# EDGAR Filing Document

**Accession Number:** 0000882443
**File Stem:** 0000940400-26-022556
**Filing Date:** 2026-6
**Character Count:** 123338
**Document Hash:** e3087f08ec265491cbcd01a26fe71480
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000940400-26-022556.hdr.sgml**: 20260601

**ACCESSION NUMBER**: 0000940400-26-022556

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260601

**DATE AS OF CHANGE**: 20260601

**PERIOD START**: 20260930

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-06520
- **FILM NUMBER:** 261048164

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

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

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

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

## Series and Classes Contracts Data

### AMG Systematica Managed Futures Strategy Fund (Series ID: S000084098)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000248365 | Class Z      | SMFZX           |
| C000248366 | Class N      | SMFNX           |
| C000248367 | Class I      | SMFIX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Stamford

  - **State:** CT

  - **Foreign country:** US

  - **Zip / Postal Code:** 06901

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

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

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

- **b. EDGAR series identifier (if any):** S000084098

- **c. LEI of Series:** 254900K8IOXKHZ1P6439

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $6954801.74

**Total Liabilities:** $709510.17

**Net Assets:** $6245291.57

**Cash Not Reported:** $2548798.43

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -29.80586000 | **1-Year:** 0.00000000 | **5-Year:** 0.00000000 | **10-Year:** 0.00000000 | **30-Year:** 0.00000000

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

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

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000248365 | 3.21%                | 3.63%                | -5.01%               |
| Class ID C000248367 | 3.21%                | 3.63%                | -5.01%               |
| Class ID C000248366 | 3.21%                | 3.62%                | -4.90%               |

**Monthly Gains & Losses**

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

**Designated Index Information**

- **Index Name:** N/A

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                                               | Title                                                                                  | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BARCLAYS PLC                                       | CNH/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-334.16      | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | MXN/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $54.36        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                     | USD/INR FORWARD                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $3.61         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/ZAR FORWARD                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $78.77        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | CNH/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1475.42     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| XTX MARKETS TRADING LIMITED                        | USD/JPY FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800N2KFBZBWWT8D92 | N/A              | DFE              | CORP              | US        |         1 | NC      | $20.02        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THE ROYAL BANK OF SCOTLAND INTERNATIONAL LIMITED   | SEK/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 21380078CCZSEEIIKA41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1129.72      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | USD/SGD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $775.80       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | USD/CAD FORWARD                                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1618.04      | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| ASX CLEARING CORPORATION LIMITED                   | ASX 10 Year Treasury Bond Futures                                                      | CUSIP: 000000000<br>LEI: 549300USWUR0S7VMM868 | N/A              | DIR              | CORP              | AU        |       -13 | NC      | $8523.30      | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | CNH/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $3.26         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                 | Henry Hub Natural Gas Futures, Jun-2026,ETH                                            | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |        -1 | NC      | $-521.72      | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| THE TORONTO-DOMINION BANK                          | JPY/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              | CORP              | US        |         1 | NC      | $101.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED | USD/INR FORWARD                                                                        | CUSIP: 000000000<br>LEI: 8NAV47T0Y26Q87Y0QP81 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-2353.80     | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | JPY/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $121.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                  | Long(FBTP) Term Euro                                                                   | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |         1 | NC      | $-5768.29     | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS PLC                                       | CHF/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.07        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HONG KONG FUTURES EXCHANGE LTD.                    | HANG SENG CHINA ENTERPRISES INDEX (HSCEI) FUTURES, APR-2026                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               | CORP              | HK        |        -2 | NC      | $99.09        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | USD/CNH FORWARD                                                                        | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $284.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THE ROYAL BANK OF SCOTLAND INTERNATIONAL LIMITED   | USD/PLN FORWARD                                                                        | CUSIP: 000000000<br>LEI: 21380078CCZSEEIIKA41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $6.45         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THE TORONTO-DOMINION BANK                          | JPY/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1.64         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | USD/KRW FORWARD                                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-2.32        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE ROYAL BANK OF SCOTLAND INTERNATIONAL LIMITED   | USD/CHF FORWARD                                                                        | CUSIP: 000000000<br>LEI: 21380078CCZSEEIIKA41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-8.44        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | NOK/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.74         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | USD/PLN FORWARD                                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.29         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.        | Corn Futures, May-2026,ETH                                                             | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |        17 | NC      | $1923.78      | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Citibank, National Association                     | CNH/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $23.46        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | INR/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $30.12        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED | USD/PLN FORWARD                                                                        | CUSIP: 000000000<br>LEI: 8NAV47T0Y26Q87Y0QP81 | N/A              | DFE              | CORP              | US        |         1 | NC      | $3.82         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | ZAR/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-13.98       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | HUF/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-56.13       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                     | USD/KRW FORWARD                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $107.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | INR/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $87.54        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                            | USD/JPY FORWARD                                                                        | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-38.67       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.        | Soybean Meal Futures, May-2026,ETH                                                     | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |         3 | NC      | $-1886.93     | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                             | USD/CNH FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-79.87       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | NOK/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-191.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | JPY/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $26.90        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | GBP/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $409.39       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | USD/JPY FORWARD                                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $956.43       | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | KRW/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1.80        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE TORONTO-DOMINION BANK                          | MXN/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-81.37       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | KRW/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $3892.31      | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | PLN/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1.96         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | USD/CAD FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $186.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | USD/CHF FORWARD                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1.11        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED | ZAR/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 8NAV47T0Y26Q87Y0QP81 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1.65         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | CNH/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $4.51         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | AUD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1633.74     | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | USD/TWD FORWARD                                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-32.42       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | USD/CAD FORWARD                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-125.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | CNH/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.18         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NATIONAL STOCK EXCHANGE OF INDIA LIMITED           | IFSC NIFTY 50 FUT APR26                                                                | CUSIP: 000000000<br>LEI: 335800NLY5HYW9I7YE03 | N/A              | DE               | CORP              | IN        |        -5 | NC      | $4324.78      | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| The Bank of New York Mellon                        | USD/EUR FORWARD                                                                        | CUSIP: 000000000<br>LEI: HPFHU0OQ28E4N0NFVK49 | N/A              | DFE              | CORP              | US        |         1 | NC      | $388.56       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | USD/SGD FORWARD                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $278.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | KRW/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $328.07       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED | USD/KRW FORWARD                                                                        | CUSIP: 000000000<br>LEI: 8NAV47T0Y26Q87Y0QP81 | N/A              | DFE              | CORP              | US        |         1 | NC      | $2045.23      | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| THE TORONTO-DOMINION BANK                          | NOK/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              | CORP              | US        |         1 | NC      | $65.49        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EURONEXT PARIS SA                                  | CAC 40 Index Future, Apr 2026                                                          | CUSIP: 000000000<br>LEI: 969500HMVSZ0TCV65D58 | N/A              | DE               | CORP              | FR        |         1 | NC      | $-1844.20     | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| THE ROYAL BANK OF SCOTLAND INTERNATIONAL LIMITED   | SEK/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 21380078CCZSEEIIKA41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-122.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | MXN/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-93.42       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                  | Euro(FGBM) Bobl Futures                                                                | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |        -1 | NC      | $-428.27      | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | CHF/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | USD/KRW FORWARD                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-45.81       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE ROYAL BANK OF SCOTLAND INTERNATIONAL LIMITED   | USD/AUD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 21380078CCZSEEIIKA41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-3374.61     | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | EUR/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-970.07      | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | EUR/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $569.48       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| THE ROYAL BANK OF SCOTLAND INTERNATIONAL LIMITED   | USD/PLN FORWARD                                                                        | CUSIP: 000000000<br>LEI: 21380078CCZSEEIIKA41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                  | Euro(FGBS) Schatz Futures                                                              | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |        -9 | NC      | $2787.74      | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | USD/JPY FORWARD                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.02         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED | USD/CHF FORWARD                                                                        | CUSIP: 000000000<br>LEI: 8NAV47T0Y26Q87Y0QP81 | N/A              | DFE              | CORP              | US        |         1 | NC      | $2400.93      | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | USD/SEK FORWARD                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-10003.46    | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| FIXED INCOME CLEARING CORPORATION                  | FICC                                                                                   | CUSIP: 000000000<br>LEI: 549300H47WTHXPU08X20 | Long             | RA               | CORP              | US        |   4066000 | PA      | $4066000.00   | 65.11%            |  |  |  | No            |                  2 | On Loan: No      |
| XTX MARKETS TRADING LIMITED                        | SEK/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800N2KFBZBWWT8D92 | N/A              | DFE              | CORP              | US        |         1 | NC      | $2.01         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | ZAR/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-27.22       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | EUR/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-214.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | USD/JPY FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.10        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | CNH/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.23         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THE ROYAL BANK OF SCOTLAND INTERNATIONAL LIMITED   | SEK/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 21380078CCZSEEIIKA41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1137.41     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE STREET BANK AND TRUST COMPANY                | USD/MXN FORWARD                                                                        | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.04         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | CNH/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-515.66      | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                   | USD/JPY FORWARD                                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |         1 | NC      | $628.88       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | USD/HUF FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.02         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                     | SGD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $26.08        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THE TORONTO-DOMINION BANK                          | USD/EUR FORWARD                                                                        | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              | CORP              | US        |         1 | NC      | $927.13       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | USD/SGD FORWARD                                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $236.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                 | FTSE 100 - Stnd Index Future - ICEU, Jun26                                             | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DE               | CORP              | GB        |         1 | NC      | $-1857.24     | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | USD/CHF FORWARD                                                                        | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $2.60         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | USD/INR FORWARD                                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-153.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | INR/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $68.77        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                            | USD/INR FORWARD                                                                        | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-97.27       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | USD/INR FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $47.52        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED | SEK/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 8NAV47T0Y26Q87Y0QP81 | N/A              | DFE              | CORP              | US        |         1 | NC      | $43.71        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED | USD/SGD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 8NAV47T0Y26Q87Y0QP81 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-215.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | USD/SGD FORWARD                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-264.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | USD/HUF FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $8.31         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | USD/HUF FORWARD                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $14.79        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SINGAPORE EXCHANGE LIMITED                         | SGX FTSE Taiwan Index Futures, April 2026                                              | CUSIP: 000000000<br>LEI: 549300IQ650PPXM76X03 | N/A              | DE               | CORP              | SG        |         3 | NC      | $-14102.25    | -0.23%            |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | MXN/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.27        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| State Street Bank and Trust Company                | USD/HUF FORWARD                                                                        | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.02         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO SECURITIES, LLC                        | USD/SGD FORWARD                                                                        | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              | CORP              | US        |         1 | NC      | $970.96       | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | CHF/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-35.44       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| The Bank of New York Mellon                        | NZD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: HPFHU0OQ28E4N0NFVK49 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1941.99     | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | USD/ZAR FORWARD                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-2435.66     | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| THE ROYAL BANK OF SCOTLAND INTERNATIONAL LIMITED   | USD/PLN FORWARD                                                                        | CUSIP: 000000000<br>LEI: 21380078CCZSEEIIKA41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-420.62      | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SINGAPORE EXCHANGE LIMITED                         | FTSE CHINA A50 INDEX FUTURE, April 2026                                                | CUSIP: 000000000<br>LEI: 549300IQ650PPXM76X03 | N/A              | DE               | CORP              | SG        |         2 | NC      | $139.41       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| SOCIETE GENERALE                                   | JPY/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-505.36      | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | NOK/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.54        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | USD/JPY FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $162.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THE TORONTO-DOMINION BANK                          | USD/NZD FORWARD                                                                        | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              | CORP              | US        |         1 | NC      | $392.48       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| THAILAND FUTURES EXCHANGE PUBLIC COMPANY LIMITED   | SET50 INDEX FUTURES, Jun-2026                                                          | CUSIP: 000000000<br>LEI: 5493006G4X6OUMF0CE07 | N/A              | DE               | CORP              | TH        |        48 | NC      | $2817.43      | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| WELLS FARGO SECURITIES, LLC                        | MXN/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-306.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KOREA EXCHANGE, INC.                               | BM3 Future, JUN 2026                                                                   | CUSIP: 000000000<br>LEI: 549300TJ3RRV6Q1UEW14 | N/A              | DIR              | CORP              | KR        |       -21 | NC      | $8522.68      | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | CNH/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-123.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | CHF/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED | USD/CHF FORWARD                                                                        | CUSIP: 000000000<br>LEI: 8NAV47T0Y26Q87Y0QP81 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-28.28       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| XTX MARKETS TRADING LIMITED                        | USD/ZAR FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800N2KFBZBWWT8D92 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.01         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | USD/TWD FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1.30        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE ROYAL BANK OF SCOTLAND INTERNATIONAL LIMITED   | NZD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 21380078CCZSEEIIKA41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $4700.40      | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED | USD/EUR FORWARD                                                                        | CUSIP: 000000000<br>LEI: 8NAV47T0Y26Q87Y0QP81 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-786.86      | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                     | USD/KRW FORWARD                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1397.70     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES U.S., INC.                             | Sugar No. 11 Futures - NYCC                                                            | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |        -4 | NC      | $-7800.51     | -0.12%            |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | USD/CAD FORWARD                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $659.12       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | USD/CHF FORWARD                                                                        | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1.23         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC  | USD/INR FORWARD                                                                        | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |         1 | NC      | $4502.50      | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | CAD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $152.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NASDAQ OMX NORDIC                                  | OMX Stockholm 30 Index Price Return Cash Settled Monthly Future SEK,Dec-2030,Composite | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               | CORP              | SE        |         4 | NC      | $-2751.04     | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | USD/JPY FORWARD                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-799.26      | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| THE TORONTO-DOMINION BANK                          | JPY/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              | CORP              | US        |         1 | NC      | $135.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | HUF/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $169.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THE TORONTO-DOMINION BANK                          | USD/EUR FORWARD                                                                        | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-933.75      | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | USD/SEK FORWARD                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $7.08         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | SEK/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $73.70        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | INR/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $9.71         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | USD/SGD FORWARD                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $390.95       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | USD/MXN FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-13.82       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | USD/NZD FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $352.63       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | USD/SEK FORWARD                                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.87         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                  | EURO STOXX 50 Index Futures(FESX) Index Fut                                            | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               | CORP              | DE        |         1 | NC      | $-1509.19     | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                            | USD/SEK FORWARD                                                                        | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                  | Euro(FOAT) OAT Futures                                                                 | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |         2 | NC      | $-6277.03     | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS PLC                                       | USD/KRW FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $56.64        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| XTX MARKETS TRADING LIMITED                        | USD/JPY FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800N2KFBZBWWT8D92 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-31.28       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE TORONTO-DOMINION BANK                          | USD/HUF FORWARD                                                                        | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-17.73       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | USD/SGD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $219.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | SEK/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-12.95       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                   | NOK/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DFE              | CORP              | US        |         1 | NC      | $11.64        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | CNH/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-114.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | USD/CHF FORWARD                                                                        | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.80        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | SGD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-315.62      | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | USD/MXN FORWARD                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-5466.67     | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED    | USD/AUD FORWARD                                                                        | CUSIP: 000000000<br>LEI: JHE42UYNWWTJB8YTTU19 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1544.45      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED | TWD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 8NAV47T0Y26Q87Y0QP81 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-2.41        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/CHF FORWARD                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $2.53         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                 | Henry Hub Natural Gas Futures, May-2026,ETH                                            | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |        -1 | NC      | $1338.28      | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.        | 10-Year T-Note Futures, Jun-2026,ETH                                                   | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -1 | NC      | $-813.50      | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                             | CNH/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-187.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | AUD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-816.87      | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | USD/SGD FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-185.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | USD/SEK FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-15.58       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.        | 5-Year T-Note Futures, Mar-2026,ETH                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |         1 | NC      | $-1313.40     | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Citibank, National Association                     | USD/CAD FORWARD                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-246.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | SGD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $11.36        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | USD/KRW FORWARD                                                                        | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $3952.11      | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| THE ROYAL BANK OF SCOTLAND INTERNATIONAL LIMITED   | HUF/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 21380078CCZSEEIIKA41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $7.75         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | CAD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1.87         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | KRW/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-305.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | INR/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-400.76      | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| KOREA EXCHANGE, INC.                               | BMA Future, JUN 2026                                                                   | CUSIP: 000000000<br>LEI: 549300TJ3RRV6Q1UEW14 | N/A              | DIR              | CORP              | KR        |        -9 | NC      | $9009.07      | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| UBS AG                                             | USD/CHF FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-5.71        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                   | USD/HUF FORWARD                                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |         1 | NC      | $9.67         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED    | JPY/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: JHE42UYNWWTJB8YTTU19 | N/A              | DFE              | CORP              | US        |         1 | NC      | $2762.31      | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                  | VSTOXX Futures(FVS) Vola Index Fut                                                     | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DE               | CORP              | DE        |         1 | NC      | $132.46       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS PLC                                       | USD/SGD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-8.53        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE TORONTO-DOMINION BANK                          | MXN/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              | CORP              | US        |         1 | NC      | $105.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS & CO. LLC                            | SGD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: FOR8UP27PHTHYVLBNG30 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1.31        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | USD/SEK FORWARD                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1405.96      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | USD/GBP FORWARD                                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $240.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | MXN/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $218.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | GBP/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-41.05       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | MXN/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.36         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.        | Soybean Futures, May-2026,ETH                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |         5 | NC      | $1263.67      | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED | CAD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 8NAV47T0Y26Q87Y0QP81 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1342.34      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | NOK/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1.41         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | AUD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1329.46     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | ZAR/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-3.98        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.        | Soybean Oil Futures, May-2026,ETH                                                      | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |         5 | NC      | $32765.55     | 0.52%             |  |  |  | No            |                  1 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                   | USD/MXN FORWARD                                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |         1 | NC      | $40.12        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COMMODITIES EXCHANGE CENTER                        | Copper Futures, May-2026,ETH                                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              | CORP              | US        |         1 | NC      | $-6164.30     | -0.10%            |  |  |  | No            |                  1 | On Loan: No      |
| State Street Bank and Trust Company                | USD/MXN FORWARD                                                                        | CUSIP: 000000000<br>LEI: 571474TGEMMWANRLN572 | N/A              | DFE              | CORP              | US        |         1 | NC      | $97.68        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | KRW/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $4036.49      | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| ASX CLEARING CORPORATION LIMITED                   | ASX SPI 200 Index Futures                                                              | CUSIP: 000000000<br>LEI: 549300USWUR0S7VMM868 | N/A              | DE               | CORP              | AU        |         1 | NC      | $-2140.50     | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| SOCIETE GENERALE                                   | CAD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-14.42       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                   | USD/CNH FORWARD                                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.75         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ASX CLEARING CORPORATION LIMITED                   | ASX 3 Year Treasury Bond Futures                                                       | CUSIP: 000000000<br>LEI: 549300USWUR0S7VMM868 | N/A              | DIR              | CORP              | AU        |       -26 | NC      | $9210.07      | 0.15%             |  |  |  | No            |                  1 | On Loan: No      |
| SOCIETE GENERALE                                   | USD/JPY FORWARD                                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $32.84        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OSAKA EXCHANGE,INC                                 | TOPIX TRADE FUTURE, JUN 2026                                                           | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DE               | CORP              | JP        |         1 | NC      | $-8947.62     | -0.14%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | EUR/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-522.54      | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/CAD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.30        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                   | USD/KRW FORWARD                                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |         1 | NC      | $669.71       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                  | EURO(FGBX) Buxl Futures                                                                | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |        -1 | NC      | $-508.98      | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC  | CNH/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-131.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/HUF FORWARD                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-2768.41     | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO SECURITIES, LLC                        | USD/MXN FORWARD                                                                        | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-786.98      | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | USD/PLN FORWARD                                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-377.18      | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.        | 5-Year T-Note Futures, Jun-2026,ETH                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -2 | NC      | $-884.74      | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| SOCIETE GENERALE                                   | USD/SGD FORWARD                                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $3.69         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | USD/CNH FORWARD                                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.26        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | USD/INR FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $3251.52      | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | USD/SEK FORWARD                                                                        | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.26         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | USD/CAD FORWARD                                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-6108.28     | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | USD/SEK FORWARD                                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-876.95      | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | MXN/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $21.98        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | USD/KRW FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $4373.27      | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | USD/SEK FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $2859.37      | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                     | USD/SGD FORWARD                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-10616.74    | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                   | SEK/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-7.68        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | KRW/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-167.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED | USD/HUF FORWARD                                                                        | CUSIP: 000000000<br>LEI: 8NAV47T0Y26Q87Y0QP81 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-102.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | NOK/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $24.55        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | USD/NOK FORWARD                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-16.95       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | USD/NOK FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $11.12        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | CAD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $806.61       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | USD/CNH FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.30        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/JPY FORWARD                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-270.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | SGD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.43         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED | USD/TWD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 8NAV47T0Y26Q87Y0QP81 | N/A              | DFE              | CORP              | US        |         1 | NC      | $646.65       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | TWD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-8.37        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | USD/HUF FORWARD                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $18.30        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MONTREAL EXCHANGE INC.                             | Ten-Year Government of Canada Bond Futures                                             | CUSIP: 000000000<br>LEI: 549300DKBYNOI0B1NP44 | N/A              | DIR              | CORP              | CA        |         3 | NC      | $-4049.89     | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| NEW YORK MERCANTILE EXCHANGE, INC.                 | Henry Hub Natural Gas Futures, Jul-2026,ETH                                            | CUSIP: 000000000<br>LEI: 5493008GFNDTXFPHWI47 | N/A              | DCO              | CORP              | US        |        -1 | NC      | $1628.17      | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| ICE FUTURES U.S., INC.                             | Canola Futures - ICUS                                                                  | CUSIP: 000000000<br>LEI: 5493004R83R1LVX2IL36 | N/A              | DCO              | CORP              | US        |         1 | NC      | $-36.80       | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| CREDIT AGRICOLE SECURITIES (USA) INC.              | KRW/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 549300WO2DKF0Q3YMV43 | N/A              | DFE              | CORP              | US        |         1 | NC      | $963.00       | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                     | CHF/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1694.17      | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | TWD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1.08         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ICE FUTURES EUROPE                                 | Long Gilt Future - ICEU                                                                | CUSIP: 000000000<br>LEI: 549300UF4R84F48NCH34 | N/A              | DIR              | CORP              | GB        |         1 | NC      | $-4461.06     | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| WELLS FARGO SECURITIES, LLC                        | USD/SGD FORWARD                                                                        | CUSIP: 000000000<br>LEI: VYVVCKR63DVZZN70PB21 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.42        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/TWD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1147.53      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | USD/NZD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-4646.36     | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | USD/CNH FORWARD                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $2.09         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | USD/AUD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-2009.39     | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | USD/INR FORWARD                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-184.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | PLN/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-481.96      | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED    | AUD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: JHE42UYNWWTJB8YTTU19 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1236.91     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | ZAR/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $202.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | USD/CNH FORWARD                                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $202.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED | HUF/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 8NAV47T0Y26Q87Y0QP81 | N/A              | DFE              | CORP              | US        |         1 | NC      | $3.83         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED | USD/KRW FORWARD                                                                        | CUSIP: 000000000<br>LEI: 8NAV47T0Y26Q87Y0QP81 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1926.90     | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | GBP/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1988.40     | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | EUR/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1519.61     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | EUR/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-969.49      | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| THE ROYAL BANK OF SCOTLAND INTERNATIONAL LIMITED   | USD/CHF FORWARD                                                                        | CUSIP: 000000000<br>LEI: 21380078CCZSEEIIKA41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-57.26       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                   | NOK/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1208.58     | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| XTX MARKETS TRADING LIMITED                        | ZAR/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800N2KFBZBWWT8D92 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.06         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                   | USD/CNH FORWARD                                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-227.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | NZD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $381.91       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | USD/MXN FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1705.68     | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | USD/CNH FORWARD                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.22        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE ROYAL BANK OF SCOTLAND INTERNATIONAL LIMITED   | USD/PLN FORWARD                                                                        | CUSIP: 000000000<br>LEI: 21380078CCZSEEIIKA41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1.80        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/PLN FORWARD                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $5.01         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THE ROYAL BANK OF SCOTLAND INTERNATIONAL LIMITED   | USD/NZD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 21380078CCZSEEIIKA41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-385.27      | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | USD/CHF FORWARD                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1.01         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THE TORONTO-DOMINION BANK                          | USD/NOK FORWARD                                                                        | CUSIP: 000000000<br>LEI: PT3QB789TSUIDF371261 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-7.62        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.        | 5-Year T-Note Futures, Mar-2026,ETH                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -1 | NC      | $1358.48      | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | CHF/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-6.39        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | USD/ZAR FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-3.03        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED | SGD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 8NAV47T0Y26Q87Y0QP81 | N/A              | DFE              | CORP              | US        |         1 | NC      | $809.83       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| OSAKA EXCHANGE,INC                                 | 10-YEAR JGB TRADE FUTURE, JUN 2026                                                     | CUSIP: 000000000<br>LEI: 3538001249AILNPRUX57 | N/A              | DIR              | CORP              | JP        |        -1 | NC      | $628.47       | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC  | USD/SGD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-5.01        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC  | USD/CNH FORWARD                                                                        | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-88.64       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | TWD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/CHF FORWARD                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $345.98       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | USD/CNH FORWARD                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-4.19        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | ZAR/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-3778.27     | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                       | ZAR/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800LBQA1Y9L22JB70 | N/A              | DFE              | CORP              | US        |         1 | NC      | $4.05         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/CHF FORWARD                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-13.56       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | USD/AUD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $626.61       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| EUREX CLEARING AKTIENGESELLSCHAFT                  | Short(FBTS) Term Euro                                                                  | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              | CORP              | DE        |        -2 | NC      | $-440.43      | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| SKANDINAVISKA ENSKILDA BANKEN AB                   | USD/SEK FORWARD                                                                        | CUSIP: 000000000<br>LEI: F3JS33DEI6XQ4ZBPTN86 | N/A              | DFE              | CORP              | US        |         1 | NC      | $5.58         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | USD/NOK FORWARD                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $65.42        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | USD/CHF FORWARD                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $974.16       | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| XTX MARKETS TRADING LIMITED                        | CNH/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 213800N2KFBZBWWT8D92 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-1.81        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | USD/NZD FORWARD                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-357.01      | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | USD/CAD FORWARD                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.18        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK, NATIONAL ASSOCIATION                     | USD/NZD FORWARD                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $2561.62      | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| THE ROYAL BANK OF SCOTLAND INTERNATIONAL LIMITED   | HUF/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 21380078CCZSEEIIKA41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-7.84        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | JPY/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-4.76        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THE ROYAL BANK OF SCOTLAND INTERNATIONAL LIMITED   | HUF/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 21380078CCZSEEIIKA41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-10.38       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS SECURITIES CORP.                       | USD/INR FORWARD                                                                        | CUSIP: 000000000<br>LEI: RCNB6OTYUAMMP879YW96 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-494.43      | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.        | Chicago SRW Wheat Futures, May-2026,ETH                                                | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DCO              | CORP              | US        |         2 | NC      | $3495.49      | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| MONTREAL EXCHANGE INC.                             | S&P/TSX 60 Index Standard Futures                                                      | CUSIP: 000000000<br>LEI: 549300DKBYNOI0B1NP44 | N/A              | DE               | CORP              | CA        |         1 | NC      | $-1870.06     | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY & CO. LLC                           | NOK/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 9R7GPTSO7KV3UQJZQ078 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.30        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN SECURITIES LLC                         | USD/ZAR FORWARD                                                                        | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | N/A              | DFE              | CORP              | US        |         1 | NC      | $45.10        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED | INR/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 8NAV47T0Y26Q87Y0QP81 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1019.36      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Nomura Securities International, Inc.              | HUF/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: OXTKY6Q8X53C9ILVV871 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.68         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC  | AUD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-974.50      | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                   | USD/SGD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              | CORP              | US        |         1 | NC      | $396.88       | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BOARD OF TRADE OF THE CITY OF CHICAGO, INC.        | 2-Year T-Note Futures, Jun-2026,ETH                                                    | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              | CORP              | US        |        -5 | NC      | $3737.73      | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| SOCIETE GENERALE                                   | USD/SEK FORWARD                                                                        | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-4.53        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | SEK/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $0.53         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank, National Association                     | HUF/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-40.48       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC  | SGD/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 5493003GCX71N8988W38 | N/A              | DFE              | CORP              | US        |         1 | NC      | $1182.47      | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| THE ROYAL BANK OF SCOTLAND INTERNATIONAL LIMITED   | ZAR/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 21380078CCZSEEIIKA41 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-22.90       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SECURITIES (USA) INC.              | INR/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: 549300WO2DKF0Q3YMV43 | N/A              | DFE              | CORP              | US        |         1 | NC      | $8825.66      | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | CNH/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-313.27      | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC SECURITIES (USA) INC.                         | USD/HUF FORWARD                                                                        | CUSIP: 000000000<br>LEI: CYYGQCGNHMHPSMRL3R97 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.83        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED    | JPY/USD FORWARD                                                                        | CUSIP: 000000000<br>LEI: JHE42UYNWWTJB8YTTU19 | N/A              | DFE              | CORP              | US        |         1 | NC      | $-0.95        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                             | USD/ZAR FORWARD                                                                        | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              | CORP              | US        |         1 | NC      | $23.28        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** AMG Funds I

**Signature:** Thomas Disbrow

**Name of Signer:** Thomas Disbrow

**Title:** Principal Financial Officer