTD                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-3718.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS S&D CO LTD                                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1965.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS AIRTRIP CORP                                                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-102.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ROBINSONS RETAIL HOLDINGS INC                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-271.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS INVISIO AB                                                       | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $27317.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS MIKRON HOLDING AG                                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $4915.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $642.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS HANWHA GENERAL INS                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1236.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS KERNEL HOLDING SA                                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $14921.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS WORKMAN CO LTD                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $6906.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS VESTEL ELEKTRONIK SANAYI VE TICARET AS                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $18184.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS AKER ASA                                                         | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-40707.70    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS VENTIA SERVICES GROUP PTY LTD                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $16720.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS ASTON MARTIN LAGONDA GLOBAL HOLDINGS PLC                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $44363.67     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS REDEIA CORP SA                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $13082.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS HOME PRODUCT CENTER PCL                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-13766.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS CANON MARKETING JAPAN INC                                        | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $2794.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2425.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS WELCIA HOLDINGS CO LTD                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $2141.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS IPERIONX LTD                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-21989.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS KGHM POLSKA MIEDZ SA                                             | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-206.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS ATTENDO AB                                                       | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $18078.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS SANLORENZO                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-6761.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS BEAZLEY PLC                                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-32003.94    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS ASSECO POLAND SA                                                 | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $87705.77     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS LEGRAND ORD                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-32098.25    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS CHERVON HOLDINGS LTD                                             | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-13891.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS MARKS & SPENCER GROUP PLC                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $38031.98     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-62.10       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS NAK SEALING TECHNOLOGIES CORP                                    | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-444.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS ESSENTRA PLC                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $67275.51     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS CHINA BLUECHEMICAL LTD                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $16996.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                        | TRS ASAHI YUKIZAI CORPORATION                                        | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $8463.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS TRUSTPILOT GROUP PLC                                             | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $10184.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS STARTS CORP INC                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $26160.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS DIGITAL CHINA GROUP CO LTD                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $6322.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS BANK ISLAM MALAYSIA BHD                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-328.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS NATIONAL GRID PLC                                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5230.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS HUUUGE INC                                                       | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4817.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $647.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SCINOPHARM TAIWAN LTD                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-111.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS NOKIAN RENKAAT OYJ                                               | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-25425.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS PTT PCL                                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $2016.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS SDIPTECH AB                                                      | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $7025.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS CHINA MODERN DAIRY HOLDINGS LTD                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-37251.27    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS NIHON M&A CENTER HOLDINGS INC                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-3511.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS YC INOX CO LTD                                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $3608.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS DAYANG ENTERPRISE HOLDINGS BHD                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5130.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS VIRBAC SACA                                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-9047.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS POLY PROPERTY GROUP CO LTD                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $10779.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $13.46        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SANDS CHINA LTD                                                  | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-4752.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS SHENG YU STEEL                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-3712.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS INTLOOP INC                                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $7441.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS INVESTEC LTD                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1101.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS AO WORLD PLC                                                     | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $4040.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS JOHNSON ELECTRIC HOLDINGS LTD                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $28239.72     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS EVERYBOT INC                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $558.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS TELKOM INDONESIA PERSERO TBK PT                                  | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-12709.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS FP PARTNER INC                                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $199.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS TEYI PHARMACEUTICAL GROUP CO LTD                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-21.44       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $14.43        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-0.78        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS DAISHIN SECURITIES CO LTD                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-6972.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS BRAMBLES LTD                                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $4874.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SIAM CEMENT PCL/THE                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-15038.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS KBC GROUP NV                                                     | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-34151.90    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS BRICKABILITY GROUP PLC                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $727.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS INMOCEMENTO SA                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4126.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS HUTCHMED CHINA LTD                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $5002.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SATELLITE CHEMICAL CO LTD                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $5613.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS CHINA DATANG CORP RENEWABLE POWER CO LTD                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-485.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS ASSA ABLOY AB                                                    | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-4499.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-51.65       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS MEIKO ELECTRONICS CO LTD                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-7568.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS IDOM INC                                                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $188.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS DAIWA SECURITIES LIVING INVESTMENTS CORP                         | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-3982.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS BUMITAMA AGRI LTD                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $175.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS AUSTRALIAN FINANCE GROUP LTD                                     | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-19119.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ROJANA INDUSTRIAL PARK PCL                                       | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $6152.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS ATOSS SOFTWARE SE                                                | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-33367.06    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS ERSTE GROUP BANK AG                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $-23101.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS LAND & HOUSES PCL                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4655.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS GAMSUNG CORP.                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $2115.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2302.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS NINETY ONE LIMITED                                               | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1.55        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS KID ASA                                                          | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $512.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS NAGARRO SE                                                       | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $3858.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS TELKOM SA SOC LTD                                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $138646.30    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                        | TRS TOYO GOSEI CO LTD                                                | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DE               | CORP              | US        |           1 | NC      | $-10050.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS GAMMA COMMUNICATIONS PLC                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-34261.79    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS TMBTHANACHART BANK PCL                                           | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $157.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS BLUE BIRD TBK PT                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-2100.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS COM7 PCL                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $52792.17     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS B2 IMPACT ASA                                                    | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $65661.65     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $51.31        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS TGS ASA                                                          | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $10374.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS OCUMENSION THERAPEUTICS                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $26753.76     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS WNC CORP /TAIWAN                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1144.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ANAPASS INC                                                      | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-79.65       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS CERILLION PLC                                                    | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $5371.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS QISDA CORPORATION                                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-14345.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS C&S PAPER CO LTD                                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-25037.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS GVS SPA                                                          | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $3374.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS DIS-CHEM PHARMACIES LTD                                          | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-53453.47    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS TOSHIBA TEC CORP                                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $305.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1446.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS CARL ZEISS MEDITEC AG                                            | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $11953.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS ENVIPCO HOLDING NV                                               | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-7576.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                    | IRS USD                                                              | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DIR              | CORP              | FR        |           1 | NC      | $39008.32     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS SCANDI STANDARD AB                                               | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $12080.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS CHINA WATER AFFAIRS GROUP LTD                                    | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $4373.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CHINA STEEL CHEMICAL CORP                                        | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $4298.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION      | TRS MEDIOS AG                                                        | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-4213.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | IRS USD                                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DIR              | CORP              | US        |           1 | NC      | $13326.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS NIPPN CORP                                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $5272.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS SWEDENCARE AB                                                    | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $1526.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $5135.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS STILLFRONT GROUP AB                                              | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-3380.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS COGNOR HOLDING SA                                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5530.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS ACS,ACTIVIDADES DE CONSTRUCCION Y                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $8126.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB               | TRS MUSTI GROUP OYJ                                                  | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DE               | CORP              | SE        |           1 | NC      | $-60.40       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION      | TRS MONCLER SPA                                                      | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DE               | CORP              | US        |           1 | NC      | $-1006.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS DRAX GROUP PLC                                                   | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $64063.25     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS UNIPOL ASSICURAZIONI SPA                                         | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $62737.16     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ESTUN AUTOMATION CO LTD                                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-7784.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SK CHEMICALS CO LTD                                              | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $23407.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS EZAKI GLICO CO LTD                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-7156.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2567.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS GAKKEN HOLDINGS CO LTD                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $7429.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS WENDEL SE                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $3665.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS PERSEUS MINING LTD                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $18453.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CHINA RAILWAY TIELONG CONTAINER LOGISTICS CO LTD                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $3003.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS COMPUTACENTER PLC                                                | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $-69509.14    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS COSCO CAPITAL INC                                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $77.80        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS LONGFOR GROUP HOLDINGS LTD                                       | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-6824.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS MCDONALD'S HOLDINGS CO JAPAN LTD                                 | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-7030.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | TRS VOESTALPINE AG                                                   | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DE               | CORP              | US        |           1 | NC      | $80783.19     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS GDI PROPERTY GROUP PARTNERSHIP                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $1240.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2709.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS SF HOLDING CO LTD                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-8168.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS BEIJING ENTERPRISES WATER GROUP LTD                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-9510.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS GREENTOWN SERVICE GROUP CO LTD                                   | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $27188.13     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS ZHEJIANG SANHUA INTELLIGENT CONTROLS CO LTD                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $25953.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS YOUNG & CO'S BREWERY PLC                                         | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $8322.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS LIANCHUANG ELECTRONIC TECHNOLOGY CO LTD                          | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-209.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS INTERNATIONAL WORKPLACE GROUP PLC                                | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-5073.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | TRS BIC                                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DE               | CORP              | US        |           1 | NC      | $194.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS SINGAPORE TELECOMMUNICATIONS LTD                                 | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $-12189.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS ARGAN SA                                                         | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $167.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $763.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | TRS BEIJING CAPITAL INTERNATIONAL AIRPORT CO LTD                     | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DE               | CORP              | GB        |           1 | NC      | $-2812.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL SERVICES LLC            | TRS CREDIT CORP GROUP LTD                                            | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DE               | CORP              | US        |           1 | NC      | $10005.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DATABRICK 12/20/30                             | DATABRICK 12/20/30                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      413483 | PA      | $417617.36    | 0.08%             | 2030-12-20      | Floating      | 8.83%                 | No            |                  2 | On Loan: No      |
| CREDICORP CAPITAL SOCIED                       | Credicorp Capital Sociedad Titulizadora SA                           | CUSIP: 224939AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | PE        |      500000 | PA      | $152152.27    | 0.03%             | 2043-12-15      | Fixed         | 10.10%                | No            |                  2 | On Loan: No      |
| ON Semiconductor Corp                          | ON Semiconductor Corp                                                | CUSIP: 682189105<br>LEI: ZV20P4CNJVT8V1ZGJ064 | Short            | EC               | CORP              | US        |       -8732 | NS      | $-433019.88   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| LUMENTUM HOLDINGS INC                          | Lumentum Holdings Inc                                                | CUSIP: 55024UAH2<br>LEI: 549300JLWRRC38DWEF52 | Long             | DBT              | CORP              | US        |      136000 | PA      | $273360.00    | 0.05%             | 2029-12-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| CHEESECAKE FACTORY (THE)                       | Cheesecake Factory Inc/The                                           | CUSIP: 163072AB7<br>LEI: 529900872XMLK10SY247 | Long             | DBT              | CORP              | US        |      608000 | PA      | $656721.23    | 0.13%             | 2030-03-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Xenon Pharmaceuticals Inc                      | Xenon Pharmaceuticals Inc                                            | CUSIP: 98420N105<br>LEI: 549300XV44Q9Z1MIPQ03 | Long             | EC               | CORP              | CA        |       30203 | NS      | $1169158.13   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| PELOTON INTERACTIVE INC                        | Peloton Interactive Inc                                              | CUSIP: 70614WAD2<br>LEI: 5493002YS021166W0339 | Long             | DBT              | CORP              | US        |      202000 | PA      | $396930.00    | 0.08%             | 2029-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Scholar Rock Holding Corp                      | Scholar Rock Holding Corp                                            | CUSIP: 80706P103<br>LEI: 549300Z1FLPGL4OWJ459 | Long             | EC               | CORP              | US        |       21564 | NS      | $704064.60    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1350.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Informatica Inc                                | Informatica Inc                                                      | CUSIP: 45674M101<br>LEI: 984500E0DEFFE6DE9588 | Long             | EC               | CORP              | US        |       17368 | NS      | $432984.24    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| APPLIED DIGITAL CORP                           | Applied Digital Corp                                                 | CUSIP: 038169AA6<br>LEI: 2549004NE2B6RYXINZ02 | Long             | DBT              | CORP              | US        |       98000 | PA      | $179526.45    | 0.03%             | 2030-06-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| BENTLEY SYSTEMS INC                            | Bentley Systems Inc                                                  | CUSIP: 08265TAB5<br>LEI: 549300WVEHPGE0Z56F71 | Long             | DBT              | CORP              | US        |       58000 | PA      | $58232.00     | 0.01%             | 2026-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Chart Industries Inc                           | Chart Industries Inc                                                 | CUSIP: 16115Q308<br>LEI: EM7QGKC1GYOF3LSZSL80 | Long             | EC               | CORP              | US        |        2864 | NS      | $570967.04    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| A10 Networks Inc                               | A10 Networks Inc                                                     | CUSIP: 002121101<br>LEI: 549300UQD4IWUML81Q35 | Short            | EC               | CORP              | US        |       -6346 | NS      | $-112387.66   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| LBM ACQUISITION LLC                            | LBM Acquisition LLC                                                  | CUSIP: 05552BAA4<br>LEI: 549300FAEB3VWZL4NI86 | Short            | DBT              | CORP              | US        |     -731000 | PA      | $-671374.38   | -0.13%            | 2029-01-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| STRATEGY INC                                   | Strategy Inc                                                         | CUSIP: 594972AN1<br>LEI: 549300WQTWEJUEHXQX21 | Long             | DBT              | CORP              | US        |      204000 | PA      | $374136.00    | 0.07%             | 2032-06-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| H WORLD GROUP LTD                              | H World Group Ltd                                                    | CUSIP: 44332NAB2<br>LEI: 549300Y5ML31FVN83730 | Long             | DBT              | CORP              | KY        |      203000 | PA      | $216451.06    | 0.04%             | 2026-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PAR TECHNOLOGY CORP                            | PAR Technology Corp                                                  | CUSIP: 698884AC7<br>LEI: 549300HYPTHBJQINVG57 | Long             | DBT              | CORP              | US        |       36000 | PA      | $47682.60     | 0.01%             | 2026-04-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ZAMBIA                             | Zambia Government International Bond                                 | CUSIP: 000000000<br>LEI: 213800DMLAZ6LGMMD849 | Long             | DBT              | NUSS              | ZM        |     1039233 | PA      | $972981.22    | 0.19%             | 2033-06-30      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $42.43        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3844.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SUPER MICRO COMPUTER INC                       | Super Micro Computer Inc                                             | CUSIP: 86800UAE4<br>LEI: 54930022CZO1N2UGVW07 | Long             | DBT              | CORP              | US        |      422000 | PA      | $429872.41    | 0.08%             | 2030-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Thermo Fisher Scientific Inc                   | Thermo Fisher Scientific Inc                                         | CUSIP: 883556102<br>LEI: HCHV7422L5HDJZCRFL38 | Long             | EC               | CORP              | US        |        4004 | NS      | $1972850.88   | 0.38%             |  |  |  | No            |                  1 | On Loan: No      |
| WNS Holdings Ltd                               | WNS Holdings Ltd                                                     | CUSIP: 000000000<br>LEI: 529900RM7QHUD3W9DM42 | Long             | EC               | CORP              | IN        |       13942 | NS      | $1051923.90   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| CHEESECAKE FACTORY (THE)                       | Cheesecake Factory Inc/The                                           | CUSIP: 163072AA9<br>LEI: 529900872XMLK10SY247 | Long             | DBT              | CORP              | US        |      179000 | PA      | $183062.24    | 0.03%             | 2026-06-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| SIRIUS XM HOLDINGS                             | Sirius XM Holdings Inc                                               | CUSIP: 531229AP7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      426000 | PA      | $445383.00    | 0.09%             | 2028-03-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| LBM ACQUISITIO 06/06/31                        | LBM ACQUISITIO 06/06/31                                              | CUSIP: 000000000<br>LEI: 549300FAEB3VWZL4NI86 | Long             | LON              | CORP              | US        |       39126 | PA      | $38133.80     | 0.01%             | 2031-06-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PHARMING NV                                    | Pharming Group NV                                                    | CUSIP: 000000000<br>LEI: 724500DCJ9MPG74JEH91 | Long             | DBT              | CORP              | NL        |      100000 | PA      | $145309.11    | 0.03%             | 2029-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Match Group Inc                                | Match Group Inc                                                      | CUSIP: 57667L107<br>LEI: 15OMOPB0A8K0EFUVD031 | Short            | EC               | CORP              | US        |       -1636 | NS      | $-61088.24    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| GOL EQUITY FIN 3.75 7/24                       | GOL EQUITY FIN 3.75 7/24                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BR        |      348000 | PA      | $0.00         | 0.00%             | 2024-07-15      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| ORGANON & CO/ORGANON FOR                       | Organon & Co / Organon Foreign Debt Co-Issuer BV                     | CUSIP: 68622TAB7<br>LEI: N/A                  | Short            | DBT              | CORP              | US        |    -1626000 | PA      | $-1394528.85  | -0.27%            | 2031-04-30      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $4794.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Duke Energy Corp                               | Duke Energy Corp                                                     | CUSIP: 26441C204<br>LEI: I1BZKREC126H0VB1BL91 | Short            | EC               | CORP              | US        |       -8591 | NS      | $-1052311.59  | -0.20%            |  |  |  | No            |                  1 | On Loan: No      |
| K HOVNANIAN ENTERPRISES                        | K Hovnanian Enterprises Inc                                          | CUSIP: 48251UAM0<br>LEI: 549300JJCQ0KAI7CJG32 | Long             | DBT              | CORP              | US        |     1081000 | PA      | $1170150.07   | 0.22%             | 2029-09-30      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| Carnival Corp                                  | Carnival Corp                                                        | CUSIP: 143658300<br>LEI: F1OF2ZSX47CR0BCWA982 | Short            | EC               | CORP              | US        |      -50550 | NS      | $-1612039.50  | -0.31%            |  |  |  | No            |                  1 | On Loan: No      |
| Volkswagen AG                                  | Volkswagen AG                                                        | CUSIP: 000000000<br>LEI: 529900NNUPAGGOMPXZ31 | Short            | EP               | CORP              | DE        |       -1333 | NS      | $-155331.47   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| SNAP INC                                       | Snap Inc                                                             | CUSIP: 83304AAH9<br>LEI: 549300JNC0L6VP8A2Q35 | Long             | DBT              | CORP              | US        |       72000 | PA      | $63552.68     | 0.01%             | 2028-03-01      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| WisdomTree Inc                                 | WisdomTree Inc                                                       | CUSIP: 97717P104<br>LEI: 549300WIU8IS7UFO7871 | Short            | EC               | CORP              | US        |      -42481 | NS      | $-578166.41   | -0.11%            |  |  |  | No            |                  1 | On Loan: No      |
| REPUBLIC OF ARGENTINA                          | Argentine Republic Government International Bond                     | CUSIP: 040114HW3<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     1526318 | PA      | $934869.89    | 0.18%             | 2046-07-09      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| Golar LNG Ltd                                  | Golar LNG Ltd                                                        | CUSIP: 000000000<br>LEI: 213800C2VSFZG3EZLO34 | Long             | EC               | CORP              | BM        |       11059 | NS      | $484605.38    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| MEDLINE BORROWER LP                            | Medline Borrower LP                                                  | CUSIP: 62482BAB8<br>LEI: 254900QT3R363TVK6F09 | Short            | DBT              | CORP              | US        |     -133000 | PA      | $-131795.41   | -0.03%            | 2029-10-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| PERSHING TONTINE SPAR                          | PERSHING TONTINE SPAR                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       10707 | NS      | $0.00         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3120.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HIMS & HERS HEALTH                             | Hims & Hers Health Inc                                               | CUSIP: 433000AA4<br>LEI: 254900V041EIVTSB6D58 | Long             | DBT              | CORP              | US        |      173000 | PA      | $169107.50    | 0.03%             | 2030-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: —       |
| KAISA GROUP HOLDINGS LTD                       | Kaisa Group Holdings Ltd                                             | CUSIP: 000000000<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |      420000 | PA      | $18900.00     | 0.00%             | 2022-06-30      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| HARBOR FREIGH 06/11/31                         | HARBOR FREIGH 06/11/31                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       15187 | PA      | $15028.07     | 0.00%             | 2031-06-11      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| HARBOR FREIGH 06/11/31                         | HARBOR FREIGH 06/11/31                                               | CUSIP: 000000000<br>LEI: N/A                  | Short            | LON              | CORP              | US        |      -21786 | PA      | $-21558.93    | -0.00%            | 2031-06-11      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| Celanese Corp                                  | Celanese Corp                                                        | CUSIP: 150870103<br>LEI: 549300FHJQTDPPN41627 | Long             | EC               | CORP              | US        |       12431 | NS      | $592088.53    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| HARBOR FREIGH 06/11/31                         | HARBOR FREIGH 06/11/31                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |        6408 | PA      | $6341.44      | 0.00%             | 2031-06-11      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| TEMPUS AI INC                                  | Tempus AI Inc                                                        | CUSIP: 88023BAD5<br>LEI: 2549009LA0KWRAGQBX50 | Long             | DBT              | CORP              | US        |      203000 | PA      | $243210.38    | 0.05%             | 2030-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| LUMENTUM HOLDINGS INC                          | Lumentum Holdings Inc                                                | CUSIP: 55024UAF6<br>LEI: 549300JLWRRC38DWEF52 | Long             | DBT              | CORP              | US        |      194000 | PA      | $235133.30    | 0.04%             | 2028-06-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Spectris PLC                                   | Spectris PLC                                                         | CUSIP: 000000000<br>LEI: 213800Z4CO2CZO3M3T10 | Long             | EC               | CORP              | GB        |       15810 | NS      | $865078.36    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| Edison International                           | Edison International                                                 | CUSIP: 281020107<br>LEI: 549300I7ROF15MAEVP56 | Long             | EC               | CORP              | US        |       10662 | NS      | $598458.06    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $463.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SILVERCORP METALS INC                          | Silvercorp Metals Inc                                                | CUSIP: 82835PAA1<br>LEI: 52990092RT3UCQ7G3177 | Long             | DBT              | CORP              | CA        |      113000 | PA      | $154668.75    | 0.03%             | 2029-12-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| TUNISIAN REPUBLIC                              | Tunisian Republic                                                    | CUSIP: 000000000<br>LEI: 254900B5LFB16S9T2T11 | Long             | DBT              | NUSS              | TN        |      820000 | PA      | $951499.29    | 0.18%             | 2026-07-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| MIDCAP FINL ISSU 11/01/27                      | MIDCAP FINL ISSU 11/01/27                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     2020000 | PA      | $2067279.13   | 0.40%             | 2032-01-07      | Floating      | 10.00%                | No            |                  3 | On Loan: No      |
| REPAY HOLDINGS                                 | Repay Holdings Corp                                                  | CUSIP: 76029LAC4<br>LEI: 2549006EJ42T73ZKUI98 | Long             | DBT              | CORP              | US        |       58000 | PA      | $52148.98     | 0.01%             | 2029-07-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| ALIBABA GROUP HOLDING                          | Alibaba Group Holding Ltd                                            | CUSIP: 01609WBG6<br>LEI: 5493001NTNQJDH60PM02 | Long             | DBT              | CORP              | KY        |     1418000 | PA      | $2053264.00   | 0.39%             | 2031-06-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Progress Software Corp                         | Progress Software Corp                                               | CUSIP: 743312100<br>LEI: 549300R65B3JG6972S24 | Short            | EC               | CORP              | US        |       -2648 | NS      | $-122575.92   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| KAISA GROUP HOLDINGS LTD                       | Kaisa Group Holdings Ltd                                             | CUSIP: 000000000<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |      399000 | PA      | $16957.50     | 0.00%             | 2022-10-22      | Fixed         | 11.95%                | No            |                  2 | On Loan: No      |
| HOMETOGO SE                                    | HomeToGo SE                                                          | CUSIP: 000000000<br>LEI: 2221001IK1TS34BCHL37 | Long             | EC               | CORP              | LU        |         716 | NS      | $0.00         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| Surmodics Inc                                  | Surmodics Inc                                                        | CUSIP: 868873100<br>LEI: 549300H76KXCAAGUS878 | Long             | EC               | CORP              | US        |       12620 | NS      | $429584.80    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| SoFi Technologies Inc                          | SoFi Technologies Inc                                                | CUSIP: 83406F102<br>LEI: 549300SW81JCMVZDDY09 | Short            | EC               | CORP              | US        |      -37904 | NS      | $-968068.16   | -0.18%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $4329.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Sirius XM Holdings Inc                         | Sirius XM Holdings Inc                                               | CUSIP: 829933100<br>LEI: 54930055RWDMVXAGZK98 | Short            | EC               | CORP              | US        |       -6152 | NS      | $-145433.28   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Box Inc                                        | Box Inc                                                              | CUSIP: 10316T104<br>LEI: 549300KQUCPD8687YS68 | Short            | EC               | CORP              | US        |      -11800 | NS      | $-385034.00   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Delivery Hero SE                               | Delivery Hero SE                                                     | CUSIP: 000000000<br>LEI: 529900C3EX1FZGE48X78 | Long             | EC               | CORP              | DE        |        2117 | NS      | $56161.93     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PAR TECHNOLOGY CORP                            | PAR Technology Corp                                                  | CUSIP: 698884AE3<br>LEI: 549300HYPTHBJQINVG57 | Long             | DBT              | CORP              | US        |      313000 | PA      | $315814.95    | 0.06%             | 2027-10-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| MICROCHIP TECHNOLOGY INC                       | Microchip Technology Inc                                             | CUSIP: 595017BG8<br>LEI: 5493007PTFULNYZJ1R12 | Long             | DBT              | CORP              | US        |      605000 | PA      | $591431.14    | 0.11%             | 2030-06-01      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| ABB Ltd                                        | ABB Ltd                                                              | CUSIP: 000000000<br>LEI: 5493000LKVGOO9PELI61 | Short            | EC               | CORP              | CH        |      -13612 | NS      | $-913516.60   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| Kellanova                                      | Kellanova                                                            | CUSIP: 487836108<br>LEI: LONOZNOJYIBXOHXWDB86 | Long             | EC               | CORP              | US        |       17648 | NS      | $1403016.00   | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| Lennox International Inc                       | Lennox International Inc                                             | CUSIP: 526107107<br>LEI: S7DWAC87RDMPBF77GJ92 | Short            | EC               | CORP              | US        |        -374 | NS      | $-208639.64   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| ADVANCED ENERGY IND                            | Advanced Energy Industries Inc                                       | CUSIP: 007973AE0<br>LEI: 549300756XI3QLFT2U27 | Long             | DBT              | CORP              | US        |      135000 | PA      | $172622.87    | 0.03%             | 2028-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Cloudflare Inc                                 | Cloudflare Inc                                                       | CUSIP: 18915M107<br>LEI: 5493007DY18BGNLDWU14 | Short            | EC               | CORP              | US        |       -1494 | NS      | $-311812.74   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $4951.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DATABRICK 12/20/30                             | DATABRICK 12/20/30                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       91517 | PA      | $92432.64     | 0.02%             | 2031-01-03      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| PRA GROUP INC                                  | PRA Group Inc                                                        | CUSIP: 69354NAF3<br>LEI: 549300Q5HW3JSSB86K27 | Short            | DBT              | CORP              | US        |     -243000 | PA      | $-255540.68   | -0.05%            | 2030-01-31      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Metsera Inc                                    | Metsera Inc                                                          | CUSIP: 59267L107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        5762 | NS      | $203340.98    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| K HOVNANIAN ENTERPRISES                        | K Hovnanian Enterprises Inc                                          | CUSIP: 48251UAK4<br>LEI: 549300JJCQ0KAI7CJG32 | Long             | DBT              | CORP              | US        |      500000 | PA      | $507495.00    | 0.10%             | 2028-09-30      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| LIVANOVA PLC                                   | LivaNova PLC                                                         | CUSIP: 53802LAB8<br>LEI: 2138001K2FX6SHK2B339 | Long             | DBT              | CORP              | GB        |      170000 | PA      | $188870.00    | 0.04%             | 2029-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Akero Therapeutics Inc                         | Akero Therapeutics Inc                                               | CUSIP: 00973Y108<br>LEI: 549300SI3KG74LBE2955 | Long             | EC               | CORP              | US        |        7474 | NS      | $349260.02    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| Bitdeer Technologies Group                     | Bitdeer Technologies Group                                           | CUSIP: 000000000<br>LEI: 2549007M2KGWVJ9XFP20 | Long             | EC               | CORP              | SG        |        6214 | NS      | $88798.06     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Bitdeer Technologies Group                     | Bitdeer Technologies Group                                           | CUSIP: 000000000<br>LEI: 2549007M2KGWVJ9XFP20 | Short            | EC               | CORP              | SG        |       -6214 | NS      | $-88798.06    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Arcutis Biotherapeutics Inc                    | Arcutis Biotherapeutics Inc                                          | CUSIP: 03969K108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      123050 | NS      | $1909736.00   | 0.36%             |  |  |  | No            |                  1 | On Loan: No      |
| SOLERA T 06/02/28                              | SOLERA T 06/02/28                                                    | CUSIP: 73108RAB4<br>LEI: 254900LEPDAG7EDOA064 | Long             | LON              | CORP              | US        |       53253 | PA      | $50817.07     | 0.01%             | 2028-06-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1519.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROGERS SUGAR INC                               | Rogers Sugar Inc                                                     | CUSIP: 77519RAF9<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |       40000 | PA      | $30727.78     | 0.01%             | 2030-06-30      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GeneDx Holdings Corp                           | GeneDx Holdings Corp                                                 | CUSIP: 81663L200<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        6450 | NS      | $835210.50    | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| LEBANESE REPUBLIC                              | Lebanon Government International Bond                                | CUSIP: 000000000<br>LEI: 529900QPC4K9S1KHL354 | Long             | DBT              | NUSS              | LB        |      212000 | PA      | $41509.60     | 0.01%             | 2020-06-19      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                             | Dominican Republic International Bond                                | CUSIP: 25714PEW4<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    11150000 | PA      | $192210.79    | 0.04%             | 2035-09-15      | Fixed         | 11.25%                | No            |                  2 | On Loan: No      |
| Exelon Corp                                    | Exelon Corp                                                          | CUSIP: 30161N101<br>LEI: 3SOUA6IRML7435B56G12 | Long             | EC               | CORP              | US        |       26933 | NS      | $1176433.44   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| LIGADO NETWORKS 04/30/25                       | LIGADO NETWORKS 04/30/25                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       88515 | PA      | $88515.36     | 0.02%             | 2026-02-10      | Floating      | 17.50%                | No            |                  3 | On Loan: No      |
| NUTANIX INC                                    | Nutanix Inc                                                          | CUSIP: 67059NAH1<br>LEI: 549300X7J6E8TKVIXW09 | Long             | DBT              | CORP              | US        |      565000 | PA      | $726872.50    | 0.14%             | 2027-10-01      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Union Pacific Corp                             | Union Pacific Corp                                                   | CUSIP: 907818108<br>LEI: 549300LMMRSZZCZ8CL11 | Short            | EC               | CORP              | US        |       -1016 | NS      | $-227147.12   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Rubrik Inc                                     | Rubrik Inc                                                           | CUSIP: 781154109<br>LEI: 254900TRGK2WTBYMYU27 | Short            | EC               | CORP              | US        |       -2686 | NS      | $-240128.40   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| Q2 Holdings Inc                                | Q2 Holdings Inc                                                      | CUSIP: 74736L109<br>LEI: 549300M9RKR9DZXWS696 | Short            | EC               | CORP              | US        |       -2906 | NS      | $-228789.38   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3555.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Crinetics Pharmaceuticals Inc                  | Crinetics Pharmaceuticals Inc                                        | CUSIP: 22663K107<br>LEI: 549300Q1CNFXK5P31D28 | Long             | EC               | CORP              | US        |       30329 | NS      | $939895.71    | 0.18%             |  |  |  | No            |                  1 | On Loan: —       |
| Winnebago Industries Inc                       | Winnebago Industries Inc                                             | CUSIP: 974637100<br>LEI: 549300B7OYKYJLTE3G11 | Short            | EC               | CORP              | US        |        -307 | NS      | $-11045.86    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Flight Centre Travel Group Ltd                 | Flight Centre Travel Group Ltd                                       | CUSIP: 000000000<br>LEI: 254900BGNUI78EKEJY68 | Short            | EC               | CORP              | AU        |       -4200 | NS      | $-35707.31    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF ECUADOR                            | Ecuador Government International Bond                                | CUSIP: 000000000<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |     1564048 | PA      | $1182842.58   | 0.23%             | 2035-07-31      | Variable      | 6.90%                 | No            |                  2 | On Loan: No      |
| ZIFF DAVIS INC                                 | Ziff Davis Inc                                                       | CUSIP: 48123VAH5<br>LEI: 5493008OJYGLHD7MXA18 | Long             | DBT              | CORP              | US        |      537000 | PA      | $519691.17    | 0.10%             | 2028-03-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Alarm.com Holdings Inc                         | Alarm.com Holdings Inc                                               | CUSIP: 011642105<br>LEI: 549300HIH92U1EKIHZ32 | Short            | EC               | CORP              | US        |        -598 | NS      | $-35060.74    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| FIRST BRANDS GRO 03/30/27                      | FIRST BRANDS GRO 03/30/27                                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | LON              | CORP              | US        |     -391705 | PA      | $-374078.13   | -0.07%            | 2027-03-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| INTERDIGITAL INC                               | InterDigital Inc                                                     | CUSIP: 45867GAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      183000 | PA      | $644147.05    | 0.12%             | 2027-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                        | Romanian Government International Bond                               | CUSIP: 77586RAX8<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     1280000 | PA      | $1281523.20   | 0.24%             | 2036-05-16      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| Live Nation Entertainment Inc                  | Live Nation Entertainment Inc                                        | CUSIP: 538034109<br>LEI: 5493007B9BM9ZXJINO78 | Short            | EC               | CORP              | US        |       -4648 | NS      | $-773845.52   | -0.15%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $176.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Stellantis NV                                  | Stellantis NV                                                        | CUSIP: 000000000<br>LEI: 549300LKT9PW7ZIBDF31 | Short            | EC               | CORP              | NL        |      -34170 | NS      | $-327188.28   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| WAYFAIR INC                                    | Wayfair Inc                                                          | CUSIP: 94419LAR2<br>LEI: 54930027N9ZAVYFDHK53 | Long             | DBT              | CORP              | US        |      147000 | PA      | $263047.09    | 0.05%             | 2028-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Natera Inc                                     | Natera Inc                                                           | CUSIP: 632307104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        4497 | NS      | $756620.25    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| ALTICE USA TLB-5 04/15/27                      | ALTICE USA TLB-5 04/15/27                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      283173 | PA      | $277613.06    | 0.05%             | 2027-04-15      | Floating      | 9.00%                 | No            |                  2 | On Loan: No      |
| JBT Marel Corp                                 | JBT Marel Corp                                                       | CUSIP: 477839104<br>LEI: 5493007CT6ATBZ2L6826 | Short            | EC               | CORP              | US        |        -315 | NS      | $-45136.35    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| AKBANK TAS                                     | Akbank TAS                                                           | CUSIP: 00971YAK6<br>LEI: 789000TUMN63Z28TJ497 | Long             | DBT              | CORP              | TR        |      536000 | PA      | $564086.31    | 0.11%             | N/A             | Fixed         | 9.37%                 | No            |                  2 | On Loan: No      |
| Aspen Insurance Holdings Ltd                   | Aspen Insurance Holdings Ltd                                         | CUSIP: 000000000<br>LEI: 549300YX6HECG9XQCQ75 | Long             | EC               | CORP              | BM        |       11217 | NS      | $409420.50    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| TREASURY BILL                                  | United States Treasury Bill                                          | CUSIP: 912797QG5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    12000000 | PA      | $11930045.04  | 2.28%             | 2025-10-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HEARTHSIDE RC SO 11/22/24                      | HEARTHSIDE RC SO 11/22/24                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      135464 | PA      | $89406.24     | 0.02%             | 2026-02-10      | Floating      | 0.01%                 | No            |                  3 | On Loan: No      |
| QuantumScape Corp                              | QuantumScape Corp                                                    | CUSIP: 74767V109<br>LEI: N/A                  | Short            | EC               | CORP              | US        |      -11214 | NS      | $-88927.02    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1999.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Wayfair Inc                                    | Wayfair Inc                                                          | CUSIP: 94419L101<br>LEI: 54930027N9ZAVYFDHK53 | Short            | EC               | CORP              | US        |      -10484 | NS      | $-782106.40   | -0.15%            |  |  |  | No            |                  1 | On Loan: No      |
| Ormat Technologies Inc                         | Ormat Technologies Inc                                               | CUSIP: 686688102<br>LEI: 5493000TSHHWY24VHM09 | Short            | EC               | CORP              | US        |       -1090 | NS      | $-100160.10   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| VIKING BAKED GOODS ACQUI                       | Viking Baked Goods Acquisition Corp                                  | CUSIP: 92676AAA5<br>LEI: 254900DBFD2H1FJK0893 | Long             | DBT              | CORP              | US        |      138000 | PA      | $137017.43    | 0.03%             | 2031-11-01      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| SSR Mining Inc                                 | SSR Mining Inc                                                       | CUSIP: 784730103<br>LEI: 549300JD2KR7AB9DYJ38 | Short            | EC               | CORP              | US        |       -2910 | NS      | $-56192.10    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| ALPHATEC HOLDINGS INC                          | Alphatec Holdings Inc                                                | CUSIP: 02081GAB8<br>LEI: 549300EZE8CQ8K65FS24 | Long             | DBT              | CORP              | US        |      227000 | PA      | $245160.00    | 0.05%             | 2026-08-01      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| SPREE ACQUISITION CORP 1 LTD                   | Spree Acquisition Corp 1 Ltd                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | IL        |        3069 | NS      | $0.00         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| REPUBLIC OF PARAGUAY                           | Paraguay Government International Bond                               | CUSIP: 699149BX7<br>LEI: 529900UXKJTJPCU0HK83 | Long             | DBT              | NUSS              | PY        |  4945000000 | PA      | $648218.91    | 0.12%             | 2035-03-04      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Pagaya Technologies Ltd                        | Pagaya Technologies Ltd                                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | EC               | CORP              | US        |       -7033 | NS      | $-259377.04   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| StorageVault Canada Inc                        | StorageVault Canada Inc                                              | CUSIP: 86212H105<br>LEI: 254900A6LDI0HRL1VD69 | Short            | EC               | CORP              | CA        |       -5448 | NS      | $-18961.98    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| AMERICAN AIRLINES GROUP                        | American Airlines Group Inc                                          | CUSIP: 023771S66<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | DBT              | CORP              | US        |     1028000 | PA      | $1030096.09   | 0.20%             | 2026-02-15      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2.07        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1014.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EGYPT GOVERNMENT BOND                          | Egypt Government Bond                                                | CUSIP: 000000000<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    19200000 | PA      | $370996.03    | 0.07%             | 2026-04-06      | Fixed         | 14.48%                | No            |                  2 | On Loan: No      |
| ON SEMICONDUCTOR CORP                          | ON Semiconductor Corp                                                | CUSIP: 682189AS4<br>LEI: ZV20P4CNJVT8V1ZGJ064 | Long             | DBT              | CORP              | US        |      622000 | PA      | $712967.50    | 0.14%             | 2027-05-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| LIGADO NETWORKS LLC                            | Ligado Networks LLC                                                  | CUSIP: 53225HAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1772131 | PA      | $584803.32    | 0.11%             | 2023-11-01      | Fixed         | 15.50%                | No            |                  2 | On Loan: No      |
| SUPER MICRO COMPUTER INC                       | Super Micro Computer Inc                                             | CUSIP: 86800UAB0<br>LEI: 54930022CZO1N2UGVW07 | Long             | DBT              | CORP              | US        |      402000 | PA      | $397810.37    | 0.08%             | 2029-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NICE LTD                                       | Nice Ltd                                                             | CUSIP: 653656AB4<br>LEI: 254900YTY4EF5Z4W0A51 | Long             | DBT              | CORP              | IL        |      237000 | PA      | $236585.25    | 0.05%             | 2025-09-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Zebra Technologies Corp                        | Zebra Technologies Corp                                              | CUSIP: 989207105<br>LEI: PO0I32GKZ3HZMMDPZZ08 | Long             | EC               | CORP              | US        |        4636 | NS      | $1470029.24   | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| NEWAMSTERDAM PHARMA CO NV                      | NEWAMSTERDAM PHARMA CO NV-27                                         | CUSIP: 000000000<br>LEI: 984500B6549TF6E14D36 | Long             | EC               | CORP              | NL        |       41299 | NS      | $993240.95    | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| PG&E CORP                                      | PG&E Corp                                                            | CUSIP: 69331CAM0<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Short            | DBT              | CORP              | US        |     -537000 | PA      | $-534252.92   | -0.10%            | 2055-03-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| PTC THERAPEUTICS INC                           | PTC Therapeutics Inc                                                 | CUSIP: 69366JAD3<br>LEI: 549300UJLWOIWFDGB318 | Long             | DBT              | CORP              | US        |      655000 | PA      | $753664.79    | 0.14%             | 2026-09-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| COLLEGIUM PHARMA INC                           | Collegium Pharmaceutical Inc                                         | CUSIP: 19459JAC8<br>LEI: 54930049FXZMTLW8D496 | Long             | DBT              | CORP              | US        |      493000 | PA      | $621475.80    | 0.12%             | 2029-02-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $9207.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Porch Group Inc                                | Porch Group Inc                                                      | CUSIP: 733245104<br>LEI: 549300NXEI7CVW8IXQ90 | Short            | EC               | CORP              | US        |       -3789 | NS      | $-64299.33    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Vertex Pharmaceuticals Inc                     | Vertex Pharmaceuticals Inc                                           | CUSIP: 92532F100<br>LEI: 54930015RAQRRZ5ZGJ91 | Long             | EC               | CORP              | US        |        3774 | NS      | $1475709.48   | 0.28%             |  |  |  | No            |                  1 | On Loan: No      |
| PEBBLEBROOK HOTEL TRUST                        | Pebblebrook Hotel Trust                                              | CUSIP: 70509VAA8<br>LEI: 5493004Q1NNH6JXCSI52 | Long             | DBT              | CORP              | US        |      463000 | PA      | $444012.96    | 0.08%             | 2026-12-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Fortuna Mining Corp                            | Fortuna Mining Corp                                                  | CUSIP: 349942102<br>LEI: 5493003Q88RVK7CW4735 | Short            | EC               | CORP              | CA        |      -15229 | NS      | $-117263.30   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| GameStop Corp                                  | GameStop Corp                                                        | CUSIP: 36467W109<br>LEI: 549300505KLOET039L77 | Short            | EC               | CORP              | US        |      -22537 | NS      | $-505054.17   | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| TURKIYE GOVERNMENT BOND                        | Turkiye Government Bond                                              | CUSIP: 000000000<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    10324000 | PA      | $232728.95    | 0.04%             | 2033-10-05      | Fixed         | 26.20%                | No            |                  2 | On Loan: No      |
| SUPER MICRO COMPUTER INC                       | Super Micro Computer Inc                                             | CUSIP: 86800UAC8<br>LEI: 54930022CZO1N2UGVW07 | Long             | DBT              | CORP              | US        |      518000 | PA      | $553589.83    | 0.11%             | 2028-07-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: —       |
| Stevanato Group SpA                            | Stevanato Group SpA                                                  | CUSIP: 000000000<br>LEI: 81560033F7E1CD477507 | Long             | EC               | CORP              | IT        |       55914 | NS      | $1286581.14   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| Qfin Holdings Inc                              | Qfin Holdings Inc                                                    | CUSIP: 88557W101<br>LEI: 836800R59NKEPDR6I240 | Short            | EC               | CORP              | CN        |        -710 | NS      | $-20675.20    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Mercedes-Benz Group AG                         | Mercedes-Benz Group AG                                               | CUSIP: 000000000<br>LEI: 529900R27DL06UVNT076 | Short            | EC               | CORP              | DE        |      -11131 | NS      | $-696632.28   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3955.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COMMSCOPELLCTL12/17/29                         | COMMSCOPELLCTL12/17/29                                               | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      308246 | PA      | $314266.27    | 0.06%             | 2029-12-17      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| LIBERTY MEDIA CORP                             | Liberty Media Corp                                                   | CUSIP: 531229AR3<br>LEI: 549300ZKUTPIBZLWLL89 | Long             | DBT              | CORP              | US        |      476000 | PA      | $790302.09    | 0.15%             | 2053-09-30      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| TEGNA Inc                                      | TEGNA Inc                                                            | CUSIP: 87901J105<br>LEI: 549300YC5EDBGX85AO10 | Long             | EC               | CORP              | US        |        6993 | NS      | $148251.60    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Snowflake Inc                                  | Snowflake Inc                                                        | CUSIP: 833445109<br>LEI: 254900CJNSY1K7T53Z16 | Short            | EC               | CORP              | US        |       -4446 | NS      | $-1061082.36  | -0.20%            |  |  |  | No            |                  1 | On Loan: No      |
| M/A-COM TECH SOLUTIONS                         | MACOM Technology Solutions Holdings Inc                              | CUSIP: 55405YAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      239000 | PA      | $374058.03    | 0.07%             | 2026-03-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| TELE2 AB                                       | Tele2 AB                                                             | CUSIP: 000000000<br>LEI: 213800EKD193RVI9HL76 | Long             | DBT              | CORP              | SE        |      100000 | PA      | $104826.28    | 0.02%             | 2031-03-23      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                                  | United States Treasury Bill                                          | CUSIP: 912797QE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    10000000 | PA      | $9956936.10   | 1.90%             | 2025-10-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Sapiens International Corp NV                  | Sapiens International Corp NV                                        | CUSIP: 000000000<br>LEI: 2549009P4ZS02GC5QV68 | Long             | EC               | CORP              | IL        |       16402 | NS      | $703645.80    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| BILL Holdings Inc                              | BILL Holdings Inc                                                    | CUSIP: 090043100<br>LEI: 549300IBF9VZZIGOZW63 | Short            | EC               | CORP              | US        |       -2268 | NS      | $-105280.56   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| AMERICAN AIRLINES GROUP                        | American Airlines Group Inc                                          | CUSIP: 023771S82<br>LEI: IWUQB36BXD6OWD6X4T14 | Long             | DBT              | CORP              | US        |     2431000 | PA      | $2435956.81   | 0.47%             | 2026-02-15      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2606.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TETRA TECH INC                                 | Tetra Tech Inc                                                       | CUSIP: 88162GAB9<br>LEI: 549300UJ1LP7JGJC5P32 | Long             | DBT              | CORP              | US        |      219000 | PA      | $246508.45    | 0.05%             | 2028-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| TITULOS DE TESORERIA                           | Colombian TES                                                        | CUSIP: 000000000<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  3060700000 | PA      | $814095.93    | 0.16%             | 2033-02-09      | Fixed         | 13.25%                | No            |                  2 | On Loan: No      |
| FISKER INC                                     | Fisker Inc                                                           | CUSIP: 33813JAA4<br>LEI: 549300UUN5RWU44MBX79 | Long             | DBT              | CORP              | US        |      951000 | PA      | $4284.76      | 0.00%             | 2026-09-15      | Fixed         | 2.50%                 | No            |                  3 | On Loan: No      |
| Southern Co/The                                | Southern Co/The                                                      | CUSIP: 842587107<br>LEI: 549300FC3G3YU2FBZD92 | Short            | EC               | CORP              | US        |       -8540 | NS      | $-788242.00   | -0.15%            |  |  |  | No            |                  1 | On Loan: No      |
| Caterpillar Inc                                | Caterpillar Inc                                                      | CUSIP: 149123101<br>LEI: WRJR7GS4GTRECRRTVX92 | Short            | EC               | CORP              | US        |       -1464 | NS      | $-613474.56   | -0.12%            |  |  |  | No            |                  1 | On Loan: No      |
| BLOOM ENERGY CORP                              | Bloom Energy Corp                                                    | CUSIP: 093712AK3<br>LEI: 549300XB5J9BFW5JXV97 | Long             | DBT              | CORP              | US        |      376000 | PA      | $1082882.88   | 0.21%             | 2028-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MARRIOTT VACATION WORLDW                       | Marriott Vacations Worldwide Corp                                    | CUSIP: 57164YAD9<br>LEI: 549300WA6BT5H4F7IO94 | Long             | DBT              | CORP              | US        |     1054000 | PA      | $1032861.21   | 0.20%             | 2026-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JAZZ INVESTMENTS I LTD                         | Jazz Investments I Ltd                                               | CUSIP: 472145AF8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      787000 | PA      | $828184.07    | 0.16%             | 2026-06-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF VENEZUELA                          | Venezuela Government International Bond                              | CUSIP: 000000000<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |      389000 | PA      | $91064.90     | 0.02%             | 2026-10-21      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| EQUIPMENTSHARE.COM INC                         | EquipmentShare.com Inc                                               | CUSIP: 29450YAC3<br>LEI: 254900PWJK48CGPKPI80 | Short            | DBT              | CORP              | US        |     -371000 | PA      | $-394462.41   | -0.08%            | 2033-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $825.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NABORS ENERGY TRANSITION C-A                   | Nabors Energy Transition Corp II                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        2168 | NS      | $717.61       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| DTI Holdc 4/26/2029                            | DTI Holdc 4/26/2029                                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | LON              | CORP              | US        |     -462574 | PA      | $-442288.26   | -0.08%            | 2029-04-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SONICWALL US HLD 05/16/28                      | SONICWALL US HLD 05/16/28                                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | LON              | CORP              | US        |     -634916 | PA      | $-624731.92   | -0.12%            | 2028-05-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PTC Therapeutics Inc                           | PTC Therapeutics Inc                                                 | CUSIP: 69366J200<br>LEI: 549300UJLWOIWFDGB318 | Short            | EC               | CORP              | US        |       -6927 | NS      | $-341708.91   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Exact Sciences Corp                            | Exact Sciences Corp                                                  | CUSIP: 30063P105<br>LEI: 549300VM3X1FYD4N9Z14 | Short            | EC               | CORP              | US        |       -1795 | NS      | $-85118.90    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| ARDONAGH FINCO LTD                             | Ardonagh Finco Ltd                                                   | CUSIP: 000000000<br>LEI: 254900D2T84O1K03BA28 | Long             | DBT              | CORP              | JE        |      194000 | PA      | $237235.58    | 0.05%             | 2031-02-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| LIGADO NETWORKS 04/30/25                       | LIGADO NETWORKS 04/30/25                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |        5798 | PA      | $5798.06      | 0.00%             | 2026-02-10      | Floating      | 0.01%                 | No            |                  3 | On Loan: No      |
| ANI PHARMACEUTICALS INC                        | ANI Pharmaceuticals Inc                                              | CUSIP: 00182CAB9<br>LEI: 5493000T6CXTND40YH31 | Long             | DBT              | CORP              | US        |      148000 | PA      | $211240.40    | 0.04%             | 2029-09-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| DEVELOPMENT BANK OF KAZA                       | Development Bank of Kazakhstan JSC                                   | CUSIP: 25159XAF0<br>LEI: 213800LCDPGJ1BI7KX98 | Long             | DBT              | NUSS              | KZ        |   100000000 | PA      | $171667.61    | 0.03%             | 2028-05-23      | Fixed         | 13.49%                | No            |                  2 | On Loan: No      |
| MATCH GROUP FINANCECO 3                        | Match Group Financeco 3 Inc                                          | CUSIP: 44932KAA4<br>LEI: 5493003IEL8HSZKWUI17 | Long             | DBT              | CORP              | US        |      386000 | PA      | $356493.79    | 0.07%             | 2030-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: —       |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-82.67       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Vaxcyte Inc                                    | Vaxcyte Inc                                                          | CUSIP: 92243G108<br>LEI: 254900M7NMHTGASX8D95 | Long             | EC               | CORP              | US        |       26523 | NS      | $816643.17    | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| ROMANIA                                        | Romanian Government International Bond                               | CUSIP: 000000000<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      775000 | PA      | $924787.58    | 0.18%             | 2039-07-11      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| PITNEY BOWES INC                               | Pitney Bowes Inc                                                     | CUSIP: 724479AR1<br>LEI: 549300N2O26NW4ST6W55 | Long             | DBT              | CORP              | US        |      122000 | PA      | $130357.00    | 0.02%             | 2030-08-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Advanced Energy Industries Inc                 | Advanced Energy Industries Inc                                       | CUSIP: 007973100<br>LEI: 549300756XI3QLFT2U27 | Short            | EC               | CORP              | US        |        -741 | NS      | $-110912.88   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Dow Inc                                        | Dow Inc                                                              | CUSIP: 260557103<br>LEI: 5493003S21INSLK2IP73 | Short            | EC               | CORP              | US        |      -10516 | NS      | $-259009.08   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| OKTA INC                                       | Okta Inc                                                             | CUSIP: 679295AF2<br>LEI: 549300N8J06I8MRHU620 | Long             | DBT              | CORP              | US        |       68000 | PA      | $66008.00     | 0.01%             | 2026-06-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| AES Corp/The                                   | AES Corp/The                                                         | CUSIP: 00130H105<br>LEI: 2NUNNB7D43COUIRE5295 | Short            | EC               | CORP              | US        |      -14832 | NS      | $-200825.28   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                                | United States Treasury Note/Bond                                     | CUSIP: 91282CNL1<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |     -703000 | PA      | $-704235.74   | -0.13%            | 2027-06-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| LIBERTY INTERACTIVE LLC                        | Liberty Interactive LLC                                              | CUSIP: 530715AL5<br>LEI: 549300SZUIU7Z32Q0664 | Long             | DBT              | CORP              | US        |      860000 | PA      | $81700.00     | 0.02%             | 2030-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| XPLR INFRAST OPERATING                         | XPLR Infrastructure Operating Partners LP                            | CUSIP: 98380MAB1<br>LEI: 549300KJEC5IUVJWR786 | Long             | DBT              | CORP              | US        |      528000 | PA      | $557197.34    | 0.11%             | 2033-03-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-246.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Lyft Inc                                       | Lyft Inc                                                             | CUSIP: 55087P104<br>LEI: 549300H7I5VN334XVZ52 | Short            | EC               | CORP              | US        |      -14184 | NS      | $-230064.48   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Plug Power Inc                                 | Plug Power Inc                                                       | CUSIP: 72919P202<br>LEI: 549300JPDKRSJ8JSM954 | Short            | EC               | CORP              | US        |      -56498 | NS      | $-88701.86    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| BIGBEAR.AI HOLDINGS INC                        | BigBear.ai Holdings Inc                                              | CUSIP: 08975BAC3<br>LEI: 549300XGCF2ELN28CS63 | Long             | DBT              | CORP              | US        |      143000 | PA      | $236179.94    | 0.05%             | 2029-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SRI LANKA                          | Sri Lanka Government International Bond                              | CUSIP: 000000000<br>LEI: 254900IG6Y30I2QE2R92 | Long             | DBT              | NUSS              | LK        |       69350 | PA      | $66232.72     | 0.01%             | 2028-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CONMED CORP                                    | CONMED Corp                                                          | CUSIP: 207410AH4<br>LEI: Z6C0YCECH9DCU5ZIQW84 | Long             | DBT              | CORP              | US        |      825000 | PA      | $789360.00    | 0.15%             | 2027-06-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: —       |
| GUITAR CENTER INC                              | Guitar Center Inc                                                    | CUSIP: 402040AS8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      627900 | PA      | $486974.08    | 0.09%             | 2029-01-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| ZIFF DAVIS INC                                 | Ziff Davis Inc                                                       | CUSIP: 48123VAE2<br>LEI: 5493008OJYGLHD7MXA18 | Long             | DBT              | CORP              | US        |      251000 | PA      | $241713.00    | 0.05%             | 2026-11-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| XPLR INFRAST OPERATING                         | XPLR Infrastructure Operating Partners LP                            | CUSIP: 98380MAA3<br>LEI: 549300KJEC5IUVJWR786 | Long             | DBT              | CORP              | US        |      480000 | PA      | $502287.84    | 0.10%             | 2031-01-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| AKAMAI TECHNOLOGIES INC                        | Akamai Technologies Inc                                              | CUSIP: 00971TAN1<br>LEI: OC1LZNN2LF5WTJ5RIL89 | Long             | DBT              | CORP              | US        |      473000 | PA      | $450769.00    | 0.09%             | 2029-02-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF EL SALVADOR                        | El Salvador Government International Bond                            | CUSIP: 000000000<br>LEI: 529900AKDMUSFSDOM949 | Long             | DBT              | NUSS              | SV        |      185000 | PA      | $191706.25    | 0.04%             | 2052-07-15      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-174.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Expedia Group Inc                              | Expedia Group Inc                                                    | CUSIP: 30212P303<br>LEI: N/A                  | Short            | EC               | CORP              | US        |        -511 | NS      | $-109762.80   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| LEBANESE REPUBLIC                              | Lebanon Government International Bond                                | CUSIP: 000000000<br>LEI: 529900QPC4K9S1KHL354 | Long             | DBT              | NUSS              | LB        |     1010000 | PA      | $198793.25    | 0.04%             | 2022-10-04      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Quanta Services Inc                            | Quanta Services Inc                                                  | CUSIP: 74762E102<br>LEI: SHVRXXEACT60MMH07S24 | Long             | EC               | CORP              | US        |        3497 | NS      | $1321726.12   | 0.25%             |  |  |  | No            |                  1 | On Loan: No      |
| Norfolk Southern Corp                          | Norfolk Southern Corp                                                | CUSIP: 655844108<br>LEI: 54930036C8MWP850MI84 | Long             | EC               | CORP              | US        |        1016 | NS      | $284459.68    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| AFFIRM HOLDINGS INC                            | Affirm Holdings Inc                                                  | CUSIP: 00827BAC0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      606000 | PA      | $729811.38    | 0.14%             | 2029-12-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SRI LANKA                          | Sri Lanka Government International Bond                              | CUSIP: 000000000<br>LEI: 254900IG6Y30I2QE2R92 | Long             | DBT              | NUSS              | LK        |      105000 | PA      | $87882.15     | 0.02%             | 2033-03-15      | Variable      | 3.35%                 | No            |                  2 | On Loan: No      |
| PROVINCIA DE BUENOS AIRE                       | Provincia de Buenos Aires/Government Bonds                           | CUSIP: 000000000<br>LEI: 549300L6AYROPOTQ4L07 | Long             | DBT              | NUSS              | AR        |     2354861 | PA      | $1611078.15   | 0.31%             | 2037-09-01      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| Gazprom PJSC                                   | Gazprom PJSC                                                         | CUSIP: 000000000<br>LEI: 213800FD9J2IHTA7YX78 | Long             | EC               | CORP              | RU        |      615160 | NS      | $0.00         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                       | Republic of South Africa Government Bond                             | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    24127000 | PA      | $1219750.81   | 0.23%             | 2037-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Dayforce Inc                                   | Dayforce Inc                                                         | CUSIP: 15677J108<br>LEI: 549300T64GVCHFJ8L449 | Long             | EC               | CORP              | US        |        4200 | NS      | $293034.00    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-398.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OSI SYSTEMS INC                                | OSI Systems Inc                                                      | CUSIP: 671044AF2<br>LEI: DDX3MPX1Y8YD30050X33 | Long             | DBT              | CORP              | US        |      311000 | PA      | $428091.50    | 0.08%             | 2029-08-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: —       |
| WOLFSPEED INC                                  | Wolfspeed Inc                                                        | CUSIP: 977852AD4<br>LEI: 549300OGU88P3AW3TO93 | Long             | DBT              | CORP              | US        |      238000 | PA      | $87465.00     | 0.02%             | 2029-12-01      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| PPL Corp                                       | PPL Corp                                                             | CUSIP: 69351T106<br>LEI: 9N3UAJSNOUXFKQLF3V18 | Long             | EC               | CORP              | US        |       36764 | NS      | $1340783.08   | 0.26%             |  |  |  | No            |                  1 | On Loan: No      |
| REPUBLIC OF NIGERIA                            | Nigeria Government International Bond                                | CUSIP: 000000000<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |     1035000 | PA      | $1136761.59   | 0.22%             | 2034-12-09      | Fixed         | 10.38%                | No            |                  2 | On Loan: No      |
| Jazz Pharmaceuticals PLC                       | Jazz Pharmaceuticals PLC                                             | CUSIP: 000000000<br>LEI: 635400GAUMJCLEZRRV50 | Short            | EC               | CORP              | IE        |       -1594 | NS      | $-203633.50   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                                | United States Treasury Note/Bond                                     | CUSIP: 91282CNK3<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |     -349000 | PA      | $-351903.79   | -0.07%            | 2030-06-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Apellis Pharmaceuticals Inc                    | Apellis Pharmaceuticals Inc                                          | CUSIP: 03753U106<br>LEI: 254900HS0ZFRXXSB9D42 | Long             | EC               | CORP              | US        |       62267 | NS      | $1716701.19   | 0.33%             |  |  |  | No            |                  1 | On Loan: No      |
| Tarsus Pharmaceuticals Inc                     | Tarsus Pharmaceuticals Inc                                           | CUSIP: 87650L103<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       28962 | NS      | $1696593.96   | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| Pharming Group NV                              | Pharming Group NV                                                    | CUSIP: 000000000<br>LEI: 724500DCJ9MPG74JEH91 | Short            | EC               | CORP              | NL        |      -50165 | NS      | $-73771.18    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UNIVISION COMMUNICATIONS                       | Univision Communications Inc                                         | CUSIP: 914906AV4<br>LEI: 549300YQDE2JSGTL8V47 | Short            | DBT              | CORP              | US        |     -730000 | PA      | $-685247.86   | -0.13%            | 2029-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $472.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Pitney Bowes Inc                               | Pitney Bowes Inc                                                     | CUSIP: 724479100<br>LEI: 549300N2O26NW4ST6W55 | Short            | EC               | CORP              | US        |       -5783 | NS      | $-70089.96    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| UPSTART HOLDINGS INC                           | Upstart Holdings Inc                                                 | CUSIP: 91680MAC1<br>LEI: 549300WNB47JRNENIC75 | Long             | DBT              | CORP              | US        |      530000 | PA      | $962751.35    | 0.18%             | 2029-10-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: —       |
| CORE SCIENTIFIC INC                            | Core Scientific Inc                                                  | CUSIP: 21874AAC0<br>LEI: 5299003RGB2LAZ65RK73 | Long             | DBT              | CORP              | US        |      127000 | PA      | $193712.93    | 0.04%             | 2029-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ALPHATEC HOLDINGS INC                          | Alphatec Holdings Inc                                                | CUSIP: 02081GAC6<br>LEI: 549300EZE8CQ8K65FS24 | Long             | DBT              | CORP              | US        |      266000 | PA      | $334149.20    | 0.06%             | 2030-03-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Mitsubishi Electric Corp                       | Mitsubishi Electric Corp                                             | CUSIP: 000000000<br>LEI: 549300TRXM9Y6561AX39 | Long             | EC               | CORP              | JP        |       64087 | NS      | $1529950.68   | 0.29%             |  |  |  | No            |                  2 | On Loan: No      |
| Uniti Group Inc                                | Uniti Group Inc                                                      | CUSIP: 912932100<br>LEI: 549300V3NU625PJUVA84 | Long             | EC               | CORP              | US        |       31622 | NS      | $199218.60    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| STORAGEVAULT CANADA INC                        | StorageVault Canada Inc                                              | CUSIP: 86212HAC9<br>LEI: 254900A6LDI0HRL1VD69 | Long             | DBT              | CORP              | CA        |      296000 | PA      | $217126.30    | 0.04%             | 2028-03-31      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AFFIRM HOLDINGS INC                            | Affirm Holdings Inc                                                  | CUSIP: 00827BAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      608000 | PA      | $576111.62    | 0.11%             | 2026-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Euronet Worldwide Inc                          | Euronet Worldwide Inc                                                | CUSIP: 298736109<br>LEI: YG3575C4DSHJPA5KET68 | Short            | EC               | CORP              | US        |       -1611 | NS      | $-150129.09   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| GAMESTOP CORP                                  | GameStop Corp                                                        | CUSIP: 36467WAD1<br>LEI: 549300505KLOET039L77 | Long             | DBT              | CORP              | US        |      162000 | PA      | $165760.66    | 0.03%             | 2030-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $106.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-234.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA TECHNOLOGIES LTD                        | Pagaya Technologies Ltd                                              | CUSIP: 69549FAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | IL        |      104000 | PA      | $298135.75    | 0.06%             | 2029-10-01      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                | United States Treasury Note/Bond                                     | CUSIP: 91282CNN7<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |     -306000 | PA      | $-308510.15   | -0.06%            | 2030-07-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                       | Celanese US Holdings LLC                                             | CUSIP: 15089QBA1<br>LEI: CD30XVRLT4QO00B1C706 | Short            | DBT              | CORP              | US        |     -392000 | PA      | $-395055.25   | -0.08%            | 2033-04-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| Johnson Controls International                 | Johnson Controls International plc                                   | CUSIP: 000000000<br>LEI: 549300XQ6S1GYKGBL205 | Long             | EC               | CORP              | US        |       16691 | NS      | $1784100.99   | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| PETCO HEALTH WEL 03/03/28                      | PETCO HEALTH WEL 03/03/28                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       19500 | PA      | $18886.43     | 0.00%             | 2028-03-03      | Floating      | 7.81%                 | No            |                  2 | On Loan: No      |
| PETCO HEALTH WEL 03/03/28                      | PETCO HEALTH WEL 03/03/28                                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | LON              | CORP              | US        |     -885257 | PA      | $-857411.45   | -0.16%            | 2028-03-03      | Floating      | 7.81%                 | No            |                  2 | On Loan: No      |
| THE REALREAL INC                               | RealReal Inc/The                                                     | CUSIP: 88339PAJ0<br>LEI: 549300O00VUGT4H1PE90 | Long             | DBT              | CORP              | US        |      177000 | PA      | $182044.50    | 0.03%             | 2031-02-15      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| SHIFT TECHNOLOGIES INC                         | Shift Technologies Inc                                               | CUSIP: 82452TAA5<br>LEI: 5493000DBZBX1I1QVY71 | Long             | DBT              | CORP              | US        |     1014000 | PA      | $671.55       | 0.00%             | 2026-05-15      | Fixed         | 4.75%                 | No            |                  3 | On Loan: No      |
| GE HealthCare Technologies Inc                 | GE HealthCare Technologies Inc                                       | CUSIP: 36266G107<br>LEI: 549300OI9J7XOWZMUN85 | Long             | EC               | CORP              | US        |       24601 | NS      | $1813831.73   | 0.35%             |  |  |  | No            |                  1 | On Loan: No      |
| AMERICA MOVIL SAB DE CV                        | America Movil SAB de CV                                              | CUSIP: 000000000<br>LEI: 5493000FNR3UCEAONM59 | Long             | DBT              | CORP              | MX        |     3810000 | PA      | $214808.46    | 0.04%             | 2034-01-30      | Fixed         | 10.30%                | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2330.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| American Water Works Co Inc                    | American Water Works Co Inc                                          | CUSIP: 030420103<br>LEI: 549300DXHIJQMD5WFW18 | Short            | EC               | CORP              | US        |       -3161 | NS      | $-453635.11   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| WASH MULTIFAM ACQ INC                          | WASH Multifamily Acquisition Inc                                     | CUSIP: 93710WAA3<br>LEI: 549300AS7PRY5PHG6L12 | Short            | DBT              | CORP              | US        |    -1085000 | PA      | $-1085385.07  | -0.21%            | 2026-04-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| AKAMAI TECHNOLOGIES INC                        | Akamai Technologies Inc                                              | CUSIP: 00971TAP6<br>LEI: OC1LZNN2LF5WTJ5RIL89 | Long             | DBT              | CORP              | US        |      384000 | PA      | $396284.21    | 0.08%             | 2033-05-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Solaris Energy Infrastructure                  | Solaris Energy Infrastructure Inc                                    | CUSIP: 83418M103<br>LEI: 529900MTK3C8Y8TIIC10 | Short            | EC               | CORP              | US        |       -2745 | NS      | $-86714.55    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| MoonLake Immunotherapeutics                    | MoonLake Immunotherapeutics                                          | CUSIP: 61559X104<br>LEI: N/A                  | Long             | EC               | CORP              | CH        |        7647 | NS      | $426320.25    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| BRIDGEBIO PHARMA INC                           | Bridgebio Pharma Inc                                                 | CUSIP: 10806XAH5<br>LEI: 54930028YG89VTY2J114 | Long             | DBT              | CORP              | US        |       86000 | PA      | $113192.91    | 0.02%             | 2031-03-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| Nutanix Inc                                    | Nutanix Inc                                                          | CUSIP: 67059N108<br>LEI: 549300X7J6E8TKVIXW09 | Short            | EC               | CORP              | US        |       -8108 | NS      | $-544938.68   | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| Guardant Health Inc                            | Guardant Health Inc                                                  | CUSIP: 40131M109<br>LEI: 254900M8C3E5VC8BR186 | Short            | EC               | CORP              | US        |       -2455 | NS      | $-165516.10   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Guardant Health Inc                            | Guardant Health Inc                                                  | CUSIP: 40131M109<br>LEI: 254900M8C3E5VC8BR186 | Long             | EC               | CORP              | US        |       15756 | NS      | $1062269.52   | 0.20%             |  |  |  | No            |                  1 | On Loan: —       |
| WPP FINANCE 2013                               | WPP Finance 2013                                                     | CUSIP: 000000000<br>LEI: 549300L84EKSLWWPGI24 | Long             | DBT              | CORP              | GB        |      100000 | PA      | $81302.27     | 0.02%             | 2046-09-14      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2275.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Xometry Inc                                    | Xometry Inc                                                          | CUSIP: 98423F109<br>LEI: 5493006JFRGU7YRRXE44 | Short            | EC               | CORP              | US        |       -8532 | NS      | $-422163.36   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| SSR MINING INC                                 | SSR Mining Inc                                                       | CUSIP: 784730AB9<br>LEI: 549300JD2KR7AB9DYJ38 | Long             | DBT              | CORP              | CA        |       82000 | PA      | $98199.76     | 0.02%             | 2039-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| SOLERA T 06/02/28                              | SOLERA T 06/02/28                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     1136930 | PA      | $1084927.17   | 0.21%             | 2028-06-02      | Floating      | 8.29%                 | No            |                  2 | On Loan: No      |
| Skechers USA Inc                               | Skechers USA Inc                                                     | CUSIP: 830566105<br>LEI: 529900D2R54KZPA4XR56 | Long             | EC               | CORP              | US        |        6786 | NS      | $428060.88    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| Akamai Technologies Inc                        | Akamai Technologies Inc                                              | CUSIP: 00971T101<br>LEI: OC1LZNN2LF5WTJ5RIL89 | Short            | EC               | CORP              | US        |       -6180 | NS      | $-489023.40   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| Ferrari NV                                     | Ferrari NV                                                           | CUSIP: 000000000<br>LEI: 549300RIVY5EX8RCON76 | Long             | EC               | CORP              | IT        |         571 | NS      | $272486.91    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Opendoor Technologies Inc                      | Opendoor Technologies Inc                                            | CUSIP: 683712103<br>LEI: 254900KX11YZ4HV5BQ47 | Short            | EC               | CORP              | US        |      -71243 | NS      | $-317031.35   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| TARGET GLOBAL ACQUISITION -A                   | Target Global Acquisition I Corp                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | IL        |        3516 | NS      | $41.49        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| LUMENTUM HOLDINGS INC                          | Lumentum Holdings Inc                                                | CUSIP: 55024UAD1<br>LEI: 549300JLWRRC38DWEF52 | Long             | DBT              | CORP              | US        |     1065000 | PA      | $1533813.00   | 0.29%             | 2026-12-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| CELANESE US HOLDINGS LLC                       | Celanese US Holdings LLC                                             | CUSIP: 15089QAZ7<br>LEI: CD30XVRLT4QO00B1C706 | Short            | DBT              | CORP              | US        |      -50000 | PA      | $-50491.95    | -0.01%            | 2030-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $796.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Covestro AG                                    | Covestro AG                                                          | CUSIP: 000000000<br>LEI: 3912005AWHKLQ1CPLV11 | Long             | EC               | CORP              | DE        |       23863 | NS      | $1658290.80   | 0.32%             |  |  |  | No            |                  1 | On Loan: No      |
| Interpublic Group of Cos Inc/T                 | Interpublic Group of Cos Inc/The                                     | CUSIP: 460690100<br>LEI: 5493008IUOJ5VWTRC333 | Long             | EC               | CORP              | US        |       13927 | NS      | $373800.68    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| TERACT SA                                      | Teract SA                                                            | CUSIP: 000000000<br>LEI: 969500HQ6PWNILD1HE63 | Long             | EC               | CORP              | FR        |        3920 | NS      | $4.59         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Peloton Interactive Inc                        | Peloton Interactive Inc                                              | CUSIP: 70614W100<br>LEI: 5493002YS021166W0339 | Short            | EC               | CORP              | US        |      -38674 | NS      | $-293922.40   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| TRANSMEDICS GROUP INC                          | TransMedics Group Inc                                                | CUSIP: 89377MAB5<br>LEI: 549300060GVOSMWARH50 | Long             | DBT              | CORP              | US        |      333000 | PA      | $480856.58    | 0.09%             | 2028-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Solventum Corp                                 | Solventum Corp                                                       | CUSIP: 83444M101<br>LEI: 254900I70403OSGY4M28 | Long             | EC               | CORP              | US        |       14555 | NS      | $1063824.95   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| Bentley Systems Inc                            | Bentley Systems Inc                                                  | CUSIP: 08265T208<br>LEI: 549300WVEHPGE0Z56F71 | Short            | EC               | CORP              | US        |        -125 | NS      | $-6956.25     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| TREASURY BILL                                  | United States Treasury Bill                                          | CUSIP: 912797RB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     6000000 | PA      | $5975529.18   | 1.14%             | 2025-10-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NextEra Energy Inc                             | NextEra Energy Inc                                                   | CUSIP: 65339F101<br>LEI: 254900RHL9MEUS5NKX63 | Long             | EC               | CORP              | US        |       31727 | NS      | $2285930.35   | 0.44%             |  |  |  | No            |                  1 | On Loan: No      |
| COMMSCOPE LLC TL 12/17/29                      | COMMSCOPE LLC TL 12/17/29                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      491056 | PA      | $500646.15    | 0.10%             | 2029-12-17      | Floating      | 9.58%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $5813.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GAMESTOP CORP                                  | GameStop Corp                                                        | CUSIP: 36467WAF6<br>LEI: 549300505KLOET039L77 | Long             | DBT              | CORP              | US        |      769000 | PA      | $777459.00    | 0.15%             | 2032-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| INSTITUTIONAL FIDUCIARY TRUST                  | INSTITUTIONAL FIDUCIARY TRUST                                        | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     2758000 | NS      | $2758000.00   | 0.53%             |  |  |  | No            |                  2 | On Loan: No      |
| DEXCOM INC                                     | Dexcom Inc                                                           | CUSIP: 252131AM9<br>LEI: 549300YSK3QDSFR5EU59 | Long             | DBT              | CORP              | US        |      354000 | PA      | $327804.00    | 0.06%             | 2028-05-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| RealReal Inc/The                               | RealReal Inc/The                                                     | CUSIP: 88339P101<br>LEI: 549300O00VUGT4H1PE90 | Short            | EC               | CORP              | US        |      -13322 | NS      | $-101646.86   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| IDERA TL B2 SOFR 03/02/28                      | IDERA TL B2 SOFR 03/02/28                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       30761 | PA      | $28646.23     | 0.01%             | 2028-03-02      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| PAR TECHNOLOGY CORP                            | PAR Technology Corp                                                  | CUSIP: 698884AG8<br>LEI: 549300HYPTHBJQINVG57 | Long             | DBT              | CORP              | US        |      122000 | PA      | $110532.00    | 0.02%             | 2030-01-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| NUTANIX INC                                    | Nutanix Inc                                                          | CUSIP: 67059NAJ7<br>LEI: 549300X7J6E8TKVIXW09 | Long             | DBT              | CORP              | US        |      126000 | PA      | $134769.60    | 0.03%             | 2029-12-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF VENEZUELA                          | Venezuela Government International Bond                              | CUSIP: 000000000<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |      463000 | PA      | $94498.30     | 0.02%             | 2025-04-21      | Fixed         | 7.65%                 | No            |                  2 | On Loan: No      |
| COINBASE GLOBAL INC                            | Coinbase Global Inc                                                  | CUSIP: 19260QAB3<br>LEI: 5493004G3J2SC154DU06 | Long             | DBT              | CORP              | US        |      346000 | PA      | $371920.39    | 0.07%             | 2026-06-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| SPHERE ENTERTAINMENT CO                        | Sphere Entertainment Co                                              | CUSIP: 55826TAB8<br>LEI: 254900ZW4JWKYRZZ9A91 | Long             | DBT              | CORP              | US        |       35000 | PA      | $52005.43     | 0.01%             | 2028-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1172.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Impinj Inc                                     | Impinj Inc                                                           | CUSIP: 453204109<br>LEI: 549300M26VGKSMMWWN17 | Short            | EC               | CORP              | US        |       -2239 | NS      | $-419745.33   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| BRIDGEBIO PHARMA INC                           | Bridgebio Pharma Inc                                                 | CUSIP: 10806XAB8<br>LEI: 54930028YG89VTY2J114 | Long             | DBT              | CORP              | US        |      475000 | PA      | $663307.10    | 0.13%             | 2027-03-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Greenbrier Cos Inc/The                         | Greenbrier Cos Inc/The                                               | CUSIP: 393657101<br>LEI: 5493001GAGGFR30BP390 | Short            | EC               | CORP              | US        |       -3169 | NS      | $-147770.47   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| ASTRONICS CORP                                 | Astronics Corp                                                       | CUSIP: 046433AC2<br>LEI: 549300NNXCF8H4MSMK17 | Long             | DBT              | CORP              | US        |      234000 | PA      | $429773.83    | 0.08%             | 2030-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF VENEZUELA                          | Venezuela Government International Bond                              | CUSIP: 000000000<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |      459000 | PA      | $92419.65     | 0.02%             | 2023-05-07      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| SEMTECH CORP                                   | Semtech Corp                                                         | CUSIP: 816850AF8<br>LEI: 549300J7WUY317SW6O61 | Long             | DBT              | CORP              | US        |      218000 | PA      | $362953.91    | 0.07%             | 2027-11-01      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| Inotiv Inc                                     | Inotiv Inc                                                           | CUSIP: 45783Q100<br>LEI: 549300FH5Z13X0Q5SK81 | Short            | EC               | CORP              | US        |      -18533 | NS      | $-31320.77    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| XAI 06/28/30                                   | XAI 06/28/30                                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      500000 | PA      | $501017.50    | 0.10%             | 2030-06-28      | Floating      | 12.50%                | No            |                  2 | On Loan: No      |
| Five9 Inc                                      | Five9 Inc                                                            | CUSIP: 338307101<br>LEI: 254900MXP6EWY0SFFR59 | Short            | EC               | CORP              | US        |        -835 | NS      | $-22478.20    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Caris Life Sciences Inc                        | Caris Life Sciences Inc                                              | CUSIP: 142152107<br>LEI: 549300LX5LO78M5VPY43 | Long             | EC               | CORP              | US        |        1383 | NS      | $53093.37     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-95.21       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Ameren Corp                                    | Ameren Corp                                                          | CUSIP: 023608102<br>LEI: XRZQ5S7HYJFPHJ78L959 | Short            | EC               | CORP              | US        |       -6316 | NS      | $-630210.48   | -0.12%            |  |  |  | No            |                  1 | On Loan: No      |
| PING AN                                        | Ping An Insurance Group Co of China Ltd                              | CUSIP: 000000000<br>LEI: 529900M9MC28JLN35U89 | Short            | EC               | CORP              | CN        |      -32600 | NS      | $-237349.07   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| SUMMIT HOTEL PROPERTIES                        | Summit Hotel Properties Inc                                          | CUSIP: 866082AA8<br>LEI: 254900OBQWJK6X20LS71 | Long             | DBT              | CORP              | US        |      433000 | PA      | $424157.75    | 0.08%             | 2026-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| VINTY HLDG 5 SA NPV                            | VINTY HLDG 5 SA NPV                                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | LU        |    10236402 | NS      | $30709.21     | 0.01%             |  |  |  | No            |                  3 | On Loan: No      |
| Kymera Therapeutics Inc                        | Kymera Therapeutics Inc                                              | CUSIP: 501575104<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       23335 | NS      | $961402.00    | 0.18%             |  |  |  | No            |                  1 | On Loan: —       |
| XPLR Infrastructure LP                         | XPLR Infrastructure LP                                               | CUSIP: 65341B106<br>LEI: 5493008F4ZOQFNG3WN54 | Long             | EC               | CORP              | US        |       74593 | NS      | $790685.80    | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| Alkami Technology Inc                          | Alkami Technology Inc                                                | CUSIP: 01644J108<br>LEI: 254900FCNYU4HNEV9L47 | Short            | EC               | CORP              | US        |        -705 | NS      | $-18048.00    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Enovix Corp                                    | Enovix Corp                                                          | CUSIP: 293594107<br>LEI: 549300EC7NZGWORHYJ53 | Long             | EC               | CORP              | US        |      114230 | NS      | $1098892.60   | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| FLORA FOOD 3/18 10/02/27                       | FLORA FOOD 3/18 10/02/27                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | NL        |       24963 | PA      | $25992.00     | 0.00%             | 2027-10-04      | Floating      | 8.46%                 | No            |                  2 | On Loan: No      |
| SABRE GLBL INC                                 | Sabre GLBL Inc                                                       | CUSIP: 78573NAL6<br>LEI: F2TJC7HPPHLHU1AQMP98 | Short            | DBT              | CORP              | US        |     -444000 | PA      | $-430898.55   | -0.08%            | 2029-11-15      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $241.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SEA LTD                                        | Sea Ltd                                                              | CUSIP: 81141RAF7<br>LEI: 529900OM6JLLW44YKI15 | Long             | DBT              | CORP              | KY        |     1076000 | PA      | $2221402.00   | 0.42%             | 2025-12-01      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| PELOTON INTERA T 05/23/29                      | PELOTON INTERA T 05/23/29                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      550055 | PA      | $560643.50    | 0.11%             | 2029-05-30      | Floating      | 9.83%                 | No            |                  2 | On Loan: No      |
| EQUIPMENTSHARE.COM INC                         | EquipmentShare.com Inc                                               | CUSIP: 29450YAA7<br>LEI: 254900PWJK48CGPKPI80 | Short            | DBT              | CORP              | US        |      -98000 | PA      | $-103913.91   | -0.02%            | 2028-05-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| BLOOM ENERGY CORP                              | Bloom Energy Corp                                                    | CUSIP: 093712AM9<br>LEI: 549300XB5J9BFW5JXV97 | Long             | DBT              | CORP              | US        |      374000 | PA      | $998460.77    | 0.19%             | 2029-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: —       |
| GE Vernova Inc                                 | GE Vernova Inc                                                       | CUSIP: 36828A101<br>LEI: 254900DP080RU6OK2553 | Long             | EC               | CORP              | US        |        2577 | NS      | $1579623.69   | 0.30%             |  |  |  | No            |                  1 | On Loan: No      |
| TRANSOCEAN INC                                 | Transocean Inc                                                       | CUSIP: 893830BW8<br>LEI: DOL4HJ22ADYSIWES4H94 | Long             | DBT              | CORP              | KY        |       66000 | PA      | $76428.00     | 0.01%             | 2029-09-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| AST SpaceMobile Inc                            | AST SpaceMobile Inc                                                  | CUSIP: 00217D100<br>LEI: 254900MBSC9P2UCI6623 | Short            | EC               | CORP              | US        |       -4107 | NS      | $-200996.58   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| Trip.com Group Ltd                             | Trip.com Group Ltd                                                   | CUSIP: 89677Q107<br>LEI: 2549004RMYDSRQL4KW41 | Short            | EC               | CORP              | SG        |       -9070 | NS      | $-668912.50   | -0.13%            |  |  |  | No            |                  1 | On Loan: No      |
| Guidewire Software Inc                         | Guidewire Software Inc                                               | CUSIP: 40171V100<br>LEI: 549300WXSG0J8IXZCK32 | Short            | EC               | CORP              | US        |        -496 | NS      | $-107641.92   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Dynavax Technologies Corp                      | Dynavax Technologies Corp                                            | CUSIP: 268158201<br>LEI: 549300T5URIXWDILX594 | Short            | EC               | CORP              | US        |       -9763 | NS      | $-98801.56    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $144.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BONOS DE TESORERIA                             | Peru Government Bond                                                 | CUSIP: 000000000<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     1766000 | PA      | $525253.21    | 0.10%             | 2035-08-12      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| InterRent Real Estate Investme                 | InterRent Real Estate Investment Trust                               | CUSIP: 46071W205<br>LEI: N/A                  | Long             | EC               | CORP              | CA        |       91261 | NS      | $889119.44    | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| CRACKER BARREL OLD COUNT                       | Cracker Barrel Old Country Store Inc                                 | CUSIP: 22410JAC0<br>LEI: 8P4PHQIUWPIECBFBW745 | Long             | DBT              | CORP              | US        |      439000 | PA      | $471486.00    | 0.09%             | 2030-09-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| EURONET WORLDWIDE INC                          | Euronet Worldwide Inc                                                | CUSIP: 298736AM1<br>LEI: YG3575C4DSHJPA5KET68 | Long             | DBT              | CORP              | US        |      136000 | PA      | $134626.40    | 0.03%             | 2030-10-01      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| STUBHUB HOLDCO S 03/15/30                      | STUBHUB HOLDCO S 03/15/30                                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | LON              | CORP              | US        |     -753973 | PA      | $-731353.35   | -0.14%            | 2030-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| DEXCOM INC                                     | Dexcom Inc                                                           | CUSIP: 252131AK3<br>LEI: 549300YSK3QDSFR5EU59 | Long             | DBT              | CORP              | US        |      876000 | PA      | $868335.00    | 0.17%             | 2025-11-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| WK Kellogg Co                                  | WK Kellogg Co                                                        | CUSIP: 92942W107<br>LEI: 529900SWC935GFWUJ804 | Long             | EC               | CORP              | US        |       30600 | NS      | $701352.00    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Amphastar Pharmaceuticals Inc                  | Amphastar Pharmaceuticals Inc                                        | CUSIP: 03209R103<br>LEI: 54930055TH0ZLSAQMJ38 | Short            | EC               | CORP              | US        |        -659 | NS      | $-20178.58    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BRIDGEBIO PHARMA INC                           | Bridgebio Pharma Inc                                                 | CUSIP: 10806XAD4<br>LEI: 54930028YG89VTY2J114 | Long             | DBT              | CORP              | US        |      166000 | PA      | $163447.60    | 0.03%             | 2029-02-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Freenet AG                                     | Freenet AG                                                           | CUSIP: 000000000<br>LEI: 5299003GLDODCVP8DO20 | Long             | EC               | CORP              | DE        |        2066 | NS      | $69003.54     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $59229.32     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SolarEdge Technologies Inc                     | SolarEdge Technologies Inc                                           | CUSIP: 83417M104<br>LEI: 5493000K6Y58XXPDF853 | Long             | EC               | CORP              | IL        |       27205 | NS      | $920073.10    | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| VICTRA HLDG/VICTRA FIN                         | Victra Holdings LLC / Victra Finance Corp                            | CUSIP: 92648DAA4<br>LEI: N/A                  | Short            | DBT              | CORP              | US        |     -988000 | PA      | $-1036006.92  | -0.20%            | 2029-09-15      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| VERTEX INC                                     | Vertex Inc                                                           | CUSIP: 92538JAB2<br>LEI: 549300QMYW171MP1PL50 | Long             | DBT              | CORP              | US        |      368000 | PA      | $378288.53    | 0.07%             | 2029-05-01      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| CyberArk Software Ltd                          | CyberArk Software Ltd                                                | CUSIP: 000000000<br>LEI: 529900YEXNDM894PWS93 | Long             | EC               | CORP              | IL        |         667 | NS      | $302324.42    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| DROPBOX INC                                    | Dropbox Inc                                                          | CUSIP: 26210CAD6<br>LEI: 549300JCDF7UAR6TJR51 | Long             | DBT              | CORP              | US        |      396000 | PA      | $402112.00    | 0.08%             | 2028-03-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                       | Republic of South Africa Government Bond                             | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |     5388000 | PA      | $292311.74    | 0.06%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| TURKIYE GOVERNMENT BOND                        | Turkiye Government Bond                                              | CUSIP: 000000000<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    34568000 | PA      | $806932.51    | 0.15%             | 2034-09-27      | Fixed         | 27.70%                | No            |                  2 | On Loan: No      |
| SHIFT4 PAYMENTS INC                            | Shift4 Payments Inc                                                  | CUSIP: 82452JAD1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      340000 | PA      | $350710.00    | 0.07%             | 2027-08-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Illinois Tool Works Inc                        | Illinois Tool Works Inc                                              | CUSIP: 452308109<br>LEI: 76NA4I14SZCFAYMNSV04 | Short            | EC               | CORP              | US        |       -2721 | NS      | $-720112.65   | -0.14%            |  |  |  | No            |                  1 | On Loan: No      |
| JEFFERSON CAPITAL HOLDIN                       | Jefferson Capital Holdings LLC                                       | CUSIP: 472481AC4<br>LEI: N/A                  | Short            | DBT              | CORP              | US        |     -194000 | PA      | $-203298.03   | -0.04%            | 2030-05-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2.48         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $18869.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FedEx Corp                                     | FedEx Corp                                                           | CUSIP: 31428X106<br>LEI: 549300E707U7WNPZN687 | Short            | EC               | CORP              | US        |       -1413 | NS      | $-326501.91   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| DROPBOX INC                                    | Dropbox Inc                                                          | CUSIP: 26210CAC8<br>LEI: 549300JCDF7UAR6TJR51 | Long             | DBT              | CORP              | US        |      629000 | PA      | $623025.82    | 0.12%             | 2026-03-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BeOne Medicines Ltd                            | BeOne Medicines Ltd                                                  | CUSIP: 07725L102<br>LEI: 549300JFUK6FRD5MH739 | Long             | EC               | CORP              | US        |        2988 | NS      | $914477.40    | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| SMYRNA READY MIX CONCRET                       | Smyrna Ready Mix Concrete LLC                                        | CUSIP: 83283WAE3<br>LEI: 549300S7RFWHQFOIOY93 | Short            | DBT              | CORP              | US        |     -684000 | PA      | $-730133.75   | -0.14%            | 2031-11-15      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Pacira BioSciences Inc                         | Pacira BioSciences Inc                                               | CUSIP: 695127100<br>LEI: N/A                  | Short            | EC               | CORP              | US        |       -4327 | NS      | $-115401.09   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| APPLIED OPTOELECTRONICS                        | Applied Optoelectronics Inc                                          | CUSIP: 03823UAE2<br>LEI: 529900I8U6Q5SYDNLT48 | Long             | DBT              | CORP              | US        |      164000 | PA      | $157983.07    | 0.03%             | 2030-01-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| HEARTHSIDE FOOD 05/23/25                       | HEARTHSIDE FOOD 05/23/25                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     1000742 | PA      | $500371.20    | 0.10%             | 2025-09-30      | Floating      | 12.19%                | No            |                  2 | On Loan: No      |
| PROS HOLDINGS INC                              | PROS Holdings Inc                                                    | CUSIP: 74346YAG8<br>LEI: 549300LPE1KNL5RWKQ48 | Long             | DBT              | CORP              | US        |       96000 | PA      | $91632.00     | 0.02%             | 2027-09-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Lonza Group AG                                 | Lonza Group AG                                                       | CUSIP: 000000000<br>LEI: 549300EFW4H2TCZ71055 | Long             | EC               | CORP              | CH        |        2446 | NS      | $1735899.09   | 0.33%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF ECUADOR                            | Ecuador Government International Bond                                | CUSIP: 000000000<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |      751000 | PA      | $563460.28    | 0.11%             | 2030-07-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-224.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WOLFSPEED INC                                  | Wolfspeed Inc                                                        | CUSIP: 977852AB8<br>LEI: 549300OGU88P3AW3TO93 | Long             | DBT              | CORP              | US        |      200000 | PA      | $73000.00     | 0.01%             | 2028-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| MGP INGREDIENTS INC                            | MGP Ingredients Inc                                                  | CUSIP: 55303JAB2<br>LEI: 2549006OMHFVZ4MS8538 | Long             | DBT              | CORP              | US        |      437000 | PA      | $414417.72    | 0.08%             | 2041-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: —       |
| FORTUNA MINING CORP                            | Fortuna Mining Corp                                                  | CUSIP: 349915AE8<br>LEI: 5493003Q88RVK7CW4735 | Long             | DBT              | CORP              | CA        |      125000 | PA      | $177000.00    | 0.03%             | 2029-06-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Industrial Select Sector SPDR Fund             | Industrial Select Sector SPDR Fund                                   | CUSIP: 81369Y704<br>LEI: 549300HQI51T8KP6U325 | Short            | EC               | RF                | US        |       -4669 | NS      | $-709734.69   | -0.14%            |  |  |  | No            |                  1 | On Loan: No      |
| LIBERTY INTERACTIVE LLC                        | Liberty Interactive LLC                                              | CUSIP: 530715AG6<br>LEI: 549300SZUIU7Z32Q0664 | Long             | DBT              | CORP              | US        |      569000 | PA      | $56900.00     | 0.01%             | 2029-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| American Electric Power Co Inc                 | American Electric Power Co Inc                                       | CUSIP: 025537101<br>LEI: 1B4S6S7G0TW5EE83BO58 | Short            | EC               | CORP              | US        |       -6029 | NS      | $-669339.58   | -0.13%            |  |  |  | No            |                  1 | On Loan: No      |
| PETROLEOS MEXICANOS                            | Petroleos Mexicanos                                                  | CUSIP: 71654QCK6<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |      757000 | PA      | $742656.44    | 0.14%             | 2028-02-12      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| EXPEDIA GROUP INC                              | Expedia Group Inc                                                    | CUSIP: 30212PBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      420000 | PA      | $423144.03    | 0.08%             | 2026-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Sea Ltd                                        | Sea Ltd                                                              | CUSIP: 81141R100<br>LEI: 529900OM6JLLW44YKI15 | Short            | EC               | CORP              | SG        |      -11835 | NS      | $-2207700.90  | -0.42%            |  |  |  | No            |                  1 | On Loan: No      |
| ETSY INC                                       | Etsy Inc                                                             | CUSIP: 29786AAN6<br>LEI: 54930089Q7XT501AEA40 | Long             | DBT              | CORP              | US        |      200000 | PA      | $174450.00    | 0.03%             | 2028-06-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $504.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Dreyfus Government Cash Management             | Dreyfus Government Cash Management                                   | CUSIP: 262006208<br>LEI: 5493000Q69I5Q3QZIA91 | Long             | STIV             | RF                | US        |    81064663 | NS      | $81064662.67  | 15.49%            |  |  |  | No            |                  1 | On Loan: No      |
| Dowlais Group PLC                              | Dowlais Group PLC                                                    | CUSIP: 000000000<br>LEI: 213800XM8WOFLY6VPC92 | Long             | EC               | CORP              | GB        |      398200 | NS      | $419893.25    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| InterDigital Inc                               | InterDigital Inc                                                     | CUSIP: 45867G101<br>LEI: N/A                  | Short            | EC               | CORP              | US        |       -2361 | NS      | $-641507.31   | -0.12%            |  |  |  | No            |                  1 | On Loan: No      |
| TURKIYE GOVERNMENT BOND                        | Turkiye Government Bond                                              | CUSIP: 000000000<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     6051000 | PA      | $140279.62    | 0.03%             | 2028-11-08      | Fixed         | 31.08%                | No            |                  2 | On Loan: No      |
| BOOZ ALLEN HAMILTON INC                        | Booz Allen Hamilton Inc                                              | CUSIP: 09951LAD5<br>LEI: 549300D7XCH2480XU542 | Short            | DBT              | CORP              | US        |     -551000 | PA      | $-568424.82   | -0.11%            | 2035-04-15      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Neurocrine Biosciences Inc                     | Neurocrine Biosciences Inc                                           | CUSIP: 64125C109<br>LEI: 549300FECER0XBN49756 | Long             | EC               | CORP              | US        |       13322 | NS      | $1859751.20   | 0.36%             |  |  |  | No            |                  1 | On Loan: No      |
| COMCAST HOLDINGS CORP                          | Comcast Holdings Corp                                                | CUSIP: 200300606<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      338600 | PA      | $238713.00    | 0.05%             | 2029-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Hims & Hers Health Inc                         | Hims & Hers Health Inc                                               | CUSIP: 433000106<br>LEI: 254900V041EIVTSB6D58 | Short            | EC               | CORP              | US        |       -1965 | NS      | $-83217.75    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| EZCORP INC                                     | EZCORP Inc                                                           | CUSIP: 302301AG1<br>LEI: 5493003K6PG3ZQ7TUQ63 | Long             | DBT              | CORP              | US        |      120000 | PA      | $196620.00    | 0.04%             | 2029-12-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| BOX INC                                        | Box Inc                                                              | CUSIP: 10316TAB0<br>LEI: 549300KQUCPD8687YS68 | Long             | DBT              | CORP              | US        |      313000 | PA      | $397353.50    | 0.08%             | 2026-01-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-10138.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Desktop Metal Inc                              | Desktop Metal Inc                                                    | CUSIP: 000000000<br>LEI: 254900C3ZY0EFO5PGJ27 | Long             | EC               | CORP              | US        |       32750 | NS      | $5778.38      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| US TREASURY N/B                                | United States Treasury Note/Bond                                     | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1154000 | PA      | $1156434.22   | 0.22%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Linde PLC                                      | Linde PLC                                                            | CUSIP: 000000000<br>LEI: 5299003QR1WT0EF88V51 | Short            | EC               | CORP              | US        |       -1262 | NS      | $-603601.98   | -0.12%            |  |  |  | No            |                  1 | On Loan: No      |
| Soleno Therapeutics Inc                        | Soleno Therapeutics Inc                                              | CUSIP: 834203309<br>LEI: 5493003LCY77N7FXK844 | Long             | EC               | CORP              | US        |        6946 | NS      | $470035.82    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| Tetra Tech Inc                                 | Tetra Tech Inc                                                       | CUSIP: 88162G103<br>LEI: 549300UJ1LP7JGJC5P32 | Short            | EC               | CORP              | US        |       -3568 | NS      | $-129946.56   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| CONMED Corp                                    | CONMED Corp                                                          | CUSIP: 207410101<br>LEI: Z6C0YCECH9DCU5ZIQW84 | Short            | EC               | CORP              | US        |        -551 | NS      | $-29952.36    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Honeywell International Inc                    | Honeywell International Inc                                          | CUSIP: 438516106<br>LEI: ISRPG12PN4EIEOEMW547 | Short            | EC               | CORP              | US        |       -2868 | NS      | $-629526.00   | -0.12%            |  |  |  | No            |                  1 | On Loan: No      |
| GOL FINANCE                                    | Gol Finance Inc                                                      | CUSIP: 36254VAN8<br>LEI: 549300FRXVB8W0960Y03 | Long             | DBT              | CORP              | KY        |      145500 | PA      | $148955.63    | 0.03%             | 2030-06-06      | Fixed         | 14.38%                | No            |                  2 | On Loan: No      |
| Guess? Inc                                     | Guess? Inc                                                           | CUSIP: 401617105<br>LEI: 549300QVH3ZK2DW0KP86 | Long             | EC               | CORP              | CH        |       43655 | NS      | $733840.55    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Dexcom Inc                                     | Dexcom Inc                                                           | CUSIP: 252131107<br>LEI: 549300YSK3QDSFR5EU59 | Short            | EC               | CORP              | US        |        -687 | NS      | $-51758.58    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $412.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Dexcom Inc                                     | Dexcom Inc                                                           | CUSIP: 252131107<br>LEI: 549300YSK3QDSFR5EU59 | Long             | EC               | CORP              | US        |       13500 | NS      | $1017090.00   | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| Alphatec Holdings Inc                          | Alphatec Holdings Inc                                                | CUSIP: 02081G201<br>LEI: 549300EZE8CQ8K65FS24 | Short            | EC               | CORP              | US        |      -20257 | NS      | $-322086.30   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| TWITTE 02/14/30                                | TWITTE 02/14/30                                                      | CUSIP: 90184NAK4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      776330 | PA      | $764405.95    | 0.15%             | 2029-10-29      | Floating      | 9.50%                 | No            |                  2 | On Loan: No      |
| GREENBRIER COS INC                             | Greenbrier Cos Inc/The                                               | CUSIP: 393657AM3<br>LEI: 5493001GAGGFR30BP390 | Long             | DBT              | CORP              | US        |      327000 | PA      | $351443.25    | 0.07%             | 2028-04-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| B2Gold Corp                                    | B2Gold Corp                                                          | CUSIP: 11777Q209<br>LEI: 549300F7OK456M5NLM05 | Short            | EC               | CORP              | CA        |      -49286 | NS      | $-203551.18   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| CLOUDFLARE INC                                 | Cloudflare Inc                                                       | CUSIP: 18915MAC1<br>LEI: 5493007DY18BGNLDWU14 | Long             | DBT              | CORP              | US        |      302000 | PA      | $369136.76    | 0.07%             | 2026-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SAMARCO MINERACAO SA                           | Samarco Mineracao SA                                                 | CUSIP: 000000000<br>LEI: 529900U8HKV15GJC4O60 | Long             | DBT              | CORP              | BR        |      744991 | PA      | $741885.76    | 0.14%             | 2031-06-30      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF EL SALVADOR                        | El Salvador Government International Bond                            | CUSIP: 000000000<br>LEI: 529900AKDMUSFSDOM949 | Long             | DBT              | NUSS              | SV        |      400000 | PA      | $418000.00    | 0.08%             | 2054-11-21      | Fixed         | 9.65%                 | No            |                  2 | On Loan: No      |
| PACIRA BIOSCIENCES INC                         | Pacira BioSciences Inc                                               | CUSIP: 695127AJ9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      286000 | PA      | $294122.40    | 0.06%             | 2029-05-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| Frontier Communications Parent                 | Frontier Communications Parent Inc                                   | CUSIP: 35909D109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       37428 | NS      | $1387830.24   | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1854.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IMPINJ INC                                     | Impinj Inc                                                           | CUSIP: 453204AD1<br>LEI: 549300M26VGKSMMWWN17 | Long             | DBT              | CORP              | US        |      273000 | PA      | $479424.72    | 0.09%             | 2027-05-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| X.AI LLC/X.AI CO ISSUER                        | X.AI LLC / X.AI Co Issuer Corp                                       | CUSIP: 983984AA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      500000 | PA      | $498680.03    | 0.10%             | 2030-06-30      | Fixed         | 12.50%                | No            |                  2 | On Loan: No      |
| PING AN INSURANCE GROUP                        | Ping An Insurance Group Co of China Ltd                              | CUSIP: 000000000<br>LEI: 529900M9MC28JLN35U89 | Long             | DBT              | CORP              | CN        |      200000 | PA      | $281250.00    | 0.05%             | 2029-07-22      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| DREYFUS QII GOV CASH 289                       | DREYFUS QII GOV CASH 289                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | RF                | US        |    43747264 | NS      | $43747263.90  | 8.36%             |  |  |  | No            |                  1 | On Loan: No      |
| SOLARIS ENERGY INFRASTRU                       | Solaris Energy Infrastructure Inc                                    | CUSIP: 83419XAA6<br>LEI: 529900MTK3C8Y8TIIC10 | Long             | DBT              | CORP              | US        |       86000 | PA      | $126832.80    | 0.02%             | 2030-05-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| LEBANESE REPUBLIC                              | Lebanon Government International Bond                                | CUSIP: 000000000<br>LEI: 529900QPC4K9S1KHL354 | Long             | DBT              | NUSS              | LB        |      212000 | PA      | $41923.00     | 0.01%             | 2020-03-09      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| LIGADO DIP ROLLUP05/05/25                      | LIGADO DIP ROLLUP05/05/25                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       84048 | PA      | $75222.62     | 0.01%             | 2026-02-10      | Floating      | 17.50%                | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                | United States Treasury Note/Bond                                     | CUSIP: 91282CMU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4627000 | PA      | $4691163.49   | 0.90%             | 2030-03-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Cheesecake Factory Inc/The                     | Cheesecake Factory Inc/The                                           | CUSIP: 163072101<br>LEI: 529900872XMLK10SY247 | Short            | EC               | CORP              | US        |       -6759 | NS      | $-415408.14   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| Warner Bros Discovery Inc                      | Warner Bros Discovery Inc                                            | CUSIP: 934423104<br>LEI: 5493006ZCRFWKF6B1K26 | Long             | EC               | CORP              | US        |       47639 | NS      | $554517.96    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - NZD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-7.73        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Constellation Energy Corp                      | Constellation Energy Corp                                            | CUSIP: 21037T109<br>LEI: 549300F8Y20RYGNGV346 | Long             | EC               | CORP              | US        |        9175 | NS      | $2825716.50   | 0.54%             |  |  |  | No            |                  1 | On Loan: No      |
| UPFIELD RC E+300 01/02/25                      | UPFIELD RC E+300 01/02/25                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | NL        |      165849 | PA      | $172684.02    | 0.03%             | 2027-10-04      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| ITALY GOV'T INT BOND                           | Republic of Italy Government International Bond                      | CUSIP: 465410CA4<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |      350000 | PA      | $345406.13    | 0.07%             | 2026-02-17      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Bloom Energy Corp                              | Bloom Energy Corp                                                    | CUSIP: 093712107<br>LEI: 549300XB5J9BFW5JXV97 | Short            | EC               | CORP              | US        |      -35963 | NS      | $-1903881.22  | -0.36%            |  |  |  | No            |                  1 | On Loan: No      |
| Ares Capital Corp                              | Ares Capital Corp                                                    | CUSIP: 04010L103<br>LEI: WEQ82666OJYSI5GUAB47 | Short            | EC               | CORP              | US        |      -22148 | NS      | $-496115.20   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| Repligen Corp                                  | Repligen Corp                                                        | CUSIP: 759916109<br>LEI: 54930006QJ0T5AUO1E71 | Short            | EC               | CORP              | US        |       -1024 | NS      | $-125255.68   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| ZHENRO PROPERTIES GROUP                        | Zhenro Properties Group Ltd                                          | CUSIP: 000000000<br>LEI: 549300I66TVJEL841P38 | Long             | DBT              | CORP              | KY        |      981000 | PA      | $6867.00      | 0.00%             | 2023-03-06      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| H World Group Ltd                              | H World Group Ltd                                                    | CUSIP: 44332N106<br>LEI: 549300Y5ML31FVN83730 | Short            | EC               | CORP              | CN        |       -2858 | NS      | $-105317.30   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| AstraZeneca PLC                                | AstraZeneca PLC                                                      | CUSIP: 046353108<br>LEI: PY6ZZQWO2IZFZC3IOL08 | Long             | EC               | CORP              | GB        |       15493 | NS      | $1237890.70   | 0.24%             |  |  |  | No            |                  1 | On Loan: No      |
| Entergy Corp                                   | Entergy Corp                                                         | CUSIP: 29364G103<br>LEI: 4XM3TW50JULSLG8BNC79 | Long             | EC               | CORP              | US        |       25788 | NS      | $2271664.92   | 0.43%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - NZD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-151.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COMCAST HOLDINGS CORP                          | Comcast Holdings Corp                                                | CUSIP: 200300507<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      386500 | PA      | $237117.75    | 0.05%             | 2029-10-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF GHANA                              | Ghana Government International Bond                                  | CUSIP: 000000000<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |      320976 | PA      | $308620.09    | 0.06%             | 2026-07-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Bayerische Motoren Werke AG                    | Bayerische Motoren Werke AG                                          | CUSIP: 000000000<br>LEI: YEH5ZCD6E441RHVHD759 | Long             | EC               | CORP              | DE        |        9837 | NS      | $1029152.63   | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| iShares MSCI Brazil ETF                        | iShares MSCI Brazil ETF                                              | CUSIP: 464286400<br>LEI: 5493006D2L7KY3ZDF809 | Short            | EC               | RF                | US        |      -14666 | NS      | $-432647.00   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| ZHENRO PROPERTIES GROUP                        | Zhenro Properties Group Ltd                                          | CUSIP: 000000000<br>LEI: 549300I66TVJEL841P38 | Long             | DBT              | CORP              | KY        |      203000 | PA      | $1144.92      | 0.00%             | 2026-01-07      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| Bridgebio Pharma Inc                           | Bridgebio Pharma Inc                                                 | CUSIP: 10806X102<br>LEI: 54930028YG89VTY2J114 | Short            | EC               | CORP              | US        |      -10750 | NS      | $-556420.00   | -0.11%            |  |  |  | No            |                  1 | On Loan: No      |
| Silvercorp Metals Inc                          | Silvercorp Metals Inc                                                | CUSIP: 82835P103<br>LEI: 52990092RT3UCQ7G3177 | Short            | EC               | CORP              | CA        |      -19890 | NS      | $-96267.60    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| PROS HOLDINGS INC                              | PROS Holdings Inc                                                    | CUSIP: 74346YAK9<br>LEI: 549300LPE1KNL5RWKQ48 | Long             | DBT              | CORP              | US        |      361000 | PA      | $386450.50    | 0.07%             | 2030-07-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Sphere Entertainment Co                        | Sphere Entertainment Co                                              | CUSIP: 55826T102<br>LEI: 254900ZW4JWKYRZZ9A91 | Short            | EC               | CORP              | US        |        -800 | NS      | $-36248.00    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Enovis Corp                                    | Enovis Corp                                                          | CUSIP: 194014502<br>LEI: 635400OP2DYYYMOIYL17 | Short            | EC               | CORP              | US        |        -466 | NS      | $-14399.40    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - NZD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $44.55        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| IHI Corp                                       | IHI Corp                                                             | CUSIP: 000000000<br>LEI: 549300ETQIESIUQ2OE26 | Long             | EC               | CORP              | JP        |        6314 | NS      | $656164.22    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| JBS NV                                         | JBS NV                                                               | CUSIP: 000000000<br>LEI: 254900JSFON4WL81TW77 | Long             | EC               | CORP              | BR        |       37274 | NS      | $604211.54    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Veeco Instruments Inc                          | Veeco Instruments Inc                                                | CUSIP: 922417100<br>LEI: 5493004201F72ADDZW04 | Short            | EC               | CORP              | US        |       -8773 | NS      | $-215113.96   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| OSI Systems Inc                                | OSI Systems Inc                                                      | CUSIP: 671044105<br>LEI: DDX3MPX1Y8YD30050X33 | Short            | EC               | CORP              | US        |       -1276 | NS      | $-293543.80   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| INOTIV INC                                     | Inotiv Inc                                                           | CUSIP: 45783QAB6<br>LEI: 549300FH5Z13X0Q5SK81 | Long             | DBT              | CORP              | US        |      244000 | PA      | $59932.52     | 0.01%             | 2027-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| LIBERTY LATIN TL 10/16/28                      | LIBERTY LATIN TL 10/16/28                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      108276 | PA      | $67421.06     | 0.01%             | 2028-10-16      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Tencent Holdings Ltd                           | Tencent Holdings Ltd                                                 | CUSIP: 000000000<br>LEI: 254900N4SLUMW4XUYY11 | Long             | EC               | CORP              | CN        |        3924 | NS      | $303892.25    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| PORCH GROUP INC                                | Porch Group Inc                                                      | CUSIP: 733245AC8<br>LEI: 549300NXEI7CVW8IXQ90 | Long             | DBT              | CORP              | US        |      250000 | PA      | $258875.00    | 0.05%             | 2028-10-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                                  | United States Treasury Bill                                          | CUSIP: 912797QR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     8000000 | PA      | $7928954.88   | 1.52%             | 2025-11-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SOFI TECHNOLOGIES INC                          | SoFi Technologies Inc                                                | CUSIP: 83406FAA0<br>LEI: 549300SW81JCMVZDDY09 | Long             | DBT              | CORP              | US        |      156000 | PA      | $199868.23    | 0.04%             | 2026-10-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - NZD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-493.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUROPEAN BK RECON & DEV                        | European Bank for Reconstruction & Development                       | CUSIP: 000000000<br>LEI: 549300HTGDOVDU6OGK19 | Long             | DBT              | NUSS              | N/A       |   133400000 | PA      | $234359.23    | 0.04%             | 2036-07-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MARKET BIDC 11/04/30                           | MARKET BIDC 11/04/30                                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |     1240000 | PA      | $1662493.15   | 0.32%             | 2030-11-04      | Floating      | 9.57%                 | No            |                  2 | On Loan: No      |
| ENCORE CAPITAL GROUP INC                       | Encore Capital Group Inc                                             | CUSIP: 292554AR3<br>LEI: 5493000UVC6H49CIH830 | Short            | DBT              | CORP              | US        |     -205000 | PA      | $-216788.32   | -0.04%            | 2030-05-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Cornerstone Bldg 04/12/28                      | Cornerstone Bldg 04/12/28                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       41319 | PA      | $39313.76     | 0.01%             | 2028-04-12      | Floating      | 7.68%                 | No            |                  2 | On Loan: No      |
| Cornerstone Bldg 04/12/28                      | Cornerstone Bldg 04/12/28                                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | LON              | CORP              | US        |      -41319 | PA      | $-39313.51    | -0.01%            | 2028-04-12      | Floating      | 7.68%                 | No            |                  2 | On Loan: No      |
| YINSON BORONIA PRODUCTIO                       | Yinson Boronia Production BV                                         | CUSIP: 000000000<br>LEI: 5493007X12FTT746N678 | Long             | DBT              | CORP              | NL        |      568051 | PA      | $621107.65    | 0.12%             | 2042-07-31      | Fixed         | 8.95%                 | No            |                  2 | On Loan: No      |
| ISLAMIC REP OF PAKISTAN                        | Pakistan Government International Bond                               | CUSIP: 000000000<br>LEI: 529900LOP29R5WKHOD86 | Long             | DBT              | NUSS              | PK        |      652000 | PA      | $645657.40    | 0.12%             | 2027-12-05      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| FALCON'S BEYOND GLOBAL INC-A                   | Falcon's Beyond Global Inc                                           | CUSIP: 306121112<br>LEI: N/A                  | Long             | EC               | CORP              | US        |         180 | NS      | $106.21       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| PERFORCE SOFTWAR 07/02/29                      | PERFORCE SOFTWAR 07/02/29                                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | LON              | CORP              | US        |     -413956 | PA      | $-394118.97   | -0.08%            | 2029-07-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| VECTOR CAP CLS B-1 UNIT                        | VECTOR CAP CLS B-1 UNIT                                              | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        1499 | NS      | $0.00         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-87.48       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - NZD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-252.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NABORS INDUSTRIES LTD                          | Nabors Industries Ltd                                                | CUSIP: 629571AB6<br>LEI: N/A                  | Short            | DBT              | CORP              | BM        |     -173000 | PA      | $-173809.47   | -0.03%            | 2028-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| LYFT INC                                       | Lyft Inc                                                             | CUSIP: 55087PAD6<br>LEI: 549300H7I5VN334XVZ52 | Long             | DBT              | CORP              | US        |      460000 | PA      | $503535.75    | 0.10%             | 2029-03-01      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| Insmed Inc                                     | Insmed Inc                                                           | CUSIP: 457669307<br>LEI: 529900Q55QAG41CCAC11 | Long             | EC               | CORP              | US        |       14982 | NS      | $2039050.20   | 0.39%             |  |  |  | No            |                  1 | On Loan: No      |
| Encore Capital Group Inc                       | Encore Capital Group Inc                                             | CUSIP: 292554102<br>LEI: 5493000UVC6H49CIH830 | Short            | EC               | CORP              | US        |       -7957 | NS      | $-332920.88   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| ECHOSTAR CORP                                  | EchoStar Corp                                                        | CUSIP: 278768AA4<br>LEI: 549300EE20907QZ9GT38 | Long             | DBT              | CORP              | US        |      638718 | PA      | $630836.22    | 0.12%             | 2030-11-30      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| VISHAY INTERTECHNOLOGY                         | Vishay Intertechnology Inc                                           | CUSIP: 928298AR9<br>LEI: 5493009O8F3QQJTCQR75 | Long             | DBT              | CORP              | US        |      493000 | PA      | $446343.72    | 0.09%             | 2030-09-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| SOUTHPORT ACQUISITION CORP                     | Southport Acquisition Corp                                           | CUSIP: 84465L113<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        4946 | NS      | $3165.44      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| HELMERICH & PAYNE INC                          | Helmerich & Payne Inc                                                | CUSIP: 423452AN1<br>LEI: 254900NAOGHJ88RZ4C73 | Short            | DBT              | CORP              | US        |     -390000 | PA      | $-375262.73   | -0.07%            | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SRI LANKA                          | Sri Lanka Government International Bond                              | CUSIP: 000000000<br>LEI: 254900IG6Y30I2QE2R92 | Long             | DBT              | NUSS              | LK        |       55000 | PA      | $46345.75     | 0.01%             | 2036-05-15      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| MULTI-COLOR TLB 10/29/28                       | MULTI-COLOR TLB 10/29/28                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       95884 | PA      | $76297.95     | 0.01%             | 2028-10-30      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - NZD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-39.01       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| American Axle & Manufacturing                  | American Axle & Manufacturing Holdings Inc                           | CUSIP: 024061103<br>LEI: 254900SMQY98VFKNCC32 | Short            | EC               | CORP              | US        |      -35081 | NS      | $-204171.42   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| MACOM Technology Solutions Hol                 | MACOM Technology Solutions Holdings Inc                              | CUSIP: 55405Y100<br>LEI: N/A                  | Short            | EC               | CORP              | US        |       -2896 | NS      | $-371122.40   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Aris Water Solutions Inc                       | Aris Water Solutions Inc                                             | CUSIP: 04041L106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       24038 | NS      | $583402.26    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                                | United States Treasury Note/Bond                                     | CUSIP: 91282CNP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      194000 | PA      | $194818.44    | 0.04%             | 2027-07-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                | United States Treasury Note/Bond                                     | CUSIP: 91282CNP2<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |     -709000 | PA      | $-711991.09   | -0.14%            | 2027-07-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Boeing Co/The                                  | Boeing Co/The                                                        | CUSIP: 097023105<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | EC               | CORP              | US        |       10535 | NS      | $2472353.80   | 0.47%             |  |  |  | No            |                  1 | On Loan: No      |
| Microchip Technology Inc                       | Microchip Technology Inc                                             | CUSIP: 595017104<br>LEI: 5493007PTFULNYZJ1R12 | Short            | EC               | CORP              | US        |       -1453 | NS      | $-94445.00    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| XOMETRY INC                                    | Xometry Inc                                                          | CUSIP: 98423FAB5<br>LEI: 5493006JFRGU7YRRXE44 | Long             | DBT              | CORP              | US        |      334000 | PA      | $385821.15    | 0.07%             | 2027-02-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| ECHOSTAR CORP                                  | EchoStar Corp                                                        | CUSIP: 278768AB2<br>LEI: 549300EE20907QZ9GT38 | Long             | DBT              | CORP              | US        |      571275 | PA      | $1164087.07   | 0.22%             | 2030-11-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Vishay Intertechnology Inc                     | Vishay Intertechnology Inc                                           | CUSIP: 928298108<br>LEI: 5493009O8F3QQJTCQR75 | Short            | EC               | CORP              | US        |       -7522 | NS      | $-116290.12   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - NZD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-857.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MITEK SYSTEMS INC                              | Mitek Systems Inc                                                    | CUSIP: 606710AA9<br>LEI: 549300ABZAQ3R25XG118 | Long             | DBT              | CORP              | US        |      533000 | PA      | $524203.74    | 0.10%             | 2026-02-01      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Trico Group/Firs 03/30/27                      | Trico Group/Firs 03/30/27                                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | LON              | CORP              | US        |    -1643952 | PA      | $-1571002.07  | -0.30%            | 2027-03-30      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| City Office REIT Inc                           | City Office REIT Inc                                                 | CUSIP: 178587101<br>LEI: 5493003J7157VP25NL57 | Long             | EC               | CORP              | CA        |       41273 | NS      | $286021.89    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Repay Holdings Corp                            | Repay Holdings Corp                                                  | CUSIP: 76029L100<br>LEI: 2549006EJ42T73ZKUI98 | Short            | EC               | CORP              | US        |       -2102 | NS      | $-12443.84    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| DIGITALOCEAN HOLDINGS                          | DigitalOcean Holdings Inc                                            | CUSIP: 25402DAC6<br>LEI: 549300EPISPY3RE3DL21 | Long             | DBT              | CORP              | US        |      351000 | PA      | $381466.80    | 0.07%             | 2030-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MIWD HLDCO II/MIWD FIN                         | MIWD Holdco II LLC / MIWD Finance Corp                               | CUSIP: 55337PAA0<br>LEI: N/A                  | Short            | DBT              | CORP              | US        |     -368000 | PA      | $-362678.17   | -0.07%            | 2030-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Collegium Pharmaceutical Inc                   | Collegium Pharmaceutical Inc                                         | CUSIP: 19459J104<br>LEI: 54930049FXZMTLW8D496 | Short            | EC               | CORP              | US        |      -10094 | NS      | $-391647.20   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| TURKIYE VAKIFLAR BANKASI                       | Turkiye Vakiflar Bankasi TAO                                         | CUSIP: 000000000<br>LEI: 789000KAIHOLSQKQ9858 | Long             | DBT              | CORP              | TR        |      480000 | PA      | $515513.63    | 0.10%             | N/A             | Fixed         | 10.12%                | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                               | CSC Holdings LLC                                                     | CUSIP: 126307BK2<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |       24000 | PA      | $10497.89     | 0.00%             | 2031-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LIVE NATION ENTERTAINMEN                       | Live Nation Entertainment Inc                                        | CUSIP: 538034BB4<br>LEI: 5493007B9BM9ZXJINO78 | Long             | DBT              | CORP              | US        |      163000 | PA      | $182896.85    | 0.03%             | 2030-01-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - NZD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-6595.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Air Products and Chemicals Inc                 | Air Products and Chemicals Inc                                       | CUSIP: 009158106<br>LEI: 7QEON6Y1RL5XR3R1W237 | Long             | EC               | CORP              | US        |        6859 | NS      | $2017300.49   | 0.39%             |  |  |  | No            |                  1 | On Loan: No      |
| Enhabit Inc                                    | Enhabit Inc                                                          | CUSIP: 29332G102<br>LEI: 549300RFQ78SLDFSHF49 | Long             | EC               | CORP              | US        |        9869 | NS      | $77767.72     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BRAND ENGAGEMENT NETWORK INC                   | Brand Engagement Network Inc                                         | CUSIP: 104932116<br>LEI: N/A                  | Long             | EC               | CORP              | US        |         241 | NS      | $5.27         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ENCORE CAPITAL GROUP INC                       | Encore Capital Group Inc                                             | CUSIP: 292554AP7<br>LEI: 5493000UVC6H49CIH830 | Long             | DBT              | CORP              | US        |      506000 | PA      | $502205.00    | 0.10%             | 2029-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Transocean Ltd                                 | Transocean Ltd                                                       | CUSIP: 000000000<br>LEI: 529900QO4W5DQGBGEF32 | Short            | EC               | CORP              | CH        |      -15071 | NS      | $-45665.13    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| HELMERICH & PAYNE INC                          | Helmerich & Payne Inc                                                | CUSIP: 423452AM3<br>LEI: 254900NAOGHJ88RZ4C73 | Short            | DBT              | CORP              | US        |     -580000 | PA      | $-578167.74   | -0.11%            | 2029-12-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| BLOCK INC                                      | Block Inc                                                            | CUSIP: 852234AK9<br>LEI: 549300OHIIUWSTIZME52 | Long             | DBT              | CORP              | US        |      126000 | PA      | $114131.86    | 0.02%             | 2027-11-01      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| Travere Therapeutics Inc                       | Travere Therapeutics Inc                                             | CUSIP: 89422G107<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       36851 | NS      | $644892.50    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| VEECO INSTRUMENTS INC                          | Veeco Instruments Inc                                                | CUSIP: 922417AJ9<br>LEI: 5493004201F72ADDZW04 | Long             | DBT              | CORP              | US        |      396000 | PA      | $457033.42    | 0.09%             | 2029-06-01      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| WESTERN DIGITAL CORP                           | Western Digital Corp                                                 | CUSIP: 958102AT2<br>LEI: 549300QQXOOYEF89IC56 | Long             | DBT              | CORP              | US        |      889000 | PA      | $1982470.00   | 0.38%             | 2028-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: —       |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - NZD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-9708.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SNOWFLAKE INC                                  | Snowflake Inc                                                        | CUSIP: 833445AA7<br>LEI: 254900CJNSY1K7T53Z16 | Long             | DBT              | CORP              | US        |      682000 | PA      | $1088131.00   | 0.21%             | 2027-10-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PENGUIN SOLUTIONS INC                          | Penguin Solutions Inc                                                | CUSIP: 83205YAE4<br>LEI: 254900DVWIPOY3GJ8E23 | Long             | DBT              | CORP              | US        |      382000 | PA      | $426387.01    | 0.08%             | 2030-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ASIAN DEVELOPMENT BANK                         | Asian Development Bank                                               | CUSIP: 000000000<br>LEI: 549300X0MVH42CY8Q105 | Long             | DBT              | NUSS              | N/A       |    59920000 | PA      | $162587.47    | 0.03%             | 2035-03-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Douglas AG                                     | Douglas AG                                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | DE        |        5297 | NS      | $75432.04     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ENOVIS CORP                                    | Enovis Corp                                                          | CUSIP: 194014AB2<br>LEI: 635400OP2DYYYMOIYL17 | Long             | DBT              | CORP              | US        |       70000 | PA      | $68880.00     | 0.01%             | 2028-10-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| DANIMER SCIENTIFIC INC                         | Danimer Scientific Inc                                               | CUSIP: 236272134<br>LEI: 549300L6Q02MAX72BH35 | Long             | EC               | CORP              | US        |       24481 | NS      | $0.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ECHOSTAR CORP                                  | EchoStar Corp                                                        | CUSIP: 278768AC0<br>LEI: 549300EE20907QZ9GT38 | Long             | DBT              | CORP              | US        |      440622 | PA      | $474622.60    | 0.09%             | 2029-11-30      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| XOMETRY INC                                    | Xometry Inc                                                          | CUSIP: 98423FAC3<br>LEI: 5493006JFRGU7YRRXE44 | Long             | DBT              | CORP              | US        |      305000 | PA      | $399122.18    | 0.08%             | 2030-06-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| VITAL ENERGY INC                               | Vital Energy Inc                                                     | CUSIP: 516806AK2<br>LEI: 549300X0PTWU2QSLSL14 | Long             | DBT              | CORP              | US        |      171000 | PA      | $168594.05    | 0.03%             | 2032-04-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Danaher Corp                                   | Danaher Corp                                                         | CUSIP: 235851102<br>LEI: S4BKK9OTCEWQ3YHPFM11 | Long             | EC               | CORP              | US        |        6859 | NS      | $1411719.38   | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - NZD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3363.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ZIGGO BOND CO BV                               | Ziggo Bond Co BV                                                     | CUSIP: 98953GAD7<br>LEI: 213800JYI4P7V5QDOG59 | Long             | DBT              | CORP              | NL        |      291000 | PA      | $257153.03    | 0.05%             | 2030-02-28      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Tempus AI Inc                                  | Tempus AI Inc                                                        | CUSIP: 88023B103<br>LEI: 2549009LA0KWRAGQBX50 | Short            | EC               | CORP              | US        |       -1793 | NS      | $-136016.98   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Dream Residential Real Estate                  | Dream Residential Real Estate Investment Trust                       | CUSIP: 26154C102<br>LEI: 549300PJSBWGHF2ATD41 | Long             | EC               | CORP              | CA        |       13555 | NS      | $141785.30    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| ATLAS SEC PRODUCTS 0% 2/8                      | ATLAS SEC PRODUCTS 0% 2/8                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1093204 | PA      | $952658.22    | 0.18%             | 2028-02-08      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| ETSY INC                                       | Etsy Inc                                                             | CUSIP: 29786AAL0<br>LEI: 54930089Q7XT501AEA40 | Long             | DBT              | CORP              | US        |      201000 | PA      | $183322.05    | 0.04%             | 2027-09-01      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| ESC CB144A DANIMER BONDS                       | ESC CB144A DANIMER BONDS                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      264000 | PA      | $554.40       | 0.00%             | 2026-12-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Gilead Sciences Inc                            | Gilead Sciences Inc                                                  | CUSIP: 375558103<br>LEI: 549300WTZWR07K8MNV44 | Long             | EC               | CORP              | US        |       13606 | NS      | $1537069.82   | 0.29%             |  |  |  | No            |                  1 | On Loan: No      |
| JBT MAREL CORP                                 | JBT Marel Corp                                                       | CUSIP: 477839AB0<br>LEI: 5493007CT6ATBZ2L6826 | Long             | DBT              | CORP              | US        |      129000 | PA      | $132270.18    | 0.03%             | 2026-05-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                | United States Treasury Note/Bond                                     | CUSIP: 91282CNR8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |        3000 | PA      | $3014.06      | 0.00%             | 2032-07-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BOOZ ALLEN HAMILTON INC                        | Booz Allen Hamilton Inc                                              | CUSIP: 09951LAB9<br>LEI: 549300D7XCH2480XU542 | Short            | DBT              | CORP              | US        |     -488000 | PA      | $-475524.67   | -0.09%            | 2029-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - NZD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-559.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Aeva Technologies Inc                          | Aeva Technologies Inc                                                | CUSIP: 00835Q202<br>LEI: 529900EOW3TB2FR95A21 | Long             | EC               | CORP              | US        |         966 | NS      | $14301.63     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| REPUBLIC OF SRI LANKA                          | Sri Lanka Government International Bond                              | CUSIP: 000000000<br>LEI: 254900IG6Y30I2QE2R92 | Long             | DBT              | NUSS              | LK        |       80000 | PA      | $57588.64     | 0.01%             | 2035-06-15      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| HEARTHSIDE FOOD 05/23/25                       | HEARTHSIDE FOOD 05/23/25                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      339377 | PA      | $169688.53    | 0.03%             | 2025-09-30      | Floating      | 12.50%                | No            |                  2 | On Loan: No      |
| PROS Holdings Inc                              | PROS Holdings Inc                                                    | CUSIP: 74346Y103<br>LEI: 549300LPE1KNL5RWKQ48 | Short            | EC               | CORP              | US        |      -11976 | NS      | $-185628.00   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| LBM ACQUISITIO 06/06/31                        | LBM ACQUISITIO 06/06/31                                              | CUSIP: 000000000<br>LEI: N/A                  | Short            | LON              | CORP              | US        |      -39126 | PA      | $-38133.80    | -0.01%            | 2031-06-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| A10 NETWORKS INC                               | A10 Networks Inc                                                     | CUSIP: 002121AA9<br>LEI: 549300UQD4IWUML81Q35 | Long             | DBT              | CORP              | US        |      245000 | PA      | $255180.31    | 0.05%             | 2030-04-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| ORMAT TECHNOLOGIES INC                         | Ormat Technologies Inc                                               | CUSIP: 686688AB8<br>LEI: 5493000TSHHWY24VHM09 | Long             | DBT              | CORP              | US        |      143000 | PA      | $166380.50    | 0.03%             | 2027-07-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LivaNova PLC                                   | LivaNova PLC                                                         | CUSIP: 000000000<br>LEI: 2138001K2FX6SHK2B339 | Short            | EC               | CORP              | GB        |       -1552 | NS      | $-87486.24    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Applied Digital Corp                           | Applied Digital Corp                                                 | CUSIP: 038169207<br>LEI: 2549004NE2B6RYXINZ02 | Long             | EC               | CORP              | US        |        2200 | NS      | $35156.00     | 0.01%             |  |  |  | No            |                  1 | On Loan: —       |
| Applied Digital Corp                           | Applied Digital Corp                                                 | CUSIP: 038169207<br>LEI: 2549004NE2B6RYXINZ02 | Short            | EC               | CORP              | US        |      -11127 | NS      | $-177809.46   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - NZD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-511.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CLEVELAND-CLIFFS INC                           | Cleveland-Cliffs Inc                                                 | CUSIP: 185899AR2<br>LEI: 549300TM2WLI2BJMDD86 | Short            | DBT              | CORP              | US        |     -764000 | PA      | $-761698.98   | -0.15%            | 2033-05-01      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Alibaba Group Holding Ltd                      | Alibaba Group Holding Ltd                                            | CUSIP: 01609W102<br>LEI: 5493001NTNQJDH60PM02 | Short            | EC               | CORP              | HK        |       -9087 | NS      | $-1226745.00  | -0.23%            |  |  |  | No            |                  1 | On Loan: No      |
| FORD MOTOR COMPANY                             | Ford Motor Co                                                        | CUSIP: 345370CZ1<br>LEI: 20S05OYHG0MQM4VUIC57 | Long             | DBT              | CORP              | US        |      994000 | PA      | $1005230.22   | 0.19%             | 2026-03-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AKAMAI TECHNOLOGIES INC                        | Akamai Technologies Inc                                              | CUSIP: 00971TAL5<br>LEI: OC1LZNN2LF5WTJ5RIL89 | Long             | DBT              | CORP              | US        |      676000 | PA      | $653185.00    | 0.12%             | 2027-09-01      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Semtech Corp                                   | Semtech Corp                                                         | CUSIP: 816850101<br>LEI: 549300J7WUY317SW6O61 | Short            | EC               | CORP              | US        |       -4991 | NS      | $-289927.19   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| KOFAX TLB SOFR+5 07/20/29                      | KOFAX TLB SOFR+5 07/20/29                                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | LON              | CORP              | US        |     -250911 | PA      | $-226968.74   | -0.04%            | 2029-07-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PENGUIN SOLUTIONS INC                          | Penguin Solutions Inc                                                | CUSIP: 83205YAC8<br>LEI: 254900DVWIPOY3GJ8E23 | Long             | DBT              | CORP              | US        |      451000 | PA      | $588329.50    | 0.11%             | 2029-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PROGRESS SOFTWARE CORP                         | Progress Software Corp                                               | CUSIP: 743312AD2<br>LEI: 549300R65B3JG6972S24 | Long             | DBT              | CORP              | US        |      356000 | PA      | $365434.00    | 0.07%             | 2030-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: —       |
| BOOZ ALLEN HAMILTON INC                        | Booz Allen Hamilton Inc                                              | CUSIP: 09951LAC7<br>LEI: 549300D7XCH2480XU542 | Short            | DBT              | CORP              | US        |     -488000 | PA      | $-510175.70   | -0.10%            | 2033-08-04      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| Q2 HOLDINGS INC                                | Q2 Holdings Inc                                                      | CUSIP: 74736LAD1<br>LEI: 549300M9RKR9DZXWS696 | Long             | DBT              | CORP              | US        |      545000 | PA      | $585800.44    | 0.11%             | 2026-06-01      | Fixed         | 0.75%                 | No            |                  2 | On Loan: —       |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - NZD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-95.22       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BIOMARIN PHARMACEUTICAL                        | BioMarin Pharmaceutical Inc                                          | CUSIP: 09061GAK7<br>LEI: NSLL8ITTRR0J5HEMR848 | Long             | DBT              | CORP              | US        |      319000 | PA      | $303476.73    | 0.06%             | 2027-05-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| CLOUDFLARE INC                                 | Cloudflare Inc                                                       | CUSIP: 18915MAE7<br>LEI: 5493007DY18BGNLDWU14 | Long             | DBT              | CORP              | US        |      136000 | PA      | $152456.00    | 0.03%             | 2030-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PAR Technology Corp                            | PAR Technology Corp                                                  | CUSIP: 698884103<br>LEI: 549300HYPTHBJQINVG57 | Short            | EC               | CORP              | US        |       -3125 | NS      | $-159937.50   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Public Service Enterprise Grou                 | Public Service Enterprise Group Inc                                  | CUSIP: 744573106<br>LEI: PUSS41EMO3E6XXNV3U28 | Short            | EC               | CORP              | US        |       -8327 | NS      | $-685561.91   | -0.13%            |  |  |  | No            |                  1 | On Loan: No      |
| Penguin Solutions Inc                          | Penguin Solutions Inc                                                | CUSIP: 706915105<br>LEI: 254900DVWIPOY3GJ8E23 | Short            | EC               | CORP              | US        |      -26779 | NS      | $-646177.27   | -0.12%            |  |  |  | No            |                  1 | On Loan: No      |
| Edwards Lifesciences Corp                      | Edwards Lifesciences Corp                                            | CUSIP: 28176E108<br>LEI: YA13X31F3V31L8TMPR58 | Long             | EC               | CORP              | US        |       23868 | NS      | $1941423.12   | 0.37%             |  |  |  | No            |                  1 | On Loan: No      |
| BigBear.ai Holdings Inc                        | BigBear.ai Holdings Inc                                              | CUSIP: 08975B109<br>LEI: 549300XGCF2ELN28CS63 | Long             | EC               | CORP              | US        |        2143 | NS      | $10865.01     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BigBear.ai Holdings Inc                        | BigBear.ai Holdings Inc                                              | CUSIP: 08975B109<br>LEI: 549300XGCF2ELN28CS63 | Short            | EC               | CORP              | US        |      -36487 | NS      | $-184989.09   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| QFIN HOLDINGS INC                              | Qfin Holdings Inc                                                    | CUSIP: 88557WAA9<br>LEI: 836800R59NKEPDR6I240 | Long             | DBT              | CORP              | KY        |       86000 | PA      | $72713.00     | 0.01%             | 2030-04-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| DELIVERY HERO AG                               | Delivery Hero SE                                                     | CUSIP: 000000000<br>LEI: 529900C3EX1FZGE48X78 | Long             | DBT              | CORP              | DE        |     2000000 | PA      | $2264569.42   | 0.43%             | 2030-02-21      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - NZD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1747.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WISDOMTREE INC                                 | WisdomTree Inc                                                       | CUSIP: 97717PAH7<br>LEI: 549300WIU8IS7UFO7871 | Long             | DBT              | CORP              | US        |      647000 | PA      | $826866.00    | 0.16%             | 2029-08-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| MH SUB I 04/20/28                              | MH SUB I 04/20/28                                                    | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       55195 | PA      | $51362.63     | 0.01%             | 2028-05-03      | Floating      | 9.58%                 | No            |                  2 | On Loan: No      |
| MH SUB I 04/20/28                              | MH SUB I 04/20/28                                                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | LON              | CORP              | US        |      -55195 | PA      | $-51362.63    | -0.01%            | 2028-05-03      | Floating      | 9.58%                 | No            |                  2 | On Loan: No      |
| TRAVERE THERAPEUTICS INC                       | Travere Therapeutics Inc                                             | CUSIP: 761299AB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      210000 | PA      | $209327.99    | 0.04%             | 2025-09-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| TRIP.COM GROUP LTD                             | Trip.com Group Ltd                                                   | CUSIP: 89677QAB3<br>LEI: 2549004RMYDSRQL4KW41 | Long             | DBT              | CORP              | KY        |      780000 | PA      | $980899.40    | 0.19%             | 2029-06-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                           | Colombia Government International Bond                               | CUSIP: 195325EP6<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |      695000 | PA      | $713570.40    | 0.14%             | 2036-11-07      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Sable Offshore Corp                            | Sable Offshore Corp                                                  | CUSIP: 78574H104<br>LEI: 254900IMMKZUOZF7V487 | Long             | EC               | CORP              | US        |        2545 | NS      | $68664.10     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| GMS Inc                                        | GMS Inc                                                              | CUSIP: 36251C103<br>LEI: 52990057RENOQO4U0D72 | Long             | EC               | CORP              | US        |        6554 | NS      | $720481.22    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| CARNIVAL CORP                                  | Carnival Corp                                                        | CUSIP: 143658BV3<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | DBT              | CORP              | PA        |      704000 | PA      | $1728737.20   | 0.33%             | 2027-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ALARM.COM HLDGS INC                            | Alarm.com Holdings Inc                                               | CUSIP: 011642AD7<br>LEI: 549300HIH92U1EKIHZ32 | Long             | DBT              | CORP              | US        |      107000 | PA      | $105522.24    | 0.02%             | 2029-06-01      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-973.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - NZD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-473.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LABL INC                                       | LABL Inc                                                             | CUSIP: 50168QAE5<br>LEI: 5493004FUZN8R6Y3VB98 | Long             | DBT              | CORP              | US        |      320000 | PA      | $267110.24    | 0.05%             | 2028-11-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| CONX CORP-CLASS A SHARES                       | Conx Corp                                                            | CUSIP: 212873111<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       14679 | NS      | $0.00         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| REPUBLIC OF ARGENTINA                          | Argentine Republic Government International Bond                     | CUSIP: 040114GM6<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     7320000 | PA      | $221064.00    | 0.04%             | 2035-12-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| Fidelity Government Portfolio                  | Fidelity Government Portfolio                                        | CUSIP: 316175108<br>LEI: 549300FQDFZGLUOCWN51 | Long             | STIV             | RF                | US        |    42441700 | NS      | $42441681.93  | 8.11%             |  |  |  | No            |                  1 | On Loan: No      |
| Generac Holdings Inc                           | Generac Holdings Inc                                                 | CUSIP: 368736104<br>LEI: 529900S2H2AHJHSFFI84 | Long             | EC               | CORP              | US        |        2699 | NS      | $499989.75    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| MH SUB 12/11/31                                | MH SUB 12/11/31                                                      | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       43183 | PA      | $37452.39     | 0.01%             | 2031-12-31      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| MH SUB 12/11/31                                | MH SUB 12/11/31                                                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | LON              | CORP              | US        |     -576262 | PA      | $-499786.50   | -0.10%            | 2031-12-31      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Tandem Diabetes Care Inc                       | Tandem Diabetes Care Inc                                             | CUSIP: 875372203<br>LEI: 549300JEPFOD0K4D3I05 | Long             | EC               | CORP              | US        |       37660 | NS      | $471126.60    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| REPUBLIC OF SOUTH AFRICA                       | Republic of South Africa Government International Bond               | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |      515000 | PA      | $499618.55    | 0.10%             | 2054-11-19      | Fixed         | 7.95%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF COLOMBIA                           | Colombia Government International Bond                               | CUSIP: 195325EQ4<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |      755000 | PA      | $768967.50    | 0.15%             | 2054-11-07      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - NZD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1336.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Array Technologies Inc                         | Array Technologies Inc                                               | CUSIP: 04271T100<br>LEI: 549300JM5FECYJQ85V37 | Long             | EC               | CORP              | US        |       56004 | NS      | $504596.04    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| RFNA LP                                        | Rfna LP                                                              | CUSIP: 74984AAA0<br>LEI: 2549002A4GSOTYKKHR45 | Short            | DBT              | CORP              | US        |     -494000 | PA      | $-511660.50   | -0.10%            | 2030-02-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| Vistra Corp                                    | Vistra Corp                                                          | CUSIP: 92840M102<br>LEI: 549300KP43CPCUJOOG15 | Short            | EC               | CORP              | US        |       -1809 | NS      | $-342099.99   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Lumentum Holdings Inc                          | Lumentum Holdings Inc                                                | CUSIP: 55024U109<br>LEI: 549300JLWRRC38DWEF52 | Short            | EC               | CORP              | US        |      -11381 | NS      | $-1511510.61  | -0.29%            |  |  |  | No            |                  1 | On Loan: No      |
| SATELLOGIC INC-A                               | Satellogic Inc                                                       | CUSIP: 80401C118<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        2058 | NS      | $896.26       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| JDE Peet's NV                                  | JDE Peet's NV                                                        | CUSIP: 000000000<br>LEI: 724500EHG519SE5ZRT89 | Long             | EC               | CORP              | NL        |       15938 | NS      | $583672.16    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| TREASURY BILL                                  | United States Treasury Bill                                          | CUSIP: 912797QM2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     8000000 | PA      | $8000000.00   | 1.53%             | 2025-09-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| LCI INDUSTRIES                                 | LCI Industries                                                       | CUSIP: 501812AC5<br>LEI: 549300E1B98YNJ1WIQ04 | Long             | DBT              | CORP              | US        |      386000 | PA      | $422828.62    | 0.08%             | 2030-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Upstart Holdings Inc                           | Upstart Holdings Inc                                                 | CUSIP: 91680M107<br>LEI: 549300WNB47JRNENIC75 | Short            | EC               | CORP              | US        |      -10160 | NS      | $-744524.80   | -0.14%            |  |  |  | No            |                  1 | On Loan: No      |
| LABL INC                                       | LABL Inc                                                             | CUSIP: 50168QAF2<br>LEI: 5493004FUZN8R6Y3VB98 | Short            | DBT              | CORP              | US        |     -813000 | PA      | $-600933.10   | -0.11%            | 2031-10-01      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - NZD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-503.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| YAPI VE KREDI BANKASI AS                       | Yapi ve Kredi Bankasi AS                                             | CUSIP: 000000000<br>LEI: B85ZYWEZ5IZCZ2WNIO12 | Long             | DBT              | CORP              | TR        |      537000 | PA      | $572662.80    | 0.11%             | 2034-01-17      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| INDONESIA GOVERNMENT                           | Indonesia Treasury Bond                                              | CUSIP: 000000000<br>LEI: 529900FWX0GRR7WG5W79 | Long             | DBT              | NUSS              | ID        | 16781000000 | PA      | $1060276.29   | 0.20%             | 2038-06-15      | Fixed         | 7.12%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                           | Edison International                                                 | CUSIP: 281020AZ0<br>LEI: 549300I7ROF15MAEVP56 | Short            | DBT              | CORP              | US        |     -313000 | PA      | $-310202.91   | -0.06%            | 2054-06-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| K Hovnanian Entp 01/31/28                      | K Hovnanian Entp 01/31/28                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      778000 | PA      | $785780.00    | 0.15%             | 2028-01-31      | Floating      | 10.00%                | No            |                  2 | On Loan: No      |
| Core Scientific Inc                            | Core Scientific Inc                                                  | CUSIP: 21874A106<br>LEI: 5299003RGB2LAZ65RK73 | Long             | EC               | CORP              | US        |       22407 | NS      | $321540.45    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Core Scientific Inc                            | Core Scientific Inc                                                  | CUSIP: 21874A106<br>LEI: 5299003RGB2LAZ65RK73 | Short            | EC               | CORP              | US        |      -10784 | NS      | $-154750.40   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| US TREASURY N/B                                | United States Treasury Note/Bond                                     | CUSIP: 91282CMZ1<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |     -979000 | PA      | $-987451.52   | -0.19%            | 2030-04-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| MATCH GROUP FINANCECO 2                        | Match Group Financeco 2 Inc                                          | CUSIP: 44932FAA5<br>LEI: 549300IPGK4BWL134U96 | Long             | DBT              | CORP              | US        |      927000 | PA      | $902247.23    | 0.17%             | 2026-06-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| Pebblebrook Hotel Trust                        | Pebblebrook Hotel Trust                                              | CUSIP: 70509V100<br>LEI: 5493004Q1NNH6JXCSI52 | Short            | EC               | CORP              | US        |        -139 | NS      | $-1548.46     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| EZCORP Inc                                     | EZCORP Inc                                                           | CUSIP: 302301106<br>LEI: 5493003K6PG3ZQ7TUQ63 | Short            | EC               | CORP              | US        |       -9881 | NS      | $-164716.27   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - NZD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-585.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IND & COMM BK OF CHINA                         | Industrial & Commercial Bank of China Ltd                            | CUSIP: 000000000<br>LEI: 5493002ERZU2K9PZDL40 | Short            | DBT              | CORP              | CN        |     -479000 | PA      | $-472137.87   | -0.09%            | N/A             | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Just Group PLC                                 | Just Group PLC                                                       | CUSIP: 000000000<br>LEI: 5493006456YEZEELRR90 | Long             | EC               | CORP              | GB        |      252644 | NS      | $720530.88    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| GAINWELL ACQUISI 10/01/27                      | GAINWELL ACQUISI 10/01/27                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      701209 | PA      | $691216.42    | 0.13%             | 2027-10-01      | Floating      | 8.40%                 | No            |                  2 | On Loan: No      |
| Western Digital Corp                           | Western Digital Corp                                                 | CUSIP: 958102105<br>LEI: 549300QQXOOYEF89IC56 | Short            | EC               | CORP              | US        |      -22145 | NS      | $-1779129.30  | -0.34%            |  |  |  | No            |                  1 | On Loan: No      |
| REPUBLIC OF SRI LANKA                          | Sri Lanka Government International Bond                              | CUSIP: 000000000<br>LEI: 254900IG6Y30I2QE2R92 | Long             | DBT              | NUSS              | LK        |       60000 | PA      | $55353.00     | 0.01%             | 2030-01-15      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| KITE REALTY GROUP LP                           | Kite Realty Group LP                                                 | CUSIP: 49803XAB9<br>LEI: 549300X6R2GYI8Y3OD81 | Long             | DBT              | CORP              | US        |       36000 | PA      | $37543.16     | 0.01%             | 2027-04-01      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| DYNAVAX TECHNOLOGIES                           | Dynavax Technologies Corp                                            | CUSIP: 268158AE2<br>LEI: 549300T5URIXWDILX594 | Long             | DBT              | CORP              | US        |      374000 | PA      | $347558.20    | 0.07%             | 2030-03-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Ford Motor Co                                  | Ford Motor Co                                                        | CUSIP: 345370860<br>LEI: 20S05OYHG0MQM4VUIC57 | Short            | EC               | CORP              | US        |      -27713 | NS      | $-326182.01   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| NEXTracker Inc                                 | NEXTracker Inc                                                       | CUSIP: 65290E101<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        8232 | NS      | $553684.32    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| WOLFSPEED INC                                  | Wolfspeed Inc                                                        | CUSIP: 225447AD3<br>LEI: 549300OGU88P3AW3TO93 | Long             | DBT              | CORP              | US        |      123000 | PA      | $44895.00     | 0.01%             | 2026-05-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - MXN                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-8.37        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Nabors Industries Ltd                          | Nabors Industries Ltd                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        5225 | NS      | $194788.00    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| Fujikura Ltd                                   | Fujikura Ltd                                                         | CUSIP: 000000000<br>LEI: 353800PSDZ8VRCKVPL51 | Long             | EC               | CORP              | JP        |        5292 | NS      | $448967.50    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| IDERA TL B2 SOFR 03/02/28                      | IDERA TL B2 SOFR 03/02/28                                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | LON              | CORP              | US        |     -435263 | PA      | $-405338.31   | -0.08%            | 2028-03-02      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| iShares iBoxx $ High Yield Corporate Bond ETF  | iShares iBoxx $ High Yield Corporate Bond ETF                        | CUSIP: 464288513<br>LEI: 549300FCCXHK7O37PQ68 | Short            | EC               | RF                | US        |       -5434 | NS      | $-439393.24   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| ISTANBUL METROPOLITAN MU                       | Istanbul Metropolitan Municipality                                   | CUSIP: 000000000<br>LEI: 213800T1VDQSNKA2MD76 | Long             | DBT              | NUSS              | TR        |      260000 | PA      | $284763.37    | 0.05%             | 2028-12-06      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| Applied Optoelectronics Inc                    | Applied Optoelectronics Inc                                          | CUSIP: 03823U102<br>LEI: 529900I8U6Q5SYDNLT48 | Short            | EC               | CORP              | US        |       -2807 | NS      | $-67929.40    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Verona Pharma PLC                              | Verona Pharma PLC                                                    | CUSIP: 925050106<br>LEI: 213800EVI6O6J3TIAL06 | Long             | EC               | CORP              | GB        |        6784 | NS      | $718493.44    | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| REPUBLIC OF ARGENTINA                          | Argentine Republic Government International Bond                     | CUSIP: 000000000<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     2842000 | PA      | $305945.22    | 0.06%             | 2035-12-15      | Variable      | 0.01%                 | No            |                  2 | On Loan: No      |
| DigitalOcean Holdings Inc                      | DigitalOcean Holdings Inc                                            | CUSIP: 25402D102<br>LEI: 549300EPISPY3RE3DL21 | Short            | EC               | CORP              | US        |       -6461 | NS      | $-210757.82   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| PG&E Corp                                      | PG&E Corp                                                            | CUSIP: 69331C108<br>LEI: 8YQ2GSDWYZXO2EDN3511 | Long             | EC               | CORP              | US        |       31065 | NS      | $474673.20    | 0.09%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - MXN                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3.26        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EXACT SCIENCES CORP                            | Exact Sciences Corp                                                  | CUSIP: 30063PAB1<br>LEI: 549300VM3X1FYD4N9Z14 | Long             | DBT              | CORP              | US        |      478000 | PA      | $454346.78    | 0.09%             | 2027-03-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| SATURN OIL & GAS INC                           | Saturn Oil & Gas Inc                                                 | CUSIP: 80412LAA5<br>LEI: 549300G6BWJ7K6PIIY73 | Short            | DBT              | CORP              | CA        |     -503000 | PA      | $-513917.62   | -0.10%            | 2029-06-15      | Fixed         | 9.62%                 | No            |                  2 | On Loan: No      |
| X CORP TLB1 SOFR 10/26/29                      | X CORP TLB1 SOFR 10/26/29                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      761110 | PA      | $745073.88    | 0.14%             | 2029-10-26      | Floating      | 10.95%                | No            |                  2 | On Loan: No      |
| CommScope Holding Co Inc                       | CommScope Holding Co Inc                                             | CUSIP: 20337X109<br>LEI: 254900AW4CEPCQWSRI58 | Long             | EC               | CORP              | US        |       63506 | NS      | $1018636.24   | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| Siemens AG                                     | Siemens AG                                                           | CUSIP: 000000000<br>LEI: W38RGI023J3WT1HWRP32 | Long             | EC               | CORP              | DE        |         949 | NS      | $263068.25    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Revvity Inc                                    | Revvity Inc                                                          | CUSIP: 714046109<br>LEI: 549300IKL1SDPFI7N655 | Long             | EC               | CORP              | US        |       13815 | NS      | $1244869.65   | 0.24%             |  |  |  | No            |                  1 | On Loan: —       |
| MARA HOLDINGS INC                              | MARA Holdings Inc                                                    | CUSIP: 565788AJ5<br>LEI: 549300M8ISKPTX2W7F94 | Long             | DBT              | CORP              | US        |      266000 | PA      | $250211.49    | 0.05%             | 2032-08-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITY SOFTWARE INC                             | Unity Software Inc                                                   | CUSIP: 91332UAB7<br>LEI: 549300D1ESJMGNQNG432 | Long             | DBT              | CORP              | US        |      234000 | PA      | $221130.00    | 0.04%             | 2026-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CHS/COMMUNITY HEALTH SYS                       | CHS/Community Health Systems Inc                                     | CUSIP: 12543DBQ2<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |      700000 | PA      | $709826.45    | 0.14%             | 2034-01-15      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| 3M Co                                          | 3M Co                                                                | CUSIP: 88579Y101<br>LEI: LUZQVYP4VS22CLWDAR65 | Long             | EC               | CORP              | US        |       13216 | NS      | $2055484.48   | 0.39%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - MXN                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-28.60       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Enphase Energy Inc                             | Enphase Energy Inc                                                   | CUSIP: 29355A107<br>LEI: 5493008U7KIGMI59Z314 | Short            | EC               | CORP              | US        |      -10249 | NS      | $-386387.30   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| WAYFAIR INC                                    | Wayfair Inc                                                          | CUSIP: 94419LAP6<br>LEI: 54930027N9ZAVYFDHK53 | Long             | DBT              | CORP              | US        |      709000 | PA      | $973953.30    | 0.19%             | 2027-09-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| Alnylam Pharmaceuticals Inc                    | Alnylam Pharmaceuticals Inc                                          | CUSIP: 02043Q107<br>LEI: 529900S3ZI14OWRJII50 | Long             | EC               | CORP              | US        |        4032 | NS      | $1800328.32   | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| MOSS CREEK RESOURCES HLD                       | Moss Creek Resources Holdings Inc                                    | CUSIP: 61965RAC9<br>LEI: 54930037SLMSPWKYIX36 | Long             | DBT              | CORP              | US        |      650000 | PA      | $643348.55    | 0.12%             | 2031-09-01      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| MasTec Inc                                     | MasTec Inc                                                           | CUSIP: 576323109<br>LEI: 549300TMDIT8WREDOF45 | Long             | EC               | CORP              | US        |       13595 | NS      | $2470075.55   | 0.47%             |  |  |  | No            |                  1 | On Loan: No      |
| Deliveroo PLC                                  | Deliveroo PLC                                                        | CUSIP: 000000000<br>LEI: 984500F6537F74DDEE77 | Long             | EC               | CORP              | GB        |       71245 | NS      | $171805.80    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| UCB SA                                         | UCB SA                                                               | CUSIP: 000000000<br>LEI: 2138008J191VLSGY5A09 | Long             | EC               | CORP              | BE        |        9920 | NS      | $2327025.16   | 0.44%             |  |  |  | No            |                  2 | On Loan: No      |
| Tyson Foods Inc                                | Tyson Foods Inc                                                      | CUSIP: 902494103<br>LEI: WD6L6041MNRW1JE49D58 | Short            | EC               | CORP              | US        |       -5537 | NS      | $-314390.86   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| EXACT SCIENCES CORP                            | Exact Sciences Corp                                                  | CUSIP: 30063PAC9<br>LEI: 549300VM3X1FYD4N9Z14 | Long             | DBT              | CORP              | US        |      137000 | PA      | $124262.12    | 0.02%             | 2028-03-01      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| Coinbase Global Inc                            | Coinbase Global Inc                                                  | CUSIP: 19260Q107<br>LEI: 5493004G3J2SC154DU06 | Short            | EC               | CORP              | US        |        -432 | NS      | $-131561.28   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - MXN                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-0.68        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC                             | Dominican Republic International Bond                                | CUSIP: 000000000<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |     8100000 | PA      | $137883.97    | 0.03%             | 2036-06-01      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| PetroChina Co Ltd                              | PetroChina Co Ltd                                                    | CUSIP: 000000000<br>LEI: 529900RPY4YG47TRSV05 | Long             | EC               | CORP              | CN        |      286257 | NS      | $277184.91    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Dropbox Inc                                    | Dropbox Inc                                                          | CUSIP: 26210C104<br>LEI: 549300JCDF7UAR6TJR51 | Short            | EC               | CORP              | US        |       -6974 | NS      | $-202664.44   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| EDISON INTERNATIONAL                           | Edison International                                                 | CUSIP: 281020AX5<br>LEI: 549300I7ROF15MAEVP56 | Short            | DBT              | CORP              | US        |     -451000 | PA      | $-452288.06   | -0.09%            | 2053-06-15      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| Fidelity Government Portfolio                  | Fidelity Government Portfolio                                        | CUSIP: 316175108<br>LEI: 549300FQDFZGLUOCWN51 | Long             | STIV             | RF                | US        |      265852 | NS      | $265851.91    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| DOMINICAN REPUBLIC                             | Dominican Republic International Bond                                | CUSIP: 25714PFA1<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |    42750000 | PA      | $717404.55    | 0.14%             | 2036-06-01      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| Kite Realty Group Trust                        | Kite Realty Group Trust                                              | CUSIP: 49803T300<br>LEI: N/A                  | Short            | EC               | CORP              | US        |        -815 | NS      | $-18598.30    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| FIVE9 INC                                      | Five9 Inc                                                            | CUSIP: 338307AF8<br>LEI: 254900MXP6EWY0SFFR59 | Long             | DBT              | CORP              | US        |      238000 | PA      | $212155.77    | 0.04%             | 2029-03-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF SRI LANKA                          | Sri Lanka Government International Bond                              | CUSIP: 000000000<br>LEI: 254900IG6Y30I2QE2R92 | Long             | DBT              | NUSS              | LK        |      130000 | PA      | $109688.92    | 0.02%             | 2038-02-15      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| Altice USA Inc                                 | Altice USA Inc                                                       | CUSIP: 02156K103<br>LEI: 54930064K3612MGCER95 | Long             | EC               | CORP              | US        |      122191 | NS      | $285926.94    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - MXN                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $12.31        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LEBANESE REPUBLIC                              | Lebanon Government International Bond                                | CUSIP: 000000000<br>LEI: 529900QPC4K9S1KHL354 | Long             | DBT              | NUSS              | LB        |      212000 | PA      | $41827.60     | 0.01%             | 2023-01-27      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Materials Select Sector SPDR Fund              | Materials Select Sector SPDR Fund                                    | CUSIP: 81369Y100<br>LEI: 549300N81BAQ1XPGBT65 | Short            | EC               | RF                | US        |       -8996 | NS      | $-830150.88   | -0.16%            |  |  |  | No            |                  1 | On Loan: No      |
| ON SEMICONDUCTOR CORP                          | ON Semiconductor Corp                                                | CUSIP: 682189AU9<br>LEI: ZV20P4CNJVT8V1ZGJ064 | Long             | DBT              | CORP              | US        |      409000 | PA      | $378836.25    | 0.07%             | 2029-03-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Omnicom Group Inc                              | Omnicom Group Inc                                                    | CUSIP: 681919106<br>LEI: HKUPACFHSSASQK8HLS17 | Short            | EC               | CORP              | US        |       -4790 | NS      | $-375200.70   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| SNOWFLAKE INC                                  | Snowflake Inc                                                        | CUSIP: 833445AC3<br>LEI: 254900CJNSY1K7T53Z16 | Long             | DBT              | CORP              | US        |      135000 | PA      | $221315.63    | 0.04%             | 2029-10-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CECONOMY AG                                    | CECONOMY AG                                                          | CUSIP: 000000000<br>LEI: 5299001X9L42HXEBCZ51 | Long             | EC               | CORP              | DE        |       65020 | NS      | $338643.20    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Cracker Barrel Old Country Sto                 | Cracker Barrel Old Country Store Inc                                 | CUSIP: 22410J106<br>LEI: 8P4PHQIUWPIECBFBW745 | Short            | EC               | CORP              | US        |       -4239 | NS      | $-253576.98   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| FIRST BRANDS G 03/30/2027                      | FIRST BRANDS G 03/30/2027                                            | CUSIP: 31935HAG2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      342747 | PA      | $327323.46    | 0.06%             | 2027-03-30      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| BILL HOLDINGS INC                              | BILL Holdings Inc                                                    | CUSIP: 090043AE0<br>LEI: 549300IBF9VZZIGOZW63 | Long             | DBT              | CORP              | US        |      567000 | PA      | $489321.00    | 0.09%             | 2030-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Spirent Communications PLC                     | Spirent Communications PLC                                           | CUSIP: 000000000<br>LEI: 213800HKCUNWP1916L38 | Long             | EC               | CORP              | GB        |      322683 | NS      | $854826.78    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - MXN                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-75.47       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HEARTHSIDE FOOD 05/23/25                       | HEARTHSIDE FOOD 05/23/25                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       49841 | PA      | $24920.39     | 0.00%             | 2025-09-30      | Floating      | 13.75%                | No            |                  2 | On Loan: No      |
| Ziff Davis Inc                                 | Ziff Davis Inc                                                       | CUSIP: 48123V102<br>LEI: 5493008OJYGLHD7MXA18 | Short            | EC               | CORP              | US        |        -798 | NS      | $-30491.58    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| Rhythm Pharmaceuticals Inc                     | Rhythm Pharmaceuticals Inc                                           | CUSIP: 76243J105<br>LEI: 529900JPNWXQ8DPLA551 | Long             | EC               | CORP              | US        |        9615 | NS      | $991787.25    | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| MARA Holdings Inc                              | MARA Holdings Inc                                                    | CUSIP: 565788106<br>LEI: 549300M8ISKPTX2W7F94 | Short            | EC               | CORP              | US        |      -10478 | NS      | $-167438.44   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| LCI Industries                                 | LCI Industries                                                       | CUSIP: 50189K103<br>LEI: 549300E1B98YNJ1WIQ04 | Short            | EC               | CORP              | US        |       -2164 | NS      | $-228128.88   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| GUIDEWIRE SOFTWARE INC                         | Guidewire Software Inc                                               | CUSIP: 40171VAB6<br>LEI: 549300WXSG0J8IXZCK32 | Long             | DBT              | CORP              | US        |      181000 | PA      | $204258.50    | 0.04%             | 2029-11-01      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| EXACT SCIENCES CORP                            | Exact Sciences Corp                                                  | CUSIP: 30063PAD7<br>LEI: 549300VM3X1FYD4N9Z14 | Long             | DBT              | CORP              | US        |      140000 | PA      | $136566.90    | 0.03%             | 2030-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Strategy Inc                                   | Strategy Inc                                                         | CUSIP: 594972408<br>LEI: 549300WQTWEJUEHXQX21 | Short            | EC               | CORP              | US        |        -899 | NS      | $-300634.59   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| REPUBLIC OF ZAMBIA                             | Zambia Government International Bond                                 | CUSIP: 000000000<br>LEI: 213800DMLAZ6LGMMD849 | Long             | DBT              | NUSS              | ZM        |      388528 | PA      | $260611.90    | 0.05%             | 2053-12-31      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Shift4 Payments Inc                            | Shift4 Payments Inc                                                  | CUSIP: 82452J109<br>LEI: N/A                  | Short            | EC               | CORP              | US        |       -1285 | NS      | $-116202.55   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-657.89      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-332.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - MXN                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $26.20        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SKOPIMA CONSILIO 05/12/28                      | SKOPIMA CONSILIO 05/12/28                                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | LON              | CORP              | US        |     -192453 | PA      | $-181971.36   | -0.03%            | 2028-05-12      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| Affirm Holdings Inc                            | Affirm Holdings Inc                                                  | CUSIP: 00827B106<br>LEI: N/A                  | Short            | EC               | CORP              | US        |       -4872 | NS      | $-430977.12   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| Albertsons Cos Inc                             | Albertsons Cos Inc                                                   | CUSIP: 013091103<br>LEI: 549300YKWOC0AOR16R51 | Long             | EC               | CORP              | US        |       15907 | NS      | $309550.22    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| KAISA GROUP HOLDINGS LTD                       | Kaisa Group Holdings Ltd                                             | CUSIP: 000000000<br>LEI: 254900N8L3L7NRJT0120 | Long             | DBT              | CORP              | KY        |      537000 | PA      | $24165.00     | 0.00%             | 2025-04-16      | Fixed         | 11.25%                | No            |                  2 | On Loan: No      |
| RUBRIK INC                                     | Rubrik Inc                                                           | CUSIP: 781154AC3<br>LEI: 254900TRGK2WTBYMYU27 | Long             | DBT              | CORP              | US        |      470000 | PA      | $493898.21    | 0.09%             | 2030-06-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ITRON INC                                      | Itron Inc                                                            | CUSIP: 465741AQ9<br>LEI: 24F6LSZD18II6ICG6S41 | Long             | DBT              | CORP              | US        |      121000 | PA      | $138806.90    | 0.03%             | 2030-07-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| GUARDANT HEALTH INC                            | Guardant Health Inc                                                  | CUSIP: 40131MAB5<br>LEI: 254900M8C3E5VC8BR186 | Long             | DBT              | CORP              | US        |      715000 | PA      | $693907.50    | 0.13%             | 2027-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Argenx SE                                      | Argenx SE                                                            | CUSIP: 04016X101<br>LEI: 7245009C5FZE6G9ODQ71 | Long             | EC               | CORP              | NL        |        2507 | NS      | $1785485.40   | 0.34%             |  |  |  | No            |                  1 | On Loan: No      |
| DAYFORCE INC                                   | Dayforce Inc                                                         | CUSIP: 15677JAD0<br>LEI: 549300T64GVCHFJ8L449 | Long             | DBT              | CORP              | US        |      997000 | PA      | $978555.50    | 0.19%             | 2026-03-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                               | CSC Holdings LLC                                                     | CUSIP: 126307BD8<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |       21000 | PA      | $9216.11      | 0.00%             | 2030-12-01      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - MXN                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $0.38         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALKAMI TECHNOLOGY INC                          | Alkami Technology Inc                                                | CUSIP: 01644JAA6<br>LEI: 254900FCNYU4HNEV9L47 | Long             | DBT              | CORP              | US        |       34000 | PA      | $36968.34     | 0.01%             | 2030-03-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| OPENDOOR TECHNOLOGIES IN                       | Opendoor Technologies Inc                                            | CUSIP: 683712AC7<br>LEI: 254900KX11YZ4HV5BQ47 | Long             | DBT              | CORP              | US        |      115000 | PA      | $349964.99    | 0.07%             | 2030-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| TREASURY BILL                                  | United States Treasury Bill                                          | CUSIP: 912797QQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    10000000 | PA      | $9918628.70   | 1.90%             | 2025-11-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FIRST BRANDS GRO 03/30/27                      | FIRST BRANDS GRO 03/30/27                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      988787 | PA      | $944909.50    | 0.18%             | 2027-03-30      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| AMPHASTAR PHARMACEUTICAL                       | Amphastar Pharmaceuticals Inc                                        | CUSIP: 03209RAB9<br>LEI: 54930055TH0ZLSAQMJ38 | Long             | DBT              | CORP              | US        |      108000 | PA      | $100267.07    | 0.02%             | 2029-03-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                            | Petroleos Mexicanos                                                  | CUSIP: 71654QDL3<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |      506000 | PA      | $537320.22    | 0.10%             | 2029-06-02      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                | United States Treasury Note/Bond                                     | CUSIP: 91282CMV0<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |     -375000 | PA      | $-376018.07   | -0.07%            | 2027-03-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS                            | Petroleos Mexicanos                                                  | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |      264000 | PA      | $253983.92    | 0.05%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| EUROPEAN BK RECON & DEV                        | European Bank for Reconstruction & Development                       | CUSIP: 000000000<br>LEI: 549300HTGDOVDU6OGK19 | Long             | DBT              | NUSS              | N/A       |    57000000 | PA      | $316608.18    | 0.06%             | 2031-03-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| B2GOLD CORP                                    | B2Gold Corp                                                          | CUSIP: 11777QAC4<br>LEI: 549300F7OK456M5NLM05 | Long             | DBT              | CORP              | CA        |      193000 | PA      | $282238.38    | 0.05%             | 2030-02-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - MXN                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $66.03        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ISLAMIC REP OF PAKISTAN                        | Pakistan Government International Bond                               | CUSIP: 000000000<br>LEI: 529900LOP29R5WKHOD86 | Long             | DBT              | NUSS              | PK        |      818000 | PA      | $815411.29    | 0.16%             | 2026-04-08      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Vertex Inc                                     | Vertex Inc                                                           | CUSIP: 92538J106<br>LEI: 549300QMYW171MP1PL50 | Short            | EC               | CORP              | US        |       -5964 | NS      | $-153990.48   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| EXACT SCIENCES CORP                            | Exact Sciences Corp                                                  | CUSIP: 30063PAE5<br>LEI: 549300VM3X1FYD4N9Z14 | Long             | DBT              | CORP              | US        |       70000 | PA      | $61855.86     | 0.01%             | 2031-04-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| MULTI-COLOR TLB 10/29/28                       | MULTI-COLOR TLB 10/29/28                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      858378 | PA      | $683037.38    | 0.13%             | 2028-10-30      | Floating      | 9.43%                 | No            |                  2 | On Loan: No      |
| ANI Pharmaceuticals Inc                        | ANI Pharmaceuticals Inc                                              | CUSIP: 00182C103<br>LEI: 5493000T6CXTND40YH31 | Short            | EC               | CORP              | US        |       -1624 | NS      | $-151844.00   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| SOFI TECHNOLOGIES INC                          | SoFi Technologies Inc                                                | CUSIP: 83406FAC6<br>LEI: 549300SW81JCMVZDDY09 | Long             | DBT              | CORP              | US        |      329000 | PA      | $907382.00    | 0.17%             | 2029-03-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Olo Inc                                        | Olo Inc                                                              | CUSIP: 68134L109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       27993 | NS      | $286928.25    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| TITULOS DE TESORERIA                           | Colombian TES                                                        | CUSIP: 000000000<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  1573700000 | PA      | $249344.17    | 0.05%             | 2050-10-26      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF ARGENTINA                          | Argentine Republic Government International Bond                     | CUSIP: 040114HS2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      501600 | PA      | $376877.16    | 0.07%             | 2030-07-09      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| VMED O2 UK FINAN                               | Vmed O2 UK Financing I PLC                                           | CUSIP: 000000000<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |      550000 | PA      | $679046.39    | 0.13%             | 2031-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - MXN                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $209.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CVS Health Corp                                | CVS Health Corp                                                      | CUSIP: 126650100<br>LEI: 549300EJG376EN5NQE29 | Long             | EC               | CORP              | US        |       22399 | NS      | $1638486.85   | 0.31%             |  |  |  | No            |                  1 | On Loan: No      |
| TREASURY BILL                                  | United States Treasury Bill                                          | CUSIP: 912797QP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    11000000 | PA      | $10918972.57  | 2.09%             | 2025-11-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WINNEBAGO INDUSTRIES                           | Winnebago Industries Inc                                             | CUSIP: 974637AF7<br>LEI: 549300B7OYKYJLTE3G11 | Long             | DBT              | CORP              | US        |       88000 | PA      | $78936.00     | 0.02%             | 2030-01-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| TransMedics Group Inc                          | TransMedics Group Inc                                                | CUSIP: 89377M109<br>LEI: 549300060GVOSMWARH50 | Short            | EC               | CORP              | US        |       -2781 | NS      | $-319703.76   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| PELOTON INTERACTIVE INC                        | Peloton Interactive Inc                                              | CUSIP: 70614WAB6<br>LEI: 5493002YS021166W0339 | Long             | DBT              | CORP              | US        |      413000 | PA      | $403191.37    | 0.08%             | 2026-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| US TREASURY N/B                                | United States Treasury Note/Bond                                     | CUSIP: 91282CMY4<br>LEI: 254900HROIFWPRGM1V77 | Short            | DBT              | UST               | US        |     -490000 | PA      | $-490564.65   | -0.09%            | 2027-04-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| LEBANESE REPUBLIC                              | Lebanon Government International Bond                                | CUSIP: 000000000<br>LEI: 529900QPC4K9S1KHL354 | Long             | DBT              | NUSS              | LB        |      212000 | PA      | $41817.00     | 0.01%             | 2024-11-04      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| Xcel Energy Inc                                | Xcel Energy Inc                                                      | CUSIP: 98389B100<br>LEI: LGJNMI9GH8XIDG5RCM61 | Long             | EC               | CORP              | US        |       29486 | NS      | $2134491.54   | 0.41%             |  |  |  | No            |                  1 | On Loan: No      |
| REPLIGEN CORP                                  | Repligen Corp                                                        | CUSIP: 759916AD1<br>LEI: 54930006QJ0T5AUO1E71 | Long             | DBT              | CORP              | US        |      429000 | PA      | $423253.85    | 0.08%             | 2028-12-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Intuitive Surgical Inc                         | Intuitive Surgical Inc                                               | CUSIP: 46120E602<br>LEI: 54930052SRG011710797 | Long             | EC               | CORP              | US        |        2353 | NS      | $1113663.14   | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - MXN                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $324.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCPR Loan Financ 10/16/28                      | LCPR Loan Financ 10/16/28                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       55348 | PA      | $34463.94     | 0.01%             | 2028-10-16      | Floating      | 8.19%                 | No            |                  2 | On Loan: No      |
| LCPR Loan Financ 10/16/28                      | LCPR Loan Financ 10/16/28                                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | LON              | CORP              | US        |     -163623 | PA      | $-101885.01   | -0.02%            | 2028-10-16      | Floating      | 8.19%                 | No            |                  2 | On Loan: No      |
| Astronics Corp                                 | Astronics Corp                                                       | CUSIP: 046433108<br>LEI: 549300NNXCF8H4MSMK17 | Short            | EC               | CORP              | US        |       -9011 | NS      | $-327730.07   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| XEROX HOLDINGS CORP                            | Xerox Holdings Corp                                                  | CUSIP: 98421MAB2<br>LEI: 5493000Y33XDVO2CXC18 | Long             | DBT              | CORP              | US        |      542000 | PA      | $353049.19    | 0.07%             | 2028-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LBM ACQUISITION LLC                            | LBM Acquisition LLC                                                  | CUSIP: 52109SAB5<br>LEI: 549300FAEB3VWZL4NI86 | Long             | DBT              | CORP              | US        |      583000 | PA      | $611724.41    | 0.12%             | 2031-06-15      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| Palo Alto Networks Inc                         | Palo Alto Networks Inc                                               | CUSIP: 697435105<br>LEI: 549300QXR2YVZV231H43 | Short            | EC               | CORP              | US        |       -1467 | NS      | $-279492.84   | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |
| GUARDANT HEALTH INC                            | Guardant Health Inc                                                  | CUSIP: 40131MAD1<br>LEI: 254900M8C3E5VC8BR186 | Long             | DBT              | CORP              | US        |       54000 | PA      | $73332.00     | 0.01%             | 2031-02-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: —       |
| Community Health Systems Inc                   | Community Health Systems Inc                                         | CUSIP: 203668108<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       78596 | NS      | $216924.96    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| PERSHING SQUARE ESCROW                         | PERSHING SQUARE ESCROW                                               | CUSIP: 715ESC018<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       42829 | NS      | $0.00         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| S&S HOLDINGS LLC                               | S&S Holdings LLC                                                     | CUSIP: 78525CAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      832000 | PA      | $782141.07    | 0.15%             | 2031-10-01      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - MXN                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $116.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| K HOVNANIAN RC S 06/30/26                      | K HOVNANIAN RC S 06/30/26                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      500000 | PA      | $490278.14    | 0.09%             | 2026-06-30      | Floating      | 0.01%                 | No            |                  3 | On Loan: No      |
| AST SPACEMOBILE INC                            | AST SpaceMobile Inc                                                  | CUSIP: 00217DAA8<br>LEI: 254900MBSC9P2UCI6623 | Long             | DBT              | CORP              | US        |       96000 | PA      | $201081.11    | 0.04%             | 2032-03-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| SAMARCO MINERA 5.75 10/23                      | SAMARCO MINERA 5.75 10/23                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BR        |      384000 | PA      | $14208.96     | 0.00%             | 2023-10-24      | Fixed         | 5.75%                 | No            |                  3 | On Loan: No      |
| CSC HOLDINGS 01/18/28                          | CSC HOLDINGS 01/18/28                                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     2715420 | PA      | $2712663.88   | 0.52%             | 2028-01-18      | Floating      | 8.83%                 | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                   | Ecopetrol SA                                                         | CUSIP: 279158AW9<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |      717000 | PA      | $730351.83    | 0.14%             | 2032-02-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| FANUC Corp                                     | FANUC Corp                                                           | CUSIP: 000000000<br>LEI: 529900QTSW745LOKW705 | Long             | EC               | CORP              | JP        |       17007 | NS      | $472785.91    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Itron Inc                                      | Itron Inc                                                            | CUSIP: 465741106<br>LEI: 24F6LSZD18II6ICG6S41 | Short            | EC               | CORP              | US        |        -672 | NS      | $-82615.68    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| AZUL SECURED FINANCE LLP                       | Azul Secured Finance LLP                                             | CUSIP: 05501WAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      239000 | PA      | $58555.00     | 0.01%             | 2028-08-28      | Fixed         | 11.93%                | No            |                  2 | On Loan: No      |
| UL Solutions Inc                               | UL Solutions Inc                                                     | CUSIP: 903731107<br>LEI: 549300F7CUV5ESKV9P71 | Long             | EC               | CORP              | US        |       13067 | NS      | $825442.39    | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| Super Micro Computer Inc                       | Super Micro Computer Inc                                             | CUSIP: 86800U302<br>LEI: 54930022CZO1N2UGVW07 | Short            | EC               | CORP              | US        |      -14581 | NS      | $-605694.74   | -0.12%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - MXN                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $405.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PROVINCIA DE CORDOBA                           | Provincia de Cordoba                                                 | CUSIP: 74408DAF1<br>LEI: 5299006CLM2Z97AATT29 | Long             | DBT              | NUSS              | AR        |      437000 | PA      | $440496.00    | 0.08%             | 2032-07-02      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| 3M COMPANY                                     | 3M Co                                                                | CUSIP: 88579YAV3<br>LEI: LUZQVYP4VS22CLWDAR65 | Short            | DBT              | CORP              | US        |     -220000 | PA      | $-215793.34   | -0.04%            | 2026-09-19      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| RIVERBED TECHNOL 07/01/28                      | RIVERBED TECHNOL 07/01/28                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       58237 | PA      | $28973.07     | 0.01%             | 2028-07-01      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| LEBANESE REPUBLIC                              | Lebanon Government International Bond                                | CUSIP: 000000000<br>LEI: 529900QPC4K9S1KHL354 | Long             | DBT              | NUSS              | LB        |      103000 | PA      | $20354.86     | 0.00%             | 2027-11-29      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| CSC HOLDINGS LLC                               | CSC Holdings LLC                                                     | CUSIP: 126307BA4<br>LEI: 3HG2WD2W22M120IUNG49 | Long             | DBT              | CORP              | US        |      561000 | PA      | $264132.71    | 0.05%             | 2030-01-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Clear Channel Outdoor Holdings                 | Clear Channel Outdoor Holdings Inc                                   | CUSIP: 18453H106<br>LEI: 254900XBEE6V1ENYS150 | Long             | EC               | CORP              | US        |      201413 | NS      | $249752.12    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| AMYRIS INC                                     | Amyris Inc                                                           | CUSIP: 032ESCAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     1108000 | PA      | $9972.00      | 0.00%             | 2026-11-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                               | Peruvian Government International Bond                               | CUSIP: 715638EA6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     1338000 | PA      | $407185.61    | 0.08%             | 2039-08-12      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| MP TOPCO HOLDINGS SHARES                       | MP TOPCO HOLDINGS SHARES                                             | CUSIP: 000000000<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       27996 | NS      | $566919.00    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| CoreCard Corp                                  | CoreCard Corp                                                        | CUSIP: 45816D100<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        4886 | NS      | $135195.62    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - MXN                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1093.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Rogers Sugar Inc                               | Rogers Sugar Inc                                                     | CUSIP: 77519R102<br>LEI: N/A                  | Short            | EC               | CORP              | CA        |       -1637 | NS      | $-7557.13     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - MXN                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1188.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - MXN                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $259.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-172.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - MXN                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $19.48        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - MXN                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $9.53         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - MXN                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $206.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - MXN                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $119.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - MXN                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $329.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - MXN                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $311.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - MXN                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $380.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - MXN                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $71.25        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - MXN                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $39343.83     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - JPY                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1755.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-27.57       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - JPY                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-966.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - JPY                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $59.00        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - JPY                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-34.01       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - JPY                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $676.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - JPY                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1037.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - JPY                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $111.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - JPY                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-110.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - JPY                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-63.58       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - JPY                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-281.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - JPY                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $147.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-813.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - JPY                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-5.07        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - JPY                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1214.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - JPY                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-410.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - JPY                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1146.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - JPY                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-154.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - JPY                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-0.84        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - JPY                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-14353.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - JPY                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-949.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - GBP                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $401.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - GBP                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $320.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-206.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - GBP                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $78.39        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - GBP                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3065.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - GBP                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2874.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - GBP                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $895.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - GBP                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-7.23        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - GBP                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1524.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - GBP                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1492.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - GBP                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1450.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - GBP                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-52.12       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - GBP                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $589.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-530.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - GBP                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $582.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - GBP                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $25.00        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - GBP                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1292.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - GBP                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $15.66        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - GBP                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $97.18        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - GBP                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-41.31       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - GBP                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2209.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - GBP                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-398.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - GBP                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-318.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - GBP                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-414.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-279.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - GBP                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-851.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - GBP                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2058.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - GBP                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-11.54       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - GBP                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-155.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - GBP                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $26.05        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - GBP                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $10.48        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - GBP                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-47.04       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - GBP                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1563.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - GBP                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-10056.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3154.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-782.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1509.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $4881.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1667.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $4318.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1472.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $121.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-498.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $718.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $619.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $62.71        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3990.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $78.32        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3647.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $217.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1040.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $19.56        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $4324.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $13573.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - CHF                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1375.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - CHF                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2002.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - CHF                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1862.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-170.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - CHF                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $4051.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - CHF                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2298.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - CHF                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $30.45        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - CHF                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $492.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - CHF                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1326.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - CHF                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-119.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - CHF                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-14.26       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - CHF                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-737.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - CHF                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-155.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - CHF                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $85860.26     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-494.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-237.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - CAD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $79.95        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - CAD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $614.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - CAD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $87.40        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - CAD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-81.52       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| The Bank of New York Mellon                    | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: HPFHU0OQ28E4N0NFVK49 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-9351.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| The Bank of New York Mellon                    | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: HPFHU0OQ28E4N0NFVK49 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-11250.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| The Bank of New York Mellon                    | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: HPFHU0OQ28E4N0NFVK49 | N/A              | DFE              | CORP              | US        |           1 | NC      | $343.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| The Bank of New York Mellon                    | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: HPFHU0OQ28E4N0NFVK49 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2616.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - CAD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $7933.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - CAD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $7.32         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $24016.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - CAD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2.23         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - CAD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1.36         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - CAD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1.80         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - CAD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $4.90         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - CAD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $8329.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - CAD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2.36        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - CAD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-8.12        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - CAD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-27.28       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - CAD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-5.87        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - CAD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3.25        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-102.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NASDAQ, INC.                                   | SABLE OFFSHORE CORP                                                  | CUSIP: 000000000<br>LEI: 549300L8X1Q78ERXFD06 | N/A              | DE               | CORP              | US        |          83 | NC      | $4980.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NASDAQ, INC.                                   | SABLE OFFSHORE CORP                                                  | CUSIP: 000000000<br>LEI: 549300L8X1Q78ERXFD06 | N/A              | DE               | CORP              | US        |         -83 | NC      | $-664.00      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS KOHL'S CORP                                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $838.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS KOHL'S CORP                                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $11160.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS KOHL'S CORP                                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $1117.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS KOHL'S CORP                                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $4261.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS KOHL'S CORP                                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $4870.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS KOHL'S CORP                                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $419.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS KOHL'S CORP                                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $9077.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | CDS KOHL'S CORP                                                      | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |           1 | NC      | $2135.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-17608.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS KOHL'S CORP                                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-0.02        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS KOHL'S CORP                                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $39772.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS KOHL'S CORP                                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $7508.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS KOHL'S CORP                                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-0.02        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS KOHL'S CORP                                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $698.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS KOHL'S CORP                                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $1601.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS KOHL'S CORP                                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $4538.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS KOHL'S CORP                                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-0.05        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS KOHL'S CORP                                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $6754.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS KOHL'S CORP                                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $6087.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $22194.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS KOHL'S CORP                                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-0.03        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS KOHL'S CORP                                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-0.02        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS KOHL'S CORP                                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-0.05        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS KOHL'S CORP                                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $4658.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS KOHL'S CORP                                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-0.03        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS K HOVNANIAN ENTR                                                 | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-26773.69    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS K HOVNANIAN ENTERPRISES INC                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-335.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS K HOVNANIAN ENTERPRISES INC                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-18286.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS K HOVNANIAN ENTERPRISES INC                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-3940.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS K HOVNANIAN ENTERPRISES INC                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-41920.80    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1630.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS K HOVNANIAN ENTERPRISES INC                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-2391.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS K HOVNANIAN ENTERPRISES INC                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-12299.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS KERING                                                           | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-322.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS KERING                                                           | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-161.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS KERING                                                           | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-645.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS KERING                                                           | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-322.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS KERING                                                           | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-645.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS KERING                                                           | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-322.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS JAGUAR LAND ROVER AUTOMOTIVE PLC                                 | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-16033.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS JAGUAR LAND ROVER AUTOMOTIVE PLC                                 | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-54740.25    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-67.45       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                         | CDS FORD MOTOR CO                                                    | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-24100.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS FORD MOTOR CO                                                    | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-7355.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS DANSKE                                                           | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $5387.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS CMA CGM SA                                                       | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-7787.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS CMA CGM SA                                                       | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-10902.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS CMA CGM SA                                                       | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-20137.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS SAINT GOBAIN                                                     | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-20088.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION          | CDS BAYER AG                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-850.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS AMERICAN AXLE & MANUFACTURING INC                                | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-3406.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CDS AMERICAN AIRLINES GROUP INC                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-8481.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-655.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CDS AMERICAN AIRLINES GROUP INC                                      | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-2065.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS AMERICAN AXLE & MANUFACTURING INC                                | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-2871.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS AMERICAN AIRLINES GROUP INC                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-266.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS AMERICAN AXLE & MANUFACTURING INC                                | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-2135.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS AMERICAN AXLE & MANUFACTURING INC                                | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-2135.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS AMERICAN AXLE & MANUFACTURING INC                                | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-10152.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS AMERICAN AXLE & MANUFACTURING INC                                | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-10675.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS AMERICAN AXLE & MANUFACTURING INC                                | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-2135.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS AMERICAN AXLE & MANUFACTURING INC                                | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-3534.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                         | CDS AMERICAN AIRLINES GROUP INC                                      | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-5234.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - HKD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $441.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS AMERICAN AXLE & MANUFACTURING INC                                | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-1398.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                         | CDS AMERICAN AIRLINES GROUP INC                                      | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-5234.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                         | CDS AMERICAN AIRLINES GROUP INC                                      | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-1444.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS AMERICAN AIRLINES GROUP INC                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-8881.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                        | CDS AMERICAN AIRLINES GROUP INC                                      | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-12796.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                         | CDS AMERICAN AIRLINES GROUP INC                                      | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-2455.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS AMERICAN AXLE & MANUFACTURING INC                                | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-8540.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-127.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-41.63       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-54.29       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - GBP                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-458.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1058.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-372.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3334.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-310.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1444.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $464.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-598.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2046.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-394.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                        | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-116.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-24.57       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - GBP                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-7.46        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                        | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $481.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                        | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-247.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2455.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2099.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-8944.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-9177.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3.62         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-527.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $246.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2333.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - GBP                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $86.56        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-53.34       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-440.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-11.30       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-7755.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1023.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3562.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4784.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-612.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-7.97        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3392.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - GBP                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $240.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-983.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1845.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-38.11       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1475.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1927.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $97.60        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-524.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-67.69       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1899.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $25.67        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - GBP                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $61.50        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-31.02       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2.30         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-0.11        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-347.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-56.72       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1269.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $297.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $653.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-380.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1013.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - GBP                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $76.54        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $674.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $983.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1754.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $143.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $348.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $363.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $19.82        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $231.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-698.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $402.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - GBP                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1168.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-466.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3.12        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-325.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $11.36        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-908.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-478.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2293.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $611.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1002.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $463.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - GBP                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3340.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1844.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $7900.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1702.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $175.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1696.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $4747.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $743.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-282.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-42.08       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-225.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - GBP                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $9.05         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2705.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1425.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1272.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-69.81       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-275.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-147.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-227.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-584.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3469.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2213.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - GBP                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-207.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1096.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $502.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - CAD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-180.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - CAD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-364.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - CAD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-69.90       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - CAD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-197.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - CAD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-41.36       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - CAD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-399.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - CAD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1091.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - CAD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1171.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $38.38        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - CAD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2554.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - CAD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2108.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - CAD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1402.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - CAD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1518.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - CAD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1649.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - CAD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-5052.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - CAD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-6550.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - CAD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3959.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - CAD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1098.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - CAD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $112.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $5.13         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $198.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - CAD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-399.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - CAD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-130.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - CAD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2809.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - CAD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2079.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - CAD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2530.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - CAD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-80.84       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - AUD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $663.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - AUD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1673.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - AUD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $268.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - AUD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $4842.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-336.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - AUD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $56.34        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - AUD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $780.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - AUD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-112.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - AUD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-207.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - AUD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $40.78        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - AUD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-520.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - AUD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2164.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - AUD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-7118.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - AUD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-684.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - AUD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4.70        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $14.14        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - AUD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-153.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - AUD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1779.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - AUD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-44.81       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - AUD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1047.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - AUD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $91.96        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - AUD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $4305.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - AUD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1137.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - AUD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3284.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - AUD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $630.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - AUD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $212.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $6.70         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - AUD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $126.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - AUD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $88.91        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | OPENDOOR TECHNOLOGIES INC                                            | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DE               | CORP              | US        |          13 | NC      | $91.00        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | OPENDOOR TECHNOLOGIES INC                                            | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DE               | CORP              | US        |          13 | NC      | $78.00        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NASDAQ, INC.                                   | ENPHASE ENERGY INC                                                   | CUSIP: 000000000<br>LEI: 549300L8X1Q78ERXFD06 | N/A              | DE               | CORP              | US        |           7 | NC      | $7.00         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | PORCH GROUP INC                                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DE               | CORP              | US        |         -25 | NC      | $-1187.50     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | PORCH GROUP INC                                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DE               | CORP              | US        |           8 | NC      | $3344.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CBOE GLOBAL MARKETS, INC.                      | BLOOM ENERGY CORP                                                    | CUSIP: 000000000<br>LEI: 529900RLNSGA90UPEH54 | N/A              | DE               | CORP              | US        |           3 | NC      | $112.50       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NASDAQ, INC.                                   | SAREPTA THERAPEUTICS INC                                             | CUSIP: 000000000<br>LEI: 549300L8X1Q78ERXFD06 | N/A              | DE               | CORP              | US        |           2 | NC      | $204.00       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | PORCH GROUP INC                                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DE               | CORP              | US        |           3 | NC      | $1665.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1.07        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NASDAQ, INC.                                   | SAREPTA THERAPEUTICS INC                                             | CUSIP: 000000000<br>LEI: 549300L8X1Q78ERXFD06 | N/A              | DE               | CORP              | US        |           3 | NC      | $597.00       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | OPENDOOR TECHNOLOGIES INC                                            | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DE               | CORP              | US        |          27 | NC      | $432.00       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-5524.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-5991.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-9525.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-8939.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-793.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-7218.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-828.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3772.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2.59        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $838.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-989.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1319.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $695.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $219.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $510.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - TWD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1450.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - THB                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-472.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.    | US 2YR NOTE (CBT)                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         108 | NC      | $24646.37     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.    | US 5YR NOTE (CBT)                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          40 | NC      | $11171.20     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-35.45       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                        | CURRENCY CONTRACT - ZAR                                              | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $806.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities LLC                             | CURRENCY CONTRACT - ZAR                                              | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |           1 | NC      | $32657.18     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities LLC                             | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-7570.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Bank, National Association         | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: KB1H1DSPRFMYMCUFXT09 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-13778.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association      | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2023.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America, National Association          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-6730.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                              | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-5535.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA, NATIONAL ASSOCIATION            | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1455.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE TORONTO-DOMINION BANK                      | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2345.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                              | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1682.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $6.26         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                    | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-4002.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                    | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2343.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company            | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2907.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-682.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                  | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-19888.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-19301.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                 | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3264.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-13340.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                   | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-13871.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST MARKETS SECURITIES INC.                | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: ZE2ZWJ5BTIQJ8M0C6K34 | N/A              | DFE              | CORP              | US        |           1 | NC      | $4365.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $15.23        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THE TORONTO-DOMINION BANK                      | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              | CORP              | US        |           1 | NC      | $5956.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                        | CURRENCY CONTRACT - TRY                                              | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1861.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA, NATIONAL ASSOCIATION            | CURRENCY CONTRACT - TRY                                              | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3053.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                  | CURRENCY CONTRACT - PLN                                              | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3178.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                    | CURRENCY CONTRACT - PLN                                              | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3118.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities LLC                             | CURRENCY CONTRACT - PLN                                              | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2662.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST MARKETS SECURITIES INC.                | CURRENCY CONTRACT - PLN                                              | CUSIP: 000000000<br>LEI: ZE2ZWJ5BTIQJ8M0C6K34 | N/A              | DFE              | CORP              | US        |           1 | NC      | $627.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                   | CURRENCY CONTRACT - PEN                                              | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $642.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - PEN                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $572.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Bank, National Association         | CURRENCY CONTRACT - PEN                                              | CUSIP: 000000000<br>LEI: KB1H1DSPRFMYMCUFXT09 | N/A              | DFE              | CORP              | US        |           1 | NC      | $327.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $33.19        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Securities Inc.                  | CURRENCY CONTRACT - PEN                                              | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-269.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                  | CURRENCY CONTRACT - PEN                                              | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-234.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Securities Inc.                  | CURRENCY CONTRACT - PEN                                              | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2926.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association      | CURRENCY CONTRACT - PEN                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2743.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                  | CURRENCY CONTRACT - PEN                                              | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2805.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                              | CURRENCY CONTRACT - MYR                                              | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-7121.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                        | CURRENCY CONTRACT - MXN                                              | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-490.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | CURRENCY CONTRACT - MXN                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              | CORP              | US        |           1 | NC      | $21674.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | CURRENCY CONTRACT - MXN                                              | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DFE              | CORP              | US        |           1 | NC      | $22426.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank Securities Inc.                  | CURRENCY CONTRACT - KRW                                              | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2384.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2.57         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $166.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities LLC                             | CURRENCY CONTRACT - KRW                                              | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-22168.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association      | CURRENCY CONTRACT - KRW                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-16842.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST MARKETS SECURITIES INC.                | CURRENCY CONTRACT - KRW                                              | CUSIP: 000000000<br>LEI: ZE2ZWJ5BTIQJ8M0C6K34 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-17077.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST MARKETS SECURITIES INC.                | CURRENCY CONTRACT - KRW                                              | CUSIP: 000000000<br>LEI: ZE2ZWJ5BTIQJ8M0C6K34 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-16792.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST MARKETS SECURITIES INC.                | CURRENCY CONTRACT - KRW                                              | CUSIP: 000000000<br>LEI: ZE2ZWJ5BTIQJ8M0C6K34 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-16645.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS Securities LLC                             | CURRENCY CONTRACT - JPY                                              | CUSIP: 000000000<br>LEI: T6FIZBDPKLYJKFCRVK44 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-7160.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                        | CURRENCY CONTRACT - INR                                              | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1433.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                  | CURRENCY CONTRACT - INR                                              | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2356.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TD SECURITIES INC./ VALEURS MOBILIERES TD INC. | CURRENCY CONTRACT - INR                                              | CUSIP: 000000000<br>LEI: 5493006RJSLS5DA4PD75 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1341.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                     | CURRENCY CONTRACT - INR                                              | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1765.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - CAD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $13.98        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                               | CURRENCY CONTRACT - IDR                                              | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2466.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE TORONTO-DOMINION BANK                      | CURRENCY CONTRACT - IDR                                              | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-2497.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association      | CURRENCY CONTRACT - IDR                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3656.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP GLOBAL MARKETS INC.                  | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: MBNUM2BPBDO7JBLYG310 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3521.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SECURITIES (USA) INC.          | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: 549300WO2DKF0Q3YMV43 | N/A              | DFE              | CORP              | US        |           1 | NC      | $2924.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO SECURITIES, LLC                    | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1627.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-5419.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA, NATIONAL ASSOCIATION            | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-8755.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                              | CURRENCY CONTRACT - EUR                                              | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              | CORP              | US        |           1 | NC      | $1008.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.    | US ULTRA BOND CBT                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          69 | NC      | $-3763.02     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS XEROX CORP                                                       | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $22819.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT              | EURO-BUXL 30Y BND                                                    | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |         -34 | NC      | $253929.96    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.    | US 10YR NOTE (CBT)                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          47 | NC      | $2861.36      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.               | JAPAN YEN CURR                                                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |          20 | NC      | $-45174.40    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                    | CURRENCY CONTRACT - CNY                                              | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              | CORP              | US        |           1 | NC      | $5616.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST MARKETS SECURITIES INC.                | CURRENCY CONTRACT - CNY                                              | CUSIP: 000000000<br>LEI: ZE2ZWJ5BTIQJ8M0C6K34 | N/A              | DFE              | CORP              | US        |           1 | NC      | $64.25        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                   | CURRENCY CONTRACT - CNY                                              | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-52.18       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA, NATIONAL ASSOCIATION            | CURRENCY CONTRACT - CNY                                              | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-361.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                              | CURRENCY CONTRACT - CNY                                              | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-183.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                    | CURRENCY CONTRACT - CLP                                              | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-21530.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank, National Association      | CURRENCY CONTRACT - CLP                                              | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-58906.36    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS XEROX CORP                                                       | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $36510.53     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC BANK USA, NATIONAL ASSOCIATION            | CURRENCY CONTRACT - BRL                                              | CUSIP: 000000000<br>LEI: 1IE8VN30JCEQV1H4R804 | N/A              | DFE              | CORP              | US        |           1 | NC      | $68404.57     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                              | CDS REPUBLIC OF ARGENTINA                                            | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              | CORP              | GB        |           1 | NC      | $75602.68     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | CDS KINGDOM OF SAUDI ARABIA                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |           1 | NC      | $-72668.50    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                              | CDS REPUBLIC OF COTE D'IVOIRE                                        | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              | CORP              | GB        |           1 | NC      | $-46215.21    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | CDS KINGDOM OF SAUDI ARABIA                                          | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |           1 | NC      | $-2906.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | CDS REPUBLIC OF KOREA                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |           1 | NC      | $-114041.79   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                              | CDS KINGDOM OF SAUDI ARABIA                                          | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              | CORP              | GB        |           1 | NC      | $-19862.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                              | CDS ARAB REPUBLIC OF EGYPT                                           | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              | CORP              | GB        |           1 | NC      | $-18714.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE BANK, NATIONAL ASSOCIATION      | CDS ARAB REPUBLIC OF EGYPT                                           | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-19716.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | CDS ARAB REPUBLIC OF EGYPT                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |           1 | NC      | $-24850.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS XEROX CORP                                                       | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $9127.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS INTERNATIONAL                    | CDS ARAB REPUBLIC OF EGYPT                                           | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              | CORP              | GB        |           1 | NC      | $-193086.82   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                 | CDS ARAB REPUBLIC OF EGYPT                                           | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DCR              | CORP              | US        |           1 | NC      | $2401.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH INTERNATIONAL                    | CDS ARAB REPUBLIC OF EGYPT                                           | CUSIP: 000000000<br>LEI: GGDZP1UYGU9STUHRDP48 | N/A              | DCR              | CORP              | GB        |           1 | NC      | $4448.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIAN SECURITIES EXCHANGE TRADE24         | AUST 3YR BOND                                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | AU        |          52 | NC      | $-2872.42     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| SINGAPORE EXCHANGE LIMITED                     | FTSE CHINA A50                                                       | CUSIP: 000000000<br>LEI: 549300IQ650PPXM76X03 | N/A              | DE               | CORP              | SG        |         292 | NC      | $1955.72      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| AUSTRALIAN SECURITIES EXCHANGE TRADE24         | SPI 200                                                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               | CORP              | AU        |          -1 | NC      | $-6723.29     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| AUSTRALIAN SECURITIES EXCHANGE TRADE24         | AUST 10Y BOND                                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              | CORP              | AU        |         -43 | NC      | $6502.54      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.             | GASOLINE RBOB                                                        | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |           1 | NC      | $-228.38      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.             | GASOLINE RBOB                                                        | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |           2 | NC      | $1777.64      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.             | GASOLINE RBOB                                                        | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |           1 | NC      | $397.42       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS XEROX CORP                                                       | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $9127.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $3.64         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3052.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-3694.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-8952.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-1657.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                       | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |           1 | NC      | $-29307.03    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| EURONEXT PARIS SA                              | RAPESEED EURO                                                        | CUSIP: 000000000<br>LEI: 969500HMVSZ0TCV65D58 | N/A              | DCO              | CORP              | FR        |          -2 | NC      | $2415.67      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EURONEXT PARIS SA                              | RAPESEED EURO                                                        | CUSIP: 000000000<br>LEI: 969500HMVSZ0TCV65D58 | N/A              | DCO              | CORP              | FR        |          -1 | NC      | $425.06       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EURONEXT PARIS SA                              | RAPESEED EURO                                                        | CUSIP: 000000000<br>LEI: 969500HMVSZ0TCV65D58 | N/A              | DCO              | CORP              | FR        |          -2 | NC      | $1374.01      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EURONEXT PARIS SA                              | RAPESEED EURO                                                        | CUSIP: 000000000<br>LEI: 969500HMVSZ0TCV65D58 | N/A              | DCO              | CORP              | FR        |          -3 | NC      | $2408.54      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS XEROX CORP                                                       | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $36510.53     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MEFF RENTA VARIABLE (MADRID)                   | IBEX 35 INDX                                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               | CORP              | ES        |         -17 | NC      | $11353.20     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.             | NY HARB ULSD                                                         | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |           1 | NC      | $-4856.78     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.             | NY HARB ULSD                                                         | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |           2 | NC      | $1143.44      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| COMMODITY EXCHANGE, INC.                       | COPPER                                                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              | CORP              | US        |          -6 | NC      | $-14022.58    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| HONG KONG FUTURES EXCHANGE                     | HSCEI                                                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               | CORP              | HK        |          24 | NC      | $-38477.99    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| COMMODITY EXCHANGE, INC.                       | GOLD 100 OZ                                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              | CORP              | US        |          22 | NC      | $311753.04    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE                             | UK NATURAL GAS                                                       | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |           5 | NC      | $700.24       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.               | S&P MID 400 EMINI                                                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               | CORP              | US        |          -3 | NC      | $-42064.38    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.               | EURO/CZK X-RATE                                                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |           4 | NC      | $13009.52     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.               | EUR/SWED KRNA X-RAT                                                  | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |          -1 | NC      | $-1057.21     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS XEROX CORP                                                       | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $13691.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                             | 3MO EURO EURIBOR                                                     | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |         -15 | NC      | $-14323.19    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE                             | 3MO EURO EURIBOR                                                     | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |         -27 | NC      | $-3272.07     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE                             | 3MO EURO EURIBOR                                                     | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |          -3 | NC      | $286.77       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE                             | 3MO EURO EURIBOR                                                     | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |         -18 | NC      | $-8934.90     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE                             | 3MO EURO EURIBOR                                                     | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |          -6 | NC      | $-2699.70     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE                             | 3MO EURO EURIBOR                                                     | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |         -21 | NC      | $-12176.81    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE                             | 3MO EURO EURIBOR                                                     | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |          -9 | NC      | $-9788.66     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE                             | 3MO EURO EURIBOR                                                     | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |         -21 | NC      | $-4620.29     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE                             | WTI CRUDE                                                            | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |           1 | NC      | $-1551.04     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE                             | WTI CRUDE                                                            | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |           1 | NC      | $1768.96      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS XEROX CORP                                                       | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $13691.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                             | WTI CRUDE                                                            | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |           2 | NC      | $-5582.08     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.               | EUR/NOR KRONE X-RAT                                                  | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |           8 | NC      | $19163.18     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.               | EURO/HUF X-RATE                                                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |          14 | NC      | $30481.22     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.               | EURO/PLZ X-RATE                                                      | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |          12 | NC      | $16997.33     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.               | EURO FX CURR                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |        -113 | NC      | $-16333.59    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT              | EURO-SCHATZ                                                          | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |         -55 | NC      | $9376.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.    | DJIA MINI E-CBOT                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DE               | CORP              | US        |          -5 | NC      | $-28327.80    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE                             | COFF ROBUSTA 10TN                                                    | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |           8 | NC      | $91940.56     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE                             | COFF ROBUSTA 10TN                                                    | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |           1 | NC      | $13568.82     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MONTREAL EXCHANGE INC.                         | CAN 2YR BOND                                                         | CUSIP: 000000000<br>LEI: 549300DKBYNOI0B1NP44 | N/A              | DIR              | CORP              | CA        |         -21 | NC      | $-1202.01     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS XEROX CORP                                                       | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $44725.39     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                         | COTTON NO.2                                                          | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |           8 | NC      | $-4308.64     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES U.S., INC.                         | COTTON NO.2                                                          | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |           2 | NC      | $-844.66      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE                             | BRENT CRUDE                                                          | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |           3 | NC      | $1656.88      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.             | WTI CRUDE                                                            | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |           5 | NC      | $-5057.90     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.             | WTI CRUDE                                                            | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |           4 | NC      | $3293.68      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.             | WTI CRUDE                                                            | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |          15 | NC      | $-43.70       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| EURONEXT PARIS SA                              | CAC40 10 EURO                                                        | CUSIP: 000000000<br>LEI: 969500HMVSZ0TCV65D58 | N/A              | DE               | CORP              | FR        |         -17 | NC      | $10507.40     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.               | C$ CURRENCY                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |        -240 | NC      | $181571.80    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES U.S., INC.                         | COCOA                                                                | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |          -2 | NC      | $20985.34     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES U.S., INC.                         | COCOA                                                                | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |          -1 | NC      | $-2842.33     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CURRENCY CONTRACT - USD                                              | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DFE              | CORP              | US        |           1 | NC      | $157.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS XEROX CORP                                                       | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $22819.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EURONEXT PARIS SA                              | MILL WHEAT EURO                                                      | CUSIP: 000000000<br>LEI: 969500HMVSZ0TCV65D58 | N/A              | DCO              | CORP              | FR        |         -63 | NC      | $90720.74     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| EURONEXT PARIS SA                              | MILL WHEAT EURO                                                      | CUSIP: 000000000<br>LEI: 969500HMVSZ0TCV65D58 | N/A              | DCO              | CORP              | FR        |          -1 | NC      | $608.48       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EURONEXT PARIS SA                              | MILL WHEAT EURO                                                      | CUSIP: 000000000<br>LEI: 969500HMVSZ0TCV65D58 | N/A              | DCO              | CORP              | FR        |          -6 | NC      | $3602.59      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EURONEXT PARIS SA                              | MILL WHEAT EURO                                                      | CUSIP: 000000000<br>LEI: 969500HMVSZ0TCV65D58 | N/A              | DCO              | CORP              | FR        |          -7 | NC      | $1833.06      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EURONEXT PARIS SA                              | MILL WHEAT EURO                                                      | CUSIP: 000000000<br>LEI: 969500HMVSZ0TCV65D58 | N/A              | DCO              | CORP              | FR        |         -22 | NC      | $5072.30      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.    | CORN                                                                 | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |          -1 | NC      | $-177.21      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.    | CORN                                                                 | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |          -4 | NC      | $1978.66      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.    | CORN                                                                 | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |          -3 | NC      | $4430.96      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.    | CORN                                                                 | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |         -15 | NC      | $-2145.59     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.               | BP CURRENCY                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |         242 | NC      | $-41875.31    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS XEROX CORP                                                       | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $22819.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.    | SOYBEAN OIL                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |         -17 | NC      | $2806.43      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.    | SOYBEAN OIL                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |          -3 | NC      | $6263.37      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.    | SOYBEAN OIL                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |          -1 | NC      | $-290.21      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.    | SOYBEAN OIL                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |          -1 | NC      | $219.79       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.    | SOYBEAN OIL                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |          -2 | NC      | $2575.58      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SOUTH AFRICAN FUTURES EXCHANGE                 | FTSE/JSE TOP 40                                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               | CORP              | ZA        |         -16 | NC      | $-50353.45    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.               | AUDUSD CRNCY                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |         -70 | NC      | $-49502.60    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS BANK PLC                              | CDS CDX.EM.43.V1                                                     | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              | CORP              | GB        |           1 | NC      | $-17194.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK SECURITIES INC.                  | CDS ITRAXX.EU.XO.43.V1                                               | CUSIP: 000000000<br>LEI: 9J6MBOOO7BECTDTUZW19 | N/A              | DCR              | CORP              | US        |           1 | NC      | $608979.99    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA, NATIONAL ASSOCIATION          | CDS ITRAXX.FINSR.43.V1                                               | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DCR              | CORP              | US        |           1 | NC      | $-23880.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS XEROX CORP                                                       | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $13691.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                     | CDS ITRAXX.EU.43.V1                                                  | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DCR              | CORP              | US        |           1 | NC      | $208117.01    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS CAPITAL INC.                          | CDS CDX.NA.HY.44.V1                                                  | CUSIP: 000000000<br>LEI: AC28XWWI3WIBK2824319 | N/A              | DCR              | CORP              | US        |           1 | NC      | $246520.56    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS BANK PLC                              | CDS CDX.NA.IG.44.V1                                                  | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DCR              | CORP              | GB        |           1 | NC      | $425187.08    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.    | WHEAT (CBT)                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |          -1 | NC      | $-102.21      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.    | WHEAT (CBT)                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |          -1 | NC      | $-289.71      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.    | WHEAT (CBT)                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |          -4 | NC      | $2678.66      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT              | EURO STOXX 50                                                        | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               | CORP              | DE        |         -24 | NC      | $-11454.68    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.    | US 10YR ULTRA                                                        | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |          -2 | NC      | $-1025.19     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CBOE FUTURES EXCHANGE, LLC                     | CBOE VIX                                                             | CUSIP: 000000000<br>LEI: 254900O9GJPIWCP8RH13 | N/A              | DE               | CORP              | US        |           5 | NC      | $-2390.90     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CBOE FUTURES EXCHANGE, LLC                     | CBOE VIX                                                             | CUSIP: 000000000<br>LEI: 254900O9GJPIWCP8RH13 | N/A              | DE               | CORP              | US        |          16 | NC      | $-13971.27    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS WPP FINANCE                                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $62.53        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CBOE FUTURES EXCHANGE, LLC                     | CBOE VIX                                                             | CUSIP: 000000000<br>LEI: 254900O9GJPIWCP8RH13 | N/A              | DE               | CORP              | US        |          37 | NC      | $-88702.86    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.    | US LONG BOND(CBT)                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         -27 | NC      | $-7939.70     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| SINGAPORE EXCHANGE LIMITED                     | FTSE TAIWAN INDEX                                                    | CUSIP: 000000000<br>LEI: 549300IQ650PPXM76X03 | N/A              | DE               | CORP              | SG        |          12 | NC      | $-2491.48     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| OSAKA EXCHANGE,INC                             | MINI TPX INDEX                                                       | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DE               | CORP              | JP        |         -31 | NC      | $-59217.43    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| BORSA ITALIANA S.P.A.                          | FTSE/MIB INDEX                                                       | CUSIP: 000000000<br>LEI: 8156005391EE905D3124 | N/A              | DE               | CORP              | IT        |           3 | NC      | $49214.87     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.    | SOYBEAN MEAL                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |          -4 | NC      | $141.16       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.    | SOYBEAN MEAL                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |          -1 | NC      | $-1632.21     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.    | SOYBEAN MEAL                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |          -2 | NC      | $135.58       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.    | SOYBEAN MEAL                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |          -2 | NC      | $-74.39       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| COMMODITY EXCHANGE, INC.                       | SILVER                                                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              | CORP              | US        |         -41 | NC      | $-394298.88   | -0.08%            |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS WPP FINANCE                                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $1357.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.               | CHF CURRENCY                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |         -87 | NC      | $-125264.91   | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.               | THREE-MONTH SOFR                                                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        -102 | NC      | $489.34       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.               | 3 MONTH SOFR                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         -51 | NC      | $-43467.83    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.               | 3 MONTH SOFR                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        -101 | NC      | $-59359.33    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.               | 3 MONTH SOFR                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         -68 | NC      | $-57390.44    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.               | 3 MONTH SOFR                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |        -105 | NC      | $-50139.65    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.               | 3 MONTH SOFR                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         -74 | NC      | $-57060.92    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.               | 3 MONTH SOFR                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              | CORP              | US        |         -93 | NC      | $-12736.19    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE                             | 3MTH SONIA                                                           | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |         -16 | NC      | $4437.75      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE                             | 3MTH SONIA                                                           | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |         -13 | NC      | $5078.54      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS WPP FINANCE                                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $276.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                             | 3MTH SONIA                                                           | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |         -15 | NC      | $3486.29      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE                             | 3MTH SONIA                                                           | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |         -12 | NC      | $4598.09      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES U.S., INC.                         | SUGAR #11 (WORLD)                                                    | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |          -1 | NC      | $-327.13      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES U.S., INC.                         | SUGAR #11 (WORLD)                                                    | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |         -12 | NC      | $5045.64      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.    | SOYBEAN                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |          -1 | NC      | $-2777.21     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.    | SOYBEAN                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |          -2 | NC      | $-3404.42     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.    | SOYBEAN                                                              | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |          -3 | NC      | $-4006.63     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.               | S&P500 EMINI                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               | CORP              | US        |          -4 | NC      | $6713.24      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.               | E-MINI RUSS 2000                                                     | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DE               | CORP              | US        |         -42 | NC      | $-362490.52   | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES U.S., INC.                         | CANOLA (WCE)                                                         | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |          -3 | NC      | $2679.22      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS WPP FINANCE                                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $3251.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.               | SA RAND CURR(CME)                                                    | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |          30 | NC      | $7988.00      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SINGAPORE EXCHANGE LIMITED                     | MSCI SING IX ETS                                                     | CUSIP: 000000000<br>LEI: 549300IQ650PPXM76X03 | N/A              | DE               | CORP              | SG        |          25 | NC      | $-1482.29     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE                             | WHITE SUGAR (ICE)                                                    | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |          -6 | NC      | $-3352.02     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE                             | WHITE SUGAR (ICE)                                                    | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |          -9 | NC      | $-9255.57     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE                             | WHITE SUGAR                                                          | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |          -2 | NC      | $-337.33      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE                             | LOW SU GASOIL G                                                      | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |           1 | NC      | $-26.04       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE                             | LOW SU GASOIL G                                                      | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |           1 | NC      | $373.96       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE                             | LOW SU GASOIL G                                                      | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |           2 | NC      | $-2127.08     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES EUROPE                             | COCOA - IC                                                           | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DCO              | CORP              | GB        |          -1 | NC      | $-451.03      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| MONTREAL EXCHANGE INC.                         | S&P/TSX 60 IX                                                        | CUSIP: 000000000<br>LEI: 549300DKBYNOI0B1NP44 | N/A              | DE               | CORP              | CA        |          13 | NC      | $213788.43    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS WHIRLPOOL CORP                                                   | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $1029.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.             | PLATINUM                                                             | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |         -22 | NC      | $54123.04     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.             | PLATINUM                                                             | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |          -1 | NC      | $-1251.68     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.               | MEXICAN PESO                                                         | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |         163 | NC      | $107454.86    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.             | PALLADIUM                                                            | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |           2 | NC      | $1836.44      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT              | EURO-OAT                                                             | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |          18 | NC      | $-50110.39    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.               | NEW ZEALAND $                                                        | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |         -38 | NC      | $20522.36     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| OSAKA EXCHANGE,INC                             | NIKKEI 225 MINI                                                      | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DE               | CORP              | JP        |         -64 | NC      | $-179700.46   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| OSAKA EXCHANGE,INC                             | NIKKEI 225 (OSE)                                                     | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DE               | CORP              | JP        |          -6 | NC      | $-179012.07   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| SINGAPORE EXCHANGE LIMITED                     | NIKKEI 225                                                           | CUSIP: 000000000<br>LEI: 549300IQ650PPXM76X03 | N/A              | DE               | CORP              | SG        |          -3 | NC      | $-44988.23    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.             | NATURAL GAS                                                          | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |          -2 | NC      | $-1433.36     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS WHIRLPOOL CORP                                                   | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $3465.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.             | NATURAL GAS                                                          | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |          -2 | NC      | $1956.64      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE ENDEX MARKETS B.V.                         | ECX EMISSION                                                         | CUSIP: 000000000<br>LEI: 549300CZW488L20NT866 | N/A              | DCO              | CORP              | NL        |          -1 | NC      | $8959.50      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES U.S., INC.                         | MSCI EMGMKT                                                          | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DE               | CORP              | US        |          29 | NC      | $87033.53     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.               | LEAN HOGS                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              | CORP              | US        |          -7 | NC      | $-12525.26    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.               | LEAN HOGS                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              | CORP              | US        |         -12 | NC      | $-19916.16    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.               | LEAN HOGS                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              | CORP              | US        |          -2 | NC      | $-2194.36     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.               | LEAN HOGS                                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              | CORP              | US        |          -4 | NC      | $-3258.72     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.               | LIVE CATTLE                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              | CORP              | US        |          -3 | NC      | $-28476.54    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.               | LIVE CATTLE                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              | CORP              | US        |          -5 | NC      | $-33390.90    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.               | LIVE CATTLE                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              | CORP              | US        |          -1 | NC      | $-3742.18     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| INTERCONTINENTAL EXCHANGE, INC.                | CDS WHIRLPOOL CORP                                                   | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              | CORP              | US        |           1 | NC      | $1715.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.               | LIVE CATTLE                                                          | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DCO              | CORP              | US        |          -2 | NC      | $-14564.36    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.    | KC HRW WHEAT                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |          -3 | NC      | $2318.37      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.    | KC HRW WHEAT                                                         | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |         -11 | NC      | $8000.69      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| KOREA EXCHANGE, INC.                           | US DOLLAR                                                            | CUSIP: 000000000<br>LEI: 549300TJ3RRV6Q1UEW14 | N/A              | DFE              | CORP              | KR        |          99 | NC      | $5148.56      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| KOREA EXCHANGE, INC.                           | KOSPI2 INX                                                           | CUSIP: 000000000<br>LEI: 549300TJ3RRV6Q1UEW14 | N/A              | DE               | CORP              | KR        |          24 | NC      | $35166.91     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| KOREA EXCHANGE, INC.                           | KOREA 3YR BND                                                        | CUSIP: 000000000<br>LEI: 549300TJ3RRV6Q1UEW14 | N/A              | DIR              | CORP              | KR        |           6 | NC      | $500.60       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES U.S., INC.                         | COFFEE 'C'                                                           | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |          -3 | NC      | $-88975.74    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| KOREA EXCHANGE, INC.                           | KOREA 10YR BND                                                       | CUSIP: 000000000<br>LEI: 549300TJ3RRV6Q1UEW14 | N/A              | DIR              | CORP              | KR        |         -15 | NC      | $-7130.57     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CHICAGO MERCANTILE EXCHANGE INC.               | JAPAN YEN CURR                                                       | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DFE              | CORP              | US        |         -17 | NC      | $590.19       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES U.S., INC.                         | FCOJ-A                                                               | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |           1 | NC      | $-212.33      | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2025-10-23

**Name of Applicant:** Franklin Alternative Strategies Funds

**Signature:** Monica Krogh

**Name of Signer:** Monica Krogh

**Title:** Assistant Treasurer Controller, US Fund Administration and Oversight